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)
Richard M. Goldman, President
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: 1-301-296-5100
Date of fiscal year end: October 31
Date of reporting period: April 30, 2010
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, 2010
RYDEX ETF TRUST
SEMI-ANNUAL REPORT
RYDEX S&P EQUAL WEIGHT ETF
RYDEX RUSSELL TOP 50 ETF
[RYDEX LOGO]
SEMI-ANNUAL REPORT 1
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<Table>
LETTER TO OUR SHAREHOLDERS............................................... 2
FEES AND EXPENSES........................................................ 3
PREMIUM AND DISCOUNT INFORMATION......................................... 4
PORTFOLIO SUMMARY........................................................ 5
SCHEDULES OF INVESTMENTS................................................. 7
STATEMENTS OF ASSETS AND LIABILITIES..................................... 15
STATEMENTS OF OPERATIONS................................................. 16
STATEMENTS OF CHANGES IN NET ASSETS...................................... 17
FINANCIAL HIGHLIGHTS..................................................... 18
NOTES TO FINANCIAL STATEMENTS............................................ 20
SUPPLEMENTAL INFORMATION................................................. 24
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS............................ 25
</Table>
2
LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER,
With the economy now showing signs of growth, despite having shrunk 2.4% last
year, economic pundits are cautiously optimistic on the U.S. economy. In
prepared remarks to the Dallas Regional Chamber, Fed Chairman Ben Bernanke said,
"The economy has stabilized and is growing again, although we can hardly be
satisfied when one out of every 10 U.S. workers is unemployed and family
finances remain under great stress." Minutes of a March 16, 2010 Federal Reserve
meeting showed policy makers warned against raising rates too soon because
unemployment may hobble a recovery in the world's largest economy. Separately,
New York Fed President William Dudley said that the benchmark federal funds rate
"needs to be exceptionally low for an extended period to contribute to easier
financial conditions to support economic activity." The Fed has kept its target
rate for overnight loans between banks at zero to 0.25% since December 2008.
STEADY PROGRESS, BUT CERTAINTY STILL ELUSIVE
The S&P 500(R) Index returned 15.66% for the six months ended April 30, 2010,
while the S&P Equal Weighted Index returned 22.54%. Rydex SGI offers 10 equal
weight ETFs which provide equal exposure to relevant indices, ensuring that
smaller cap names are weighted as heavily as market giants, therefore
eliminating the large-cap bias of traditional capitalization-weighted index
products.
INCREASED DEMAND FOR ETFS
In the past decade, demand for ETFs has increased as institutional investors
have found ETFs well suited for participating in, or hedging against, broad
movements in the stock market. Individual investors and their financial advisors
also have become increasingly aware of these investment vehicles. Assets in ETFs
accounted for 6% of total net assets managed by investment companies at year-end
2009, according to The Investment Company Institute.(1)
In a regulatory environment that emphasizes transparency and reduced risk,
investment professionals are increasingly turning to exchange traded funds
(ETFs) -- there were 756 ETFs (a total of $691 billion in assets) in the
marketplace in the beginning of the reporting period, and 839 (a total of $805
billion in assets) at the end of the reporting period(1). 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 SGI is a proud participant in the ETF space with more
than two dozen exchange traded products. Our exchange traded product asset base
grew 20% in the six-month period ended April 30, 2010 -- to $6.7 billion from
$5.6 billion.
As one of the earlier entrants in the exchange traded product space, we are
advocates on the numerous advantages ETFs offer investors. Thank you for the
trust you place in us by investing with us.
Sincerely,
/s/ Michael Byrum
Michael Byrum
President & Chief Investment Officer
PERFORMANCE DISPLAYED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS.
FUND PERFORMANCE IS SUBJECT TO DAILY MARKET VOLATILITY AND MAY BE BETTER OR
WORSE SINCE THE END OF THE LAST QUARTER. FOR UP-TO-DATE FUND PERFORMANCE, CALL
800.820.0888 OR VISIT WWW.RYDEX-SGI.COM.
- --------
(1) Investment Company Institute 2010 Investment Company Factbook, p. 46.,
http://www.ici.org/pdf/2010 factbook.pdf.
SEMI-ANNUAL REPORT 3
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, 2009 and held for the six months ended April 30, 2010.
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 10/31/09 4/30/10 10/31/09 TO 4/30/10
------- --------- --------- -------------------
ACTUAL
Rydex S&P Equal Weight ETF................. 0.40% $1,000.00 $1,221.80 $2.20
Rydex Russell Top 50 ETF................... 0.20% 1,000.00 1,112.90 1.05
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).
4
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 period
from inception to April 30, 2010.
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
PREMIUM/DISCOUNT RANGE WEIGHT ETF TOP 50 ETF
- --------------------------------------------------------------------------------------
Greater Than 8% 1 0
Between 3.01% and 8% 0 0
Between 1.01% and 3% 3 3
Between .51% and 1% 7 7
Between .26% and .5% 27 22
Between 0% and .25% 802 671
Between -0.01% and -0.25% 749 635
Between -0.26% and -0.5% 25 24
Between -0.51% and -1% 7 7
Between -1.01% and -3% 2 1
Between -3.01% and -8% 0 0
Less Than -8% 0 0
- --------------------------------------------------------------------------------------
Total 1623 1370
</Table>
<Table>
<Caption>
PERCENTAGE
OF TOTAL DAYS
-----------------------
RYDEX RYDEX
S&P EQUAL RUSSELL
PREMIUM/DISCOUNT RANGE WEIGHT ETF TOP 50 ETF
- --------------------------------------------------------------------------------------
Greater Than 8% 0.06% 0.00%
Between 3.01% and 8% 0.00% 0.00%
Between 1.01% and 3% 0.19% 0.22%
Between .51% and 1% 0.43% 0.51%
Between .26% and .5% 1.66% 1.61%
Between 0% and .25% 49.42% 48.98%
Between -0.01% and -0.25% 46.15% 46.35%
Between -0.26% and -0.5% 1.54% 1.75%
Between -0.51% and -1% 0.43% 0.51%
Between -1.01% and -3% 0.12% 0.07%
Between -3.01% and -8% 0.00% 0.00%
Less Than -8% 0.00% 0.00%
- --------------------------------------------------------------------------------------
Total 100.00% 100.00%
</Table>
SEMI-ANNUAL REPORT 5
RYDEX S&P EQUAL WEIGHT ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
ZIONS BANCORP 0.25%
STARWOOD HOTELS & RESORTS WORLDWIDE, INC. 0.25%
FIRST SOLAR, INC. 0.24%
MARRIOTT INTERNATIONAL, INC. -- CLASS A 0.24%
HUNTINGTON BANCSHARES., INC. 0.24%
WHIRLPOOL CORP. 0.24%
APARTMENT INVESTMENT & MANAGEMENT CO. -- CLASS A 0.24%
SANDISK CORP. 0.24%
INTERNATIONAL GAME TECHNOLOGY 0.24%
CUMMINS, INC. 0.24%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 16.84
Financials 15.99
Information Technology 14.73
Industrials 11.88
Health Care 9.78
Consumer Staples 7.99
Energy 7.83
Utilities 7.07
Materials 6.12
Telecommunication Services 1.77
</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.
6
RYDEX RUSSELL TOP 50 ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
EXXON MOBIL CORP. 6.35%
MICROSOFT CORP. 4.51%
APPLE, INC. 4.47%
GENERAL ELECTRIC CO. 3.83%
PROCTER & GAMBLE CO. 3.47%
BANK OF AMERICA CORP. 3.40%
JOHNSON & JOHNSON, INC. 3.40%
WELLS FARGO & CO. 3.29%
INTERNATIONAL BUSINESS MACHINES CORP. 3.27%
JP MORGAN CHASE & CO. 3.25%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Information Technology 26.46
Consumer Staples 14.89
Energy 14.23
Health Care 13.85
Financials 13.14
Industrials 7.15
Consumer Discretionary 5.08
Telecommunication Services 4.54
Materials 0.66
</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 S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ----------------------------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 2.4%
Boeing Co. ............................. 64,950 $4,704,329
General Dynamics Corp. ................. 61,396 4,688,199
Goodrich Corp. ......................... 64,979 4,820,142
Honeywell International, Inc. .......... 105,546 5,010,269
ITT Corp. .............................. 88,050 4,892,938
L-3 Communications Holdings, Inc. ...... 49,285 4,611,597
Lockheed Martin Corp. .................. 53,498 4,541,445
Northrop Grumman Corp. ................. 71,084 4,821,628
Precision Castparts Corp. .............. 38,055 4,883,979
Raytheon Co. ........................... 81,344 4,742,355
Rockwell Collins, Inc. ................. 73,777 4,795,505
United Technologies Corp. .............. 63,177 4,735,116
--------------
TOTAL AEROSPACE & DEFENSE 57,247,502
--------------
AIR FREIGHT & LOGISTICS 0.8%
C.H. Robinson Worldwide, Inc. .......... 81,824 4,933,987
Expeditors International of Washington,
Inc. ................................ 120,129 4,894,055
FedEx Corp. ............................ 51,106 4,600,051
United Parcel Service, Inc. -- Class B.. 72,125 4,986,723
--------------
TOTAL AIR FREIGHT & LOGISTICS 19,414,816
--------------
AIRLINES 0.2%
Southwest Airlines Co. ................. 361,379 4,762,975
--------------
TOTAL AIRLINES 4,762,975
--------------
AUTO COMPONENTS 0.4%
Goodyear Tire & Rubber Co.(The)*........ 356,814 4,792,012
Johnson Controls, Inc. ................. 145,442 4,885,397
--------------
TOTAL AUTO COMPONENTS 9,677,409
--------------
AUTOMOBILES 0.4%
Ford Motor Co.*......................... 343,627 4,474,023
Harley-Davidson, Inc. .................. 164,219 5,555,529
--------------
TOTAL AUTOMOBILES 10,029,552
--------------
BEVERAGES 1.4%
Brown-Forman Corp. -- Class B........... 80,843 4,703,446
Coca-Cola Co.(The)...................... 84,507 4,516,899
Coca-Cola Enterprises, Inc. ............ 172,726 4,789,692
Constellation Brands, Inc. -- Class A*.. 288,493 5,270,767
Dr Pepper Snapple Group, Inc. .......... 128,176 4,195,201
Molson Coors Brewing Co. -- Class B..... 107,097 4,750,823
PepsiCo, Inc. .......................... 69,693 4,545,377
--------------
TOTAL BEVERAGES 32,772,205
--------------
BIOTECHNOLOGY 1.0%
Amgen, Inc.*............................ 77,970 4,472,359
Biogen Idec, Inc.*...................... 77,361 4,119,473
Celgene Corp.*.......................... 71,555 4,432,832
Cephalon, Inc.*......................... 63,888 4,101,610
Genzyme Corp.*.......................... 78,051 4,155,435
Gilead Sciences, Inc.*.................. 96,638 3,833,630
--------------
TOTAL BIOTECHNOLOGY 25,115,339
--------------
BUILDING PRODUCTS 0.2%
Masco Corp. ............................ 306,231 4,970,129
--------------
TOTAL BUILDING PRODUCTS 4,970,129
--------------
CAPITAL MARKETS 2.7%
Ameriprise Financial, Inc. ............. 104,875 4,862,005
Bank of New York Mellon Corp. .......... 150,677 4,690,575
Charles Schwab Corp.(The)............... 246,327 4,751,648
E*TRADE Financial Corp.*................ 2,931,555 4,925,013
Federated Investors, Inc. -- Class B.... 178,693 4,310,075
Franklin Resources, Inc. ............... 41,778 4,831,208
Goldman Sachs Group, Inc.(The).......... 26,194 3,803,369
Invesco Ltd. ........................... 222,766 5,121,390
Janus Capital Group, Inc. .............. 328,850 4,630,208
Legg Mason, Inc. ....................... 157,093 4,978,277
Morgan Stanley.......................... 155,942 4,712,567
Northern Trust Corp. ................... 83,376 4,584,013
State Street Corp. ..................... 100,072 4,353,132
T. Rowe Price Group, Inc. .............. 84,377 4,852,521
--------------
TOTAL CAPITAL MARKETS 65,406,001
--------------
CHEMICALS 2.6%
Air Products & Chemicals, Inc. ......... 61,957 4,757,058
Airgas, Inc. ........................... 72,316 4,588,450
CF Industries Holdings, Inc. ........... 50,666 4,239,224
Dow Chemical Co.(The)................... 157,335 4,850,638
Du Pont (E.I.) de Nemours & Co. ........ 126,234 5,029,163
Eastman Chemical Co. ................... 75,579 5,057,747
Ecolab, Inc. ........................... 106,927 5,222,315
FMC Corp. .............................. 77,130 4,908,553
International Flavors & Fragrances,
Inc. ................................ 102,864 5,152,458
Monsanto Co. ........................... 64,138 4,044,542
PPG Industries, Inc. ................... 71,345 5,020,548
Praxair, Inc. .......................... 56,742 4,753,277
Sigma-Aldrich Corp. .................... 84,547 5,013,637
--------------
TOTAL CHEMICALS 62,637,610
--------------
COMMERCIAL BANKS 3.0%
BB&T Corp. ............................. 145,042 4,821,196
Comerica, Inc. ......................... 121,700 5,111,400
Fifth Third Bancorp..................... 346,960 5,173,174
First Horizon National Corp.*........... 318,812 4,511,190
Huntington Bancshares, Inc. ............ 865,226 5,857,580
KeyCorp................................. 612,394 5,523,794
M&T Bank Corp. ......................... 55,441 4,842,771
Marshall & Ilsley Corp. ................ 596,640 5,429,424
PNC Financial Services Group, Inc. ..... 77,931 5,237,743
Regions Financial Corp. ................ 623,000 5,507,320
SunTrust Banks, Inc. ................... 169,515 5,017,644
U.S. Bancorp............................ 177,921 4,762,945
Wells Fargo & Co. ...................... 152,779 5,058,513
Zions Bancorp........................... 207,250 5,954,292
--------------
TOTAL COMMERCIAL BANKS 72,808,986
--------------
COMMERCIAL SERVICES & SUPPLIES 1.6%
Avery Dennison Corp. ................... 133,210 5,199,186
Cintas Corp. ........................... 165,440 4,508,240
Iron Mountain, Inc. .................... 177,902 4,474,235
Pitney Bowes, Inc. ..................... 189,912 4,823,765
R.R. Donnelley & Sons Co. .............. 226,507 4,867,636
Republic Services, Inc. ................ 162,457 5,041,041
Stericycle, Inc.*....................... 83,416 4,913,202
Waste Management, Inc. ................. 135,573 4,701,672
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 38,528,977
--------------
COMMUNICATIONS EQUIPMENT 1.4%
Cisco Systems, Inc.*.................... 177,061 4,766,482
Harris Corp. ........................... 100,901 5,194,384
JDS Uniphase Corp.*..................... 423,324 5,498,979
Juniper Networks, Inc.*................. 154,601 4,392,214
Motorola, Inc.*......................... 641,836 4,537,781
</Table>
See Notes to Financial Statements.
8
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
QUALCOMM, Inc. ......................... 115,685 $4,481,637
Tellabs, Inc. .......................... 614,379 5,578,561
--------------
TOTAL COMMUNICATIONS EQUIPMENT 34,450,038
--------------
COMPUTERS & PERIPHERALS 2.3%
Apple, Inc.*............................ 20,849 5,444,091
Dell, Inc.*............................. 323,062 5,227,143
EMC Corp.*.............................. 249,106 4,735,505
Hewlett-Packard Co. .................... 88,390 4,593,628
International Business Machines Corp. .. 36,443 4,701,147
Lexmark International, Inc. --
Class A*............................. 133,791 4,956,957
NetApp, Inc.*........................... 143,100 4,961,277
QLogic Corp.*........................... 233,662 4,526,033
SanDisk Corp.*.......................... 144,161 5,750,582
Teradata Corp.*......................... 160,405 4,662,973
Western Digital Corp.*.................. 121,350 4,986,272
--------------
TOTAL COMPUTERS & PERIPHERALS 54,545,608
--------------
CONSTRUCTION & ENGINEERING 0.6%
Fluor Corp. ............................ 102,573 5,419,957
Jacobs Engineering Group, Inc.*......... 107,598 5,188,376
Quanta Services, Inc.*.................. 238,647 4,803,964
--------------
TOTAL CONSTRUCTION & ENGINEERING 15,412,297
--------------
CONSTRUCTION MATERIALS 0.2%
Vulcan Materials Co. ................... 95,237 5,455,175
--------------
TOTAL CONSTRUCTION MATERIALS 5,455,175
--------------
CONSUMER FINANCE 0.8%
American Express Co. ................... 114,574 5,284,153
Capital One Financial Corp. ............ 115,366 5,008,038
Discover Financial Services............. 303,376 4,690,193
SLM Corp.*.............................. 393,473 4,816,109
--------------
TOTAL CONSUMER FINANCE 19,798,493
--------------
CONTAINERS & PACKAGING 1.0%
Ball Corp. ............................. 85,278 4,537,642
Bemis Co., Inc. ........................ 158,014 4,805,206
Owens-Illinois, Inc.*................... 135,384 4,798,009
Pactiv Corp.*........................... 186,491 4,738,736
Sealed Air Corp. ....................... 214,275 4,606,913
--------------
TOTAL CONTAINERS & PACKAGING 23,486,506
--------------
DISTRIBUTORS 0.2%
Genuine Parts Co. ...................... 111,221 4,760,259
--------------
TOTAL DISTRIBUTORS 4,760,259
--------------
DIVERSIFIED CONSUMER SERVICES 0.6%
Apollo Group, Inc. -- Class A*.......... 72,125 4,140,696
DeVry, Inc. ............................ 69,173 4,315,703
H&R Block, Inc. ........................ 274,499 5,026,077
--------------
TOTAL DIVERSIFIED CONSUMER SERVICES 13,482,476
--------------
DIVERSIFIED FINANCIAL SERVICES 1.8%
Bank of America Corp. .................. 274,600 4,896,118
Citigroup, Inc.*........................ 1,171,289 5,118,533
CME Group, Inc. ........................ 14,934 4,904,475
IntercontinentalExchange, Inc.*......... 42,789 4,990,481
JPMorgan Chase & Co. ................... 106,717 4,544,010
Leucadia National Corp.*................ 181,106 4,583,793
Moody's Corp. .......................... 155,562 3,845,493
Nasdaq OMX Group (The)*................. 220,420 4,628,820
NYSE Euronext........................... 157,383 5,135,407
--------------
TOTAL DIVERSIFIED FINANCIAL SERVICES 42,647,130
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES 1.2%
AT&T, Inc. ............................. 176,960 4,611,577
CenturyTel, Inc. ....................... 133,161 4,542,122
Frontier Communications Corp. .......... 621,432 4,946,599
Qwest Communications International,
Inc. ................................ 914,469 4,782,673
Verizon Communications, Inc. ........... 152,588 4,408,267
Windstream Corp. ....................... 418,693 4,626,558
--------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 27,917,796
--------------
ELECTRIC UTILITIES 2.7%
Allegheny Energy, Inc. ................. 198,560 4,324,637
American Electric Power Co., Inc. ...... 134,312 4,606,901
Duke Energy Corp. ...................... 279,214 4,685,211
Edison International.................... 134,822 4,633,832
Entergy Corp. .......................... 57,582 4,680,841
Exelon Corp. ........................... 104,144 4,539,637
FirstEnergy Corp. ...................... 117,246 4,440,106
FPL Group, Inc. ........................ 96,157 5,004,972
Northeast Utilities..................... 169,815 4,719,159
Pepco Holdings, Inc. ................... 269,325 4,508,500
Pinnacle West Capital Corp. ............ 122,961 4,591,364
PPL Corp. .............................. 163,128 4,039,049
Progress Energy, Inc. .................. 116,716 4,659,303
Southern Co. ........................... 139,007 4,804,082
--------------
TOTAL ELECTRIC UTILITIES 64,237,594
--------------
ELECTRICAL EQUIPMENT 0.9%
Emerson Electric Co. ................... 95,507 4,988,330
First Solar, Inc.*...................... 40,967 5,880,813
Rockwell Automation, Inc. .............. 83,876 5,092,951
Roper Industries, Inc. ................. 80,864 4,934,321
--------------
TOTAL ELECTRICAL EQUIPMENT 20,896,415
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 1.2%
Agilent Technologies, Inc.*............. 138,716 5,029,842
Amphenol Corp. -- Class A............... 106,507 4,921,688
Corning, Inc. .......................... 236,547 4,553,530
FLIR Systems, Inc.*..................... 170,324 5,210,211
Jabil Circuit, Inc. .................... 267,983 4,105,500
Molex, Inc. ............................ 220,520 4,941,853
--------------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 28,762,624
--------------
ENERGY EQUIPMENT & SERVICES 2.2%
Baker Hughes, Inc. ..................... 97,681 4,860,610
Cameron International Corp.*............ 111,371 4,394,700
Diamond Offshore Drilling, Inc. ........ 55,170 4,363,947
FMC Technologies, Inc.*................. 76,540 5,180,992
Halliburton Co. ........................ 151,288 4,636,977
Helmerich & Payne, Inc. ................ 122,371 4,970,710
Nabors Industries, Ltd.*................ 233,872 5,044,619
National-Oilwell Varco, Inc. ........... 109,089 4,803,189
Rowan Cos., Inc.*....................... 175,200 5,220,960
Schlumberger, Ltd. ..................... 72,045 5,145,454
Smith International, Inc. .............. 106,887 5,104,923
--------------
TOTAL ENERGY EQUIPMENT & SERVICES 53,727,081
--------------
FOOD & STAPLES RETAILING 1.8%
Costco Wholesale Corp. ................. 76,039 4,492,384
CVS Caremark Corp. ..................... 134,902 4,981,931
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 9
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Kroger Co.(The)......................... 213,205 $4,739,547
Safeway, Inc. .......................... 192,145 4,534,622
SUPERVALU, Inc. ........................ 277,812 4,139,399
Sysco Corp. ............................ 161,016 5,078,444
Wal-Mart Stores, Inc. .................. 83,666 4,488,681
Walgreen Co. ........................... 134,552 4,729,503
Whole Foods Market, Inc.*............... 129,807 5,065,069
--------------
TOTAL FOOD & STAPLES RETAILING 42,249,580
--------------
FOOD PRODUCTS 2.7%
Archer-Daniels-Midland Co. ............. 160,115 4,473,613
Campbell Soup Co. ...................... 131,489 4,715,196
ConAgra Foods, Inc. .................... 179,513 4,392,683
Dean Foods Co.*......................... 296,782 4,659,477
General Mills, Inc. .................... 63,077 4,489,821
H.J. Heinz Co. ......................... 97,769 4,582,433
Hershey Co.(The)........................ 109,089 5,128,274
Hormel Foods Corp. ..................... 112,102 4,569,278
J.M. Smucker Co.(The)................... 77,450 4,729,871
Kellogg Co. ............................ 87,229 4,792,361
Kraft Foods, Inc. -- Class A............ 156,212 4,623,875
McCormick & Co., Inc. .................. 118,728 4,698,067
Sara Lee Corp. ......................... 333,709 4,745,342
Tyson Foods, Inc. -- Class A............ 260,368 5,100,609
--------------
TOTAL FOOD PRODUCTS 65,700,900
--------------
GAS UTILITIES 0.8%
EQT Corp. .............................. 111,411 4,845,264
Nicor, Inc. ............................ 107,117 4,660,661
Oneok, Inc. ............................ 101,022 4,964,221
Questar Corp. .......................... 108,979 5,225,543
--------------
TOTAL GAS UTILITIES 19,695,689
--------------
HEALTH CARE EQUIPMENT & SUPPLIES 2.5%
Baxter International, Inc. ............. 78,521 3,707,762
Becton, Dickinson & Co. ................ 58,733 4,485,439
Boston Scientific Corp.*................ 649,580 4,469,110
C.R. Bard, Inc. ........................ 55,360 4,790,301
CareFusion Corp.*....................... 183,537 5,061,951
Dentsply International, Inc. ........... 135,893 4,979,120
Hospira, Inc.*.......................... 81,554 4,386,790
Intuitive Surgical, Inc.*............... 13,202 4,760,113
Medtronic, Inc. ........................ 103,594 4,526,022
St Jude Medical, Inc.*.................. 117,827 4,809,698
Stryker Corp. .......................... 81,894 4,703,991
Varian Medical Systems, Inc.*........... 86,809 4,894,291
Zimmer Holdings, Inc.*.................. 81,454 4,961,363
--------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 60,535,951
--------------
HEALTH CARE PROVIDERS & SERVICES 3.0%
Aetna, Inc. ............................ 134,672 3,979,558
AmerisourceBergen Corp. ................ 162,187 5,003,469
Cardinal Health, Inc. .................. 129,707 4,499,536
CIGNA Corp. ............................ 125,244 4,015,323
Coventry Health Care, Inc.*............. 175,810 4,173,729
DaVita, Inc.*........................... 72,946 4,554,019
Express Scripts, Inc.*.................. 46,082 4,614,191
Humana, Inc.*........................... 92,324 4,221,053
Laboratory Corp. of America Holdings*... 61,476 4,830,169
McKesson Corp. ......................... 72,646 4,708,187
Medco Health Solutions, Inc.*........... 70,534 4,155,863
Patterson Cos., Inc. ................... 150,366 4,810,208
Quest Diagnostics, Inc. ................ 80,953 4,627,274
Tenet Healthcare Corp.*................. 809,372 5,058,575
UnitedHealth Group, Inc. ............... 135,472 4,106,156
WellPoint, Inc.*........................ 71,155 3,828,139
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 71,185,449
--------------
HEALTH CARE TECHNOLOGY 0.2%
Cerner Corp.*........................... 58,588 4,974,707
--------------
TOTAL HEALTH CARE TECHNOLOGY 4,974,707
--------------
HOTELS, RESTAURANTS & LEISURE 2.2%
Carnival Corp. ......................... 123,402 5,145,863
Darden Restaurants, Inc. ............... 106,116 4,748,691
International Game Technology........... 272,218 5,738,356
Marriott International, Inc. --
Class A.............................. 159,605 5,867,080
McDonald's Corp. ....................... 70,033 4,943,630
Starbucks Corp. ........................ 185,848 4,828,331
Starwood Hotels & Resorts Worldwide,
Inc. ................................ 108,649 5,922,457
Wyndham Worldwide Corp. ................ 193,636 5,191,381
Wynn Resorts Ltd. ...................... 64,429 5,685,215
Yum! Brands, Inc. ...................... 121,801 5,166,798
--------------
TOTAL HOTELS, RESTAURANTS & LEISURE 53,237,802
--------------
HOUSEHOLD DURABLES 1.9%
D.R. Horton, Inc. ...................... 367,036 5,391,759
Fortune Brands, Inc. ................... 93,856 4,919,932
Harman International Industries, Inc.*.. 105,626 4,170,114
Leggett & Platt, Inc. .................. 216,106 5,301,080
Lennar Corp. -- Class A................. 283,961 5,650,824
Newell Rubbermaid, Inc. ................ 301,364 5,144,283
Pulte Homes, Inc.*...................... 408,606 5,348,653
Stanley Black & Decker, Inc. ........... 79,492 4,940,428
Whirlpool Corp. ........................ 53,709 5,847,299
--------------
TOTAL HOUSEHOLD DURABLES 46,714,372
--------------
HOUSEHOLD PRODUCTS 0.8%
Clorox Co. ............................. 71,955 4,655,489
Colgate-Palmolive Co. .................. 54,770 4,606,157
Kimberly-Clark Corp. ................... 75,769 4,641,609
Procter & Gamble Co. ................... 72,626 4,514,432
--------------
TOTAL HOUSEHOLD PRODUCTS 18,417,687
--------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.6%
AES Corp.(The)*......................... 404,457 4,667,434
Constellation Energy Group, Inc. ....... 128,217 4,532,471
NRG Energy, Inc.*....................... 211,281 5,106,662
--------------
TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 14,306,567
--------------
INDUSTRIAL CONGLOMERATES 0.6%
3M Co. ................................. 56,451 5,005,510
General Electric Co. ................... 256,983 4,846,699
Textron, Inc. .......................... 206,920 4,726,053
--------------
TOTAL INDUSTRIAL CONGLOMERATES 14,578,262
--------------
INSURANCE 4.1%
AFLAC, Inc. ............................ 85,178 4,340,671
Allstate Corp. ......................... 148,735 4,859,173
American International Group, Inc.*..... 135,161 5,257,763
Aon Corp. .............................. 109,009 4,628,522
Assurant, Inc. ......................... 139,617 5,086,247
Berkshire Hathaway, Inc. -- Class B*.... 56,431 4,345,187
Chubb Corp. ............................ 90,271 4,772,628
Cincinnati Financial Corp. ............. 157,873 4,483,593
</Table>
See Notes to Financial Statements.
10
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Genworth Financial, Inc. -- Class A*.... 288,587 $4,767,457
Hartford Financial Services Group,
Inc. ................................ 169,984 4,856,443
Lincoln National Corp. ................. 160,256 4,902,231
Loews Corp. ............................ 124,703 4,643,940
Marsh & McLennan Cos., Inc. ............ 188,131 4,556,533
MetLife, Inc. .......................... 110,451 5,034,357
Principal Financial Group, Inc. ........ 168,974 4,937,420
Progressive Corp. ...................... 256,583 5,154,753
Prudential Financial, Inc. ............. 79,663 5,063,380
Torchmark Corp. ........................ 86,959 4,655,785
Travelers Cos., Inc.(The)............... 87,469 4,438,177
Unum Group.............................. 193,486 4,734,602
XL Capital, Ltd. -- Class A............. 244,154 4,345,941
--------------
TOTAL INSURANCE 99,864,803
--------------
INTERNET & CATALOG RETAIL 0.6%
Amazon.com, Inc.*....................... 35,562 4,874,127
Expedia, Inc. .......................... 204,426 4,826,498
Priceline.com, Inc.*.................... 19,358 5,072,764
--------------
TOTAL INTERNET & CATALOG RETAIL 14,773,389
--------------
INTERNET SOFTWARE & SERVICES 1.0%
Akamai Technologies, Inc.*.............. 147,374 5,722,532
eBay, Inc.*............................. 169,745 4,041,629
Google, Inc. -- Class A*................ 8,318 4,370,610
VeriSign, Inc.*......................... 173,297 4,725,809
Yahoo!, Inc.*........................... 281,586 4,654,617
--------------
TOTAL INTERNET SOFTWARE & SERVICES 23,515,197
--------------
IT SERVICES 2.1%
Automatic Data Processing, Inc. ........ 103,554 4,490,101
Cognizant Technology Solutions
Corp. -- Class A*.................... 90,462 4,629,845
Computer Sciences Corp.*................ 85,097 4,458,232
Fidelity National Information Services,
Inc. ................................ 196,908 5,176,711
Fiserv, Inc.*........................... 91,233 4,661,094
Mastercard, Inc. -- Class A............. 18,967 4,704,575
Paychex, Inc. .......................... 144,311 4,415,916
SAIC, Inc.*............................. 245,160 4,268,236
Total System Services, Inc. ............ 306,668 4,909,755
Visa, Inc. -- Class A................... 52,077 4,698,908
Western Union Co. ...................... 278,963 5,091,075
--------------
TOTAL IT SERVICES 51,504,448
--------------
LEISURE EQUIPMENT & PRODUCTS 0.6%
Eastman Kodak Co.*...................... 787,958 4,822,303
Hasbro, Inc. ........................... 121,801 4,672,286
Mattel, Inc. ........................... 199,402 4,596,216
--------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 14,090,805
--------------
LIFE SCIENCES TOOLS & SERVICES 1.0%
Life Technologies Corp.*................ 86,499 4,732,360
Millipore Corp.*........................ 43,960 4,666,354
PerkinElmer, Inc. ...................... 193,988 4,859,399
Thermo Fisher Scientific, Inc.*......... 92,764 5,127,994
Waters Corp.*........................... 71,245 5,128,928
--------------
TOTAL LIFE SCIENCES TOOLS & SERVICES 24,515,035
--------------
MACHINERY 2.5%
Caterpillar, Inc. ...................... 78,311 5,332,196
Cummins, Inc. .......................... 79,372 5,733,039
Danaher Corp. .......................... 60,175 5,071,549
Deere & Co. ............................ 78,261 4,681,573
Dover Corp. ............................ 99,390 5,190,146
Eaton Corp. ............................ 62,317 4,808,380
Flowserve Corp. ........................ 44,170 5,060,999
Illinois Tool Works, Inc. .............. 99,090 5,063,499
PACCAR, Inc. ........................... 110,260 5,129,295
Pall Corp. ............................. 120,029 4,679,931
Parker-Hannifin Corp. .................. 71,035 4,914,201
Snap-on, Inc. .......................... 108,108 5,208,643
--------------
TOTAL MACHINERY 60,873,451
--------------
MEDIA 3.5%
CBS Corp. -- Class B.................... 329,391 5,339,428
Comcast Corp. -- Class A................ 265,870 5,248,274
DIRECTV -- Class A*..................... 140,166 5,078,214
Discovery Communications, Inc. --
Class A*............................. 143,010 5,534,487
Gannett Co., Inc. ...................... 283,432 4,824,013
Interpublic Group of Cos., Inc.*........ 536,839 4,783,235
McGraw-Hill Cos., Inc. ................. 129,348 4,361,615
Meredith Corp. ......................... 135,023 4,851,376
New York Times Co. -- Class A*.......... 417,131 4,137,940
News Corp. -- Class A................... 330,441 5,095,400
Omnicom Group, Inc. .................... 118,638 5,061,097
Scripps Networks Interactive --
Class A.............................. 112,592 5,104,921
Time Warner Cable, Inc. ................ 95,406 5,366,588
Time Warner, Inc. ...................... 148,735 4,920,154
Viacom, Inc. -- Class B*................ 146,553 5,177,717
Walt Disney Co.(The).................... 137,945 5,081,894
Washington Post Co. -- Class B.......... 10,289 5,218,169
--------------
TOTAL MEDIA 85,184,522
--------------
METALS & MINING 1.7%
AK Steel Holding Corp. ................. 208,781 3,497,082
Alcoa, Inc. ............................ 324,395 4,359,869
Allegheny Technologies, Inc. ........... 90,422 4,834,864
Cliffs Natural Resources, Inc. ......... 72,416 4,528,173
Freeport-McMoRan Copper & Gold, Inc. ... 58,644 4,429,381
Newmont Mining Corp. ................... 90,943 5,100,084
Nucor Corp. ............................ 104,495 4,735,713
Titanium Metals Corp.*.................. 314,296 4,846,444
United States Steel Corp. .............. 78,101 4,269,001
--------------
TOTAL METALS & MINING 40,600,611
--------------
MULTI-UTILITIES 3.0%
Ameren Corp. ........................... 178,592 4,636,248
CenterPoint Energy, Inc. ............... 320,412 4,601,116
CMS Energy Corp. ....................... 294,116 4,782,326
Consolidated Edison, Inc. .............. 104,985 4,745,322
Dominion Resources, Inc. ............... 114,293 4,777,447
DTE Energy Co. ......................... 103,093 4,965,990
Integrys Energy Group, Inc. ............ 100,541 4,987,839
NiSource, Inc. ......................... 296,048 4,825,582
PG&E Corp. ............................. 107,537 4,710,121
Public Service Enterprise Group, Inc. .. 150,226 4,826,761
SCANA Corp. ............................ 122,521 4,835,904
Sempra Energy........................... 91,843 4,516,839
TECO Energy, Inc. ...................... 292,675 4,954,988
Wisconsin Energy Corp. ................. 91,993 4,830,553
Xcel Energy, Inc. ...................... 215,075 4,677,881
--------------
TOTAL MULTI-UTILITIES 71,674,917
--------------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 11
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL 1.6%
Big Lots, Inc.*......................... 126,665 $4,838,603
Family Dollar Stores, Inc. ............. 129,428 5,120,172
J.C. Penney Co., Inc. .................. 147,244 4,295,107
Kohl's Corp.*........................... 83,946 4,616,190
Macy's, Inc. ........................... 220,809 5,122,769
Nordstrom, Inc. ........................ 114,094 4,715,505
Sears Holdings Corp.*................... 44,881 5,428,357
Target Corp. ........................... 86,979 4,946,496
--------------
TOTAL MULTILINE RETAIL 39,083,199
--------------
OFFICE ELECTRONICS 0.2%
Xerox Corp. ............................ 482,630 5,260,667
--------------
TOTAL OFFICE ELECTRONICS 5,260,667
--------------
OIL, GAS & CONSUMABLE FUELS 5.6%
Anadarko Petroleum Corp. ............... 66,260 4,118,722
Apache Corp. ........................... 45,491 4,629,164
Cabot Oil & Gas Corp. .................. 120,950 4,369,923
Chesapeake Energy Corp. ................ 192,704 4,586,355
Chevron Corp. .......................... 62,256 5,070,129
ConocoPhillips.......................... 88,620 5,245,418
CONSOL Energy, Inc. .................... 100,742 4,501,153
Denbury Resources, Inc.*................ 299,072 5,727,229
Devon Energy Corp. ..................... 71,795 4,833,957
El Paso Corp. .......................... 415,118 5,022,928
EOG Resources, Inc. .................... 50,606 5,673,945
Exxon Mobil Corp. ...................... 69,333 4,704,244
Hess Corp. ............................. 76,109 4,836,727
Marathon Oil Corp. ..................... 145,532 4,678,854
Massey Energy Co. ...................... 91,484 3,351,059
Murphy Oil Corp. ....................... 84,497 5,082,494
Noble Energy, Inc. ..................... 63,178 4,826,799
Occidental Petroleum Corp. ............. 56,281 4,989,873
Peabody Energy Corp. ................... 98,570 4,605,190
Pioneer Natural Resources Co. .......... 87,819 5,631,832
Range Resources Corp. .................. 96,448 4,606,356
Southwestern Energy Co.*................ 116,316 4,615,419
Spectra Energy Corp. ................... 208,409 4,864,266
Sunoco, Inc. ........................... 156,301 5,123,547
Tesoro Corp. ........................... 337,984 4,444,490
Valero Energy Corp. .................... 229,157 4,764,174
Williams Cos., Inc.(The)................ 206,277 4,870,200
XTO Energy, Inc. ....................... 98,259 4,669,268
--------------
TOTAL OIL, GAS & CONSUMABLE FUELS 134,443,715
--------------
PAPER & FOREST PRODUCTS 0.6%
International Paper Co. ................ 178,503 4,773,170
MeadWestvaco Corp. ..................... 185,069 5,028,325
Weyerhaeuser Co. ....................... 104,475 5,173,602
--------------
TOTAL PAPER & FOREST PRODUCTS 14,975,097
--------------
PERSONAL PRODUCTS 0.6%
Avon Products, Inc. .................... 144,861 4,683,356
Estee Lauder Cos., Inc -- Class A....... 73,487 4,844,263
Mead Johnson Nutrition Co. ............. 90,312 4,661,003
--------------
TOTAL PERSONAL PRODUCTS 14,188,622
--------------
PHARMACEUTICALS 2.0%
Abbott Laboratories..................... 86,389 4,419,661
Allergan, Inc. ......................... 72,336 4,607,080
Bristol-Myers Squibb Co. ............... 177,602 4,491,555
Eli Lilly & Co. ........................ 127,886 4,472,173
Forest Laboratories, Inc.*.............. 149,046 4,062,994
Johnson & Johnson, Inc. ................ 71,325 4,586,198
King Pharmaceuticals, Inc.*............. 377,875 3,703,175
Merck & Co., Inc. ...................... 121,531 4,258,446
Mylan, Inc.*............................ 204,697 4,509,475
Pfizer, Inc. ........................... 273,049 4,565,379
Watson Pharmaceuticals, Inc.*........... 114,244 4,891,928
--------------
TOTAL PHARMACEUTICALS 48,568,064
--------------
PROFESSIONAL SERVICES 0.8%
Dun & Bradstreet Corp. ................. 62,567 4,815,782
Equifax, Inc. .......................... 130,888 4,397,837
Monster Worldwide, Inc.*................ 276,592 4,820,999
Robert Half International, Inc. ........ 148,735 4,072,364
--------------
TOTAL PROFESSIONAL SERVICES 18,106,982
--------------
REAL ESTATE INVESTMENT TRUSTS (REITS) 2.9%
Apartment Investment & Management
Co. -- Class A....................... 257,835 5,778,082
AvalonBay Communities, Inc. ............ 52,808 5,494,144
Boston Properties, Inc. ................ 60,935 4,805,334
Equity Residential...................... 117,927 5,338,555
HCP, Inc. .............................. 139,537 4,481,929
Health Care REIT, Inc. ................. 101,402 4,555,992
Host Hotels & Resorts, Inc. ............ 339,361 5,518,010
Kimco Realty Corp. ..................... 298,500 4,653,615
Plum Creek Timber Co., Inc. ............ 120,570 4,798,686
ProLogis................................ 326,560 4,300,795
Public Storage, Inc. ................... 50,776 4,920,702
Simon Property Group, Inc. ............. 54,940 4,890,759
Ventas, Inc. ........................... 98,069 4,631,799
Vornado Realty Trust.................... 61,496 5,126,922
--------------
TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) 69,295,324
--------------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.2%
CB Richard Ellis Group, Inc. --
Class A*............................. 311,216 5,390,261
--------------
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT 5,390,261
--------------
ROAD & RAIL 0.9%
CSX Corp. .............................. 90,292 5,060,867
Norfolk Southern Corp. ................. 83,756 4,969,243
Ryder System, Inc. ..................... 120,449 5,603,288
Union Pacific Corp. .................... 63,267 4,786,781
--------------
TOTAL ROAD & RAIL 20,420,179
--------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.6%
Advanced Micro Devices, Inc.*........... 504,902 4,574,412
Altera Corp. ........................... 187,031 4,743,106
Analog Devices, Inc. ................... 155,241 4,646,363
Applied Materials, Inc. ................ 370,297 5,102,693
Broadcom Corp. -- Class A............... 137,815 4,753,239
Intel Corp. ............................ 211,201 4,821,719
KLA-Tencor Corp. ....................... 160,406 5,463,428
Linear Technology Corp. ................ 163,548 4,916,253
LSI Corp.*.............................. 717,557 4,319,693
MEMC Electronic Materials, Inc.*........ 327,606 4,249,050
Microchip Technology, Inc. ............. 163,859 4,786,322
Micron Technology, Inc.*................ 462,553 4,324,871
National Semiconductor Corp. ........... 319,309 4,719,387
Novellus Systems, Inc.*................. 200,161 5,244,218
NVIDIA Corp.*........................... 268,504 4,220,883
Teradyne, Inc.*......................... 437,875 5,355,211
</Table>
See Notes to Financial Statements.
12
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ----------------------------------------------------------------------
COMMON STOCKS (CONCLUDED)
Texas Instruments, Inc. ................ 189,883 $4,938,857
Xilinx, Inc. ........................... 174,568 4,500,363
--------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 85,680,068
--------------
SOFTWARE 2.9%
Adobe Systems, Inc.*.................... 133,461 4,482,955
Autodesk, Inc.*......................... 159,205 5,414,562
BMC Software, Inc.*..................... 117,767 4,635,309
CA, Inc. ............................... 198,190 4,520,714
Citrix Systems, Inc.*................... 95,807 4,502,929
Compuware Corp.*........................ 533,726 4,590,044
Electronic Arts, Inc.*.................. 251,538 4,872,291
Intuit, Inc.*........................... 134,152 4,850,936
McAfee, Inc.*........................... 112,522 3,910,139
Microsoft Corp. ........................ 157,102 4,797,895
Novell, Inc.*........................... 813,376 4,563,039
Oracle Corp. ........................... 184,927 4,778,514
Red Hat, Inc.*.......................... 154,600 4,617,902
Salesforce.com, Inc.*................... 60,915 5,214,324
Symantec Corp.*......................... 269,175 4,514,065
--------------
TOTAL SOFTWARE 70,265,618
--------------
SPECIALTY RETAIL 3.9%
Abercrombie & Fitch Co. -- Class A...... 105,206 4,600,658
AutoNation, Inc.*....................... 252,427 5,099,025
AutoZone, Inc.*......................... 26,824 4,962,708
Bed Bath & Beyond, Inc.*................ 105,986 4,871,117
Best Buy Co., Inc. ..................... 112,563 5,132,873
GameStop Corp. -- Class A*.............. 218,529 5,312,440
Gap, Inc.(The).......................... 199,931 4,944,294
Home Depot, Inc. ....................... 142,930 5,038,283
Limited Brands, Inc. ................... 188,421 5,049,683
Lowe's Cos., Inc. ...................... 186,320 5,052,998
O'Reilly Automotive, Inc.*.............. 110,070 5,381,322
Office Depot, Inc.*..................... 587,933 4,033,220
RadioShack Corp. ....................... 213,051 4,591,249
Ross Stores, Inc. ...................... 86,338 4,834,928
Sherwin-Williams Co.(The)............... 70,864 5,532,353
Staples, Inc. .......................... 193,967 4,564,044
Tiffany & Co. .......................... 98,469 4,773,777
TJX Cos., Inc. ......................... 107,768 4,993,969
Urban Outfitters, Inc.*................. 130,128 4,881,101
--------------
TOTAL SPECIALTY RETAIL 93,650,042
--------------
TEXTILES, APPAREL & LUXURY GOODS 0.8%
Coach, Inc. ............................ 122,371 5,108,989
NIKE, Inc. -- Class B................... 62,947 4,778,307
Polo Ralph Lauren Corp. ................ 55,971 5,031,793
V.F. Corp. ............................. 58,123 5,022,990
--------------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 19,942,079
--------------
THRIFTS & MORTGAGE FINANCE 0.4%
Hudson City Bancorp, Inc. .............. 333,774 4,439,194
People's United Financial, Inc. ........ 294,217 4,569,190
--------------
TOTAL THRIFTS & MORTGAGE FINANCE 9,008,384
--------------
TOBACCO 0.8%
Altria Group, Inc. ..................... 227,837 4,827,866
Lorillard, Inc. ........................ 60,415 4,734,723
Philip Morris International, Inc. ...... 88,320 4,334,746
Reynolds American, Inc. ................ 86,709 4,631,995
--------------
TOTAL TOBACCO 18,529,330
--------------
TRADING COMPANIES & DISTRIBUTORS 0.4%
Fastenal Co. ........................... 99,050 5,417,045
W.W. Grainger, Inc. .................... 43,249 4,780,744
--------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 10,197,789
--------------
WIRELESS TELECOMMUNICATION SERVICES 0.6%
American Tower Corp. -- Class A*........ 104,585 4,268,114
MetroPCS Communications, Inc.*.......... 659,547 5,032,344
Sprint Nextel Corp.*.................... 1,237,910 5,261,117
--------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 14,561,575
--------------
TOTAL COMMON STOCKS
(Cost $2,184,196,334) 2,402,712,132
--------------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market Fund....... 3,273,494 3,273,494
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $3,273,494) 3,273,494
--------------
TOTAL INVESTMENTS 99.9%(A)
(Cost $2,187,469,828) 2,405,985,626
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES--0.1% 2,531,666
--------------
NET ASSETS--100.0% $2,408,517,292
- ----------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 13
RYDEX RUSSELL TOP 50 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS 99.7%
AEROSPACE & DEFENSE 1.2%
United Technologies Corp. ..... 55,790 $4,181,461
------------
TOTAL AEROSPACE & DEFENSE 4,181,461
------------
AIR FREIGHT & LOGISTICS 0.9%
United Parcel Service,
Inc. -- Class B............. 46,121 3,188,806
------------
TOTAL AIR FREIGHT & LOGISTICS 3,188,806
------------
BEVERAGES 4.4%
Coca-Cola Co.(The)............. 154,391 8,252,199
PepsiCo, Inc. ................. 107,787 7,029,868
------------
TOTAL BEVERAGES 15,282,067
------------
BIOTECHNOLOGY 1.8%
Amgen, Inc.*................... 67,512 3,872,488
Gilead Sciences, Inc.*......... 60,452 2,398,131
------------
TOTAL BIOTECHNOLOGY 6,270,619
------------
CAPITAL MARKETS 2.2%
Goldman Sachs Group,
Inc.(The)................... 33,578 4,875,526
Morgan Stanley................. 90,642 2,739,201
------------
TOTAL CAPITAL MARKETS 7,614,727
------------
CHEMICALS 0.7%
Monsanto Co. .................. 36,393 2,294,943
------------
TOTAL CHEMICALS 2,294,943
------------
COMMERCIAL BANKS 4.3%
U.S. Bancorp................... 126,551 3,387,770
Wells Fargo & Co. ............. 345,235 11,430,731
------------
TOTAL COMMERCIAL BANKS 14,818,501
------------
COMMUNICATIONS EQUIPMENT 4.2%
Cisco Systems, Inc.*........... 384,660 10,355,047
QUALCOMM, Inc. ................ 110,373 4,275,850
------------
TOTAL COMMUNICATIONS EQUIPMENT 14,630,897
------------
COMPUTERS & PERIPHERALS 10.1%
Apple, Inc.*................... 59,494 15,535,073
Hewlett-Packard Co. ........... 159,487 8,288,540
International Business Machines
Corp. ...................... 88,123 11,367,867
------------
TOTAL COMPUTERS & PERIPHERALS 35,191,480
------------
DIVERSIFIED FINANCIAL SERVICES 6.7%
Bank of America Corp. ......... 663,261 11,825,944
JPMorgan Chase & Co. .......... 265,268 11,295,111
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES 23,121,055
------------
DIVERSIFIED TELECOMMUNICATION SERVICES 4.5%
AT&T, Inc. .................... 393,480 10,254,089
Verizon Communications, Inc. .. 189,440 5,472,921
------------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 15,727,010
------------
ENERGY EQUIPMENT & SERVICES 1.6%
Schlumberger, Ltd. ............ 79,788 5,698,459
------------
TOTAL ENERGY EQUIPMENT & SERVICES 5,698,459
------------
FOOD & STAPLES RETAILING 3.3%
CVS Caremark Corp. ............ 97,091 3,585,570
Wal-Mart Stores, Inc. ......... 147,438 7,910,049
------------
TOTAL FOOD & STAPLES RETAILING 11,495,619
------------
FOOD PRODUCTS 1.0%
Kraft Foods, Inc. -- Class A... 115,283 3,412,377
------------
TOTAL FOOD PRODUCTS 3,412,377
------------
HEALTH CARE EQUIPMENT & SUPPLIES 0.9%
Medtronic, Inc. ............... 74,644 3,261,196
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 3,261,196
------------
HOTELS, RESTAURANTS & LEISURE 1.5%
McDonald's Corp. .............. 73,576 5,193,730
------------
TOTAL HOTELS, RESTAURANTS & LEISURE 5,193,730
------------
HOUSEHOLD PRODUCTS 3.5%
Procter & Gamble Co. .......... 194,378 12,082,537
------------
TOTAL HOUSEHOLD PRODUCTS 12,082,537
------------
INDUSTRIAL CONGLOMERATES 5.0%
3M Co. ........................ 46,309 4,106,219
General Electric Co. .......... 706,222 13,319,347
------------
TOTAL INDUSTRIAL CONGLOMERATES 17,425,566
------------
INTERNET SOFTWARE & SERVICES 2.4%
Google, Inc. -- Class A*....... 15,970 8,391,277
------------
TOTAL INTERNET SOFTWARE & SERVICES 8,391,277
------------
IT SERVICES 0.8%
Visa, Inc. -- Class A.......... 29,963 2,703,562
------------
TOTAL IT SERVICES 2,703,562
------------
MEDIA 2.4%
Comcast Corp. -- Class A....... 191,713 3,784,415
Walt Disney Co.(The)........... 126,255 4,651,234
------------
TOTAL MEDIA 8,435,649
------------
OIL, GAS & CONSUMABLE FUELS 12.5%
Chevron Corp. ................. 133,692 10,887,876
ConocoPhillips................. 98,808 5,848,446
Exxon Mobil Corp. ............. 325,433 22,080,629
Occidental Petroleum Corp. .... 54,062 4,793,137
------------
TOTAL OIL, GAS & CONSUMABLE FUELS 43,610,088
------------
PHARMACEUTICALS 11.1%
Abbott Laboratories............ 103,066 5,272,857
Bristol-Myers Squibb Co. ...... 114,146 2,886,752
Eli Lilly & Co. ............... 67,591 2,363,657
Johnson & Johnson, Inc. ....... 183,771 11,816,475
Merck & Co., Inc. ............. 203,376 7,126,295
Pfizer, Inc. .................. 537,629 8,989,157
------------
TOTAL PHARMACEUTICALS 38,455,193
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.4%
Intel Corp. ................... 372,463 8,503,330
------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 8,503,330
------------
SOFTWARE 6.4%
Microsoft Corp. ............... 513,996 15,697,438
Oracle Corp. .................. 254,909 6,586,848
------------
TOTAL SOFTWARE 22,284,286
------------
SPECIALTY RETAIL 1.2%
Home Depot, Inc. .............. 113,120 3,987,480
------------
TOTAL SPECIALTY RETAIL 3,987,480
------------
</Table>
See Notes to Financial Statements.
14
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ---------------------------------------------------------
COMMON STOCKS (CONCLUDED)
TOBACCO 2.7%
Altria Group, Inc. ............ 137,889 $2,921,868
Philip Morris International,
Inc. ....................... 130,818 6,420,547
------------
TOTAL TOBACCO 9,342,415
------------
TOTAL COMMON STOCKS
(Cost $391,977,776) 346,604,330
------------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund........................ 408,791 408,791
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $408,791) 408,791
------------
TOTAL INVESTMENTS 99.8%(A)
(Cost $392,386,567) 347,013,121
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.2% 814,820
------------
NET ASSETS--100.0% $347,827,941
- ---------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 15
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL RYDEX RUSSELL
WEIGHT ETF TOP 50 ETF
--------------- -------------
ASSETS
Investments at Market Value*............................. $2,405,985,626 $347,013,121
Cash..................................................... 1,942,343 418,608
Receivables:
Investments Sold....................................... 31,401,963 --
Fund Shares Sold....................................... 2,228,913 --
Dividends.............................................. 1,661,952 453,873
-------------- ------------
TOTAL ASSETS........................................ 2,443,220,797 347,885,602
-------------- ------------
LIABILITIES
Payables:
Investments Purchased.................................. 9,457,323 --
Fund Shares Repurchased................................ 24,474,363 --
Accrued Management Fees................................ 771,819 57,661
-------------- ------------
TOTAL LIABILITIES................................... 34,703,505 57,661
-------------- ------------
NET ASSETS............................................... $2,408,517,292 $347,827,941
============== ============
NET ASSETS CONSIST OF:
Paid-in Capital.......................................... $2,654,083,093 $479,071,080
Undistributed Net Investment Income...................... 1,163,573 544,466
Accumulated Net Realized Loss on Investment Securities... (465,245,172) (86,414,159)
Net Unrealized Appreciation (Depreciation) on Investment
Securities............................................. 218,515,798 (45,373,446)
-------------- ------------
NET ASSETS............................................... $2,408,517,292 $347,827,941
============== ============
Shares Outstanding (Unlimited Shares Authorized), No Par
Value.................................................. 55,108,863 4,000,785
============== ============
Net Asset Value, Offering Price and Repurchase Price Per
Share.................................................. $ 43.70 $ 86.94
============== ============
*Total Cost of Investments............................... $2,187,469,828 $392,386,567
============== ============
</Table>
See Notes to Financial Statements.
16
STATEMENT OF OPERATIONS (Unaudited) For the Six Months Ended April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL RYDEX RUSSELL
WEIGHT ETF TOP 50 ETF
--------------- -------------
INVESTMENT INCOME
Dividends.............................................. $ 16,524,046 $ 3,807,789
------------ -----------
EXPENSES
Management Fee......................................... 3,701,264 338,416
------------ -----------
Net Investment Income.................................... 12,822,782 3,469,373
------------ -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) From:
Investments............................................ (25,566,510) (900,255)
In-kind Redemptions.................................... 84,938,605 2,316,892
------------ -----------
Net Realized Gain................................... 59,372,095 1,416,637
Net Change in Unrealized Appreciation on:
Investment Securities.................................. 279,908,464 31,142,426
------------ -----------
Net Realized and Unrealized Gain on Investments.......... 339,280,559 32,559,063
------------ -----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS........................................ $352,103,341 $36,028,436
============ ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 17
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, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 12,822,782 $ 17,788,125 $ 3,469,373 $ 9,973,248
Net Realized Gain (Loss)......... 59,372,095 (285,269,706) 1,416,637 (99,874,399)
Net Change in Unrealized
Appreciation on Investments... 279,908,464 498,523,486 31,142,426 79,986,595
-------------- -------------- ------------ -------------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... 352,103,341 231,041,905 36,028,436 (9,914,556)
-------------- -------------- ------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (11,718,607) (17,303,063) (3,516,862) (10,220,260)
-------------- -------------- ------------ -------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 993,365,553 1,265,540,179 25,240,764 218,923,660
Value of Shares Purchased through
Dividend Reinvestments........ 10,909 21,599 9,726 27,664
Value of Shares Redeemed......... (424,594,421) (823,367,019) (25,596,182) (318,032,504)
-------------- -------------- ------------ -------------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. 568,782,041 442,194,759 (345,692) (99,081,180)
-------------- -------------- ------------ -------------
Increase (Decrease) in Net
Assets...................... 909,166,775 655,933,601 32,165,882 (119,215,996)
NET ASSETS--BEGINNING OF PERIOD.... 1,499,350,517 843,416,916 315,662,059 434,878,055
-------------- -------------- ------------ -------------
NET ASSETS--END OF PERIOD(1)....... $2,408,517,292 $1,499,350,517 $347,827,941 $ 315,662,059
============== ============== ============ =============
(1) Including Undistributed Net
Investment Income................ $ 1,163,573 $ 59,398 $ 544,466 $ 591,955
============== ============== ============ =============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 24,150,000 40,900,000 300,000 3,100,000
Shares Purchased through Dividend
Reinvestments................. 267 745 115 394
Shares Redeemed.................. (10,700,000) (27,350,000) (300,000) (4,800,000)
Shares Outstanding, Beginning of
Period........................ 41,658,596 28,107,851 4,000,670 5,700,276
-------------- -------------- ------------ -------------
Shares Outstanding, End of
Period........................ 55,108,863 41,658,596 4,000,785 4,000,670
============== ============== ============ =============
</Table>
See Notes to Financial Statements.
18
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008
---------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING OF PERIOD.. $ 35.99 $ 30.01 $ 50.63
---------- ---------- --------
Net Investment
Income*.............. 0.28 0.54 0.72
Net Realized and
Unrealized Gain
(Loss) on
Investments.......... 7.68 5.98 (20.64)
---------- ---------- --------
TOTAL FROM INVESTMENT
OPERATIONS........... 7.96 6.52 (19.92)
---------- ---------- --------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income.. (0.25) (0.54) (0.70)
---------- ---------- --------
NET ASSET VALUE AT END
OF PERIOD............ $ 43.70 $ 35.99 $ 30.01
========== ========== ========
TOTAL RETURN**......... 22.18% 22.21% (39.75)%
RATIOS/SUPPLEMENTAL
DATA:
Net Assets at End of
Period (000's
Omitted)............. $2,408,517 $1,499,351 $843,417
RATIO TO AVERAGE NET
ASSETS OF:
Expenses............... 0.40%*** 0.40% 0.40%
Net Investment Income.. 1.39%*** 1.75% 1.65%
Portfolio Turnover
Rate+................ 10% 37% 32%
<Caption>
RYDEX S&P EQUAL WEIGHT ETF
----------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2007 OCTOBER 31, 2006(1) OCTOBER 31, 2005(1)
---------------- ------------------- -------------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING OF PERIOD.. $ 46.06 $ 39.68 $ 35.70
---------- ---------- ----------
Net Investment
Income*.............. 0.59 0.52 0.43
Net Realized and
Unrealized Gain
(Loss) on
Investments.......... 4.56 6.36 3.95
---------- ---------- ----------
TOTAL FROM INVESTMENT
OPERATIONS........... 5.15 6.88 4.38
---------- ---------- ----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income.. (0.58) (0.50) (0.40)
---------- ---------- ----------
NET ASSET VALUE AT END
OF PERIOD............ $ 50.63 $ 46.06 $ 39.68
========== ========== ==========
TOTAL RETURN**......... 11.23% 17.42% 12.29%
RATIOS/SUPPLEMENTAL
DATA:
Net Assets at End of
Period (000's
Omitted)............. $2,177,693 $1,759,797 $1,071,410
RATIO TO AVERAGE NET
ASSETS OF:
Expenses............... 0.40% 0.40% 0.40%
Net Investment Income.. 1.22% 1.21% 1.11%
Portfolio Turnover
Rate+................ 25% 16% 22%
</Table>
* 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) All per share information representing data prior to April 26, 2006 has
been adjusted for the effect of a 4 for 1 share split which occurred on
April 26, 2006.
+ 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 19
FINANCIAL HIGHLIGHTS (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RUSSELL TOP 50 ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008
---------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING
OF PERIOD.............. $ 78.90 $ 76.29 $ 116.47
-------- -------- --------
Net Investment Income**.. 0.86 1.95 2.34
Net Realized and
Unrealized Gain (Loss)
on Investments......... 8.03 2.61 (40.20)
-------- -------- --------
TOTAL FROM INVESTMENT
OPERATIONS............. 8.89 4.56 (37.86)
-------- -------- --------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income.... (0.85) (1.95) (2.32)
-------- -------- --------
NET ASSET VALUE AT END OF
PERIOD................. $ 86.94 $ 78.90 $ 76.29
======== ======== ========
TOTAL RETURN***.......... 11.29% 6.35% (32.92)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of
Period (000's
Omitted)............... $347,828 $315,662 $434,878
RATIO TO AVERAGE NET
ASSETS OF:
Expenses................. 0.20%**** 0.20% 0.20%
Net Investment Income.... 2.05%**** 2.79% 2.37%
Portfolio Turnover
Rate+.................. 1% 12% 10%
<Caption>
RYDEX RUSSELL TOP 50 ETF
-----------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2007 OCTOBER 31, 2006 OCTOBER 31, 2005*
---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING
OF PERIOD.............. $ 104.15 $ 91.39 $ 91.51
-------- -------- --------
Net Investment Income**.. 2.15 1.92 0.79
Net Realized and
Unrealized Gain (Loss)
on Investments......... 12.25 12.71 (0.46)
-------- -------- --------
TOTAL FROM INVESTMENT
OPERATIONS............. 14.40 14.63 0.33
-------- -------- --------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income.... (2.08) (1.87) (0.45)
-------- -------- --------
NET ASSET VALUE AT END OF
PERIOD................. $ 116.47 $ 104.15 $ 91.39
======== ======== ========
TOTAL RETURN***.......... 13.96% 16.18% 0.36%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of
Period (000's
Omitted)............... $681,355 $364,541 $137,085
RATIO TO AVERAGE NET
ASSETS OF:
Expenses................. 0.20% 0.20% 0.20%****
Net Investment Income.... 1.96% 1.98% 1.74%****
Portfolio Turnover
Rate+.................. 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.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
20
NOTES TO FINANCIAL STATEMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
1. ORGANIZATION
Rydex ETF Trust (the "Trust") is an open-end, management investment company
registered under the Investment Company Act of 1940, (the "1940 Act"). The Trust
was organized as a Delaware statutory trust on November 22, 2002. As of April
30, 2010, 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 replicate as closely as possible, before
fees and expenses, the daily performance 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, an affiliated entity,
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. Distributions received from investments in REITs are recorded
as dividend income on the ex-dividend date, subject to reclassification upon
notice of the character of such distribution by the issuer.
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.
SEMI-ANNUAL REPORT 21
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
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, 2010, 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 2007 -- 2009), 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, 2010, 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, 2010 are disclosed in
the Fund's Statement of Operations.
At April 30, 2010, 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>
NET UNREALIZED
IDENTIFIED GROSS UNREALIZED GROSS UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------------- ---------------- ---------------- --------------
Rydex S&P Equal Weight ETF......... $2,187,469,828 $276,284,545 $(57,768,747) $218,515,798
Rydex Russell Top 50 ETF........... 392,386,567 16,211,692 (61,585,138) (45,373,446)
</Table>
E. FAIR VALUE MEASUREMENT
In accordance with U.S. generally accepted accounting principles, fair value is
defined as the price that the Fund would receive to sell an investment or pay to
transfer a liability in an orderly transaction with an independent buyer in the
principal market, or in the absence of a principal market the most advantageous
market for the investment or liability. A three-tier hierarchy is utilized to
distinguish between (1) inputs that reflect the assumptions market participants
would use in pricing an asset or liability developed based on market data
obtained from sources independent of the reporting entity (observable inputs)
and (2) inputs that reflect the reporting entity's own assumptions about the
assumptions market participants would use in pricing an asset or liability
developed based on the best information available in the circumstances
(unobservable inputs) and to establish classification of fair value measurements
for disclosure purposes.
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.).
22
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
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.
The following table summarizes the inputs used to value the Funds' net assets as
of April 30, 2010:
<Table>
<Caption>
LEVEL 1 LEVEL 2 LEVEL 3
INVESTMENTS INVESTMENTS INVESTMENTS
FUND IN SECURITIES IN SECURITIES IN SECURITIES TOTAL
- ---- -------------- ------------- ------------- --------------
ASSETS
Rydex S&P Equal Weight ETF.............. $2,405,985,626 $-- $-- $2,405,985,626
Rydex Russell Top 50 ETF................ 347,013,121 -- -- 347,013,121
</Table>
For the six months ended April 30, 2010, there were no Level 3 Investments.
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. RISK DISCLOSURE
Throughout the normal course of business, the Funds enter into contracts that
contain a variety of representations and warranties which provide general
indemnifications. The Funds' maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Funds
and/or their affiliates that have not yet occurred. However, based on experience
the Funds expect the risk of loss to be remote.
I. NEW ACCOUNTING PRONOUNCEMENTS
In January 2010, the Financial Accounting Standards Board issued an Accounting
Standards Update, Improving Disclosures about Fair Value Measurements, which
introduces new disclosure requirements and clarifies certain existing disclosure
requirements around fair value measurements currently presented in Note 2E. The
new disclosures and clarifications of existing disclosures are generally
effective for the Funds' year ending October 31, 2011 and interim periods
therein. Management is evaluating the impact of this update on current
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 a management 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
SEMI-ANNUAL REPORT 23
NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
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., an affiliated entity, (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, 2010, 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, 2010 the Funds had in-kind contributions and
in-kind redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
------------- ------------
Rydex S&P Equal Weight ETF................................. $948,606,505 $380,657,857
Rydex Russell Top 50 ETF................................... 25,144,992 25,574,595
</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................................. $187,938,348 $192,229,065
Rydex Russell Top 50 ETF................................... 5,206,152 3,969,073
</Table>
There were no purchases or sales of U.S. government or government agency
obligations for the six months ended April 30, 2010.
6. SUBSEQUENT EVENTS
Management has evaluated events or transactions that may have occurred since
April 30, 2010, that would merit recognition or disclosure in the financial
statements. This evaluation was completed through June xx, 2010, the date the
financial statements were available to be issued and there were no events or
transactions to be reported.
24
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, 2009 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.
PENDING ACQUISITION TRANSACTION
On February 16, 2010, Security Benefit Corporation ("SBC"), the parent company
of PADCO Advisors, Inc., PADCO Advisors II, Inc. and Security Investors, LLC,
the Funds' investment advisers, as applicable (the "Investment Advisers"), and
certain of SBC's affiliates entered into agreements with an investor group (the
"Investors") led by Guggenheim Partners, LLC ("Guggenheim"). Under the
agreements, a special purpose vehicle owned by the Investors and managed by an
affiliate of Guggenheim would receive a 100% ownership stake in SBC and
consequently acquire control of the Investment Advisers and affiliates (the
"Purchase Transaction"). Guggenheim is a global, independent, privately held,
diversified financial services firm with more than $100 billion in assets under
supervision. The Purchase Transaction should not result in material changes to
the day-to-day management and operations of the Funds or any increase in fees.
While the parties expect the Purchase Transaction's closing to take place on or
about the end of the second quarter, 2010, it is subject to various conditions,
and may be delayed or even terminated due to unforeseen circumstances.
SEMI-ANNUAL REPORT 25
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.
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 Board (1940) Rydex Dynamic Funds - 1999
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 Company, registered investment adviser (2005 to
2006); Senior Vice President of Marketing and Co-Owner of Schield Management
Company, registered investment adviser (1985 to 2005)
---------------------
J. KENNETH DALTON Rydex Series Funds - 1995 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
---------------------
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
---------------------
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>
26
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES (concluded)
EXECUTIVE OFFICERS
<Table>
<Caption>
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE
YEAR OF BIRTH YEARS
- ----------------------------------------- -----------------------------------------
RICHARD M. GOLDMAN* President of Rydex Series Funds, Rydex
President (1961) Variable Trust, Rydex Dynamic Funds and
Rydex ETF Trust (2009 to present); Chief
Executive Officer and Director of Rydex
Investments (2009 to present); President,
Chief Executive Officer and Director of
Rydex Distributors, Inc. (2009 to
present); President and Chief Executive
Officer of Rydex Holdings, LLC (2009 to
present); Senior Vice President of
Security Benefit Corp. (2007 to present);
Director of First Security Benefit Life
and Annuity Insurance Company of New York
(2007 to present); Director of Security
Distributors, Inc. (2007 to present);
President of Security Investors, LLC
(2007 to present); Manager and President
of Security Global Investors, LLC (2007
to present); Managing Member of R.M.
Goldman Partners, LLC (2006 to 2007);
President and Chief Executive Officer of
FortsmannLeff Associates (2003 to 2005)
MICHAEL P. BYRUM* Vice President of Rydex Series Funds
Vice President (1970) (1997 to present); Vice President of
Rydex Variable Trust (1998 to present);
Vice President of Rydex Dynamic Funds
(1999 to present); President of Rydex
Investments (2004 to present); Chief
Investment Officer of Rydex Investments
(2006 to present); Secretary of Rydex
Investments (2002 to present); Director
of Rydex Investments (2008 to present);
Chief Investment Officer of Rydex
Holdings, LLC (2008 to present); Vice
President of Rydex Distributors, Inc.
(2009 to present); Manager of Rydex
Specialized Products, LLC (2005 to
present); Secretary of Rydex Specialized
Products, LLC (2005 to 2008); Trustee of
Rydex Series Funds, Rydex Variable Trust
and Rydex Dynamic Funds (2005 to 2009);
Vice President of Rydex ETF Trust (2002
to present); President and Trustee of
Rydex Capital Partners SPhinX Fund (2003
to 2007)
NICK BONOS* Vice President and Treasurer of Rydex
Vice President and Treasurer (1963) Series Funds, Rydex Variable Trust, Rydex
Dynamic Funds and Rydex ETF Trust (2003
to present); Senior Vice President of
Rydex Investments (2006 to present);
Chief Executive Officer of Rydex
Specialized Products, LLC (2009 to
present); Chief Financial Officer of
Rydex Specialized Products, LLC (2005 to
2009); Vice President and Treasurer of
Rydex Capital Partners SPhinX Fund (2003
to 2006)
JOANNA M. HAIGNEY* Chief Compliance Officer of Rydex Series
Chief Compliance Officer and Funds, Rydex Variable Trust, and Rydex
Secretary (1966) Dynamic Funds (2004 to present);
Secretary of Rydex Series Funds, Rydex
Variable Trust, Rydex Dynamic Funds (2000
to present); Secretary of Rydex ETF Trust
(2002 to present); Chief Compliance
Officer of Rydex Investments (2005 to
present) Vice President of Compliance of
Rydex Investments (2006 to present);
Director of Rydex Distributors, Inc.
(2009 to present); Secretary of Rydex
Capital Partners SPhinX Fund (2003 to
2006)
KEITH FLETCHER* Vice President of Rydex Series Funds,
Vice President (1958) Rydex Variable Trust, Rydex Dynamic Funds
and Rydex ETF Trust (2009 to present);
Vice President of Rydex Investments (2009
to present); Vice President of Rydex
Specialized Products, LLC (2009 to
present); Vice President and Director of
Rydex Distributors, Inc. (2009 to
present); Vice President of Security
Global Investors, LLC (2009 to present)
</Table>
SEMI-ANNUAL REPORT 27
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
- --------------------------------------------------------------------------------
EXECUTIVE OFFICERS (concluded)
<Table>
<Caption>
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE
YEAR OF BIRTH YEARS
- ----------------------------------------- -----------------------------------------
AMY LEE* Vice President and Assistant Secretary of
Vice President and Rydex Series Funds, Rydex Variable Trust,
Assistant Secretary (1960) Rydex Dynamic Funds and Rydex ETF Trust
(2009 to present); Secretary of Rydex
Distributors, Inc. (2008 to present);
Chief Compliance Officer of Rydex
Distributors, Inc. (2008 to 2009); Vice
President, Associate General Counsel and
Assistant Secretary of Security Benefit
Corp. (2005 to present); Vice President,
Associate General Counsel and Assistant
Secretary of Security Benefit Life
Insurance Co. (2004 to present);
Assistant General Counsel of First
Security Benefit Life and Annuity Company
of New York (2004 to present); Chief
Compliance Officer and Secretary of
Security Distributors, Inc. (2004 to
present); Secretary of Security Global
Investors, Inc. (2007 to present)
JOSEPH ARRUDA* Assistant Treasurer of Rydex Series
Assistant Treasurer (1966) Funds, Rydex Variable Trust, Rydex
Dynamic Funds and Rydex ETF Trust (2006
to present); Senior Vice President of
Rydex Investments (2008 to present); Vice
President of Rydex Investments (2004 to
2008); Manager and Chief Financial
Officer of Rydex Specialized Products,
LLC (2009 to present) Director of
Accounting of Rydex Investments (2003 to
2004)
PAULA BILLOS* Controller of Rydex Series Funds, Rydex
Controller (1974) Variable Trust, Rydex Dynamic Funds and
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 Rydex Investments.
[RYDEX SGI LOGO]
9601 Blackwell Road - Suite 500 - Rockville, MD 20850
www.rydex-sgi.com - 800.820.0888
ETF-SEMI-0410X1010
APRIL 30, 2010
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 LOGO]
SEMI-ANNUAL REPORT 1
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<Table>
LETTER TO OUR SHAREHOLDERS............................................... 2
FEES AND EXPENSES........................................................ 3
PREMIUM AND DISCOUNT INFORMATION......................................... 4
PORTFOLIO SUMMARY........................................................ 6
SCHEDULES OF INVESTMENTS................................................. 21
STATEMENTS OF ASSETS AND LIABILITIES..................................... 44
STATEMENTS OF OPERATIONS................................................. 48
STATEMENTS OF CHANGES IN NET ASSETS...................................... 52
FINANCIAL HIGHLIGHTS..................................................... 60
NOTES TO FINANCIAL STATEMENTS............................................ 75
SUPPLEMENTAL INFORMATION................................................. 81
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS............................ 82
</Table>
2
LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER,
With the economy now showing signs of growth, despite having shrunk 2.4% last
year, economic pundits are cautiously optimistic on the U.S. economy. In
prepared remarks to the Dallas Regional Chamber, Fed Chairman Ben Bernanke said,
"The economy has stabilized and is growing again, although we can hardly be
satisfied when one out of every 10 U.S. workers is unemployed and family
finances remain under great stress." Minutes of a March 16, 2010 Federal Reserve
meeting showed policy makers warned against raising rates too soon because
unemployment may hobble a recovery in the world's largest economy. Separately,
New York Fed President William Dudley said that the benchmark federal funds rate
"needs to be exceptionally low for an extended period to contribute to easier
financial conditions to support economic activity." The Fed has kept its target
rate for overnight loans between banks at zero to 0.25% since December 2008.
STEADY PROGRESS, BUT CERTAINTY STILL ELUSIVE
The S&P 500(R) Index returned 15.66% for the six months ended April 30, 2010,
while the S&P Equal Weighted Index returned 22.54%. RydexSGI offers 10 equal
weight ETFs which provide equal exposure to relevant indices, ensuring that
smaller cap names are weighted as heavily as market giants, therefore
eliminating the large-cap bias of traditional capitalization-weighted index
products.
INCREASED DEMAND FOR ETFS
In the past decade, demand for ETFs has increased as institutional investors
have found ETFs well suited for participating in, or hedging against, broad
movements in the stock market. Individual investors and their financial advisors
also have become increasingly aware of these investment vehicles. Assets in ETFs
accounted for 6% of total net assets managed by investment companies at year-end
2009, according to The Investment Company Institute(1).
In a regulatory environment that emphasizes transparency and reduced risk,
investment professionals are increasingly turning to exchange traded funds
(ETFs) -- there were 756 ETFs (a total of $691 billion in assets) in the
marketplace in the beginning of the reporting period, and 839 (a total of $805
billion in assets) at the end of the reporting period(1). 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, RydexSGI is a proud participant in the ETF space with more than
two dozen exchange traded products. Our exchange traded product asset base grew
20% in the six-month period ended April 30, 2010 -- to $6.7 billion from $5.6
billion.
As one of the earlier entrants in the exchange traded product space, we are
advocates on the numerous advantages ETFs offer investors. Thank you for the
trust you place in us by investing with us.
Sincerely,
/s/ Michael Byrum
Michael Byrum
President & Chief Investment Officer
PERFORMANCE DISPLAYED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS.
FUND PERFORMANCE IS SUBJECT TO DAILY MARKET VOLATILITY AND MAY BE BETTER OR
WORSE SINCE THE END OF THE LAST QUARTER. FOR UP-TO-DATE FUND PERFORMANCE, CALL
800.820.0888 OR VISIT WWW.RYDEX-SGI.COM.
- ----------
(1) Investment Company Institute 2010 Investment Company Factbook, p. 46.,
http://www.ici.org/pdf/2010_factbook.pdf
SEMI-ANNUAL REPORT 3
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, 2009 and held for the six months ended April 30, 2010.
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 10/31/09 4/30/10 10/31/09 TO 4/30/10
------- --------- --------- -------------------
ACTUAL
Rydex S&P 500 Pure Value ETF............... 0.35% $1,000.00 $1,297.90 $1.99
Rydex S&P 500 Pure Growth ETF.............. 0.35% 1,000.00 1,210.80 1.92
Rydex S&P MidCap 400 Pure Value ETF........ 0.35% 1,000.00 1,377.00 2.06
Rydex S&P MidCap 400 Pure Growth ETF....... 0.35% 1,000.00 1,248.40 1.95
Rydex S&P SmallCap 600 Pure Value ETF...... 0.35% 1,000.00 1,389.50 2.07
Rydex S&P SmallCap 600 Pure Growth ETF..... 0.35% 1,000.00 1,230.80 1.94
Rydex S&P Equal Weight Consumer
Discretionary ETF....................... 0.50% 1,000.00 1,329.90 2.89
Rydex S&P Equal Weight Consumer Staples
ETF..................................... 0.50% 1,000.00 1,127.10 2.64
Rydex S&P Equal Weight Energy ETF.......... 0.50% 1,000.00 1,135.00 2.65
Rydex S&P Equal Weight Financials ETF...... 0.50% 1,000.00 1,257.10 2.80
Rydex S&P Equal Weight Health Care ETF..... 0.50% 1,000.00 1,171.10 2.69
Rydex S&P Equal Weight Industrials ETF..... 0.50% 1,000.00 1,264.50 2.81
Rydex S&P Equal Weight Materials ETF....... 0.50% 1,000.00 1,233.90 2.77
Rydex S&P Equal Weight Technology ETF...... 0.50% 1,000.00 1,212.80 2.74
Rydex S&P Equal Weight Utilities ETF....... 0.50% 1,000.00 1,134.20 2.65
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE
EXPENSES)
Rydex S&P 500 Pure Value ETF............... 0.35% 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....... 0.35% 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..................................... 0.50% 1,000.00 1,022.32 2.51
Rydex S&P Equal Weight Energy ETF.......... 0.50% 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..... 0.50% 1,000.00 1,022.32 2.51
Rydex S&P Equal Weight Materials ETF....... 0.50% 1,000.00 1,022.32 2.51
Rydex S&P Equal Weight Technology ETF...... 0.50% 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).
4
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 period
from inception to April 30, 2010.
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 RYDEX S&P RYDEX S&P RYDEX S&P RYDEX S&P
S&P 500 S&P 500 MIDCAP 400 MIDCAP 400 SMALLCAP 600 SMALLCAP 600
PURE VALUE PURE GROWTH PURE VALUE PURE GROWTH PURE VALUE PURE GROWTH
PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF
- ---------------------------------------------------------------------------------------------------------------
Greater Than 3% 2 2 6 0 4 4
Between 1.01% and 3% 32 17 28 10 21 41
Between .51% and 1% 45 31 37 24 42 41
Between .26% and .5% 61 58 58 35 82 76
Between 0% and .25% 483 486 398 483 424 353
Between -0.01% and -0.25% 401 446 453 473 418 430
Between -0.26% and -0.5% 67 62 73 83 75 105
Between -0.51% and -1% 39 29 42 35 52 63
Between -1.01% and -3% 30 29 55 19 39 45
Less Than -3% 3 3 13 1 X6 5
- ---------------------------------------------------------------------------------------------------------------
Total 1,163 1,163 1,163 1,163 1,163 1,163
</Table>
<Table>
<Caption>
PERCENTAGE OF TOTAL DAYS
----------------------------------------------------------------------------
RYDEX RYDEX RYDEX S&P RYDEX S&P RYDEX S&P RYDEX S&P
S&P 500 S&P 500 MIDCAP 400 MIDCAP 400 SMALLCAP 600 SMALLCAP 600
PURE VALUE PURE GROWTH PURE VALUE PURE GROWTH PURE VALUE PURE GROWTH
PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF
- ---------------------------------------------------------------------------------------------------------------
Greater Than 3% 0.17% 0.17% 0.51% 0.00% 0.34% 0.34%
Between 1.01% and 3% 2.75% 1.46% 2.41% 0.86% 1.81% 3.53%
Between .51% and 1% 3.87% 2.67% 3.18% 2.06% 3.61% 3.53%
Between .26% and .5% 5.25% 4.99% 4.99% 3.01% 7.05% 6.53%
Between 0% and .25% 41.53% 41.79% 34.22% 41.53% 36.46% 30.35%
Between -0.01% and -0.25% 34.48% 38.35% 38.95% 40.67% 35.94% 36.97%
Between -0.26% and -0.5% 5.76% 5.33% 6.28% 7.14% 6.45% 9.03%
Between -0.51% and -1% 3.35% 2.49% 3.61% 3.01% 4.47% 5.42%
Between -1.01% and -3% 2.58% 2.49% 4.73% 1.63% 3.35% 3.87%
Less Than -3% 0.26% 0.26% 1.12% 0.09% 0.52% 0.43%
- ---------------------------------------------------------------------------------------------------------------
Total 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
</Table>
SEMI-ANNUAL REPORT 5
PREMIUM AND DISCOUNT INFORMATION (Unaudited) (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NUMBER OF DAYS
-----------------------------------------------------------------------------------------------------------
RYDEX RYDEX S&P
S&P EQUAL EQUAL RYDEX S&P RYDEX S&P RYDEX RYDEX RYDEX S&P RYDEX RYDEX
WEIGHT WEIGHT EQUAL EQUAL S&P EQUAL S&P EQUAL EQUAL S&P EQUAL S&P EQUAL
CONSUMER CONSUMER WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT
PREMIUM/DISCOUNT DISCRETIONARY STAPLES ENERGY FINANCIALS HEALTH CARE INDUSTRIALS MATERIALS TECHNOLOGY UTILITIES
RANGE ETF ETF ETF ETF ETF ETF ETF ETF ETF
- -----------------------------------------------------------------------------------------------------------------------------------
Greater Than 30% 0 0 0 1 0 0 0 0 0
Between 10.01% and 30% 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 6 3 6 2
Between 1.01% and 3% 21 22 31 54 7 44 36 26 36
Between .51% and 1% 31 42 52 51 30 44 39 38 38
Between .26% and .5% 33 54 64 48 60 56 46 50 60
Between 0% and .25% 376 337 290 291 405 305 357 365 318
Between -0.01% and
-0.25% 388 374 327 327 377 361 353 351 363
Between -0.26% and
-0.5% 71 86 86 68 69 71 68 66 76
Between -0.51% and -1% 42 57 76 64 36 64 46 54 66
Between -1.01% and -3% 15 20 45 57 8 38 39 34 27
Between -3.01% and -8% 6 0 13 16 0 3 5 2 5
Between -8.01% and
-10% 1 0 0 1 0 0 0 0 0
Between -10.01% and
-30% 0 0 0 1 0 0 0 0 0
Less Than -30% 0 0 1 0 0 0 0 0 1
- -----------------------------------------------------------------------------------------------------------------------------------
Total 992 992 992 992 992 992 992 992 992
</Table>
<Table>
<Caption>
PERCENTAGE OF TOTAL DAYS
------------------------------------------------------------------------------------------------
RYDEX RYDEX
S&P EQUAL S&P EQUAL 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
CONSUMER CONSUMER WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT
PREMIUM/DISCOUNT DISCRETIONARY STAPLES ENERGY FINANCIALS HEALTH CARE INDUSTRIALS MATERIALS TECHNOLOGY
RANGE ETF ETF ETF ETF ETF ETF ETF ETF
- --------------------------------------------------------------------------------------------------------------------------
Greater Than 30% 0.00% 0.00% 0.00% 0.10% 0.00% 0.00% 0.00% 0.00%
Between 10.01% and 30% 0.00% 0.00% 0.00% 0.10% 0.00% 0.00% 0.00% 0.00%
Between 8.01% and 10% 0.10% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Between 3.01% and 8% 0.71% 0.00% 0.71% 1.21% 0.00% 0.60% 0.30% 0.61%
Between 1.01% and 3% 2.12% 2.22% 3.13% 5.44% 0.71% 4.44% 3.63% 2.62%
Between .51% and 1% 3.13% 4.23% 5.24% 5.14% 3.02% 4.44% 3.93% 3.83%
Between .26% and .5% 3.33% 5.44% 6.45% 4.84% 6.05% 5.64% 4.64% 5.04%
Between 0% and .25% 37.90% 33.97% 29.23% 29.34% 40.83% 30.75% 35.99% 36.80%
Between -0.01% and
-0.25% 39.11% 37.70% 32.96% 32.96% 38.00% 36.39% 35.59% 35.38%
Between -0.26% and -0.5% 7.16% 8.67% 8.67% 6.86% 6.95% 7.16% 6.85% 6.65%
Between -0.51% and -1% 4.23% 5.75% 7.66% 6.45% 3.63% 6.45% 4.64% 5.44%
Between -1.01% and -3% 1.51% 2.02% 4.54% 5.75% 0.81% 3.83% 3.93% 3.43%
Between -3.01% and -8% 0.60% 0.00% 1.31% 1.61% 0.00% 0.30% 0.50% 0.20%
Between -8.01% and -10% 0.10% 0.00% 0.00% 0.10% 0.00% 0.00% 0.00% 0.00%
Between -10.01% and -30% 0.00% 0.00% 0.00% 0.10% 0.00% 0.00% 0.00% 0.00%
Less Than -30% 0.00% 0.00% 0.10% 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%
<Caption>
PERCENT-
AGE OF
TOTAL
DAYS
---------
RYDEX
S&P EQUAL
WEIGHT
PREMIUM/DISCOUNT UTILITIES
RANGE ETF
- -----------------------------------
Greater Than 30% 0.00%
Between 10.01% and 30% 0.00%
Between 8.01% and 10% 0.00%
Between 3.01% and 8% 0.20%
Between 1.01% and 3% 3.63%
Between .51% and 1% 3.83%
Between .26% and .5% 6.05%
Between 0% and .25% 32.06%
Between -0.01% and
-0.25% 36.59%
Between -0.26% and -0.5% 7.66%
Between -0.51% and -1% 6.65%
Between -1.01% and -3% 2.72%
Between -3.01% and -8% 0.51%
Between -8.01% and -10% 0.00%
Between -10.01% and -30% 0.00%
Less Than -30% 0.10%
- -----------------------------------
Total 100.00%
</Table>
6
RYDEX S&P 500 PURE VALUE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
SEARS HOLDINGS CORP. 2.93%
HUNTINGTON BANCSHARES, INC. 2.76%
VALERO ENERGY CORP. 2.75%
TESORO CORP. 2.66%
ZIONS BANCORP 2.63%
SUNOCO, INC. 2.30%
TYSON FOODS, INC. -- CLASS A 2.21%
SUNTRUST BANKS, INC. 2.08%
INTEGRYS ENERGY GROUP, INC. 2.06%
GENWORTH FINANCIAL, INC. -- CLASS A 1.99%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Financials 28.47
Utilities 14.55
Energy 13.04
Health Care 10.48
Consumer Discretionary 10.21
Consumer Staples 8.65
Industrials 6.62
Materials 3.61
Telecommunication Services 2.45
Information Technology 1.92
</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 S&P 500 PURE GROWTH ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
PRICELINE.COM, INC. 1.97%
SALESFORCE.COM, INC. 1.96%
RED HAT, INC. 1.86%
AKAMAI TECHNOLOGIES, INC. 1.81%
COGNIZANT TECHNOLOGY SOLUTIONS CORP. -- CLASS A 1.81%
INTUITIVE SURGICAL, INC. 1.78%
AMAZON.COM, INC. 1.78%
APPLE, INC. 1.63%
WYNN RESORTS LTD. 1.57%
CLIFFS NATURAL RESOURCES, INC. 1.52%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Information Technology 26.75
Consumer Discretionary 21.07
Energy 17.06
Health Care 13.33
Financials 7.66
Industrials 6.75
Materials 5.47
Consumer Staples 1.91
</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 MIDCAP 400 PURE VALUE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
KINDRED HEALTHCARE, INC. 3.10%
CATHAY GENERAL BANCORP 3.02%
TEREX CORP. 2.75%
FOOT LOCKER, INC. 2.53%
FRONTIER OIL CORP. 2.52%
ASHLAND, INC. 2.50%
FEDERAL SIGNAL CORP. 2.27%
TRINITY INDUSTRIES, INC. 2.05%
SMITHFIELD FOODS, INC. 2.00%
REGIS CORP. 1.95%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Industrials 21.83
Financials 16.32
Consumer Discretionary 14.93
Health Care 9.18
Utilities 8.97
Information Technology 8.62
Consumer Staples 7.66
Energy 6.39
Materials 5.30
Telecommunication Services 0.80
</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 MIDCAP 400 PURE GROWTH ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
NETFLIX, INC. 2.71%
BUCYRUS INTERNATIONAL, INC. -- CLASS A 2.31%
COMMUNITY HEALTH SYSTEMS, INC. 2.28%
GREEN MOUNTAIN COFFEE ROASTERS, INC. 2.14%
GUESS?, INC. 2.00%
AEROPOSTALE, INC. 2.00%
CHEESECAKE FACTORY, INC. (THE) 1.92%
JONES LANG LASALLE, INC. 1.91%
NEWMARKET CORP. 1.83%
RELIANCE STEEL & ALUMINUM CO. 1.79%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 31.08
Information Technology 19.15
Health Care 13.38
Industrials 9.28
Energy 7.74
Financials 7.17
Materials 6.30
Consumer Staples 4.40
Telecommunication Services 1.50
</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 SMALLCAP 600 PURE VALUE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
QUIKSILVER, INC. 4.06%
TUESDAY MORNING CORP. 2.66%
NCI BUILDING SYSTEMS, INC. 2.04%
NATIONAL FINANCIAL PARTNERS CORP. 1.80%
CIBER, INC. 1.64%
ARCTIC CAT, INC. 1.64%
BASIC ENERGY SERVICES, INC. 1.54%
SUSQUEHANNA BANCSHARES, INC. 1.46%
VOLT INFORMATION SCIENCES, INC. 1.43%
JAKKS PACIFIC, INC. 1.26%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 28.21
Industrials 21.04
Financials 20.30
Health Care 8.14
Information Technology 6.68
Energy 5.66
Consumer Staples 4.49
Materials 4.12
Utilities 1.36
</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 SMALLCAP 600 PURE GROWTH ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
DOLAN MEDIA CO. 1.59%
PERFICIENT, INC. 1.52%
BLUE COAT SYSTEMS, INC. 1.40%
LUMBER LIQUIDATORS HOLDINGS, INC. 1.37%
TRUE RELIGION APPAREL, INC. 1.31%
ANDERSONS, INC. (THE) 1.29%
CYBERSOURCE CORP. 1.20%
WRIGHT EXPRESS CORP. 1.20%
TRIQUINT SEMICONDUCTOR, INC. 1.11%
CROCS, INC. 1.10%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Information Technology 30.10
Consumer Discretionary 25.72
Health Care 17.13
Financials 7.70
Energy 6.40
Consumer Staples 5.38
Industrials 5.14
Materials 1.51
Telecommunication Services 0.92
</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 EQUAL WEIGHT CONSUMER DISCRETIONARY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
STARWOOD HOTELS & RESORTS WORLDWIDE, INC. 1.46%
MARRIOTT INTERNATIONAL, INC. -- CLASS A 1.45%
WHIRLPOOL CORP. 1.44%
INTERNATIONAL GAME TECHNOLOGY 1.42%
WYNN RESORTS LTD. 1.40%
LENNAR CORP. -- CLASS A 1.39%
HARLEY-DAVIDSON, INC. 1.37%
SHERWIN-WILLIAMS CO. (THE) 1.37%
DISCOVERY COMMUNICATIONS, INC. -- CLASS A 1.36%
SEARS HOLDINGS CORP. 1.34%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Specialty Retail 23.15
Media 21.06
Hotels, Restaurants & Leisure 13.15
Household Durables 11.55
Multiline Retail 9.66
Textiles, Apparel & Luxury Goods 4.93
Internet & Catalog Retail 3.65
Leisure Equipment & Products 3.48
Diversified Consumer Services 3.33
Automobiles 2.48
Auto Components 2.39
Distributors 1.17
</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 13
RYDEX S&P EQUAL WEIGHT CONSUMER STAPLES ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
CONSTELLATION BRANDS, INC. -- CLASS A 2.73%
HERSHEY CO. (THE) 2.66%
TYSON FOODS, INC. -- CLASS A 2.64%
SYSCO CORP. 2.64%
WHOLE FOODS MARKET, INC. 2.63%
CVS CAREMARK CORP. 2.59%
ESTEE LAUDER COS., INC. -- CLASS A 2.51%
ALTRIA GROUP, INC. 2.51%
COCA-COLA ENTERPRISES, INC. 2.49%
KELLOGG CO. 2.49%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Food Products 34.24
Food & Staples Retailing 22.02
Beverages 17.08
Tobacco 9.66
Household Products 9.60
Personal Products 7.40
</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.
14
RYDEX S&P EQUAL WEIGHT ENERGY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
DENBURY RESOURCES, INC. 3.03%
EOG RESOURCES, INC. 3.00%
PIONEER NATURAL RESOURCES CO. 2.98%
CONOCOPHILLIPS 2.78%
ROWAN COS., INC. 2.76%
FMC TECHNOLOGIES, INC. 2.74%
SCHLUMBERGER, LTD. 2.72%
SUNOCO, INC. 2.71%
SMITH INTERNATIONAL, INC. 2.70%
MURPHY OIL CORP. 2.69%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Oil, Gas & Consumable Fuels 71.45
Energy Equipment & Services 28.55
</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 FINANCIALS ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
ZIONS BANCORP 1.55%
HUNTINGTON BANCSHARES, INC. 1.52%
APARTMENT INVESTMENT & MANAGEMENT CO. -- CLASS A 1.50%
KEYCORP. 1.44%
HOST HOTELS & RESORTS, INC. 1.43%
REGIONS FINANCIAL CORP. 1.43%
AVALONBAY COMMUNITIES, INC. 1.43%
MARSHALL & ILSLEY CORP. 1.41%
CB RICHARD ELLIS GROUP, INC. -- CLASS A 1.40%
EQUITY RESIDENTIAL 1.39%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Insurance 26.00
Commercial Banks 18.94
Real Estate Investment Trusts(REITs) 18.04
Capital Markets 17.02
Diversified Financial Services 11.10
Consumer Finance 5.15
Thrifts & Mortgage Finance 2.35
Real Estate Management & Development 1.40
</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 HEALTH CARE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
THERMO FISHER SCIENTIFIC, INC. 2.18%
WATERS CORP. 2.18%
CAREFUSION CORP. 2.15%
TENET HEALTHCARE CORP. 2.15%
AMERISOURCEBERGEN CORP. 2.13%
DENTSPLY INTERNATIONAL, INC. 2.12%
ZIMMER HOLDINGS, INC. 2.11%
CERNER CORP. 2.10%
VARIAN MEDICAL SYSTEMS, INC. 2.08%
WATSON PHARMACEUTICALS, INC. 2.08%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Health Care Providers & Services 30.32
Health Care Equipment &Supplies 25.78
Pharmaceuticals 20.67
Biotechnology 10.70
Life Sciences Tools & Services 10.43
Health Care Technology 2.10
</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 INDUSTRIALS ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
FIRST SOLAR, INC. 2.09%
CUMMINS, INC. 2.04%
RYDER SYSTEM, INC. 1.99%
FLOUR CORP. 1.93%
FASTENAL CO. 1.93%
CATERPILLAR, INC. 1.90%
SNAP-ON, INC. 1.85%
DOVER CORP. 1.85%
AVERY DENNISON CORP. 1.85%
JACOBS ENGINEERING GROUP, INC. 1.85%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Machinery 21.70
Aerospace & Defense 20.40
Commercial Services & Supplies 13.73
Electrical Equipment 7.45
Road & Rail 7.27
Air Freight & Logistics 6.92
Construction & Engineering 5.49
Industrial Conglomerates 5.20
Professional Services 4.73
Trading Companies & Distributors 3.63
Building Products 1.78
Airlines 1.70
</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 MATERIALS ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
VULCAN MATERIALS CO. 3.70%
ECOLAB, INC. 3.54%
WEYERHAEUSER CO. 3.51%
INTERNATIONAL FLAVORS & FRAGRANCES, INC. 3.49%
NEWMONT MINING CORP. 3.46%
EASTMAN CHEMICAL CO. 3.43%
DUPONT (E.I.) DE NEMOURS & CO. 3.42%
MEADWESTVACO CORP. 3.41%
PPG INDUSTRIES, INC. 3.40%
SIGMA-ALDRICH CORP. 3.40%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Chemicals 42.57
Metals & Mining 27.59
Containers & Packaging 15.95
Paper & Forest Products 10.18
Construction Materials 3.71
</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 TECHNOLOGY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
SANDISK CORP. 1.60%
AKAMAI TECHNOLOGIES, INC. 1.59%
TELLABS, INC. 1.55%
JDS UNIPHASE CORP. 1.53%
KLA-TENCOR CORP. 1.52%
APPLE, INC. 1.52%
AUTODESK, INC. 1.51%
TERADYNE, INC. 1.49%
XEROX CORP. 1.47%
NOVELLUS SYSTEMS, INC. 1.46%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Semiconductors & Semiconductor Equipment 23.88
Software 19.59
Computers & Peripherals 15.20
IT Services 14.35
Communications Equipment 9.60
Electronic Equipment, Instruments &
Components 8.02
Internet Software & Services 7.89
Office Electronics 1.47
</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 UTILITIES ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
SPRINT NEXTEL CORP. 2.46%
QUESTAR CORP. 2.45%
NRG ENERGY, INC. 2.39%
METROPCS COMMUNICATIONS, INC. 2.35%
FPL GROUP, INC. 2.34%
INTEGRYS ENERGY GROUP, INC. 2.34%
DTE ENERGY CO. 2.33%
ONEOK, INC. 2.32%
TECO ENERGY, INC. 2.32%
FRONTIER COMMUNICATIONS CORP. 2.31%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Multi-Utilities 33.76
Electric Utilities 30.24
Diversified Telecommunication Services 13.14
Gas Utilities 9.28
Wireless Telecommunication Services 6.85
Independent Power Producers & Energy
Traders 6.73
</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 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 0.5%
L-3 Communications Holdings,
Inc. .................... 6,618 $619,246
------------
TOTAL AEROSPACE & DEFENSE 619,246
------------
AIRLINES 0.6%
Southwest Airlines Co. ..... 50,055 659,725
------------
TOTAL AIRLINES 659,725
------------
AUTO COMPONENTS 1.0%
Goodyear Tire & Rubber
Co.(The)*................ 87,349 1,173,097
------------
TOTAL AUTO COMPONENTS 1,173,097
------------
CAPITAL MARKETS 1.6%
E*TRADE Financial Corp.*.... 619,790 1,041,247
Morgan Stanley.............. 27,676 836,369
------------
TOTAL CAPITAL MARKETS 1,877,616
------------
CHEMICALS 0.5%
Dow Chemical Co.(The)....... 19,530 602,110
------------
TOTAL CHEMICALS 602,110
------------
COMMERCIAL BANKS 11.4%
BB&T Corp. ................. 21,002 698,107
Comerica, Inc. ............. 25,090 1,053,780
Huntington Bancshares,
Inc. .................... 480,514 3,253,080
KeyCorp..................... 144,022 1,299,078
Marshall & Ilsley Corp. .... 93,967 855,100
Regions Financial Corp. .... 78,591 694,744
SunTrust Banks, Inc. ....... 82,807 2,451,087
Zions Bancorp............... 107,653 3,092,871
------------
TOTAL COMMERCIAL BANKS 13,397,847
------------
COMMERCIAL SERVICES & SUPPLIES 0.9%
Avery Dennison Corp. ....... 11,414 445,488
R.R. Donnelley & Sons Co. .. 27,524 591,491
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,036,979
------------
COMPUTERS & PERIPHERALS 0.6%
Lexmark International,
Inc. -- Class A*......... 20,714 767,454
------------
TOTAL COMPUTERS & PERIPHERALS 767,454
------------
CONSTRUCTION & ENGINEERING 1.9%
Fluor Corp. ................ 19,292 1,019,389
Jacobs Engineering Group,
Inc.*.................... 26,512 1,278,409
------------
TOTAL CONSTRUCTION & ENGINEERING 2,297,798
------------
CONSUMER FINANCE 1.4%
Capital One Financial
Corp. ................... 28,880 1,253,681
Discover Financial
Services................. 28,556 441,476
------------
TOTAL CONSUMER FINANCE 1,695,157
------------
DIVERSIFIED FINANCIAL SERVICES 3.5%
Bank of America Corp. ...... 96,279 1,716,655
Citigroup, Inc.*............ 352,174 1,539,000
Nasdaq OMX Group (The)*..... 40,522 850,962
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES 4,106,617
------------
DIVERSIFIED TELECOMMUNICATION SERVICES 0.4%
CenturyTel, Inc. ........... 13,104 446,977
------------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 446,977
------------
ELECTRIC UTILITIES 4.7%
Allegheny Energy, Inc. ..... 19,864 432,638
American Electric Power Co.,
Inc. .................... 16,332 560,188
Duke Energy Corp. .......... 26,148 438,763
Edison International........ 19,004 653,168
Northeast Utilities......... 26,082 724,819
Pepco Holdings, Inc. ....... 99,249 1,661,428
Pinnacle West Capital
Corp. ................... 15,280 570,555
Progress Energy, Inc. ...... 10,898 435,048
------------
TOTAL ELECTRIC UTILITIES 5,476,607
------------
ENERGY EQUIPMENT & SERVICES 1.3%
Smith International, Inc. .. 31,106 1,485,623
------------
TOTAL ENERGY EQUIPMENT & SERVICES 1,485,623
------------
FOOD & STAPLES RETAILING 4.4%
Costco Wholesale Corp. ..... 10,782 637,001
CVS Caremark Corp. ......... 25,080 926,204
Kroger Co.(The)............. 74,417 1,654,290
Safeway, Inc. .............. 81,055 1,912,898
------------
TOTAL FOOD & STAPLES RETAILING 5,130,393
------------
FOOD PRODUCTS 4.3%
Archer-Daniels-Midland
Co. ..................... 42,212 1,179,403
Dean Foods Co.*............. 79,308 1,245,136
Tyson Foods, Inc. --
Class A.................. 132,838 2,602,296
------------
TOTAL FOOD PRODUCTS 5,026,835
------------
GAS UTILITIES 1.7%
Nicor, Inc. ................ 14,642 637,074
Oneok, Inc. ................ 28,202 1,385,846
------------
TOTAL GAS UTILITIES 2,022,920
------------
HEALTH CARE EQUIPMENT & SUPPLIES 0.5%
CareFusion Corp.*........... 22,414 618,178
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 618,178
------------
HEALTH CARE PROVIDERS & SERVICES 9.9%
Aetna, Inc. ................ 25,632 757,426
AmerisourceBergen Corp. .... 60,789 1,875,341
Cardinal Health, Inc. ...... 59,881 2,077,272
Coventry Health Care,
Inc.*.................... 74,761 1,774,826
Humana, Inc.*............... 36,930 1,688,439
McKesson Corp. ............. 23,562 1,527,053
Tenet Healthcare Corp.*..... 177,535 1,109,594
WellPoint, Inc.*............ 16,302 877,047
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 11,686,998
------------
HOUSEHOLD DURABLES 1.8%
Fortune Brands, Inc. ....... 11,158 584,902
Whirlpool Corp. ............ 14,602 1,589,720
------------
TOTAL HOUSEHOLD DURABLES 2,174,622
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.4%
Constellation Energy Group,
Inc. .................... 14,278 504,727
------------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 504,727
------------
INDUSTRIAL CONGLOMERATES 0.8%
Textron, Inc. .............. 42,900 979,836
------------
TOTAL INDUSTRIAL CONGLOMERATES 979,836
------------
INSURANCE 9.1%
Allstate Corp. ............. 15,948 521,021
American International
Group, Inc.*............. 33,130 1,288,757
Assurant, Inc. ............. 42,862 1,561,463
Cincinnati Financial
Corp. ................... 26,320 747,488
Genworth Financial,
Inc. -- Class A*......... 141,988 2,345,642
</Table>
See Notes to Financial Statements.
22
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS (CONCLUDED)
Lincoln National Corp. ..... 48,831 $1,493,740
MetLife, Inc. .............. 26,704 1,217,168
Travelers Cos., Inc.(The)... 8,424 427,434
Unum Group.................. 46,665 1,141,893
------------
TOTAL INSURANCE 10,744,606
------------
LEISURE EQUIPMENT & PRODUCTS 0.7%
Eastman Kodak Co.*.......... 126,859 776,377
------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 776,377
------------
MACHINERY 1.0%
Eaton Corp. ................ 7,736 596,910
Snap-on, Inc. .............. 11,546 556,286
------------
TOTAL MACHINERY 1,153,196
------------
MEDIA 1.4%
Comcast Corp. -- Class A.... 27,772 548,219
Interpublic Group of Cos.,
Inc.*.................... 121,911 1,086,227
------------
TOTAL MEDIA 1,634,446
------------
METALS & MINING 3.1%
Alcoa, Inc. ................ 99,780 1,341,043
United States Steel Corp. .. 42,126 2,302,607
------------
TOTAL METALS & MINING 3,643,650
------------
MULTI-UTILITIES 7.7%
Ameren Corp. ............... 41,534 1,078,223
CenterPoint Energy, Inc. ... 52,433 752,938
CMS Energy Corp. ........... 57,523 935,324
Consolidated Edison, Inc. .. 12,128 548,186
DTE Energy Co. ............. 17,086 823,033
Integrys Energy Group,
Inc. .................... 48,851 2,423,498
NiSource, Inc. ............. 89,680 1,461,784
SCANA Corp. ................ 13,914 549,185
Xcel Energy, Inc. .......... 23,567 512,582
------------
TOTAL MULTI-UTILITIES 9,084,753
------------
MULTILINE RETAIL 4.6%
Big Lots, Inc.*............. 22,672 866,070
J.C. Penney Co., Inc. ...... 37,876 1,104,843
Sears Holdings Corp.*....... 28,526 3,450,220
------------
TOTAL MULTILINE RETAIL 5,421,133
------------
OFFICE ELECTRONICS 1.3%
Xerox Corp. ................ 137,155 1,494,990
------------
TOTAL OFFICE ELECTRONICS 1,494,990
------------
OIL, GAS & CONSUMABLE FUELS 11.7%
Chesapeake Energy Corp. .... 28,106 668,923
Chevron Corp. .............. 6,466 526,591
ConocoPhillips.............. 9,532 564,199
Hess Corp. ................. 14,976 951,725
Marathon Oil Corp. ......... 45,719 1,469,866
Sunoco, Inc. ............... 82,507 2,704,579
Tesoro Corp. ............... 238,213 3,132,501
Valero Energy Corp. ........ 155,720 3,237,419
Williams Cos., Inc.(The).... 24,306 573,864
------------
TOTAL OIL, GAS & CONSUMABLE FUELS 13,829,667
------------
REAL ESTATE INVESTMENT TRUSTS (REITS) 1.4%
Host Hotels & Resorts,
Inc. .................... 57,973 942,641
Kimco Realty Corp. ......... 43,072 671,492
------------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 1,614,133
------------
ROAD & RAIL 0.9%
Ryder System, Inc. ......... 22,080 1,027,162
------------
TOTAL ROAD & RAIL 1,027,162
------------
SPECIALTY RETAIL 0.7%
AutoNation, Inc.*........... 40,330 814,666
------------
TOTAL SPECIALTY RETAIL 814,666
------------
WIRELESS TELECOMMUNICATION SERVICES 2.1%
MetroPCS Communications,
Inc.*.................... 95,495 728,627
Sprint Nextel Corp.*........ 399,764 1,698,997
------------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 2,427,624
------------
TOTAL COMMON STOCKS
(Cost $106,869,169) 117,453,765
------------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund..................... 108,745 108,745
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $108,745) 108,745
------------
TOTAL INVESTMENTS 99.9%(A)
(Cost $106,977,914) 117,562,510
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 105,927
------------
NET ASSETS--100.0% $117,668,437
- ------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 23
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 3.1%
Goodrich Corp. .............. 6,984 $518,073
Honeywell International,
Inc. ..................... 9,886 469,288
ITT Corp. ................... 7,568 420,554
Precision Castparts Corp. ... 7,944 1,019,533
United Technologies Corp. ... 4,436 332,478
-----------
TOTAL AEROSPACE & DEFENSE 2,759,926
-----------
BIOTECHNOLOGY 1.9%
Biogen Idec, Inc.*........... 12,799 681,547
Celgene Corp.*............... 8,904 551,603
Gilead Sciences, Inc.*....... 12,965 514,321
-----------
TOTAL BIOTECHNOLOGY 1,747,471
-----------
CAPITAL MARKETS 1.4%
Invesco Ltd. ................ 30,827 708,713
Janus Capital Group, Inc. ... 39,096 550,471
-----------
TOTAL CAPITAL MARKETS 1,259,184
-----------
CHEMICALS 1.9%
CF Industries Holdings,
Inc. ..................... 12,497 1,045,624
FMC Corp. ................... 5,334 339,456
Praxair, Inc. ............... 3,612 302,577
-----------
TOTAL CHEMICALS 1,687,657
-----------
COMMERCIAL SERVICES & SUPPLIES 0.4%
Stericycle, Inc.*............ 6,388 376,253
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 376,253
-----------
COMMUNICATIONS EQUIPMENT 0.8%
Juniper Networks, Inc.*...... 25,367 720,676
-----------
TOTAL COMMUNICATIONS EQUIPMENT 720,676
-----------
COMPUTERS & PERIPHERALS 7.2%
Apple, Inc.*................. 5,596 1,461,228
EMC Corp.*................... 43,218 821,574
International Business
Machines Corp. ........... 2,370 305,730
NetApp, Inc.*................ 37,446 1,298,253
QLogic Corp.*................ 38,636 748,379
Teradata Corp.*.............. 18,613 541,080
Western Digital Corp.*....... 30,347 1,246,958
-----------
TOTAL COMPUTERS & PERIPHERALS 6,423,202
-----------
CONSUMER FINANCE 0.5%
American Express Co. ........ 10,314 475,682
-----------
TOTAL CONSUMER FINANCE 475,682
-----------
DIVERSIFIED FINANCIAL SERVICES 1.6%
CME Group, Inc. ............. 1,534 503,781
IntercontinentalExchange,
Inc.*..................... 8,300 968,029
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 1,471,810
-----------
ELECTRICAL EQUIPMENT 0.7%
First Solar, Inc.*........... 4,154 596,307
-----------
TOTAL ELECTRICAL EQUIPMENT 596,307
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 2.2%
Amphenol Corp. -- Class A.... 20,159 931,548
Corning, Inc. ............... 26,767 515,265
FLIR Systems, Inc.*.......... 17,643 539,699
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 1,986,512
-----------
ENERGY EQUIPMENT & SERVICES 8.0%
Baker Hughes, Inc. .......... 15,013 747,047
Cameron International
Corp.*.................... 30,555 1,205,700
Diamond Offshore Drilling,
Inc. ..................... 9,082 718,386
FMC Technologies, Inc.*...... 14,427 976,564
Helmerich & Payne, Inc. ..... 11,722 476,148
National-Oilwell Varco,
Inc. ..................... 24,239 1,067,243
Rowan Cos., Inc.*............ 39,272 1,170,305
Schlumberger, Ltd. .......... 10,616 758,195
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 7,119,588
-----------
FOOD & STAPLES RETAILING 1.5%
Whole Foods Market, Inc.*.... 33,375 1,302,293
-----------
TOTAL FOOD & STAPLES RETAILING 1,302,293
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 3.0%
Hospira, Inc.*............... 6,826 367,170
Intuitive Surgical, Inc.*.... 4,416 1,592,233
St Jude Medical, Inc.*....... 9,280 378,810
Zimmer Holdings, Inc.*....... 5,574 339,512
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,677,725
-----------
HEALTH CARE PROVIDERS & SERVICES 3.2%
CIGNA Corp. ................. 31,109 997,355
DaVita, Inc.*................ 8,842 552,006
Express Scripts, Inc.*....... 5,732 573,945
Laboratory Corp. of America
Holdings*................. 4,436 348,536
Medco Health Solutions,
Inc.*..................... 6,816 401,599
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 2,873,441
-----------
HEALTH CARE TECHNOLOGY 0.8%
Cerner Corp.*................ 8,250 700,508
-----------
TOTAL HEALTH CARE TECHNOLOGY 700,508
-----------
HOTELS, RESTAURANTS & LEISURE 3.7%
Starbucks Corp. ............. 36,998 961,208
Starwood Hotels & Resorts
Worldwide, Inc. .......... 9,280 505,853
Wyndham Worldwide Corp. ..... 16,359 438,585
Wynn Resorts Ltd. ........... 15,909 1,403,810
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 3,309,456
-----------
INTERNET & CATALOG RETAIL 4.4%
Amazon.com, Inc.*............ 11,588 1,588,251
Expedia, Inc. ............... 23,771 561,234
Priceline.com, Inc.*......... 6,722 1,761,500
-----------
TOTAL INTERNET & CATALOG RETAIL 3,910,985
-----------
INTERNET SOFTWARE & SERVICES 4.3%
Akamai Technologies, Inc.*... 41,748 1,621,075
eBay, Inc.*.................. 47,770 1,137,404
Google, Inc. -- Class A*..... 2,026 1,064,541
-----------
TOTAL INTERNET SOFTWARE & SERVICES 3,823,020
-----------
IT SERVICES 3.0%
Cognizant Technology
Solutions Corp. --
Class A*.................. 31,651 1,619,898
Visa, Inc. -- Class A........ 11,401 1,028,712
-----------
TOTAL IT SERVICES 2,648,610
-----------
LEISURE EQUIPMENT & PRODUCTS 0.4%
Hasbro, Inc. ................ 10,450 400,862
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 400,862
-----------
</Table>
See Notes to Financial Statements.
24
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.9% (CONCLUDED)
LIFE SCIENCES TOOLS & SERVICES 1.7%
Life Technologies Corp.*..... 10,784 $589,993
Millipore Corp.*............. 4,260 452,199
Waters Corp.*................ 7,202 518,472
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 1,560,664
-----------
MACHINERY 2.2%
Caterpillar, Inc. ........... 7,788 530,285
Danaher Corp. ............... 4,082 344,031
Flowserve Corp. ............. 9,520 1,090,802
-----------
TOTAL MACHINERY 1,965,118
-----------
MEDIA 2.3%
DIRECTV -- Class A*.......... 22,581 818,109
Viacom, Inc. -- Class B*..... 34,281 1,211,148
-----------
TOTAL MEDIA 2,029,257
-----------
METALS & MINING 2.9%
Cliffs Natural Resources,
Inc. ..................... 21,683 1,355,838
Freeport-McMoRan Copper &
Gold, Inc. ............... 11,255 850,090
Newmont Mining Corp. ........ 6,858 384,597
-----------
TOTAL METALS & MINING 2,590,525
-----------
MULTILINE RETAIL 1.6%
Kohl's Corp.*................ 6,598 362,824
Nordstrom, Inc. ............. 25,723 1,063,132
-----------
TOTAL MULTILINE RETAIL 1,425,956
-----------
OIL, GAS & CONSUMABLE FUELS 9.1%
Anadarko Petroleum Corp. .... 15,179 943,527
Denbury Resources, Inc.*..... 68,681 1,315,241
EOG Resources, Inc. ......... 5,930 664,872
Massey Energy Co. ........... 23,655 866,483
Noble Energy, Inc. .......... 5,720 437,008
Occidental Petroleum Corp. .. 6,170 547,032
Peabody Energy Corp. ........ 14,011 654,594
Pioneer Natural Resources
Co. ...................... 10,272 658,743
Range Resources Corp. ....... 15,231 727,432
Southwestern Energy Co.*..... 18,541 735,707
XTO Energy, Inc. ............ 12,172 578,413
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 8,129,052
-----------
PAPER & FOREST PRODUCTS 0.7%
MeadWestvaco Corp. .......... 22,341 607,005
-----------
TOTAL PAPER & FOREST PRODUCTS 607,005
-----------
PERSONAL PRODUCTS 0.4%
Avon Products, Inc. ......... 12,371 399,954
-----------
TOTAL PERSONAL PRODUCTS 399,954
-----------
PHARMACEUTICALS 2.6%
Allergan, Inc. .............. 9,186 585,057
Mylan, Inc.*................. 52,968 1,166,885
Watson Pharmaceuticals,
Inc.*..................... 13,999 599,437
-----------
TOTAL PHARMACEUTICALS 2,351,379
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 2.6%
ProLogis..................... 93,390 1,229,946
Ventas, Inc. ................ 22,757 1,074,813
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 2,304,759
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 1.0%
CB Richard Ellis Group,
Inc. -- Class A*........ 50,652 877,293
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 877,293
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 1.8%
Altera Corp. ................ 16,045 406,901
Broadcom Corp. -- Class A.... 26,985 930,713
NVIDIA Corp.*................ 19,877 312,466
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 1,650,080
-----------
SOFTWARE 7.4%
Adobe Systems, Inc.*......... 12,537 421,118
Autodesk, Inc.*.............. 13,635 463,726
BMC Software, Inc.*.......... 10,158 399,819
Citrix Systems, Inc.*........ 12,141 570,627
McAfee, Inc.*................ 11,566 401,918
Microsoft Corp. ............. 13,739 419,589
Oracle Corp. ................ 21,683 560,289
Red Hat, Inc.*............... 55,714 1,664,177
Salesforce.com, Inc.*........ 20,461 1,751,462
-----------
TOTAL SOFTWARE 6,652,725
-----------
SPECIALTY RETAIL 6.8%
Abercrombie & Fitch
Co. -- Class A............ 14,521 635,003
AutoZone, Inc.*.............. 2,464 455,865
Bed Bath & Beyond, Inc.*..... 13,467 $618,943
Best Buy Co., Inc. .......... 22,559 1,028,691
O'Reilly Automotive, Inc.*... 11,534 563,897
Ross Stores, Inc. ........... 11,212 627,872
Tiffany & Co. ............... 16,713 810,246
TJX Cos., Inc. .............. 9,406 435,874
Urban Outfitters, Inc.*...... 23,155 868,544
-----------
TOTAL SPECIALTY RETAIL 6,044,935
-----------
TEXTILES, APPAREL & LUXURY GOODS 1.9%
Coach, Inc. ................. 27,559 1,150,588
Polo Ralph Lauren Corp. ..... 6,212 558,459
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 1,709,047
-----------
THRIFTS & MORTGAGE FINANCE 0.5%
Hudson City Bancorp, Inc. ... 34,627 460,539
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 460,539
-----------
TRADING COMPANIES & DISTRIBUTORS 0.4%
W.W. Grainger, Inc. ......... 2,986 330,072
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 330,072
-----------
TOTAL COMMON STOCKS
(Cost $78,199,636) 89,359,528
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund...................... 91,833 91,833
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $91,833) 91,833
-----------
TOTAL INVESTMENTS 100.0%(A)
(Cost $78,291,469) 89,451,361
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(b) 13,246
-----------
NET ASSETS--100.0% $89,464,607
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 25
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.8%
AIRLINES 1.6%
Alaska Air Group, Inc.*..... 14,735 $610,176
JetBlue Airways Corp.*...... 100,240 560,342
-----------
TOTAL AIRLINES 1,170,518
-----------
CHEMICALS 3.2%
Ashland, Inc. .............. 30,604 1,822,774
Cytec Industries, Inc. ..... 11,176 537,119
-----------
TOTAL CHEMICALS 2,359,893
-----------
COMMERCIAL BANKS 6.7%
Associated Banc-Corp. ...... 86,189 1,252,326
Cathay General Bancorp...... 177,698 2,198,124
Synovus Financial Corp. .... 263,033 791,729
Wilmington Trust Corp. ..... 35,923 622,546
-----------
TOTAL COMMERCIAL BANKS 4,864,725
-----------
COMMERCIAL SERVICES & SUPPLIES 0.7%
Brink's Co.(The)............ 19,575 521,282
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 521,282
-----------
COMPUTERS & PERIPHERALS 1.8%
Diebold, Inc. .............. 13,219 414,416
NCR Corp.*.................. 67,426 887,326
-----------
TOTAL COMPUTERS & PERIPHERALS 1,301,742
-----------
CONSTRUCTION & ENGINEERING 6.0%
Aecom Technology Corp.*..... 18,949 569,796
Granite Construction,
Inc. .................... 19,418 652,639
KBR, Inc. .................. 54,618 1,205,966
Shaw Group, Inc.(The)*...... 20,719 793,123
URS Corp.*.................. 23,046 1,183,412
-----------
TOTAL CONSTRUCTION & ENGINEERING 4,404,936
-----------
DIVERSIFIED CONSUMER SERVICES 1.9%
Regis Corp. ................ 74,349 1,421,553
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 1,421,553
-----------
ELECTRIC UTILITIES 3.9%
Great Plains Energy, Inc. .. 28,120 543,560
Hawaiian Electric
Industries, Inc. ........ 23,662 552,508
NV Energy, Inc. ............ 50,345 628,809
PNM Resources, Inc. ........ 52,564 714,345
Westar Energy, Inc. ........ 17,424 412,774
-----------
TOTAL ELECTRIC UTILITIES 2,851,996
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 5.7%
Arrow Electronics, Inc.*.... 35,727 1,089,674
Avnet, Inc.*................ 16,720 534,538
Ingram Micro, Inc. --
Class A*................. 66,517 1,207,949
Tech Data Corp.*............ 30,105 1,291,504
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 4,123,665
-----------
ENERGY EQUIPMENT & SERVICES 0.5%
Patterson-UTI Energy,
Inc. .................... 25,793 394,375
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 394,375
-----------
FOOD & STAPLES RETAILING 3.2%
BJ's Wholesale Club, Inc.*.. 34,759 1,330,575
Ruddick Corp. .............. 27,798 982,381
-----------
TOTAL FOOD & STAPLES RETAILING 2,312,956
-----------
FOOD PRODUCTS 3.5%
Corn Products International,
Inc. .................... 18,030 649,080
Ralcorp Holdings, Inc.*..... 6,287 418,400
Smithfield Foods, Inc.*..... 77,820 1,458,347
-----------
TOTAL FOOD PRODUCTS 2,525,827
-----------
GAS UTILITIES 2.3%
Atmos Energy Corp. ......... 20,787 614,879
UGI Corp. .................. 22,332 613,907
WGL Holdings, Inc. ......... 12,212 436,457
-----------
TOTAL GAS UTILITIES 1,665,243
-----------
HEALTH CARE PROVIDERS & SERVICES 9.2%
Health Net, Inc.*........... 56,622 1,246,817
Kindred Healthcare, Inc.*... 126,473 2,256,278
LifePoint Hospitals, Inc.*.. 22,723 867,564
Omnicare, Inc. ............. 40,391 1,122,466
Owens & Minor, Inc. ........ 37,707 1,185,885
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 6,679,010
-----------
HOTELS, RESTAURANTS & LEISURE 3.0%
Bob Evans Farms, Inc. ...... 17,766 549,502
Boyd Gaming Corp.*.......... 80,215 1,018,730
Brinker International,
Inc. .................... 31,855 589,955
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 2,158,187
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 1.4%
Dynegy, Inc. -- Class A*.... 768,944 1,022,696
-----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 1,022,696
-----------
INSURANCE 7.5%
American Financial Group,
Inc. .................... 20,357 599,106
First American Corp. ....... 16,632 574,968
Hanover Insurance Group,
Inc.(The)................ 8,291 373,510
HCC Insurance Holdings,
Inc. .................... 11,743 319,292
Horace Mann Educators
Corp. ................... 43,256 744,436
Old Republic International
Corp. ................... 36,265 544,338
Protective Life Corp. ...... 19,565 470,929
Reinsurance Group of
America, Inc. ........... 10,550 544,696
StanCorp Financial Group,
Inc. .................... 10,061 452,343
Unitrin, Inc. .............. 30,115 880,864
-----------
TOTAL INSURANCE 5,504,482
-----------
IT SERVICES 1.2%
Convergys Corp.*............ 33,185 419,458
SRA International,
Inc. -- Class A*......... 18,519 427,419
-----------
TOTAL IT SERVICES 846,877
-----------
MACHINERY 9.5%
AGCO Corp.*................. 26,331 922,112
Federal Signal Corp. ....... 204,910 1,651,575
Terex Corp.*................ 75,649 2,006,211
Timken Co. ................. 25,353 891,919
Trinity Industries, Inc. ... 59,888 1,490,612
-----------
TOTAL MACHINERY 6,962,429
-----------
MARINE 0.7%
Alexander & Baldwin, Inc. .. 13,865 493,317
-----------
TOTAL MARINE 493,317
-----------
</Table>
See Notes to Financial Statements.
26
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS (CONCLUDED)
MEDIA 1.4%
Harte-Hanks, Inc. .......... 35,385 $509,544
Scholastic Corp. ........... 18,118 489,367
-----------
TOTAL MEDIA 998,911
-----------
METALS & MINING 2.1%
Commercial Metals Co. ...... 57,932 862,028
Worthington Industries,
Inc. .................... 39,824 635,989
-----------
TOTAL METALS & MINING 1,498,017
-----------
MULTI-UTILITIES 1.3%
Alliant Energy Corp. ....... 15,175 518,985
Black Hills Corp. .......... 14,099 463,716
-----------
TOTAL MULTI-UTILITIES 982,701
-----------
MULTILINE RETAIL 1.9%
Saks, Inc.*................. 143,867 1,402,703
-----------
TOTAL MULTILINE RETAIL 1,402,703
-----------
OIL, GAS & CONSUMABLE FUELS 5.8%
Frontier Oil Corp. ......... 120,929 1,838,121
Overseas Shipholding Group,
Inc. .................... 27,299 1,366,588
Patriot Coal Corp.*......... 53,405 1,051,544
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 4,256,253
-----------
PROFESSIONAL SERVICES 1.7%
Manpower, Inc. ............. 21,824 1,224,326
-----------
TOTAL PROFESSIONAL SERVICES 1,224,326
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 0.8%
Hospitality Properties
Trust.................... 21,716 575,257
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 575,257
-----------
ROAD & RAIL 1.0%
Con-way, Inc. .............. 19,418 754,195
-----------
TOTAL ROAD & RAIL 754,195
-----------
SPECIALTY RETAIL 6.7%
Barnes & Noble, Inc. ....... 51,596 1,137,176
Coldwater Creek, Inc.*...... 105,578 747,492
Foot Locker, Inc. .......... 120,225 1,845,454
Rent-A-Center, Inc.*........ 44,605 1,151,701
-----------
TOTAL SPECIALTY RETAIL 4,881,823
-----------
THRIFTS & MORTGAGE FINANCE 1.3%
Astoria Financial Corp. .... 57,179 922,869
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 922,869
-----------
TOBACCO 1.0%
Universal Corp. ............ 14,187 734,603
-----------
TOTAL TOBACCO 734,603
-----------
TRADING COMPANIES & DISTRIBUTORS 0.5%
GATX Corp. ................. 10,716 349,770
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 349,770
-----------
WIRELESS TELECOMMUNICATION SERVICES 0.8%
Telephone & Data Systems,
Inc. .................... 16,671 577,817
-----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 577,817
-----------
TOTAL COMMON STOCKS
(Cost $64,526,579) 72,744,954
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund..................... 70,044 70,044
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $70,044) 70,044
-----------
TOTAL INVESTMENTS 99.9%(A)
(Cost $64,596,623) 72,814,998
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 61,810
-----------
NET ASSETS--100.0% $72,876,808
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 27
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS 98.6%
AEROSPACE & DEFENSE 1.3%
BE Aerospace, Inc.*......... 99,350 $2,951,688
------------
TOTAL AEROSPACE & DEFENSE 2,951,688
------------
AUTO COMPONENTS 0.6%
Gentex Corp. ............... 64,332 1,382,495
------------
TOTAL AUTO COMPONENTS 1,382,495
------------
BEVERAGES 1.0%
Hansen Natural Corp.*....... 53,302 2,349,552
------------
TOTAL BEVERAGES 2,349,552
------------
BIOTECHNOLOGY 2.5%
OSI Pharmaceuticals, Inc.*.. 47,326 2,776,616
United Therapeutics Corp.*.. 53,921 3,067,566
------------
TOTAL BIOTECHNOLOGY 5,844,182
------------
CAPITAL MARKETS 2.0%
Affiliated Managers Group,
Inc.*.................... 21,400 1,801,452
Waddell & Reed Financial,
Inc. -- Class A.......... 75,271 2,794,059
------------
TOTAL CAPITAL MARKETS 4,595,511
------------
CHEMICALS 2.5%
Lubrizol Corp. ............. 16,946 1,530,902
NewMarket Corp. ............ 38,396 4,223,560
------------
TOTAL CHEMICALS 5,754,462
------------
COMMUNICATIONS EQUIPMENT 4.1%
CommScope, Inc.*............ 113,353 3,693,041
F5 Networks, Inc.*.......... 43,440 2,972,599
Polycom, Inc.*.............. 82,435 2,683,259
------------
TOTAL COMMUNICATIONS EQUIPMENT 9,348,899
------------
CONSUMER FINANCE 0.9%
AmeriCredit Corp.*.......... 84,921 2,033,009
------------
TOTAL CONSUMER FINANCE 2,033,009
------------
CONTAINERS & PACKAGING 0.6%
Greif, Inc. -- Class A...... 23,460 1,388,363
------------
TOTAL CONTAINERS & PACKAGING 1,388,363
------------
DISTRIBUTORS 1.4%
LKQ Corp.*.................. 149,192 3,141,984
------------
TOTAL DISTRIBUTORS 3,141,984
------------
DIVERSIFIED CONSUMER SERVICES 1.7%
ITT Educational Services,
Inc.*.................... 11,304 1,143,173
Sotheby's................... 54,683 1,826,412
Strayer Education, Inc. .... 4,373 1,063,164
------------
TOTAL DIVERSIFIED CONSUMER SERVICES 4,032,749
------------
DIVERSIFIED FINANCIAL SERVICES 0.7%
MSCI, Inc. -- Class A*...... 48,097 1,666,561
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES 1,666,561
------------
DIVERSIFIED
TELECOMMUNICATION
SERVICES 0.8%
tw telecom, Inc.*........... 109,000 1,940,200
------------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 1,940,200
------------
ELECTRICAL EQUIPMENT 1.6%
AMETEK, Inc. ............... 26,322 1,138,427
Thomas & Betts Corp.*....... 62,161 2,607,032
------------
TOTAL ELECTRICAL EQUIPMENT 3,745,459
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 1.1%
Itron, Inc.*................ 31,060 2,472,687
------------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 2,472,687
------------
ENERGY EQUIPMENT & SERVICES 4.8%
Atwood Oceanics, Inc.*...... 105,885 3,855,273
Oceaneering International,
Inc.*.................... 61,735 4,043,642
Superior Energy Services,
Inc.*.................... 116,042 3,140,097
------------
TOTAL ENERGY EQUIPMENT & SERVICES 11,039,012
------------
FOOD PRODUCTS 2.1%
Green Mountain Coffee
Roasters, Inc.*.......... 67,874 4,931,725
------------
TOTAL FOOD PRODUCTS 4,931,725
------------
HEALTH CARE EQUIPMENT & SUPPLIES 3.3%
Edwards Lifesciences
Corp.*................... 11,578 1,193,460
Idexx Laboratories, Inc.*... 38,153 2,523,440
Kinetic Concepts, Inc.*..... 37,148 1,608,508
Masimo Corp. ............... 53,018 1,241,151
ResMed, Inc.*............... 15,890 1,087,353
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 7,653,912
------------
HEALTH CARE PROVIDERS & SERVICES 5.8%
Community Health Systems,
Inc.*.................... 128,655 5,256,843
Lincare Holdings, Inc.*..... 53,576 2,501,464
MEDNAX, Inc.*............... 44,120 2,423,953
WellCare Health Plans,
Inc.*.................... 109,527 3,135,758
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 13,318,018
------------
HOTELS, RESTAURANTS & LEISURE 8.1%
Bally Technologies, Inc.*... 78,396 3,615,624
Cheesecake Factory,
Inc.(The)*............... 163,581 4,444,496
Chipotle Mexican Grill,
Inc. -- Class A*......... 22,973 3,099,287
Life Time Fitness, Inc.*.... 80,212 2,948,593
Panera Bread Co. --
Class A*................. 35,383 2,757,751
WMS Industries, Inc.*....... 34,419 1,721,638
------------
TOTAL HOTELS, RESTAURANTS & LEISURE 18,587,389
------------
HOUSEHOLD DURABLES 1.4%
Tupperware Brands Corp. .... 63,054 3,220,168
------------
TOTAL HOUSEHOLD DURABLES 3,220,168
------------
INTERNET & CATALOG RETAIL 2.7%
NetFlix, Inc.*.............. 63,348 6,256,882
------------
TOTAL INTERNET & CATALOG RETAIL 6,256,882
------------
INTERNET SOFTWARE & SERVICES 2.0%
Equinix, Inc.*.............. 35,423 3,565,325
ValueClick, Inc.*........... 111,831 1,149,623
------------
TOTAL INTERNET SOFTWARE & SERVICES 4,714,948
------------
IT SERVICES 2.4%
Alliance Data Systems
Corp.*................... 16,956 1,272,717
Broadridge Financial
Solutions, Inc. ......... 36,956 879,922
Gartner, Inc.*.............. 49,903 1,201,664
Global Payments, Inc. ...... 29,254 1,252,364
NeuStar, Inc. -- Class A*... 35,565 870,276
------------
TOTAL IT SERVICES 5,476,943
------------
</Table>
See Notes to Financial Statements.
28
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS (CONCLUDED)
LIFE SCIENCES TOOLS & SERVICES 1.0%
Covance, Inc.*.............. 16,225 $927,096
Mettler Toledo
International, Inc.*..... 11,152 1,399,353
------------
TOTAL LIFE SCIENCES TOOLS & SERVICES 2,326,449
------------
MACHINERY 5.1%
Bucyrus International,
Inc. -- Class A.......... 84,494 5,323,967
Joy Global, Inc. ........... 52,744 2,996,387
Nordson Corp. .............. 13,841 994,060
Oshkosh Corp.*.............. 23,907 923,288
Valmont Industries, Inc. ... 17,199 1,432,505
------------
TOTAL MACHINERY 11,670,207
------------
MARINE 0.7%
Kirby Corp.*................ 37,006 1,557,212
------------
TOTAL MARINE 1,557,212
------------
MEDIA 1.4%
DreamWorks Animation SKG,
Inc. -- Class A*......... 36,408 1,445,034
Lamar Advertising
Co. -- Class A*.......... 47,001 1,749,377
------------
TOTAL MEDIA 3,194,411
------------
METALS & MINING 3.1%
Reliance Steel & Aluminum
Co. ..................... 84,789 4,138,551
Steel Dynamics, Inc. ....... 195,321 3,068,493
------------
TOTAL METALS & MINING 7,207,044
------------
MULTILINE RETAIL 0.5%
Dollar Tree, Inc.*.......... 19,634 1,192,176
------------
TOTAL MULTILINE RETAIL 1,192,176
------------
OIL, GAS & CONSUMABLE FUELS 2.8%
Bill Barrett Corp.*......... 82,222 2,802,126
Plains Exploration &
Production Co.*.......... 30,928 906,500
Quicksilver Resources,
Inc.*.................... 206,158 2,859,411
------------
TOTAL OIL, GAS & CONSUMABLE FUELS 6,568,037
------------
PERSONAL PRODUCTS 1.2%
NBTY, Inc.*................. 67,092 2,729,303
------------
TOTAL PERSONAL PRODUCTS 2,729,303
------------
PHARMACEUTICALS 0.6%
Medicis Pharmaceutical
Corp. -- Class A......... 51,293 1,301,816
------------
TOTAL PHARMACEUTICALS 1,301,816
------------
PROFESSIONAL SERVICES 0.5%
FTI Consulting, Inc.*....... 29,406 1,209,469
------------
TOTAL PROFESSIONAL SERVICES 1,209,469
------------
REAL ESTATE INVESTMENT TRUSTS (REITS) 1.6%
SL Green Realty Corp. ...... 58,011 3,606,544
------------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 3,606,544
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT 1.9%
Jones Lang LaSalle, Inc. ... 56,012 4,418,227
------------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 4,418,227
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.0%
Cree, Inc.*................. 37,463 2,742,666
Semtech Corp.*.............. 53,607 972,967
Silicon Laboratories,
Inc.*.................... 19,980 966,033
------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 4,681,666
------------
SOFTWARE 7.3%
Advent Software, Inc.*...... 57,229 2,585,606
Ansys, Inc.*................ 53,759 2,419,155
Factset Research Systems,
Inc. .................... 28,533 2,146,252
Informatica Corp.*.......... 76,570 1,915,016
MICROS Systems, Inc.*....... 31,699 1,177,935
Rovi Corp.*................. 48,209 1,879,187
Solera Holdings, Inc. ...... 83,571 3,248,405
Sybase, Inc.*............... 35,078 1,521,683
------------
TOTAL SOFTWARE 16,893,239
------------
SPECIALTY RETAIL 9.6%
Aeropostale, Inc.*.......... 159,075 4,619,538
CarMax, Inc.*............... 80,557 1,979,285
Chico's FAS, Inc. .......... 118,923 1,770,763
Collective Brands, Inc.*.... 93,424 2,190,793
Dress Barn, Inc.(The)*...... 91,932 2,544,678
Guess?, Inc. ............... 100,902 4,628,375
J. Crew Group, Inc.*........ 55,545 2,581,176
Williams-Sonoma, Inc. ...... 64,992 1,871,770
------------
TOTAL SPECIALTY RETAIL 22,186,378
------------
TEXTILES, APPAREL & LUXURY GOODS 3.3%
Fossil, Inc.*............... 74,875 2,912,638
Under Armour, Inc. --
Class A*................. 65,144 2,198,610
Warnaco Group, Inc.*........ 51,111 2,445,150
------------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 7,556,398
------------
WIRELESS TELECOMMUNICATION SERVICES 0.6%
Syniverse Holdings, Inc.*... 73,414 1,474,153
------------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 1,474,153
------------
TOTAL COMMON STOCKS
(Cost $205,123,191) 227,619,527
------------
SHORT TERM INVESTMENTS 0.0%(A)
SSgA Government Money Market
Fund..................... 96,808 96,808
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $96,808) 96,808
------------
TOTAL INVESTMENTS 98.6%(B)
(Cost $205,219,999) 227,716,335
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--1.4% 3,222,615
------------
NET ASSETS--100.0% $230,938,950
- ------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
(b) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 29
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 1.3%
AAR Corp.*................. 31,611 $770,676
Ceradyne, Inc.*............ 51,398 1,141,036
Moog, Inc.-Class A*........ 17,779 660,845
------------
TOTAL AEROSPACE & DEFENSE 2,572,557
------------
AIRLINES 0.9%
SkyWest, Inc. ............. 114,855 1,720,528
------------
TOTAL AIRLINES 1,720,528
------------
AUTO COMPONENTS 1.0%
Standard Motor Products,
Inc. ................... 122,219 1,302,854
Superior Industries
International, Inc. .... 37,374 630,126
------------
TOTAL AUTO COMPONENTS 1,932,980
------------
BUILDING PRODUCTS 3.7%
Apogee Enterprises, Inc. .. 50,529 694,268
Gibraltar Industries,
Inc.*................... 70,672 1,061,493
Griffon Corp.*............. 54,289 765,475
NCI Building Systems,
Inc.*................... 295,366 4,070,144
Universal Forest Products,
Inc. ................... 19,711 828,848
------------
TOTAL BUILDING PRODUCTS 7,420,228
------------
CAPITAL MARKETS 1.0%
LaBranche & Co., Inc.*..... 334,158 1,650,741
SWS Group, Inc. ........... 40,161 444,582
------------
TOTAL CAPITAL MARKETS 2,095,323
------------
CHEMICALS 1.8%
A. Schulman, Inc. ......... 44,710 1,162,907
OM Group, Inc.*............ 27,060 1,021,515
Penford Corp.*............. 61,679 570,531
Quaker Chemical Corp. ..... 26,841 844,686
------------
TOTAL CHEMICALS 3,599,639
------------
COMMERCIAL BANKS 11.3%
East West Bancorp, Inc. ... 36,816 721,225
First BanCorp. ............ 1,058,010 2,242,981
First Commonwealth
Financial Corp. ........ 257,323 1,685,466
First Midwest Bancorp,
Inc. ................... 60,643 921,774
Hanmi Financial Corp.*..... 809,782 2,413,150
National Penn Bancshares,
Inc. ................... 231,673 1,695,846
Pinnacle Financial
Partners, Inc.*......... 91,381 1,396,302
South Financial Group,
Inc. ................... 1,703,572 1,311,751
Sterling Bancorp........... 66,231 709,334
Sterling Bancshares,
Inc. ................... 149,684 880,142
Susquehanna Bancshares,
Inc. ................... 267,082 2,911,194
Umpqua Holdings Corp. ..... 74,378 1,111,207
United Community Banks,
Inc.*................... 267,854 1,564,267
Whitney Holding Corp. ..... 165,210 2,263,377
Wintrust Financial Corp. .. 17,363 647,640
------------
TOTAL COMMERCIAL BANKS 22,475,656
------------
COMMERCIAL SERVICES & SUPPLIES 3.4%
ABM Industries, Inc. ...... 49,936 1,073,125
Bowne & Co., Inc. ......... 183,439 2,050,848
Standard Register
Co.(The)................ 191,697 987,239
United Stationers, Inc.*... 17,055 1,044,107
Viad Corp. ................ 65,604 1,535,134
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 6,690,453
------------
COMMUNICATIONS EQUIPMENT 1.3%
Black Box Corp. ........... 32,918 1,026,713
Digi International, Inc.*.. 48,975 524,522
EMS Technologies, Inc.*.... 65,864 1,046,579
------------
TOTAL COMMUNICATIONS EQUIPMENT 2,597,814
------------
CONSTRUCTION & ENGINEERING 1.8%
Comfort Systems USA,
Inc. ................... 61,436 865,019
Dycom Industries, Inc.*.... 120,411 1,278,765
EMCOR Group, Inc.*......... 48,860 1,395,441
------------
TOTAL CONSTRUCTION & ENGINEERING 3,539,225
------------
CONSUMER FINANCE 0.4%
Rewards Network, Inc. ..... 57,076 743,129
------------
TOTAL CONSUMER FINANCE 743,129
------------
CONTAINERS & PACKAGING 0.3%
Myers Industries, Inc. .... 47,655 517,533
------------
TOTAL CONTAINERS & PACKAGING 517,533
------------
DISTRIBUTORS 0.8%
Audiovox Corp. --
Class A*................ 161,716 1,505,576
------------
TOTAL DISTRIBUTORS 1,505,576
------------
ELECTRIC UTILITIES 0.3%
Central Vermont Public
Service Corp. .......... 25,828 563,309
------------
TOTAL ELECTRIC UTILITIES 563,309
------------
ELECTRICAL EQUIPMENT 0.4%
Encore Wire Corp. ......... 32,084 712,586
------------
TOTAL ELECTRICAL EQUIPMENT 712,586
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 3.0%
CTS Corp. ................. 70,621 741,520
Gerber Scientific, Inc.*... 327,978 2,361,442
Insight Enterprises,
Inc.*................... 48,051 722,207
Scansource, Inc.*.......... 30,635 853,491
SYNNEX Corp.*.............. 50,764 1,391,949
------------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 6,070,609
------------
ENERGY EQUIPMENT & SERVICES 3.3%
Basic Energy Services,
Inc.*................... 300,917 3,072,362
Bristow Group, Inc.*....... 11,611 449,462
Matrix Service Co.*........ 96,718 1,028,112
Pioneer Drilling Co.*...... 70,149 514,894
Seahawk Drilling, Inc.*.... 94,789 1,579,185
------------
TOTAL ENERGY EQUIPMENT & SERVICES 6,644,015
------------
FOOD & STAPLES RETAILING 2.4%
Casey's General Stores,
Inc. ................... 12,910 498,713
Great Atlantic & Pacific
Tea Co., Inc.*.......... 64,055 515,643
Nash Finch Co. ............ 43,730 1,531,424
Spartan Stores, Inc. ...... 106,952 1,613,906
United Natural Foods,
Inc.*................... 21,616 663,395
------------
TOTAL FOOD & STAPLES RETAILING 4,823,081
------------
GAS UTILITIES 0.8%
Laclede Group, Inc. ....... 21,532 733,810
New Jersey Resources
Corp. .................. 10,909 411,597
Southwest Gas Corp. ....... 16,940 526,834
------------
TOTAL GAS UTILITIES 1,672,241
------------
</Table>
See Notes to Financial Statements.
30
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT & SUPPLIES 1.3%
Osteotech, Inc.*........... 474,033 $2,014,640
Symmetry Medical, Inc.*.... 51,018 589,768
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,604,408
------------
HEALTH CARE PROVIDERS & SERVICES 6.3%
AMERIGROUP Corp.*.......... 29,360 1,064,006
AMN Healthcare Services,
Inc.*................... 200,187 1,829,709
Centene Corp.*............. 57,633 1,319,796
Gentiva Health Services,
Inc.*................... 18,385 527,282
Healthspring, Inc.*........ 39,180 689,568
MedCath Corp.*............. 200,001 1,988,010
Molina Healthcare, Inc.*... 78,746 2,297,021
PharMerica Corp.*.......... 71,192 1,374,006
Res-Care, Inc.*............ 129,043 1,502,060
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 12,591,458
------------
HOTELS, RESTAURANTS & LEISURE 3.5%
CKE Restaurants, Inc. ..... 74,317 917,072
Landry's Restaurants,
Inc.*................... 47,057 1,086,546
O'Charleys, Inc.*.......... 91,483 873,663
Red Robin Gourmet Burgers,
Inc.*................... 83,779 2,045,045
Ruby Tuesday, Inc.*........ 186,440 2,086,264
------------
TOTAL HOTELS, RESTAURANTS & LEISURE 7,008,590
------------
HOUSEHOLD DURABLES 0.8%
Blyth, Inc. ............... 26,580 1,532,071
------------
TOTAL HOUSEHOLD DURABLES 1,532,071
------------
HOUSEHOLD PRODUCTS 0.5%
Central Garden & Pet
Co. -- Class A*......... 97,890 1,011,204
------------
TOTAL HOUSEHOLD PRODUCTS 1,011,204
------------
INDUSTRIAL CONGLOMERATES 0.6%
Standex International
Corp. .................. 26,890 641,864
Tredegar Corp. ............ 28,730 490,134
------------
TOTAL INDUSTRIAL CONGLOMERATES 1,131,998
------------
INSURANCE 3.7%
National Financial Partners
Corp.*.................. 232,598 3,579,683
Presidential Life Corp. ... 63,581 748,984
Safety Insurance Group,
Inc. ................... 12,224 455,833
Selective Insurance Group,
Inc. ................... 45,118 753,922
Stewart Information
Services Corp. ......... 90,548 1,030,436
United Fire &
Casualty Co. ........... 31,139 712,149
------------
TOTAL INSURANCE 7,281,007
------------
IT SERVICES 2.3%
Ciber, Inc.*............... 825,758 3,278,259
Heartland Payment Systems,
Inc. ................... 73,062 1,342,880
------------
TOTAL IT SERVICES 4,621,139
------------
LEISURE EQUIPMENT & PRODUCTS 4.3%
Arctic Cat, Inc.*.......... 221,361 3,265,075
Callaway Golf Co. ......... 155,409 1,459,290
JAKKS Pacific, Inc.*....... 164,133 2,509,594
Nautilus, Inc.*............ 368,732 1,261,063
------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 8,495,022
------------
LIFE SCIENCES TOOLS & SERVICES 0.5%
Kendle International,
Inc.*................... 60,256 997,237
------------
TOTAL LIFE SCIENCES TOOLS & SERVICES 997,237
------------
MACHINERY 3.0%
Astec Industries, Inc.*.... 17,492 579,335
Briggs & Stratton Corp. ... 22,636 537,378
Cascade Corp. ............. 21,244 740,566
EnPro Industries, Inc.*.... 33,419 1,055,372
Lydall, Inc.*.............. 268,261 2,162,184
Mueller Industries, Inc. .. 33,968 1,007,151
------------
TOTAL MACHINERY 6,081,986
------------
MEDIA 0.5%
Live Nation, Inc.*......... 69,069 1,083,693
------------
TOTAL MEDIA 1,083,693
------------
METALS & MINING 2.1%
AM Castle & Co.*........... 111,758 1,533,320
Century Aluminum Co.*...... 77,172 1,040,279
Olympic Steel, Inc. ....... 47,753 1,517,590
------------
TOTAL METALS & MINING 4,091,189
------------
MULTI-UTILITIES 0.2%
CH Energy Group, Inc. ..... 11,626 481,549
------------
TOTAL MULTI-UTILITIES 481,549
------------
MULTILINE RETAIL 3.8%
Fred's, Inc. -- Class A.... 161,751 2,246,721
Tuesday Morning Corp.*..... 939,490 5,308,119
------------
TOTAL MULTILINE RETAIL 7,554,840
------------
OIL, GAS & CONSUMABLE FUELS 2.3%
Penn Virginia Corp. ....... 47,815 1,219,761
Petroleum Development
Corp.*.................. 94,774 2,218,659
World Fuel Services
Corp. .................. 41,720 1,186,100
------------
TOTAL OIL, GAS & CONSUMABLE FUELS 4,624,520
------------
PERSONAL PRODUCTS 0.7%
Mannatech, Inc. ........... 374,596 1,445,941
------------
TOTAL PERSONAL PRODUCTS 1,445,941
------------
PROFESSIONAL SERVICES 5.1%
CDI Corp. ................. 139,642 2,433,960
Kelly Services,
Inc. -- Class A*........ 155,046 2,493,140
School Specialty, Inc.*.... 39,868 935,303
SFN Group, Inc.*........... 166,065 1,419,856
Volt Information Sciences,
Inc.*................... 227,385 2,851,408
------------
TOTAL PROFESSIONAL SERVICES 10,133,667
------------
REAL ESTATE INVESTMENT TRUSTS (REITS) 3.9%
Cedar Shopping Centers,
Inc. ................... 121,192 964,688
Colonial Properties Trust.. 44,010 694,038
Kite Realty Group Trust.... 404,854 2,194,308
Lexington Realty Trust..... 209,248 1,481,476
Pennsylvania Real Estate
Investment Trust........ 156,986 2,478,809
------------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 7,813,319
------------
ROAD & RAIL 0.5%
Arkansas Best Corp. ....... 33,174 1,010,480
------------
TOTAL ROAD & RAIL 1,010,480
------------
SPECIALTY RETAIL 7.3%
Brown Shoe Co., Inc. ...... 80,177 1,507,328
Cabela's, Inc.*............ 98,334 1,785,745
Christopher & Banks
Corp. .................. 103,417 1,012,452
Finish Line, Inc. -- Class
A....................... 72,591 1,169,441
Group 1 Automotive, Inc.*.. 53,389 1,657,728
Haverty Furniture Cos.,
Inc. ................... 51,337 836,793
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 31
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONCLUDED)
Hot Topic, Inc. ........... 178,779 $1,365,872
Lithia Motors,
Inc. -- Class A*........ 90,851 724,991
MarineMax, Inc.*........... 78,586 876,234
PEP Boys-Manny Moe & Jack.. 151,016 1,892,231
Stage Stores, Inc. ........ 55,833 851,453
Zale Corp.*................ 291,138 949,110
------------
TOTAL SPECIALTY RETAIL 14,629,378
------------
TEXTILES, APPAREL & LUXURY GOODS 6.2%
K-Swiss, Inc. -- Class A*.. 43,172 537,060
Movado Group, Inc.*........ 102,956 1,277,684
Perry Ellis International,
Inc.*................... 103,256 2,491,567
Quiksilver, Inc.*.......... 1,520,676 8,105,203
------------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 12,411,514
------------
TOBACCO 0.8%
Alliance One International,
Inc.*................... 325,449 1,656,535
------------
TOTAL TOBACCO 1,656,535
------------
TRADING COMPANIES & DISTRIBUTORS 0.4%
Lawson Products, Inc. ..... 53,450 868,562
------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 868,562
------------
TOTAL COMMON STOCKS
(Cost $173,404,615) 199,057,789
------------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money
Market Fund............. 129,507 129,507
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $129,507) 129,507
------------
TOTAL INVESTMENTS 99.9%(A)
(Cost $173,534,122) 199,187,296
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 237,594
------------
NET ASSETS--100.0% $199,424,890
- -------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
32
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 1.0%
GenCorp, Inc.*............... 18,751 $116,631
Stanley, Inc.*............... 3,800 120,194
-----------
TOTAL AEROSPACE & DEFENSE 236,825
-----------
AIRLINES 0.5%
Allegiant Travel Co.*........ 2,310 118,803
-----------
TOTAL AIRLINES 118,803
-----------
BEVERAGES 0.6%
Boston Beer Co.,
Inc. -- Class A*.......... 2,270 129,413
-----------
TOTAL BEVERAGES 129,413
-----------
BIOTECHNOLOGY 1.3%
Cubist Pharmaceuticals,
Inc.*..................... 5,330 119,499
Regeneron Pharmaceuticals,
Inc.*..................... 7,121 181,799
-----------
TOTAL BIOTECHNOLOGY 301,298
-----------
BUILDING PRODUCTS 0.3%
AAON, Inc. .................. 2,870 69,282
-----------
TOTAL BUILDING PRODUCTS 69,282
-----------
CAPITAL MARKETS 1.6%
optionsXpress Holdings,
Inc.*..................... 8,681 154,088
Stifel Financial Corp.*...... 2,550 146,191
TradeStation Group, Inc.*.... 7,811 65,300
-----------
TOTAL CAPITAL MARKETS 365,579
-----------
CHEMICALS 0.7%
Balchem Corp. ............... 6,171 160,076
-----------
TOTAL CHEMICALS 160,076
-----------
COMMERCIAL BANKS 0.5%
Signature Bank*.............. 3,090 124,774
-----------
TOTAL COMMERCIAL BANKS 124,774
-----------
COMMERCIAL SERVICES & SUPPLIES 0.5%
SYKES Enterprises, Inc.*..... 3,360 76,373
Tetra Tech, Inc.*............ 1,860 45,291
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 121,664
-----------
COMMUNICATIONS EQUIPMENT 1.9%
Blue Coat Systems, Inc.*..... 9,951 323,706
NETGEAR, Inc.*............... 4,290 116,087
-----------
TOTAL COMMUNICATIONS EQUIPMENT 439,793
-----------
COMPUTERS & PERIPHERALS 2.4%
Compellent Technologies,
Inc.*..................... 9,861 123,953
Novatel Wireless, Inc.*...... 24,402 167,154
Stratasys, Inc.*............. 4,410 105,134
Synaptics, Inc.*............. 5,390 165,042
-----------
TOTAL COMPUTERS & PERIPHERALS 561,283
-----------
CONSUMER FINANCE 1.6%
Cash America International,
Inc. ..................... 2,870 106,362
First Cash Financial
Services, Inc.*........... 4,450 98,167
World Acceptance Corp.*...... 4,600 162,288
-----------
TOTAL CONSUMER FINANCE 366,817
-----------
DIVERSIFIED CONSUMER SERVICES 1.4%
Capella Education Co.*....... 1,050 95,151
Coinstar, Inc.*.............. 5,130 227,567
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 322,718
-----------
DIVERSIFIED FINANCIAL SERVICES 0.7%
Portfolio Recovery
Associates, Inc.*......... 2,530 168,169
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 168,169
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 0.4%
Cbeyond, Inc.*............... 6,311 97,063
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 97,063
-----------
ELECTRICAL EQUIPMENT 1.9%
AZZ, Inc. ................... 4,810 195,382
Baldor Electric Co. ......... 6,190 237,758
-----------
TOTAL ELECTRICAL EQUIPMENT 433,140
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 1.6%
FARO Technologies, Inc.*..... 2,590 65,294
Mercury Computer Systems,
Inc.*..................... 8,691 111,766
TTM Technologies, Inc.*...... 16,581 180,070
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 357,130
-----------
ENERGY EQUIPMENT & SERVICES 5.9%
CARBO Ceramics, Inc. ........ 960 70,320
Dril-Quip, Inc.*............. 3,480 201,596
Gulf Island Fabrication,
Inc. ..................... 7,381 176,923
Hornbeck Offshore Services,
Inc.*..................... 7,651 187,220
Lufkin Industries, Inc. ..... 900 76,617
Oil States International,
Inc.*..................... 5,080 245,415
Superior Well Services,
Inc.*..................... 11,691 169,519
TETRA Technologies, Inc.*.... 19,152 235,378
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 1,362,988
-----------
FOOD & STAPLES RETAILING 1.3%
Andersons, Inc.(The)......... 8,241 297,830
-----------
TOTAL FOOD & STAPLES RETAILING 297,830
-----------
FOOD PRODUCTS 3.5%
Cal-Maine Foods, Inc. ....... 4,440 148,207
Calavo Growers, Inc. ........ 5,660 98,144
Darling International,
Inc.*..................... 23,622 224,173
Sanderson Farms, Inc. ....... 2,560 145,075
TreeHouse Foods, Inc.*....... 4,660 197,072
-----------
TOTAL FOOD PRODUCTS 812,671
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 4.8%
Abaxis, Inc.*................ 3,740 96,903
Align Technology, Inc.*...... 9,321 158,271
American Medical Systems
Holdings, Inc.*........... 10,151 181,906
Cantel Medical Corp. ........ 4,930 98,403
Cooper Cos., Inc.(The)....... 3,930 152,838
Integra LifeSciences Holdings
Corp.*.................... 3,270 148,556
Natus Medical, Inc.*......... 8,571 146,050
Neogen Corp.*................ 2,660 69,931
Zoll Medical Corp.*.......... 2,040 62,322
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,115,180
-----------
HEALTH CARE PROVIDERS & SERVICES 8.0%
Air Methods Corp.*........... 3,910 129,343
Almost Family, Inc.*......... 1,660 70,317
Amedisys, Inc.*.............. 2,750 158,345
Bio-Reference Labs, Inc.*.... 4,620 108,108
Catalyst Health Solutions,
Inc.*..................... 4,780 202,242
Genoptix, Inc.*.............. 3,830 148,183
Healthways, Inc.*............ 11,351 184,908
HMS Holdings Corp.*.......... 3,580 191,530
IPC The Hospitalist Co.,
Inc.*..................... 6,220 193,069
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 33
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS (CONTINUED)
LHC Group, Inc.*............. 2,940 $100,254
Odyssey HealthCare, Inc.*.... 9,661 201,239
RehabCare Group, Inc.*....... 5,480 156,289
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 1,843,827
-----------
HEALTH CARE TECHNOLOGY 1.0%
Quality Systems, Inc. ....... 3,440 220,194
-----------
TOTAL HEALTH CARE TECHNOLOGY 220,194
-----------
HOTELS, RESTAURANTS & LEISURE 6.7%
BJ's Restaurants, Inc.*...... 8,351 201,510
Buffalo Wild Wings, Inc.*.... 4,420 182,723
California Pizza Kitchen,
Inc.*..................... 8,461 173,450
CEC Entertainment, Inc.*..... 4,420 172,601
Cracker Barrel Old Country
Store, Inc. .............. 4,360 215,253
Interval Leisure Group,
Inc.*..................... 5,910 87,409
P.F. Chang's China Bistro,
Inc.*..................... 3,580 156,231
Peet's Coffee & Tea, Inc.*... 3,030 120,049
Texas Roadhouse, Inc.*....... 15,951 235,756
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 1,544,982
-----------
HOUSEHOLD DURABLES 1.1%
National Presto Industries,
Inc. ..................... 1,690 189,229
Universal Electronics,
Inc.*..................... 2,960 62,811
-----------
TOTAL HOUSEHOLD DURABLES 252,040
-----------
INSURANCE 1.0%
eHealth, Inc.*............... 9,401 128,888
Tower Group, Inc. ........... 4,490 103,539
-----------
TOTAL INSURANCE 232,427
-----------
INTERNET & CATALOG RETAIL 2.5%
Blue Nile, Inc.*............. 3,550 191,664
HSN, Inc.*................... 6,130 184,697
NutriSystem, Inc. ........... 6,821 131,850
Stamps.com, Inc.*............ 5,590 59,254
-----------
TOTAL INTERNET & CATALOG RETAIL 567,465
-----------
INTERNET SOFTWARE & SERVICES 3.5%
comScore, Inc.*.............. 12,311 223,445
DealerTrack Holdings, Inc.*.. 5,491 83,738
j2 Global Communications,
Inc.*..................... 4,280 103,062
Knot, Inc.(The)*............. 4,720 38,279
Perficient, Inc.*............ 28,112 350,557
-----------
TOTAL INTERNET SOFTWARE & SERVICES 799,081
-----------
IT SERVICES 3.8%
CSG Systems International,
Inc.*..................... 5,650 128,368
Cybersource Corp.*........... 10,761 276,342
MAXIMUS, Inc. ............... 1,150 71,197
TeleTech Holdings, Inc.*..... 7,301 120,832
Wright Express Corp.*........ 8,131 276,210
-----------
TOTAL IT SERVICES 872,949
-----------
LEISURE EQUIPMENT & PRODUCTS 1.3%
Polaris Industries, Inc. .... 1,510 89,347
Sturm Ruger & Co., Inc. ..... 12,971 216,486
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 305,833
-----------
LIFE SCIENCES TOOLS & SERVICES 0.8%
Dionex Corp.*................ 930 75,860
Enzo Biochem, Inc.*.......... 16,161 96,481
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 172,341
-----------
MACHINERY 0.5%
Gardner Denver, Inc. ........ 2,420 121,702
-----------
TOTAL MACHINERY 121,702
-----------
MEDIA 1.9%
Arbitron, Inc. .............. 2,510 77,333
Dolan Media Co.*............. 30,857 366,890
-----------
TOTAL MEDIA 444,223
-----------
METALS & MINING 0.3%
AMCOL International Corp. ... 2,770 79,610
-----------
TOTAL METALS & MINING 79,610
-----------
OIL, GAS & CONSUMABLE FUELS 0.5%
St. Mary Land & Exploration
Co. ...................... 2,800 112,672
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 112,672
-----------
PAPER & FOREST PRODUCTS 0.5%
Schweitzer-Mauduit
International, Inc. ...... 1,880 107,010
-----------
TOTAL PAPER & FOREST PRODUCTS 107,010
-----------
PHARMACEUTICALS 1.3%
Par Pharmaceutical Cos.,
Inc.*..................... 4,000 108,560
Salix Pharmaceuticals Ltd.*.. 4,650 186,930
-----------
TOTAL PHARMACEUTICALS 295,490
-----------
PROFESSIONAL SERVICES 0.4%
Heidrick & Struggles
International, Inc. ...... 3,180 83,984
-----------
TOTAL PROFESSIONAL SERVICES 83,984
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 1.7%
Acadia Realty Trust.......... 4,190 79,945
DiamondRock Hospitality
Co.*...................... 16,691 183,434
Medical Properties Trust,
Inc. ..................... 13,271 133,374
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 396,753
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.5%
Forestar Real Estate Group,
Inc.*..................... 5,320 119,913
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 119,913
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 6.5%
Cymer, Inc.*................. 1,670 57,030
Diodes, Inc.*................ 11,381 244,350
Hittite Microwave Corp.*..... 3,660 187,685
Kopin Corp.*................. 22,852 96,207
Pericom Semiconductor
Corp.*.................... 7,841 91,583
Sigma Designs, Inc.*......... 13,871 164,510
Skyworks Solutions, Inc.*.... 7,481 125,980
Tessera Technologies, Inc.*.. 7,291 147,861
TriQuint Semiconductor,
Inc.*..................... 33,963 256,081
Veeco Instruments, Inc.*..... 2,940 129,331
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 1,500,618
-----------
SOFTWARE 10.4%
Blackbaud, Inc. ............. 7,041 162,295
Commvault Systems, Inc.*..... 8,101 169,716
Concur Technologies, Inc.*... 3,000 125,730
Ebix, Inc.*.................. 13,461 219,010
Epicor Software Corp.*....... 13,131 120,543
Interactive Intelligence,
Inc.*..................... 11,281 223,025
JDA Software Group, Inc.*.... 4,710 136,119
Manhattan Associates, Inc.*.. 4,470 128,110
MicroStrategy, Inc. --
Class A*.................. 2,840 217,544
Netscout Systems, Inc.*...... 13,731 199,374
</Table>
See Notes to Financial Statements.
34
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS (CONCLUDED)
Radiant Systems, Inc.*....... 15,091 $212,330
Smith Micro Software, Inc.*.. 16,591 157,449
Taleo Corp. Class A*......... 5,060 131,459
Tyler Technologies, Inc.*.... 5,800 98,832
Websense, Inc.*.............. 4,630 105,425
-----------
TOTAL SOFTWARE 2,406,961
-----------
SPECIALTY RETAIL 5.4%
Big 5 Sporting Goods Corp. .. 7,261 123,074
Buckle, Inc.(The)............ 3,340 120,841
Gymboree Corp.*.............. 3,200 157,216
Hibbett Sports, Inc.*........ 3,260 89,650
Jos. A. Bank Clothiers,
Inc.*..................... 3,410 207,533
Lumber Liquidators Holdings,
Inc.*..................... 10,411 317,119
Monro Muffler, Inc. ......... 2,150 77,099
Zumiez, Inc.*................ 8,401 155,922
-----------
TOTAL SPECIALTY RETAIL 1,248,454
-----------
TEXTILES, APPAREL & LUXURY GOODS 5.4%
Crocs, Inc.*................. 26,372 254,753
Deckers Outdoor Corp.*....... 1,760 247,421
Iconix Brand Group, Inc.*.... 13,741 237,170
True Religion Apparel,
Inc.*..................... 9,651 301,594
Volcom, Inc.*................ 8,491 202,425
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 1,243,363
-----------
WIRELESS TELECOMMUNICATION SERVICES 0.5%
NTELOS Holdings Corp. ....... 5,861 115,051
-----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 115,051
-----------
TOTAL COMMON STOCKS
(Cost $19,593,302) 23,049,440
-----------
SHORT TERM INVESTMENTS 0.0%(A)
SSgA Government Money Market
Fund...................... 5,523 5,523
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $5,523) 5,523
-----------
TOTAL INVESTMENTS 99.9%(B)
(Cost $19,598,825) 23,054,963
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 24,427
-----------
NET ASSETS--100.0% $23,079,390
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
(b) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 35
RYDEX S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.8%
AUTO COMPONENTS 2.4%
Goodyear Tire & Rubber
Co.(The)*................. 36,318 $487,751
Johnson Controls, Inc. ...... 14,812 497,535
-----------
TOTAL AUTO COMPONENTS 985,286
-----------
AUTOMOBILES 2.5%
Ford Motor Co.*.............. 34,988 455,544
Harley-Davidson, Inc. ....... 16,714 565,434
-----------
TOTAL AUTOMOBILES 1,020,978
-----------
DISTRIBUTORS 1.2%
Genuine Parts Co. ........... 11,324 484,667
-----------
TOTAL DISTRIBUTORS 484,667
-----------
DIVERSIFIED CONSUMER SERVICES 3.3%
Apollo Group, Inc. -- Class
A*........................ 7,342 421,504
DeVry, Inc. ................. 7,038 439,101
H&R Block, Inc. ............. 27,938 511,545
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 1,372,150
-----------
HOTELS, RESTAURANTS & LEISURE 13.1%
Carnival Corp. .............. 12,560 523,752
Darden Restaurants, Inc. .... 10,808 483,658
International Game
Technology................ 27,702 583,958
Marriott International,
Inc. -- Class A........... 16,250 597,350
McDonald's Corp. ............ 7,126 503,024
Starbucks Corp. ............. 18,918 491,490
Starwood Hotels & Resorts
Worldwide, Inc. .......... 11,056 602,663
Wyndham Worldwide Corp. ..... 19,702 528,211
Wynn Resorts Ltd. ........... 6,552 578,148
Yum! Brands, Inc. ........... 12,400 526,008
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 5,418,262
-----------
HOUSEHOLD DURABLES 11.5%
D.R. Horton, Inc. ........... 37,370 548,965
Fortune Brands, Inc. ........ 9,556 500,926
Harman International
Industries, Inc.*......... 10,750 424,410
Leggett & Platt, Inc. ....... 21,994 539,513
Lennar Corp. -- Class A...... 28,914 575,389
Newell Rubbermaid, Inc. ..... 30,678 523,673
Pulte Homes, Inc.*........... 41,596 544,492
Stanley Black & Decker,
Inc. ..................... 8,096 503,166
Whirlpool Corp. ............. 5,466 595,083
-----------
TOTAL HOUSEHOLD DURABLES 4,755,617
-----------
INTERNET & CATALOG RETAIL 3.7%
Amazon.com, Inc.*............ 3,620 496,157
Expedia, Inc. ............... 20,800 491,088
Priceline.com, Inc.*......... 1,968 515,715
-----------
TOTAL INTERNET & CATALOG RETAIL 1,502,960
-----------
LEISURE EQUIPMENT & PRODUCTS 3.5%
Eastman Kodak Co.*........... 80,216 490,922
Hasbro, Inc. ................ 12,402 475,741
Mattel, Inc. ................ 20,292 467,730
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 1,434,393
-----------
MEDIA 21.0%
CBS Corp. -- Class B......... 33,534 543,586
Comcast Corp. -- Class A..... 27,064 534,243
DIRECTV -- Class A*.......... 14,264 516,785
Discovery Communications,
Inc. -- Class A*.......... 14,548 563,008
Gannett Co., Inc. ........... 28,864 491,265
Interpublic Group of Cos.,
Inc.*..................... 54,650 486,931
McGraw-Hill Cos., Inc. ...... 13,158 443,688
Meredith Corp. .............. 13,738 493,606
New York Times Co. --
Class A*.................. 42,466 421,263
News Corp. -- Class A........ 33,640 518,729
Omnicom Group, Inc. ......... 12,072 514,991
Scripps Networks
Interactive -- Class A.... 11,464 519,778
Time Warner Cable, Inc. ..... 9,718 546,637
Time Warner, Inc. ........... 15,140 500,831
Viacom, Inc. -- Class B*..... 14,920 527,124
Walt Disney Co.(The)......... 14,046 517,455
Washington Post Co. --
Class B................... 1,050 532,518
-----------
TOTAL MEDIA 8,672,438
-----------
MULTILINE RETAIL 9.6%
Big Lots, Inc.*.............. 12,894 492,551
Family Dollar Stores, Inc. .. 13,166 520,847
J.C. Penney Co., Inc. ....... 14,990 437,258
Kohl's Corp.*................ 8,548 470,055
Macy's, Inc. ................ 22,468 521,258
Nordstrom, Inc. ............. 11,618 480,172
Sears Holdings Corp.*........ 4,570 552,741
Target Corp. ................ 8,852 503,413
-----------
TOTAL MULTILINE RETAIL 3,978,295
-----------
SPECIALTY RETAIL 23.1%
Abercrombie & Fitch
Co. -- Class A............ 10,712 468,436
AutoNation, Inc.*............ 25,686 518,857
AutoZone, Inc.*.............. 2,738 506,557
Bed Bath & Beyond, Inc.*..... 10,792 496,000
Best Buy Co., Inc. .......... 11,452 522,211
GameStop Corp. -- Class A*... 22,254 540,995
Gap, Inc.(The)............... 20,350 503,256
Home Depot, Inc. ............ 14,546 512,747
Limited Brands, Inc. ........ 19,174 513,863
Lowe's Cos., Inc. ........... 18,964 514,304
O'Reilly Automotive, Inc.*... 11,202 547,666
Office Depot, Inc.*.......... 59,862 410,653
RadioShack Corp. ............ 21,678 467,161
Ross Stores, Inc. ........... 8,788 492,128
Sherwin-Williams Co.(The).... 7,220 563,665
Staples, Inc. ............... 19,754 464,812
Tiffany & Co. ............... 10,022 485,867
TJX Cos., Inc. .............. 10,966 508,164
Urban Outfitters, Inc.*...... 13,246 496,857
-----------
TOTAL SPECIALTY RETAIL 9,534,199
-----------
TEXTILES, APPAREL & LUXURY GOODS 4.9%
Coach, Inc. ................. 12,462 520,289
NIKE, Inc. -- Class B........ 6,406 486,279
Polo Ralph Lauren Corp. ..... 5,700 512,430
V.F. Corp. .................. 5,914 511,088
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 2,030,086
-----------
TOTAL COMMON STOCKS
(Cost $33,319,519) 41,189,331
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund...................... 35,092 35,092
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $35,092) 35,092
-----------
TOTAL INVESTMENTS 99.9%(A)
(Cost $33,354,611) 41,224,423
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 37,780
-----------
NET ASSETS--100.0% $41,262,203
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
36
RYDEX S&P EQUAL WEIGHT CONSUMER STAPLES ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.6%
BEVERAGES 17.0%
Brown-Forman Corp. --
Class B................... 4,530 $263,555
Coca-Cola Co.(The)........... 4,730 252,819
Coca-Cola Enterprises,
Inc. ..................... 9,690 268,704
Constellation Brands,
Inc. -- Class A*.......... 16,161 295,261
Dr Pepper Snapple Group,
Inc. ..................... 7,190 235,329
Molson Coors Brewing
Co. -- Class B............ 6,000 266,160
PepsiCo, Inc. ............... 3,910 255,010
-----------
TOTAL BEVERAGES 1,836,838
-----------
FOOD & STAPLES RETAILING 21.9%
Costco Wholesale Corp. ...... 4,260 251,681
CVS Caremark Corp. .......... 7,560 279,191
Kroger Co.(The).............. 11,940 265,426
Safeway, Inc. ............... 10,770 254,172
SUPERVALU, Inc. ............. 15,571 232,008
Sysco Corp. ................. 9,030 284,806
Wal-Mart Stores, Inc. ....... 4,690 251,618
Walgreen Co. ................ 7,540 265,031
Whole Foods Market, Inc.*.... 7,280 284,066
-----------
TOTAL FOOD & STAPLES RETAILING 2,367,999
-----------
FOOD PRODUCTS 34.1%
Archer-Daniels-Midland Co. .. 8,980 250,901
Campbell Soup Co. ........... 7,370 264,288
ConAgra Foods, Inc. ......... 10,060 246,168
Dean Foods Co.*.............. 16,621 260,950
General Mills, Inc. ......... 3,540 251,977
H.J. Heinz Co. .............. 5,480 256,848
Hershey Co.(The)............. 6,110 287,231
Hormel Foods Corp. .......... 6,280 255,973
J.M. Smucker Co.(The)........ 4,340 265,044
Kellogg Co. ................. 4,890 268,657
Kraft Foods, Inc. --
Class A................... 8,750 259,000
McCormick & Co., Inc. ....... 6,650 263,140
Sara Lee Corp. .............. 18,701 265,928
Tyson Foods, Inc. --
Class A................... 14,581 285,642
-----------
TOTAL FOOD PRODUCTS 3,681,747
-----------
HOUSEHOLD PRODUCTS 9.6%
Clorox Co. .................. 4,030 260,741
Colgate-Palmolive Co. ....... 3,070 258,187
Kimberly-Clark Corp. ........ 4,250 260,355
Procter & Gamble Co. ........ 4,070 252,991
-----------
TOTAL HOUSEHOLD PRODUCTS 1,032,274
-----------
PERSONAL PRODUCTS 7.4%
Avon Products, Inc. ......... 8,120 262,520
Estee Lauder Cos.,
Inc -- Class A............ 4,120 271,590
Mead Johnson Nutrition Co. .. 5,060 261,147
-----------
TOTAL PERSONAL PRODUCTS 795,257
-----------
TOBACCO 9.6%
Altria Group, Inc. .......... 12,770 270,596
Lorillard, Inc. ............. 3,380 264,891
Philip Morris International,
Inc. ..................... 4,950 242,946
Reynolds American, Inc. ..... 4,860 259,621
-----------
TOTAL TOBACCO 1,038,054
-----------
TOTAL COMMON STOCKS
(Cost $9,577,843) 10,752,169
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund...................... 11,323 11,323
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $11,323) 11,323
-----------
TOTAL INVESTMENTS 99.7%(A)
(Cost $9,589,166) 10,763,492
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.3% 36,881
-----------
NET ASSETS--100.0% $10,800,373
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 37
RYDEX S&P EQUAL WEIGHT ENERGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.6%
ENERGY EQUIPMENT & SERVICES 28.4%
Baker Hughes, Inc. .......... 8,330 $414,514
Cameron International
Corp.*.................... 9,520 375,659
Diamond Offshore Drilling,
Inc. ..................... 4,720 373,352
FMC Technologies, Inc.*...... 6,540 442,693
Halliburton Co. ............. 12,920 395,998
Helmerich & Payne, Inc. ..... 10,460 424,885
Nabors Industries, Ltd.*..... 19,990 431,184
National-Oilwell Varco,
Inc. ..................... 9,320 410,360
Rowan Cos., Inc.*............ 14,970 446,106
Schlumberger, Ltd. .......... 6,160 439,947
Smith International, Inc. ... 9,140 436,527
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 4,591,225
-----------
OIL, GAS & CONSUMABLE FUELS 71.2%
Anadarko Petroleum Corp. .... 5,660 351,826
Apache Corp. ................ 3,890 395,846
Cabot Oil & Gas Corp. ....... 10,340 373,584
Chesapeake Energy Corp. ..... 16,480 392,224
Chevron Corp. ............... 5,330 434,075
ConocoPhillips............... 7,580 448,660
CONSOL Energy, Inc. ......... 8,610 384,695
Denbury Resources, Inc.*..... 25,560 489,474
Devon Energy Corp. .......... 6,140 413,406
El Paso Corp. ............... 35,470 429,187
EOG Resources, Inc. ......... 4,320 484,358
Exxon Mobil Corp. ........... 5,930 402,351
Hess Corp. .................. 6,510 413,711
Marathon Oil Corp. .......... 12,440 399,946
Massey Energy Co. ........... 7,810 286,080
Murphy Oil Corp. ............ 7,230 434,885
Noble Energy, Inc. .......... 5,390 411,796
Occidental Petroleum Corp. .. 4,810 426,455
Peabody Energy Corp. ........ 8,420 393,382
Pioneer Natural Resources
Co. ...................... 7,510 481,616
Range Resources Corp. ....... 8,240 393,542
Southwestern Energy Co.*..... 9,940 394,419
Spectra Energy Corp. ........ 17,820 415,919
Sunoco, Inc. ................ 13,370 438,269
Tesoro Corp. ................ 28,920 380,298
Valero Energy Corp. ......... 19,600 407,484
Williams Cos., Inc.(The)..... 17,630 416,244
XTO Energy, Inc. ............ 8,400 399,168
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 11,492,900
-----------
TOTAL COMMON STOCKS
(Cost $14,718,929) 16,084,125
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund...................... 20,760 20,760
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $20,760) 20,760
-----------
TOTAL INVESTMENTS 99.7%(A)
(Cost $14,739,689) 16,104,885
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.3% 52,931
-----------
NET ASSETS--100.0% $16,157,816
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
38
RYDEX S&P EQUAL WEIGHT FINANCIALS ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.8%
CAPITAL MARKETS 17.0%
Ameriprise Financial,
Inc. .................... 6,600 $305,976
Bank of New York Mellon
Corp. ................... 9,480 295,113
Charles Schwab Corp.(The)... 15,480 298,609
E*TRADE Financial Corp.*.... 184,440 309,859
Federated Investors,
Inc. -- Class B.......... 11,240 271,109
Franklin Resources, Inc. ... 2,630 304,133
Goldman Sachs Group,
Inc.(The)................ 1,650 239,580
Invesco Ltd. ............... 13,990 321,630
Janus Capital Group, Inc. .. 20,680 291,175
Legg Mason, Inc. ........... 9,880 313,097
Morgan Stanley.............. 9,810 296,458
Northern Trust Corp. ....... 5,240 288,095
State Street Corp. ......... 6,290 273,615
T. Rowe Price Group, Inc. .. 5,310 305,378
-----------
TOTAL CAPITAL MARKETS 4,113,827
-----------
COMMERCIAL BANKS 18.9%
BB&T Corp. ................. 9,120 303,149
Comerica, Inc. ............. 7,660 321,720
Fifth Third Bancorp......... 21,800 325,038
First Horizon National
Corp.*................... 20,040 283,566
Huntington Bancshares,
Inc. .................... 54,370 368,085
KeyCorp..................... 38,550 347,721
M&T Bank Corp. ............. 3,480 303,978
Marshall & Ilsley Corp. .... 37,550 341,705
PNC Financial Services
Group, Inc. ............. 4,900 329,329
Regions Financial Corp. .... 39,170 346,263
SunTrust Banks, Inc. ....... 10,660 315,536
U.S. Bancorp................ 11,200 299,824
Wells Fargo & Co. .......... 9,610 318,187
Zions Bancorp............... 13,030 374,352
-----------
TOTAL COMMERCIAL BANKS 4,578,453
-----------
CONSUMER FINANCE 5.1%
American Express Co. ....... 7,210 332,525
Capital One Financial
Corp. ................... 7,250 314,723
Discover Financial
Services................. 19,090 295,131
SLM Corp.*.................. 24,720 302,573
-----------
TOTAL CONSUMER FINANCE 1,244,952
-----------
DIVERSIFIED FINANCIAL SERVICES 11.1%
Bank of America Corp. ...... 17,270 307,924
Citigroup, Inc.*............ 73,590 321,588
CME Group, Inc. ............ 940 308,705
IntercontinentalExchange,
Inc.*.................... 2,690 313,735
JPMorgan Chase & Co. ....... 6,710 285,712
Leucadia National Corp.*.... 11,380 288,028
Moody's Corp. .............. 9,780 241,762
Nasdaq OMX Group (The)*..... 13,870 291,270
NYSE Euronext............... 9,900 323,037
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 2,681,761
-----------
INSURANCE 26.0%
AFLAC, Inc. ................ 5,350 272,636
Allstate Corp. ............. 9,360 305,791
American International
Group, Inc.*............. 8,520 331,428
Aon Corp. .................. 6,860 291,276
Assurant, Inc. ............. 8,780 319,855
Berkshire Hathaway,
Inc. -- Class B*......... 3,550 273,350
Chubb Corp. ................ 5,690 300,830
Cincinnati Financial
Corp. ................... 9,940 282,296
Genworth Financial,
Inc. -- Class A*......... 18,120 299,342
Hartford Financial Services
Group, Inc. ............. 10,700 305,699
Lincoln National Corp. ..... 10,080 308,347
Loews Corp. ................ 7,850 292,334
Marsh & McLennan Cos.,
Inc. .................... 11,840 286,765
MetLife, Inc. .............. 6,940 316,325
Principal Financial Group,
Inc. .................... 10,630 310,609
Progressive Corp. .......... 16,140 324,253
Prudential Financial,
Inc. .................... 5,010 318,436
Torchmark Corp. ............ 5,470 292,864
Travelers Cos., Inc.(The)... 5,510 279,577
Unum Group.................. 12,170 297,800
XL Capital, Ltd. --
Class A.................. 15,350 273,230
-----------
TOTAL INSURANCE 6,283,043
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 18.0%
Apartment Investment &
Management Co. -- Class
A........................ 16,220 363,490
AvalonBay Communities,
Inc. .................... 3,320 345,413
Boston Properties, Inc. .... 3,840 302,822
Equity Residential.......... 7,420 335,904
HCP, Inc. .................. 8,780 282,014
Health Care REIT, Inc. ..... 6,380 286,653
Host Hotels & Resorts,
Inc. .................... 21,330 346,826
Kimco Realty Corp. ......... 18,790 292,936
Plum Creek Timber Co.,
Inc. .................... 7,580 301,684
ProLogis.................... 20,520 270,248
Public Storage, Inc. ....... 3,200 310,112
Simon Property Group,
Inc. .................... 3,460 308,009
Ventas, Inc. ............... 6,170 291,409
Vornado Realty Trust........ 3,870 322,642
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 4,360,162
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 1.4%
CB Richard Ellis Group,
Inc. -- Class A*......... 19,560 338,779
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 338,779
-----------
THRIFTS & MORTGAGE FINANCE 2.3%
Hudson City Bancorp, Inc. .. 21,000 279,300
People's United Financial,
Inc. .................... 18,510 287,460
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 566,760
-----------
TOTAL COMMON STOCKS
(Cost $20,611,549) 24,167,737
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund..................... 31,373 31,373
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $31,373) 31,373
-----------
TOTAL INVESTMENTS 99.9%(A)
(Cost $20,642,922) 24,199,110
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 20,603
-----------
NET ASSETS--100.0% $24,219,713
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 39
RYDEX S&P EQUAL WEIGHT HEALTH CARE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.9%
BIOTECHNOLOGY 10.7%
Amgen, Inc.*................ 24,530 $1,407,041
Biogen Idec, Inc.*.......... 24,280 1,292,910
Celgene Corp.*.............. 22,490 1,393,255
Cephalon, Inc.*............. 20,080 1,289,136
Genzyme Corp.*.............. 24,520 1,305,445
Gilead Sciences, Inc.*...... 30,360 1,204,381
-----------
TOTAL BIOTECHNOLOGY 7,892,168
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 25.8%
Baxter International,
Inc. .................... 24,680 1,165,390
Becton, Dickinson & Co. .... 18,470 1,410,554
Boston Scientific Corp.*.... 204,110 1,404,277
C.R. Bard, Inc. ............ 17,410 1,506,487
CareFusion Corp.*........... 57,660 1,590,263
Dentsply International,
Inc. .................... 42,710 1,564,894
Hospira, Inc.*.............. 25,630 1,378,638
Intuitive Surgical, Inc.*... 4,150 1,496,324
Medtronic, Inc. ............ 32,560 1,422,546
St Jude Medical, Inc.*...... 37,020 1,511,156
Stryker Corp. .............. 25,750 1,479,080
Varian Medical Systems,
Inc.*.................... 27,270 1,537,483
Zimmer Holdings, Inc.*...... 25,590 1,558,687
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 19,025,779
-----------
HEALTH CARE PROVIDERS & SERVICES 30.3%
Aetna, Inc. ................ 42,330 1,250,852
AmerisourceBergen Corp. .... 50,970 1,572,425
Cardinal Health, Inc. ...... 40,790 1,415,005
CIGNA Corp. ................ 39,350 1,261,561
Coventry Health Care,
Inc.*.................... 55,230 1,311,160
DaVita, Inc.*............... 22,930 1,431,520
Express Scripts, Inc.*...... 14,470 1,448,881
Humana, Inc.*............... 29,000 1,325,880
Laboratory Corp. of America
Holdings*................ 19,310 1,517,187
McKesson Corp. ............. 22,830 1,479,612
Medco Health Solutions,
Inc.*.................... 22,160 1,305,667
Patterson Cos., Inc. ....... 47,270 1,512,167
Quest Diagnostics, Inc. .... 25,450 1,454,722
Tenet Healthcare Corp.*..... 254,430 1,590,187
UnitedHealth Group, Inc. ... 42,610 1,291,509
WellPoint, Inc.*............ 22,350 1,202,430
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 22,370,765
-----------
HEALTH CARE TECHNOLOGY 2.1%
Cerner Corp.*............... 18,260 1,550,457
-----------
TOTAL HEALTH CARE TECHNOLOGY 1,550,457
-----------
LIFE SCIENCES TOOLS & SERVICES 10.4%
Life Technologies Corp.*.... 27,160 1,485,924
Millipore Corp.*............ 13,810 1,465,932
PerkinElmer, Inc. .......... 60,890 1,525,294
Thermo Fisher Scientific,
Inc.*.................... 29,160 1,611,965
Waters Corp.*............... 22,380 1,611,136
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 7,700,251
-----------
PHARMACEUTICALS 20.6%
Abbott Laboratories......... 27,130 1,387,971
Allergan, Inc. ............. 22,720 1,447,037
Bristol-Myers Squibb Co. ... 55,780 1,410,676
Eli Lilly & Co. ............ 40,190 1,405,444
Forest Laboratories, Inc.*.. 46,810 1,276,041
Johnson & Johnson, Inc. .... 22,410 1,440,963
King Pharmaceuticals,
Inc.*.................... 118,710 1,163,358
Merck & Co., Inc. .......... 38,170 1,337,477
Mylan, Inc.*................ 64,280 $1,416,088
Pfizer, Inc. ............... 85,760 1,433,907
Watson Pharmaceuticals,
Inc.*.................... 35,890 1,536,810
-----------
TOTAL PHARMACEUTICALS 15,255,772
-----------
TOTAL COMMON STOCKS
(Cost $71,888,746) 73,795,192
-----------
SHORT TERM INVESTMENTS 0.0%(A)
SSgA Government Money Market
Fund..................... 35,803 35,803
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $35,803) 35,803
-----------
TOTAL INVESTMENTS 99.9%(B)
(Cost $71,924,549) 73,830,995
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 52,050
-----------
NET ASSETS--100.0% $73,883,045
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.1% of net assets.
(b) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
40
RYDEX S&P EQUAL WEIGHT INDUSTRIALS ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 20.4%
Boeing Co. .................. 9,838 $712,566
General Dynamics Corp. ...... 9,276 708,316
Goodrich Corp. .............. 9,818 728,299
Honeywell International,
Inc. ..................... 15,966 757,906
ITT Corp. ................... 13,314 739,859
L-3 Communications Holdings,
Inc. ..................... 7,448 696,909
Lockheed Martin Corp. ....... 8,090 686,760
Northrop Grumman Corp. ...... 10,724 727,409
Precision Castparts Corp. ... 5,744 737,185
Raytheon Co. ................ 12,300 717,090
Rockwell Collins, Inc. ...... 11,140 724,100
United Technologies Corp. ... 9,558 716,372
-----------
TOTAL AEROSPACE & DEFENSE 8,652,771
-----------
AIR FREIGHT & LOGISTICS 6.9%
C.H. Robinson Worldwide,
Inc. ..................... 12,374 746,152
Expeditors International of
Washington, Inc. ......... 18,148 739,350
FedEx Corp. ................. 7,718 694,697
United Parcel Service,
Inc. -- Class B........... 10,906 754,041
-----------
TOTAL AIR FREIGHT & LOGISTICS 2,934,240
-----------
AIRLINES 1.7%
Southwest Airlines Co. ...... 54,640 720,155
-----------
TOTAL AIRLINES 720,155
-----------
BUILDING PRODUCTS 1.8%
Masco Corp. ................. 46,400 753,072
-----------
TOTAL BUILDING PRODUCTS 753,072
-----------
COMMERCIAL SERVICES & SUPPLIES 13.7%
Avery Dennison Corp. ........ 20,092 784,191
Cintas Corp. ................ 24,966 680,323
Iron Mountain, Inc. ......... 26,906 676,686
Pitney Bowes, Inc. .......... 28,662 728,015
R.R. Donnelley & Sons Co. ... 34,286 736,806
Republic Services, Inc. ..... 24,560 762,097
Stericycle, Inc.*............ 12,602 742,258
Waste Management, Inc. ...... 20,492 710,662
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 5,821,038
-----------
CONSTRUCTION & ENGINEERING 5.5%
Fluor Corp. ................. 15,502 819,126
Jacobs Engineering Group,
Inc.*..................... 16,262 784,154
Quanta Services, Inc.*....... 36,074 726,169
-----------
TOTAL CONSTRUCTION & ENGINEERING 2,329,449
-----------
ELECTRICAL EQUIPMENT 7.4%
Emerson Electric Co. ........ 14,418 753,052
First Solar, Inc.*........... 6,194 889,149
Rockwell Automation, Inc. ... 12,670 769,323
Roper Industries, Inc. ...... 12,220 745,664
-----------
TOTAL ELECTRICAL EQUIPMENT 3,157,188
-----------
INDUSTRIAL CONGLOMERATES 5.2%
3M Co. ...................... 8,538 757,065
General Electric Co. ........ 38,828 732,296
Textron, Inc. ............... 31,342 715,851
-----------
TOTAL INDUSTRIAL CONGLOMERATES 2,205,212
-----------
MACHINERY 21.7%
Caterpillar, Inc. ........... 11,830 805,505
Cummins, Inc. ............... 12,014 867,771
Danaher Corp. ............... 9,096 766,611
Deere & Co. ................. 11,844 708,508
Dover Corp. ................. 15,036 785,180
Eaton Corp. ................. 9,426 727,310
Flowserve Corp. ............. 6,684 765,853
Illinois Tool Works, Inc. ... 14,982 765,580
PACCAR, Inc. ................ 16,636 773,907
Pall Corp. .................. 18,132 706,967
Parker-Hannifin Corp. ....... 10,741 743,062
Snap-on, Inc. ............... 16,342 787,357
-----------
TOTAL MACHINERY 9,203,611
-----------
PROFESSIONAL SERVICES 4.7%
Dun & Bradstreet Corp. ...... 9,446 727,059
Equifax, Inc. ............... 19,766 664,137
Robert Half International,
Inc. ..................... 22,484 615,612
-----------
TOTAL PROFESSIONAL SERVICES 2,006,808
-----------
ROAD & RAIL 7.2%
CSX Corp. ................... 13,636 764,298
Norfolk Southern Corp. ...... 12,660 751,118
Ryder System, Inc. .......... 18,176 845,547
Union Pacific Corp. ......... 9,568 723,915
-----------
TOTAL ROAD & RAIL 3,084,878
-----------
TRADING COMPANIES & DISTRIBUTORS 3.6%
Fastenal Co. ................ 14,948 817,506
W.W. Grainger, Inc. ......... 6,528 721,605
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 1,539,111
-----------
TOTAL COMMON STOCKS
(Cost $34,791,591) 42,407,533
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund...................... 25,569 25,569
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $25,569) 25,569
-----------
TOTAL INVESTMENTS 99.9%(A)
(Cost $34,817,160) 42,433,102
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 25,621
-----------
NET ASSETS--100.0% $42,458,723
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 41
RYDEX S&P EQUAL WEIGHT MATERIALS ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.7%
CHEMICALS 42.5%
Air Products & Chemicals,
Inc. ..................... 16,506 $1,267,331
Airgas, Inc. ................ 19,280 1,223,316
CF Industries Holdings,
Inc. ..................... 13,515 1,130,800
Dow Chemical Co.(The)........ 41,864 1,290,667
Du Pont (E.I.) de Nemours &
Co. ...................... 33,718 1,343,325
Eastman Chemical Co. ........ 20,149 1,348,371
Ecolab, Inc. ................ 28,528 1,393,308
FMC Corp. ................... 20,580 1,309,711
International Flavors &
Fragrances, Inc. ......... 27,430 1,373,969
Monsanto Co. ................ 17,119 1,079,524
PPG Industries, Inc. ........ 19,032 1,339,282
Praxair, Inc. ............... 15,130 1,267,440
Sigma-Aldrich Corp. ......... 22,548 1,337,096
-----------
TOTAL CHEMICALS 16,704,140
-----------
CONSTRUCTION MATERIALS 3.7%
Vulcan Materials Co. ........ 25,395 1,454,626
-----------
TOTAL CONSTRUCTION MATERIALS 1,454,626
-----------
CONTAINERS & PACKAGING 15.9%
Ball Corp. .................. 22,733 1,209,623
Bemis Co., Inc. ............. 42,135 1,281,325
Owens-Illinois, Inc.*........ 36,079 1,278,640
Pactiv Corp.*................ 49,680 1,262,369
Sealed Air Corp. ............ 57,158 1,228,897
-----------
TOTAL CONTAINERS & PACKAGING 6,260,854
-----------
METALS & MINING 27.5%
AK Steel Holding Corp. ...... 55,641 931,987
Alcoa, Inc. ................. 86,537 1,163,057
Allegheny Technologies,
Inc. ..................... 24,127 1,290,071
Cliffs Natural Resources,
Inc. ..................... 19,313 1,207,642
Freeport-McMoRan Copper &
Gold, Inc. ............... 15,617 1,179,552
Newmont Mining Corp. ........ 24,243 1,359,547
Nucor Corp. ................. 27,884 1,263,703
Titanium Metals Corp.*....... 83,836 1,292,751
United States Steel Corp. ... 20,832 1,138,677
-----------
TOTAL METALS & MINING 10,826,987
-----------
PAPER & FOREST PRODUCTS 10.1%
International Paper Co. ..... 47,585 1,272,423
MeadWestvaco Corp. .......... 49,333 1,340,377
Weyerhaeuser Co. ............ 27,873 1,380,271
-----------
TOTAL PAPER & FOREST PRODUCTS 3,993,071
-----------
TOTAL COMMON STOCKS
(Cost $31,639,341) 39,239,678
-----------
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market
Fund...................... 73,237 73,237
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $73,237) 73,237
-----------
TOTAL INVESTMENTS 99.9%(A)
(Cost $31,712,578) 39,312,915
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 22,142
-----------
NET ASSETS--100.0% $39,335,057
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
42
RYDEX S&P EQUAL WEIGHT TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.9%
COMMUNICATIONS EQUIPMENT 9.6%
Cisco Systems, Inc.*........ 44,176 $1,189,218
Harris Corp. ............... 25,172 1,295,855
JDS Uniphase Corp.*......... 105,590 1,371,614
Juniper Networks, Inc.*..... 38,595 1,096,484
Motorola, Inc.*............. 160,307 1,133,370
QUALCOMM, Inc. ............. 28,870 1,118,424
Tellabs, Inc. .............. 153,340 1,392,327
-----------
TOTAL COMMUNICATIONS EQUIPMENT 8,597,292
-----------
COMPUTERS & PERIPHERALS 15.2%
Apple, Inc.*................ 5,199 1,357,563
Dell, Inc.*................. 80,524 1,302,878
EMC Corp.*.................. 62,160 1,181,662
Hewlett-Packard Co. ........ 22,055 1,146,198
International Business
Machines Corp. .......... 9,085 1,171,965
Lexmark International,
Inc. -- Class A*......... 33,380 1,236,729
NetApp, Inc.*............... 35,687 1,237,268
QLogic Corp.*............... 58,295 1,129,174
SanDisk Corp.*.............. 35,950 1,434,046
Teradata Corp.*............. 40,020 1,163,382
Western Digital Corp.*...... 30,291 1,244,657
-----------
TOTAL COMPUTERS & PERIPHERALS 13,605,522
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 8.0%
Agilent Technologies,
Inc.*.................... 34,605 1,254,777
Amphenol Corp. -- Class A... 26,572 1,227,892
Corning, Inc. .............. 59,128 1,138,214
FLIR Systems, Inc.*......... 42,466 1,299,035
Jabil Circuit, Inc. ........ 66,828 1,023,805
Molex, Inc. ................ 54,978 1,232,057
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 7,175,780
-----------
INTERNET SOFTWARE & SERVICES 7.9%
Akamai Technologies, Inc.*.. 36,795 1,428,750
eBay, Inc.*................. 42,381 1,009,092
Google, Inc. -- Class A*.... 2,064 1,084,508
Monster Worldwide, Inc.*.... 69,031 1,203,210
VeriSign, Inc.*............. 43,224 1,178,718
Yahoo!, Inc.*............... 70,279 1,161,712
-----------
TOTAL INTERNET SOFTWARE & SERVICES 7,065,990
-----------
IT SERVICES 14.3%
Automatic Data Processing,
Inc. .................... 25,860 1,121,290
Cognizant Technology
Solutions Corp. --
Class A*................. 22,571 1,155,184
Computer Sciences Corp.*.... 21,227 1,112,082
Fidelity National
Information Services,
Inc. .................... 49,107 1,291,023
Fiserv, Inc.*............... 22,774 1,163,524
Mastercard, Inc. --
Class A.................. 4,732 1,173,725
Paychex, Inc. .............. 35,989 1,101,263
SAIC, Inc.*................. 61,038 1,062,672
Total System Services,
Inc. .................... 76,469 1,224,269
Visa, Inc. -- Class A....... 13,008 1,173,712
Western Union Co. .......... 69,574 1,269,725
-----------
TOTAL IT SERVICES 12,848,469
-----------
OFFICE ELECTRONICS 1.4%
Xerox Corp. ................ 120,494 1,313,384
-----------
TOTAL OFFICE ELECTRONICS 1,313,384
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 23.9%
Advanced Micro Devices,
Inc.*.................... 126,149 1,142,910
Altera Corp. ............... 46,701 1,184,337
Analog Devices, Inc. ....... 38,762 1,160,147
Applied Materials, Inc. .... 92,418 1,273,520
Broadcom Corp. -- Class A... 34,391 1,186,146
Intel Corp. ................ 52,670 1,202,456
KLA-Tencor Corp. ........... 40,055 1,364,273
Linear Technology Corp. .... 40,808 1,226,688
LSI Corp.*.................. 179,264 1,079,169
MEMC Electronic Materials,
Inc.*.................... 81,699 1,059,636
Microchip Technology,
Inc. .................... 40,894 1,194,514
Micron Technology, Inc.*.... 115,549 1,080,383
National Semiconductor
Corp. ................... 79,625 1,176,858
Novellus Systems, Inc.*..... 49,924 1,308,009
NVIDIA Corp.*............... 66,999 1,053,224
Teradyne, Inc.*............. 109,121 1,334,550
Texas Instruments, Inc. .... 47,387 1,232,536
Xilinx, Inc. ............... 43,545 1,122,590
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 21,381,946
-----------
SOFTWARE 19.6%
Adobe Systems, Inc.*........ 33,319 1,119,185
Autodesk, Inc.*............. 39,716 1,350,741
BMC Software, Inc.*......... 29,386 1,156,633
CA, Inc. ................... 49,417 1,127,202
Citrix Systems, Inc.*....... 23,904 1,123,488
Compuware Corp.*............ 133,195 1,145,477
Electronic Arts, Inc.*...... 62,765 1,215,758
Intuit, Inc.*............... 33,466 1,210,130
McAfee, Inc.*............... 28,100 976,475
Microsoft Corp. ............ 39,175 1,196,404
Novell, Inc.*............... 203,301 1,140,519
Oracle Corp. ............... 46,109 1,191,457
Red Hat, Inc.*.............. 38,587 1,152,594
Salesforce.com, Inc.*....... 15,211 1,302,062
Symantec Corp.*............. 67,182 1,126,642
-----------
TOTAL SOFTWARE 17,534,767
-----------
TOTAL COMMON STOCKS
(Cost $82,312,847) 89,523,151
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund..................... 66,738 66,738
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $66,738) 66,738
-----------
TOTAL INVESTMENTS 100.0%(A)
(Cost $82,379,585) 89,589,889
-----------
LIABILITIES IN EXCESS OF OTHER
ASSETS--0.0%(B) (9,553)
-----------
NET ASSETS--100.0% $89,580,336
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 43
RYDEX S&P EQUAL WEIGHT UTILITIES ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 99.3%
DIVERSIFIED TELECOMMUNICATION SERVICES 13.1%
AT&T, Inc. .................. 9,690 $252,522
CenturyTel, Inc. ............ 7,290 248,662
Frontier Communications
Corp. .................... 34,030 270,879
Qwest Communications
International, Inc. ...... 50,010 261,552
Verizon Communications,
Inc. ..................... 8,360 241,520
Windstream Corp. ............ 22,900 253,045
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 1,528,180
-----------
ELECTRIC UTILITIES 30.0%
Allegheny Energy, Inc. ...... 10,870 236,749
American Electric Power Co.,
Inc. ..................... 7,350 252,105
Duke Energy Corp. ........... 15,280 256,398
Edison International......... 7,380 253,651
Entergy Corp. ............... 3,150 256,063
Exelon Corp. ................ 5,700 248,463
FirstEnergy Corp. ........... 6,420 243,125
FPL Group, Inc. ............. 5,270 274,303
Northeast Utilities.......... 9,290 258,169
Pepco Holdings, Inc. ........ 14,740 246,748
Pinnacle West Capital
Corp. .................... 6,740 251,672
PPL Corp. ................... 8,930 221,107
Progress Energy, Inc. ....... 6,390 255,089
Southern Co. ................ 7,600 262,656
-----------
TOTAL ELECTRIC UTILITIES 3,516,298
-----------
GAS UTILITIES 9.2%
EQT Corp. ................... 6,100 265,289
Nicor, Inc. ................. 5,870 255,404
Oneok, Inc. ................. 5,530 271,744
Questar Corp. ............... 5,970 286,261
-----------
TOTAL GAS UTILITIES 1,078,698
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 6.7%
AES Corp.(The)*.............. 22,140 255,496
Constellation Energy Group,
Inc. ..................... 7,020 248,157
NRG Energy, Inc.*............ 11,570 279,647
-----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 783,300
-----------
MULTI-UTILITIES 33.5%
Ameren Corp. ................ 9,780 253,889
CenterPoint Energy, Inc. .... 17,530 251,731
CMS Energy Corp. ............ 16,110 261,949
Consolidated Edison, Inc. ... 5,750 259,900
Dominion Resources, Inc. .... 6,260 261,668
DTE Energy Co. .............. 5,650 272,160
Integrys Energy Group,
Inc. ..................... 5,510 273,351
NiSource, Inc. .............. 16,210 264,223
PG&E Corp. .................. 5,890 257,982
Public Service Enterprise
Group, Inc. .............. 8,230 264,430
SCANA Corp. ................. 6,710 264,844
Sempra Energy................ 5,030 247,375
TECO Energy, Inc. ........... 16,030 271,388
Wisconsin Energy Corp. ...... 5,040 264,650
Xcel Energy, Inc. ........... 11,780 256,215
-----------
TOTAL MULTI-UTILITIES 3,925,755
-----------
WIRELESS TELECOMMUNICATION SERVICES 6.8%
American Tower Corp. --
Class A*.................. 5,720 233,433
MetroPCS Communications,
Inc.*..................... 36,120 275,596
Sprint Nextel Corp.*......... 67,790 288,107
-----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 797,136
-----------
TOTAL COMMON STOCKS
(Cost $11,061,700) 11,629,367
-----------
SHORT TERM INVESTMENTS 0.3%
SSgA Government Money Market
Fund...................... 30,523 30,523
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $30,523) 30,523
-----------
TOTAL INVESTMENTS 99.6%(A)
(Cost $11,092,223) 11,659,890
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.4% 44,975
-----------
NET ASSETS--100.0% $11,704,865
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
44
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P
RYDEX S&P 500 RYDEX S&P 500 MIDCAP 400 MIDCAP 400
PURE VALUE ETF PURE GROWTH ETF PURE VALUE ETF PURE GROWTH ETF
-------------- --------------- -------------- ---------------
ASSETS
Investments at Market Value*........ $117,562,510 $89,451,361 $72,814,998 $227,716,335
Cash................................ 60,219 1,045 49,183 3,335,105
Receivables:
Investments Sold.................. -- 733,551 -- 2,420,928
Fund Shares Sold.................. 5,541,401 3,824,275 -- 3,299,108
Dividends......................... 70,735 26,355 32,132 20,740
------------ ----------- ----------- ------------
TOTAL ASSETS................... 123,234,865 94,036,587 72,896,313 236,792,216
------------ ----------- ----------- ------------
LIABILITIES
Payables:
Investments Purchased............. 5,537,994 4,547,003 -- 5,790,626
Accrued Management Fees........... 28,434 24,977 19,505 62,640
------------ ----------- ----------- ------------
TOTAL LIABILITIES.............. 5,566,428 4,571,980 19,505 5,853,266
------------ ----------- ----------- ------------
NET ASSETS.......................... $117,668,437 $89,464,607 $72,876,808 $230,938,950
============ =========== =========== ============
NET ASSETS CONSIST OF:
Paid-in Capital..................... $116,247,008 $86,301,809 $68,643,506 $211,376,703
Undistributed (Distributions in
Excess) of Net Investment Income.. 37,948 1,496 32,636 (14,649)
Accumulated Net Realized Loss on
Investment Securities............. (9,201,115) (7,998,590) (4,017,709) (2,919,440)
Net Unrealized Appreciation on
Investment Securities............. 10,584,596 11,159,892 8,218,375 22,496,336
------------ ----------- ----------- ------------
NET ASSETS.......................... $117,668,437 $89,464,607 $72,876,808 $230,938,950
============ =========== =========== ============
Shares Outstanding (Unlimited Shares
Authorized), No Par Value......... 4,252,836 2,400,299 2,200,499 3,500,021
============ =========== =========== ============
Net Asset Value, Offering Price and
Repurchase Price Per Share........ $ 27.67 $ 37.27 $ 33.12 $ 65.98
============ =========== =========== ============
*Total Cost of Investments.......... $106,977,914 $78,291,469 $64,596,623 $205,219,999
============ =========== =========== ============
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 45
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P RYDEX S&P EQUAL RYDEX S&P EQUAL
SMALLCAP 600 SMALLCAP 600 WEIGHT CONSUMER WEIGHT CONSUMER
PURE VALUE ETF PURE GROWTH ETF DISCRETIONARY ETF STAPLES ETF
-------------- --------------- ----------------- ---------------
ASSETS
Investments at Market Value*...... $199,187,296 $23,054,963 $41,224,423 $10,763,492
Cash.............................. 82,943 22,662 37,389 27,998
Receivables:
Investments Sold................ -- 259,183 -- --
Fund Shares Sold................ 1,974,488 -- -- --
Dividends....................... 204,494 4,243 16,477 13,357
------------ ----------- ----------- -----------
TOTAL ASSETS................. 201,449,221 23,341,051 41,278,289 10,804,847
------------ ----------- ----------- -----------
LIABILITIES
Payables:
Investments Purchased........... 1,972,251 255,543 -- --
Accrued Management Fees......... 52,080 6,118 16,086 4,474
------------ ----------- ----------- -----------
TOTAL LIABILITIES............ 2,024,331 261,661 16,086 4,474
------------ ----------- ----------- -----------
NET ASSETS........................ $199,424,890 $23,079,390 $41,262,203 $10,800,373
============ =========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital................... $196,015,806 $21,850,139 $37,004,102 $ 9,999,408
Undistributed (Distributions in
Excess) of Net Investment
Income.......................... 194,779 (382) 19,263 20,894
Accumulated Net Realized Loss on
Investment Securities........... (22,438,869) (2,226,505) (3,630,974) (394,255)
Net Unrealized Appreciation on
Investment Securities........... 25,653,174 3,456,138 7,869,812 1,174,326
------------ ----------- ----------- -----------
NET ASSETS........................ $199,424,890 $23,079,390 $41,262,203 $10,800,373
============ =========== =========== ===========
Shares Outstanding (Unlimited
Shares Authorized), No Par
Value........................... 5,050,040 550,004 950,000 200,000
============ =========== =========== ===========
Net Asset Value, Offering Price
and Repurchase Price Per Share.. $ 39.49 $ 41.96 $ 43.43 $ 54.00
============ =========== =========== ===========
*Total Cost of Investments........ $173,534,122 $19,598,825 $33,354,611 $ 9,589,166
============ =========== =========== ===========
</Table>
See Notes to Financial Statements.
46
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P
RYDEX S&P RYDEX S&P EQUAL RYDEX S&P EQUAL
EQUAL WEIGHT EQUAL WEIGHT WEIGHT HEALTH WEIGHT
ENERGY ETF FINANCIALS ETF CARE ETF INDUSTRIALS ETF
------------ -------------- ------------- ---------------
ASSETS
Investments at Market Value*........... $16,104,885 $24,199,110 $73,830,995 $42,433,102
Cash................................... 1,609 15,120 23,394 18,901
Receivables:
Investments Sold..................... 736,566 -- 1,618,386 --
Dividends............................ 7,485 15,463 41,105 22,924
----------- ----------- ----------- -----------
TOTAL ASSETS...................... 16,850,545 24,229,693 75,513,880 42,474,927
----------- ----------- ----------- -----------
LIABILITIES
Payables:
Investments Purchased................ 686,069 -- 1,597,474 --
Accrued Management Fees.............. 6,660 9,980 33,361 16,204
----------- ----------- ----------- -----------
TOTAL LIABILITIES................. 692,729 9,980 1,630,835 16,204
----------- ----------- ----------- -----------
NET ASSETS............................. $16,157,816 $24,219,713 $73,883,045 $42,458,723
=========== =========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital........................ $17,300,227 $26,972,631 $77,093,295 $36,107,561
Undistributed (Distributions in Excess)
of Net Investment Income............. 1,254 (16,050) 24,158 14,896
Accumulated Net Realized Loss on
Investment Securities................ (2,508,861) (6,293,056) (5,140,854) (1,279,676)
Net Unrealized Appreciation on
Investment Securities................ 1,365,196 3,556,188 1,906,446 7,615,942
----------- ----------- ----------- -----------
NET ASSETS............................. $16,157,816 $24,219,713 $73,883,045 $42,458,723
=========== =========== =========== ===========
Shares Outstanding (Unlimited Shares
Authorized), No Par Value............ 300,005 900,000 1,250,000 850,000
=========== =========== =========== ===========
Net Asset Value, Offering Price and
Repurchase Price Per Share........... $ 53.86 $ 26.91 $ 59.11 $ 49.95
=========== =========== =========== ===========
*Total Cost of Investments............. $14,739,689 $20,642,922 $71,924,549 $34,817,160
=========== =========== =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 47
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<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*..................... $39,312,915 $89,589,889 $11,659,890
Cash............................................. 17,752 4,911 21,862
Receivables:
Investments Sold............................... 2,862,711 -- --
Dividends...................................... 23,425 19,289 27,890
----------- ----------- -----------
TOTAL ASSETS................................ 42,216,803 89,614,089 11,709,642
----------- ----------- -----------
LIABILITIES
Payables:
Fund Shares Repurchased........................ 2,864,117 -- --
Accrued Management Fees........................ 17,629 33,753 4,777
----------- ----------- -----------
TOTAL LIABILITIES........................... 2,881,746 33,753 4,777
----------- ----------- -----------
NET ASSETS....................................... $39,335,057 $89,580,336 $11,704,865
=========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital.................................. $33,019,490 $86,167,393 $12,293,887
Undistributed (Distributions in Excess) of Net
Investment Income.............................. 20,087 (15,540) 34,710
Accumulated Net Realized Loss on Investment
Securities..................................... (1,304,857) (3,781,821) (1,191,399)
Net Unrealized Appreciation on Investment
Securities..................................... 7,600,337 7,210,304 567,667
----------- ----------- -----------
NET ASSETS....................................... $39,335,057 $89,580,336 $11,704,865
=========== =========== ===========
Shares Outstanding (Unlimited Shares Authorized),
No Par Value................................... 700,000 1,850,000 250,000
=========== =========== ===========
Net Asset Value, Offering Price and Repurchase
Price Per Share................................ $ 56.19 $ 48.42 $ 46.82
=========== =========== ===========
*Total Cost of Investments....................... $31,712,578 $82,379,585 $11,092,223
=========== =========== ===========
</Table>
See Notes to Financial Statements.
48
STATEMENT OF OPERATIONS (Unaudited) For the Six Months Ended April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P
RYDEX S&P 500 RYDEX S&P 500 MIDCAP 400 PURE MIDCAP 400 PURE
PURE VALUE ETF PURE GROWTH ETF VALUE ETF GROWTH ETF
-------------- --------------- --------------- ---------------
INVESTMENT INCOME
Dividends........................ $ 521,180 $ 245,216 $ 328,340 $ 288,450
----------- ----------- ----------- -----------
EXPENSES
Management Fee................... 99,859 114,080 69,777 229,384
----------- ----------- ----------- -----------
Net Investment Income.............. 421,321 131,136 258,563 59,066
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS
Net Realized Gain From:
Investments...................... 3,733,937 96,964 3,274,156 1,657,094
In-kind Redemptions.............. 1,615,394 590,038 684,214 5,995,974
----------- ----------- ----------- -----------
Net Realized Gain............. 5,349,331 687,002 3,958,370 7,653,068
Net Change in Unrealized
Appreciation on:
Investment Securities............ 9,253,307 10,133,397 7,017,532 19,676,120
----------- ----------- ----------- -----------
Net Realized and Unrealized Gain on
Investments...................... 14,602,638 10,820,399 10,975,902 27,329,188
----------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS... $15,023,959 $10,951,535 $11,234,465 $27,388,254
=========== =========== =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 49
STATEMENT OF OPERATIONS (Unaudited) (continued) For the Six Months Ended
April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P RYDEX S&P EQUAL RYDEX S&P EQUAL
SMALLCAP 600 SMALLCAP 600 WEIGHT CONSUMER WEIGHT CONSUMER
PURE VALUE ETF PURE GROWTH ETF DISCRETIONARY ETF STAPLES ETF
-------------- --------------- ----------------- ---------------
INVESTMENT INCOME
Dividends....................... $ 610,631 $ 47,669 $ 164,921 $ 135,147
----------- ---------- ---------- ----------
EXPENSES
Management Fee.................. 190,230 27,689 55,714 25,365
Other Fees...................... -- 151 -- --
----------- ---------- ---------- ----------
Total Expenses............... 190,230 27,840 55,714 25,365
----------- ---------- ---------- ----------
Net Investment Income............. 420,401 19,829 109,207 109,782
----------- ---------- ---------- ----------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net Realized Gain (Loss) From:
Investments..................... (7,450,028) (292,987) (93,734) 58,403
In-kind Redemptions............. 6,188,815 -- -- --
----------- ---------- ---------- ----------
Net Realized Gain (Loss)..... (1,261,213) (292,987) (93,734) 58,403
Net Change in Unrealized
Appreciation on:
Investment Securities........... 35,923,255 3,949,107 6,543,124 1,056,152
----------- ---------- ---------- ----------
Net Realized and Unrealized Gain
on Investments.................. 34,662,042 3,656,120 6,449,390 1,114,555
----------- ---------- ---------- ----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.. $35,082,443 $3,675,949 $6,558,597 $1,224,337
=========== ========== ========== ==========
</Table>
See Notes to Financial Statements.
50
STATEMENT OF OPERATIONS (Unaudited) (continued) For the Six Months Ended
April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P RYDEX S&P EQUAL RYDEX S&P
EQUAL WEIGHT EQUAL WEIGHT WEIGHT HEALTH EQUAL WEIGHT
ENERGY ETF FINANCIALS ETF CARE ETF INDUSTRIALS ETF
------------ -------------- --------------- ---------------
INVESTMENT INCOME
Dividends........................... $ 117,338 $ 159,240 $ 315,161 $ 213,980
---------- ---------- ----------- ----------
EXPENSES
Management Fee...................... 41,874 39,920 194,397 59,417
---------- ---------- ----------- ----------
Net Investment Income................. 75,464 119,320 120,764 154,563
---------- ---------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) From:
Investments......................... (439,589) (288,588) (175,879) 86,627
In-kind Redemptions................. 876,722 1,401,475 9,235,847 --
---------- ---------- ----------- ----------
Net Realized Gain................ 437,133 1,112,887 9,059,968 86,627
Net Change in Unrealized Appreciation
on:
Investment Securities............... 1,432,112 2,633,700 3,464,021 5,561,997
---------- ---------- ----------- ----------
Net Realized and Unrealized Gain on
Investments......................... 1,869,245 3,746,587 12,523,989 5,648,624
---------- ---------- ----------- ----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS...... $1,944,709 $3,865,907 $12,644,753 $5,803,187
========== ========== =========== ==========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 51
STATEMENT OF OPERATIONS (Unaudited) (concluded) For the Six Months Ended
April 30, 2010
- --------------------------------------------------------------------------------
<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...................................... $ 305,947 $ 270,922 $ 244,067
---------- ----------- ----------
EXPENSES
Management Fee................................. 94,725 188,710 26,639
---------- ----------- ----------
Net Investment Income............................ 211,222 82,212 217,428
---------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) From:
Investments.................................... 631,045 173,906 (228,935)
In-kind Redemptions............................ 3,219,588 7,447,736 --
---------- ----------- ----------
Net Realized Gain (Loss).................... 3,850,633 7,621,642 (228,935)
Net Change in Unrealized Appreciation on:
Investment Securities.......................... 4,262,659 5,915,007 1,142,450
---------- ----------- ----------
Net Realized and Unrealized Gain on Investments.. 8,113,292 13,536,649 913,515
---------- ----------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................ $8,324,514 $13,618,861 $1,130,943
========== =========== ==========
</Table>
See Notes to Financial Statements.
52
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, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 421,321 $ 479,519 $ 131,136 $ 200,784
Net Realized Gain (Loss)......... 5,349,331 (10,405,959) 687,002 (7,113,217)
Net Change in Unrealized
Appreciation on Investments... 9,253,307 13,980,811 10,133,397 15,522,201
------------ ------------ ----------- -----------
Net Increase in Net Assets
Resulting From Operations..... 15,023,959 4,054,371 10,951,535 8,609,768
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (383,373) (515,568) (135,126) (214,179)
------------ ------------ ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 80,488,002 11,067,164 41,975,230 8,335,525
Value of Shares Purchased through
Dividend Reinvestments........ 6,581 24,282 1,529 3,946
Value of Shares Redeemed......... (7,567,937) (2,522,624) (1,896,075) (2,565,332)
------------ ------------ ----------- -----------
Net Increase in Net Assets
Resulting From Share
Transactions.................. 72,926,646 8,568,822 40,080,684 5,774,139
------------ ------------ ----------- -----------
Increase in Net Assets........ 87,567,232 12,107,625 50,897,093 14,169,728
NET ASSETS--BEGINNING OF PERIOD.... 30,101,205 17,993,580 38,567,514 24,397,786
------------ ------------ ----------- -----------
NET ASSETS--END OF PERIOD(1)....... $117,668,437 $ 30,101,205 $89,464,607 $38,567,514
============ ============ =========== ===========
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ 37,948 $ -- $ 1,496 $ 5,486
============ ============ =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 3,150,000 550,000 1,200,000 350,000
Shares Purchased through Dividend
Reinvestments................. 266 1,581 44 158
Shares Redeemed.................. (300,000) (150,000) (50,000) (100,000)
Shares Outstanding, Beginning of
Period........................ 1,402,570 1,000,989 1,250,255 1,000,097
------------ ------------ ----------- -----------
Shares Outstanding, End of
Period........................ 4,252,836 1,402,570 2,400,299 1,250,255
============ ============ =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 53
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, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 258,563 $ 325,832 $ 59,066 $ 63,967
Net Realized Gain (Loss)......... 3,958,370 (7,117,028) 7,653,068 (4,466,151)
Net Change in Unrealized
Appreciation on Investments... 7,017,532 8,073,464 19,676,120 11,908,189
----------- ----------- ------------ ------------
Net Increase in Net Assets
Resulting From Operations..... 11,234,465 1,282,268 27,388,254 7,506,005
----------- ----------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (225,927) (307,090) (89,353) (48,422)
----------- ----------- ------------ ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 40,202,300 13,278,363 123,541,124 95,440,614
Value of Shares Purchased through
Dividend Reinvestments........ 2,368 4,588 122 314
Value of Shares Redeemed......... (1,333,750) (1,386,313) (28,332,707) (12,062,845)
----------- ----------- ------------ ------------
Net Increase in Net Assets
Resulting From Share
Transactions.................. 38,870,918 11,896,638 95,208,539 83,378,083
----------- ----------- ------------ ------------
Increase in Net Assets........ 49,879,456 12,871,816 122,507,440 90,835,666
NET ASSETS--BEGINNING OF PERIOD.... 22,997,352 10,125,536 108,431,510 17,595,844
----------- ----------- ------------ ------------
NET ASSETS--END OF PERIOD(1)....... $72,876,808 $22,997,352 $230,938,950 $108,431,510
=========== =========== ============ ============
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ 32,636 $ -- $ (14,649) $ 15,638
=========== =========== ============ ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 1,300,000 550,000 1,950,000 1,900,000
Shares Purchased through Dividend
Reinvestments................. 81 250 2 8
Shares Redeemed.................. (50,000) (100,000) (500,000) (300,000)
Shares Outstanding, Beginning of
Period........................ 950,418 500,168 2,050,019 450,011
----------- ----------- ------------ ------------
Shares Outstanding, End of
Period........................ 2,200,499 950,418 3,500,021 2,050,019
=========== =========== ============ ============
</Table>
See Notes to Financial Statements.
54
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, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 420,401 $ 601,004 $ 19,829 $ 18,381
Net Realized Gain (Loss)......... (1,261,213) 2,445,137 (292,987) (981,454)
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 35,923,255 (548,873) 3,949,107 2,147,377
------------ ------------ ----------- -----------
Net Increase in Net Assets
Resulting From Operations..... 35,082,443 2,497,268 3,675,949 1,184,304
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (260,299) (480,887) (20,211) (20,833)
------------ ------------ ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 94,756,794 121,659,746 7,478,723 9,770,800
Value of Shares Purchased through
Dividend Reinvestments........ -- 14 -- --
Value of Shares Redeemed......... (38,437,789) (40,919,190) -- (6,246,728)
------------ ------------ ----------- -----------
Net Increase in Net Assets
Resulting From Share
Transactions.................. 56,319,005 80,740,570 7,478,723 3,524,072
------------ ------------ ----------- -----------
Increase in Net Assets........ 91,141,149 82,756,951 11,134,461 4,687,543
NET ASSETS--BEGINNING OF PERIOD.... 108,283,741 25,526,790 11,944,929 7,257,386
------------ ------------ ----------- -----------
NET ASSETS--END OF PERIOD(1)....... $199,424,890 $108,283,741 $23,079,390 $11,944,929
============ ============ =========== ===========
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ 194,779 $ 34,677 $ (382) $ --
============ ============ =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 2,500,000 4,150,000 200,000 300,000
Shares Purchased through Dividend
Reinvestments................. -- 1 -- --
Shares Redeemed.................. (1,250,000) (1,450,000) -- (200,000)
Shares Outstanding, Beginning of
Period........................ 3,800,040 1,100,039 350,004 250,004
------------ ------------ ----------- -----------
Shares Outstanding, End of
Period........................ 5,050,040 3,800,040 550,004 350,004
============ ============ =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 55
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT CONSUMER RYDEX S&P EQUAL WEIGHT CONSUMER
DISCRETIONARY ETF STAPLES ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 109,207 $ 133,691 $ 109,782 $ 232,510
Net Realized Gain (Loss)......... (93,734) (2,115,968) 58,403 (262,743)
Net Change in Unrealized
Appreciation on Investments... 6,543,124 4,599,724 1,056,152 1,526,281
----------- ----------- ----------- -----------
Net Increase in Net Assets
Resulting From Operations..... 6,558,597 2,617,447 1,224,337 1,496,048
----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (91,201) (134,899) (108,706) (224,373)
----------- ----------- ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 23,320,514 12,583,909 -- --
Value of Shares Redeemed......... -- (7,314,430) -- (1,954,772)
----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. 23,320,514 5,269,479 -- (1,954,772)
----------- ----------- ----------- -----------
Increase (Decrease) in Net
Assets...................... 29,787,910 7,752,027 1,115,631 (683,097)
NET ASSETS--BEGINNING OF PERIOD.... 11,474,293 3,722,266 9,684,742 10,367,839
----------- ----------- ----------- -----------
NET ASSETS--END OF PERIOD(1)....... $41,262,203 $11,474,293 $10,800,373 $ 9,684,742
=========== =========== =========== ===========
(1) Including Undistributed of Net
Investment Income................ $ 19,263 $ 1,257 $ 20,894 $ 19,818
=========== =========== =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 600,000 600,000 -- --
Shares Redeemed.................. -- (400,000) -- (50,000)
Shares Outstanding, Beginning of
Period........................ 350,000 150,000 200,000 250,000
----------- ----------- ----------- -----------
Shares Outstanding, End of
Period........................ 950,000 350,000 200,000 200,000
=========== =========== =========== ===========
</Table>
See Notes to Financial Statements.
56
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT RYDEX S&P EQUAL WEIGHT
ENERGY ETF FINANCIALS ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 75,464 $ 83,961 $ 119,320 $ 217,309
Net Realized Gain (Loss)......... 437,133 (1,676,952) 1,112,887 (3,250,473)
Net Change in Unrealized
Appreciation on Investments... 1,432,112 3,463,565 2,633,700 3,985,344
----------- ----------- ----------- -----------
Net Increase in Net Assets
Resulting From Operations..... 1,944,709 1,870,574 3,865,907 952,180
----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (80,561) (78,547) (135,370) (243,410)
----------- ----------- ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 5,050,985 6,057,007 11,236,758 6,405,261
Value of Shares Redeemed......... (2,679,079) (1,884,823) (4,742,553) (3,824,425)
----------- ----------- ----------- -----------
Net Increase in Net Assets
Resulting From Share
Transactions.................. 2,371,906 4,172,184 6,494,205 2,580,836
----------- ----------- ----------- -----------
Increase in Net Assets........ 4,236,054 5,964,211 10,224,742 3,289,606
NET ASSETS--BEGINNING OF PERIOD.... 11,921,762 5,957,551 13,994,971 10,705,365
----------- ----------- ----------- -----------
NET ASSETS--END OF PERIOD(1)....... $16,157,816 $11,921,762 $24,219,713 $13,994,971
=========== =========== =========== ===========
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ 1,254 $ 6,351 $ (16,050) $ --
=========== =========== =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 100,000 150,000 450,000 350,000
Shares Redeemed.................. (50,000) (50,000) (200,000) (200,000)
Shares Outstanding, Beginning of
Period........................ 250,005 150,005 650,000 500,000
----------- ----------- ----------- -----------
Shares Outstanding, End of
Period........................ 300,005 250,005 900,000 650,000
=========== =========== =========== ===========
</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
HEALTH CARE ETF INDUSTRIALS ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 120,764 $ 233,256 $ 154,563 $ 209,818
Net Realized Gain (Loss)......... 9,059,968 (216,300) 86,627 (1,921,389)
Net Change in Unrealized
Appreciation on Investments... 3,464,021 12,475,194 5,561,997 4,801,448
------------ ------------ ----------- -----------
Net Increase in Net Assets
Resulting From Operations..... 12,644,753 12,492,150 5,803,187 3,089,877
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (122,115) (219,171) (143,243) (204,603)
------------ ------------ ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 34,144,233 52,467,908 18,908,801 10,670,318
Value of Shares Redeemed......... (46,091,889) (39,969,426) -- (2,811,423)
------------ ------------ ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (11,947,656) 12,498,482 18,908,801 7,858,895
------------ ------------ ----------- -----------
Increase in Net Assets........ 574,982 24,771,461 24,568,745 10,744,169
NET ASSETS--BEGINNING OF PERIOD.... 73,308,063 48,536,602 17,889,978 7,145,809
------------ ------------ ----------- -----------
NET ASSETS--END OF PERIOD(1)....... $ 73,883,045 $ 73,308,063 $42,458,723 $17,889,978
============ ============ =========== ===========
(1) Including Undistributed of Net
Investment Income................ $ 24,158 $ 25,509 $ 14,896 $ 3,576
============ ============ =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 600,000 1,150,000 400,000 350,000
Shares Redeemed.................. (800,000) (850,000) -- (100,000)
Shares Outstanding, Beginning of
Period........................ 1,450,000 1,150,000 450,000 200,000
------------ ------------ ----------- -----------
Shares Outstanding, End of
Period........................ 1,250,000 1,450,000 850,000 450,000
============ ============ =========== ===========
</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
MATERIALS ETF TECHNOLOGY ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 211,222 $ 268,197 $ 82,212 $ 57,660
Net Realized Gain (Loss)......... 3,850,633 (281,229) 7,621,642 (2,314,699)
Net Change in Unrealized
Appreciation on Investments... 4,262,659 5,501,066 5,915,007 7,831,217
------------ ----------- ------------ -----------
Net Increase in Net Assets
Resulting From Operations..... 8,324,514 5,488,034 13,618,861 5,574,178
------------ ----------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (200,426) (264,238) (97,752) (68,005)
------------ ----------- ------------ -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 5,061,198 35,570,213 54,682,375 46,698,982
Value of Shares Redeemed......... (15,049,304) (4,749,941) (32,591,720) (5,731,696)
------------ ----------- ------------ -----------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (9,988,106) 30,820,272 22,090,655 40,967,286
------------ ----------- ------------ -----------
Increase (Decrease) in Net
Assets...................... (1,864,018) 36,044,068 35,611,764 46,473,459
NET ASSETS--BEGINNING OF PERIOD.... 41,199,075 5,155,007 53,968,572 7,495,113
------------ ----------- ------------ -----------
NET ASSETS--END OF PERIOD(1)....... $ 39,335,057 $41,199,075 $ 89,580,336 $53,968,572
============ =========== ============ ===========
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ 20,087 $ 9,291 $ (15,540) $ --
============ =========== ============ ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 100,000 850,000 1,200,000 1,250,000
Shares Redeemed.................. (300,000) (100,000) (700,000) (150,000)
Shares Outstanding, Beginning of
Period........................ 900,000 150,000 1,350,000 250,000
------------ ----------- ------------ -----------
Shares Outstanding, End of
Period........................ 700,000 900,000 1,850,000 1,350,000
============ =========== ============ ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 59
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT UTILITIES
ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009
---------------- ----------------
OPERATIONS
Net Investment Income................................. $ 217,428 $ 298,297
Net Realized Loss..................................... (228,935) (887,060)
Net Change in Unrealized Appreciation on Investments.. 1,142,450 1,054,143
----------- ----------
Net Increase in Net Assets Resulting From Operations.. 1,130,943 465,380
----------- ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................. (211,521) (287,015)
----------- ----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased........................ 2,358,481 4,130,846
----------- ----------
Net Increase in Net Assets Resulting From Share
Transactions....................................... 2,358,481 4,130,846
----------- ----------
Increase in Net Assets............................. 3,277,903 4,309,211
NET ASSETS--BEGINNING OF PERIOD......................... 8,426,962 4,117,751
----------- ----------
NET ASSETS--END OF PERIOD(1)............................ $11,704,865 $8,426,962
=========== ==========
(1) Including Undistributed of Net Investment Income.... $ 34,710 $ 28,803
=========== ==========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased...................................... 50,000 100,000
Shares Outstanding, Beginning of Period............... 200,000 100,000
----------- ----------
Shares Outstanding, End of Period..................... 250,000 200,000
=========== ==========
</Table>
See Notes to Financial Statements.
60
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 PURE VALUE ETF
-----------------------------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006*
---------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD................. $ 21.46 $ 17.98 $ 34.46 $ 32.66 $ 29.87
-------- ------- ------- ------- -------
Net Investment Income**..... 0.18 0.49 1.00 0.75 0.49
Net Realized and Unrealized
Gain (Loss) on
Investments............... 6.20 3.53 (16.44) 1.80 2.58
-------- ------- ------- ------- -------
TOTAL FROM INVESTMENT
OPERATIONS................ 6.38 4.02 (15.44) 2.55 3.07
-------- ------- ------- ------- -------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income....... (0.17) (0.54) (1.04) (0.75) (0.28)
-------- ------- ------- ------- -------
Net Asset Value at End of
Period.................... $ 27.67 $ 21.46 $ 17.98 $ 34.46 $ 32.66
======== ======= ======= ======= =======
TOTAL RETURN***............. 29.79% 23.73% (45.76)% 7.79% 10.27%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)........... $117,668 $30,101 $17,994 $39,635 $21,232
RATIO TO AVERAGE NET ASSETS
OF:
Expenses.................... 0.35%**** 0.35% 0.35% 0.35% 0.35%****
Net Investment Income....... 1.48%**** 2.92% 3.63% 2.15% 2.37%****
Portfolio Turnover Rate+.... 27% 45% 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 61
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 PURE GROWTH ETF
-----------------------------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006*
---------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD................. $ 30.85 $ 24.40 $ 39.59 $ 35.30 $ 34.42
------- ------- ------- ------- -------
Net Investment Income**..... 0.07 0.18 0.20 0.25 0.11
Net Realized and Unrealized
Gain (Loss) on
Investments............... 6.42 6.46 (15.19) 4.26 0.84
------- ------- ------- ------- -------
TOTAL FROM INVESTMENT
OPERATIONS................ 6.49 6.64 (14.99) 4.51 0.95
------- ------- ------- ------- -------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income....... (0.07) (0.19) (0.20) (0.22) (0.07)
------- ------- ------- ------- -------
NET ASSET VALUE AT END OF
PERIOD.................... $ 37.27 $ 30.85 $ 24.40 $ 39.59 $ 35.30
======= ======= ======= ======= =======
TOTAL RETURN***............. 21.08% 27.41% (38.00)% 12.79% 2.77%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)........... $89,465 $38,568 $24,398 $63,340 $17,649
RATIO TO AVERAGE NET ASSETS
OF:
Expenses.................... 0.35%**** 0.35% 0.35% 0.35% 0.35%****
Net Investment Income....... 0.40%**** 0.69% 0.57% 0.66% 0.48%****
Portfolio Turnover Rate+.... 35% 27% 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.
62
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P MIDCAP 400 PURE VALUE ETF
-----------------------------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006*
---------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD................. $ 24.20 $ 20.24 $ 35.76 $ 33.27 $ 31.53
------- ------- ------- ------- -------
Net Investment Income**..... 0.19 0.59 0.87 0.82 0.44
Net Realized and Unrealized
Gain (Loss) on
Investments............... 8.91 3.92 (15.54) 2.48 1.60
------- ------- ------- ------- -------
TOTAL FROM INVESTMENT
OPERATIONS................ 9.10 4.51 (14.67) 3.30 2.04
------- ------- ------- ------- -------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income....... (0.18) (0.55) (0.84) (0.81) (0.30)
------- ------- ------- ------- -------
NET ASSET VALUE AT END OF
PERIOD.................... $ 33.12 $ 24.20 $ 20.24 $ 35.76 $ 33.27
======= ======= ======= ======= =======
TOTAL RETURN***............. 37.70% 23.32% (41.75)% 9.94% 6.48%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)........... $72,877 $22,997 $10,126 $21,458 $14,973
RATIO TO AVERAGE NET ASSETS
OF:
Expenses.................... 0.35%**** 0.35% 0.35% 0.35% 0.35%****
Net Investment Income....... 1.30%**** 2.90% 2.87% 2.28% 2.07%****
Portfolio Turnover Rate+.... 36% 57% 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 63
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
-----------------------------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006*
---------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD................. $ 52.89 $ 39.10 $ 59.75 $ 50.10 $ 52.62
-------- -------- ------- ------- -------
Net Investment Income**..... 0.03 0.09 0.02 0.33 0.02
Net Realized and Unrealized
Gain (Loss) on
Investments............... 13.10 13.79 (20.63) 9.73 (2.53)
-------- -------- ------- ------- -------
TOTAL FROM INVESTMENT
OPERATIONS................ 13.13 13.88 (20.61) 10.06 (2.51)
-------- -------- ------- ------- -------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income....... (0.04) (0.09) (0.04) (0.27) (0.01)
Net Realized Gains.......... -- -- -- (0.14) --
-------- -------- ------- ------- -------
Total Distributions......... (0.04) (0.09) (0.04) (0.41) (0.01)
-------- -------- ------- ------- -------
NET ASSET VALUE AT END OF
PERIOD.................... $ 65.98 $ 52.89 $ 39.10 $ 59.75 $ 50.10
======== ======== ======= ======= =======
TOTAL RETURN***............. 24.84% 35.59% (34.52)% 20.17% (4.76)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)........... $230,939 $108,432 $17,596 $20,914 $22,547
RATIO TO AVERAGE NET ASSETS
OF:
Expenses.................... 0.35%**** 0.35% 0.35% 0.35% 0.35%****
Net Investment Income....... 0.09%**** 0.19% 0.04% 0.60% 0.07%****
Portfolio Turnover Rate+.... 48% 29% 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.
64
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
-----------------------------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006*
---------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD................. $ 28.50 $ 23.21 $ 37.38 $ 40.13 $38.45
-------- -------- ------- ------- ------
Net Investment Income**..... 0.13 0.32 0.79 0.74 0.37
Net Realized and Unrealized
Gain (Loss) on
Investments............... 10.95 5.29 (14.26) (2.85) 1.62
-------- -------- ------- ------- ------
TOTAL FROM INVESTMENT
OPERATIONS................ 11.08 5.61 (13.47) (2.11) 1.99
-------- -------- ------- ------- ------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income....... (0.09) (0.32) (0.70) (0.62) (0.31)
Capital..................... -- -- -- (0.02) --
-------- -------- ------- ------- ------
Total Distributions......... (0.09) (0.32) (0.70) (0.64) (0.31)
-------- -------- ------- ------- ------
NET ASSET VALUE AT END OF
PERIOD.................... $ 39.49 $ 28.50 $ 23.21 $ 37.38 $40.13
======== ======== ======= ======= ======
TOTAL RETURN***............. 38.95% 25.00% (36.48)% (5.38)% 5.19%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)........... $199,425 $108,284 $25,527 $22,426 $6,019
RATIO TO AVERAGE NET ASSETS
OF:
Expenses.................... 0.35%**** 0.35% 0.35% 0.35% 0.35%****
Net Investment Income....... 0.77%**** 1.18% 2.57% 1.78% 1.46%****
Portfolio Turnover Rate+.... 57% 43% 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 65
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
-----------------------------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006*
---------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD................. $ 34.13 $ 29.03 $ 44.92 $ 39.10 $39.31
------- ------- ------- ------- ------
Net Investment Income
(Loss)**.................. 0.05 0.06 0.17 -- (0.01)
Net Realized and Unrealized
Gain (Loss) on
Investments............... 7.82 5.13 (15.87) 5.84 (0.20)
------- ------- ------- ------- ------
TOTAL FROM INVESTMENT
OPERATIONS................ 7.87 5.19 (15.70) 5.84 (0.21)
------- ------- ------- ------- ------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income....... (0.04) (0.09) (0.19) (0.02) --
------- ------- ------- ------- ------
NET ASSET VALUE AT END OF
PERIOD.................... $ 41.96 $ 34.13 $ 29.03 $ 44.92 $39.10
======= ======= ======= ======= ======
TOTAL RETURN***............. 23.08% 17.93% (35.05)% 14.93% (0.55)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)........... $23,079 $11,945 $ 7,257 $11,229 $7,820
RATIO TO AVERAGE NET ASSETS
OF:
Expenses.................... 0.35%**** 0.35% 0.35% 0.35% 0.35%****
Net Investment Income....... 0.25%**** 0.21% 0.44% 0.00% (0.04)%****
Portfolio Turnover Rate+.... 44% 46% 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.
66
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF
-----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 32.78 $ 24.82 $ 44.50 $ 44.98
------- ------- ------- -------
Net Investment Income**............. 0.19 0.40 0.53 0.32
Net Realized and Unrealized Gain
(Loss) on Investments............. 10.60 7.93 (19.59) (0.49)
------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.... 10.79 8.33 (19.06) (0.17)
------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.14) (0.37) (0.62) (0.31)
------- ------- ------- -------
NET ASSET VALUE AT END OF PERIOD.... $ 43.43 $ 32.78 $ 24.82 $ 44.50
======= ======= ======= =======
TOTAL RETURN***..................... 32.99% 34.20% (43.27)% (0.40)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $41,262 $11,474 $ 3,722 $28,928
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.50%**** 0.50% 0.50% 0.50%****
Net Investment Income............... 0.98%**** 1.61% 1.44% 0.67%****
Portfolio Turnover Rate+............ 14% 42% 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 67
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT CONSUMER STAPLES ETF
-----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 48.42 $41.47 $ 52.68 $48.16
------- ------ ------- ------
Net Investment Income**............. 0.55 1.04 0.88 1.16
Net Realized and Unrealized Gain
(Loss) on Investments............. 5.57 6.91 (11.22) 4.32
------- ------ ------- ------
TOTAL FROM INVESTMENT OPERATIONS.... 6.12 7.95 (10.34) 5.48
------- ------ ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.54) (1.00) (0.87) (0.96)
------- ------ ------- ------
NET ASSET VALUE AT END OF PERIOD.... $ 54.00 $48.42 $ 41.47 $52.68
======= ====== ======= ======
TOTAL RETURN***..................... 12.71% 19.60% (19.87)% 11.45%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $10,800 $9,685 $10,368 $7,902
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.50%**** 0.50% 0.50% 0.50%****
Net Investment Income............... 2.16%**** 2.52% 1.78% 2.29%****
Portfolio Turnover Rate+............ 10% 25% 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.
68
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT ENERGY ETF
-----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 47.69 $ 39.72 $ 67.48 $ 48.35
------- ------- ------- -------
Net Investment Income**............. 0.23 0.46 0.33 0.27
Net Realized and Unrealized Gain
(Loss) on Investments............. 6.19 7.93 (25.94) 19.14
------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.... 6.42 8.39 (25.61) 19.41
------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.25) (0.42) (0.35) (0.28)
Net Realized Gains.................. -- -- (1.80) --
------- ------- ------- -------
Total Distributions................. (0.25) (0.42) (2.15) (0.28)
------- ------- ------- -------
NET ASSET VALUE AT END OF PERIOD.... $ 53.86 $ 47.69 $ 39.72 $ 67.48
======= ======= ======= =======
TOTAL RETURN***..................... 13.50% 21.39% (39.28)% 40.28%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $16,158 $11,922 $ 5,958 $10,122
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.50%**** 0.50% 0.50% 0.50%****
Net Investment Income............... 0.90%**** 1.16% 0.50% 0.47%****
Portfolio Turnover Rate+............ 14% 33% 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 69
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT FINANCIALS ETF
-----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 21.53 $ 21.41 $ 46.67 $48.57
------- ------- ------- ------
Net Investment Income**............. 0.18 0.36 1.02 0.92
Net Realized and Unrealized Gain
(Loss) on Investments............. 5.35 0.18 (25.40) (1.95)
------- ------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS.... 5.53 0.54 (24.38) (1.03)
------- ------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.15) (0.42) (0.88) (0.87)
------- ------- ------- ------
NET ASSET VALUE AT END OF PERIOD.... $ 26.91 $ 21.53 $ 21.41 $46.67
======= ======= ======= ======
TOTAL RETURN***..................... 25.71% 3.15% (52.88)% (2.23)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $24,220 $13,995 $10,705 $7,000
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.50%**** 0.50% 0.50% 0.50%****
Net Investment Income............... 1.49%**** 2.00% 3.09% 1.84%****
Portfolio Turnover Rate+............ 10% 49% 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.
70
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT HEALTH CARE ETF
-----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 50.56 $ 42.21 $ 57.94 $ 49.46
------- ------- ------- -------
Net Investment Income**............. 0.09 0.19 0.14 0.11
Net Realized and Unrealized Gain
(Loss) on Investments............. 8.56 8.35 (15.74) 8.48
------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.... 8.65 8.54 (15.60) 8.59
------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.10) (0.19) (0.13) (0.11)
------- ------- ------- -------
NET ASSET VALUE AT END OF PERIOD.... $ 59.11 $ 50.56 $ 42.21 $ 57.94
======= ======= ======= =======
TOTAL RETURN***..................... 17.11% 20.31% (26.98)% 17.37%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $73,883 $73,308 $48,537 $17,383
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.50%**** 0.50% 0.50% 0.50%****
Net Investment Income............... 0.31%**** 0.42% 0.26% 0.20%****
Portfolio Turnover Rate+............ 11% 38% 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 71
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT INDUSTRIALS ETF
-----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 39.76 $ 35.73 $ 59.37 $49.15
------- ------- ------- ------
Net Investment Income**............. 0.29 0.67 0.61 0.56
Net Realized and Unrealized Gain
(Loss) on Investments............. 10.19 4.12 (21.82) 10.21
------- ------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS.... 10.48 4.79 (21.21) 10.77
------- ------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.29) (0.76) (0.65) (0.55)
Net Realized Gains.................. -- -- (1.78) --
------- ------- ------- ------
Total Distributions................. (0.29) (0.76) (2.43) (0.55)
------- ------- ------- ------
NET ASSET VALUE AT END OF PERIOD.... $ 49.95 $ 39.76 $ 35.73 $59.37
======= ======= ======= ======
TOTAL RETURN***..................... 26.45% 13.84% (37.12)% 22.00%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $42,459 $17,890 $ 7,146 $8,905
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.50%**** 0.50% 0.50% 0.50%****
Net Investment Income............... 1.30%**** 1.88% 1.17% 1.02%****
Portfolio Turnover Rate+............ 8% 35% 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.
72
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT MATERIALS ETF
-----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 45.78 $ 34.37 $ 59.42 $48.43
------- ------- ------- ------
Net Investment Income**............. 0.29 0.60 1.40 0.85
Net Realized and Unrealized Gain
(Loss) on Investments............. 10.40 11.49 (25.11) 10.74
------- ------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS.... 10.69 12.09 (23.71) 11.59
------- ------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.28) (0.68) (1.34) (0.60)
------- ------- ------- ------
NET ASSET VALUE AT END OF PERIOD.... $ 56.19 $ 45.78 $ 34.37 $59.42
======= ======= ======= ======
TOTAL RETURN***..................... 23.39% 35.82% (40.67)% 24.02%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $39,335 $41,199 $ 5,155 $8,913
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.50%**** 0.50% 0.50% 0.50%****
Net Investment Income............... 1.11%**** 1.41% 2.69% 1.53%****
Portfolio Turnover Rate+............ 8% 57% 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 73
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT TECHNOLOGY ETF
-----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 39.98 $ 29.98 $ 55.18 $ 47.80
------- ------- ------- -------
Net Investment Income (Loss)**...... 0.05 0.11 0.06 (0.05)
Net Realized and Unrealized Gain
(Loss) on Investments............. 8.45 10.03 (25.19) 7.43
------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.... 8.50 10.14 (25.13) 7.38
------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.06) (0.14) (0.07) --
------- ------- ------- -------
NET ASSET VALUE AT END OF PERIOD.... $ 48.42 $ 39.98 $ 29.98 $ 55.18
======= ======= ======= =======
TOTAL RETURN***..................... 21.28% 33.94% (45.58)% 15.44%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $89,580 $53,969 $ 7,495 $19,312
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.50%**** 0.50% 0.50% 0.50%****
Net Investment Income............... 0.22%**** 0.30% 0.14% (0.10)%****
Portfolio Turnover Rate+............ 14% 30% 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.
74
FINANCIAL HIGHLIGHTS (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT UTILITIES ETF
-----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 42.13 $41.18 $ 62.28 $54.91
------- ------ ------- ------
Net Investment Income**............. 0.92 1.89 1.81 1.55
Net Realized and Unrealized Gain
(Loss) on Investments............. 4.72 0.88 (21.09) 7.38
------- ------ ------- ------
TOTAL FROM INVESTMENT OPERATIONS.... 5.64 2.77 (19.28) 8.93
------- ------ ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.95) (1.82) (1.82) (1.56)
------- ------ ------- ------
NET ASSET VALUE AT END OF PERIOD.... $ 46.82 $42.13 $ 41.18 $62.28
======= ====== ======= ======
TOTAL RETURN***..................... 13.42% 6.97% (31.63)% 16.41%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $11,705 $8,427 $ 4,118 $6,228
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.50%**** 0.50% 0.50% 0.50%****
Net Investment Income............... 4.08%**** 4.64% 3.30% 2.59%****
Portfolio Turnover Rate+............ 10% 26% 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 75
NOTES TO FINANCIAL STATEMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
1. ORGANIZATION
Rydex ETF Trust (the "Trust") is an open-end, management investment company
registered under the Investment Company Act of 1940 (the "1940 Act"). The Trust
was organized as a Delaware statutory trust on November 22, 2002. As of April
30, 2010, 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 replicate as closely as possible, before
fees and expenses, the daily performance 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.
76
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, an affiliated entity,
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. Distributions received from investments in REITs are recorded
as dividend income on the ex-dividend date, subject to reclassification upon
notice of the character of such distribution by the issuer.
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, 2010, 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 2007 -- 2009), 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, 2010, 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, 2010 are disclosed in the Fund's Statement of Operations.
SEMI-ANNUAL REPORT 77
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
At April 30, 2010, 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 APPRECIATION
------------ ------------ ------------ --------------
Rydex S&P 500 Pure Value ETF............. $106,977,914 $11,456,125 $ (871,529) $10,584,596
Rydex S&P 500 Pure Growth ETF............ 78,291,469 12,189,177 (1,029,285) 11,159,892
Rydex S&P MidCap 400 Pure Value ETF...... 64,596,623 8,716,469 (498,094) 8,218,375
Rydex S&P MidCap 400 Pure Growth ETF..... 205,219,999 25,219,329 (2,722,993) 22,496,336
Rydex S&P SmallCap 600 Pure Value ETF.... 173,534,122 27,822,536 (2,169,362) 25,653,174
Rydex S&P SmallCap 600 Pure Growth ETF... 19,598,825 3,726,150 (270,012) 3,456,138
Rydex S&P Equal Weight Consumer
Discretionary ETF...................... 33,354,611 7,907,973 (38,161) 7,869,812
Rydex S&P Equal Weight Consumer Staples
ETF.................................... 9,589,166 1,331,451 (157,125) 1,174,326
Rydex S&P Equal Weight Energy ETF........ 14,739,689 1,816,547 (451,351) 1,365,196
Rydex S&P Equal Weight Financials ETF.... 20,642,922 3,753,641 (197,453) 3,556,188
Rydex S&P Equal Weight Health Care ETF... 71,924,549 5,341,969 (3,435,523) 1,906,446
Rydex S&P Equal Weight Industrials ETF... 34,817,160 7,656,509 (40,567) 7,615,942
Rydex S&P Equal Weight Materials ETF..... 31,712,578 7,996,908 (396,571) 7,600,337
Rydex S&P Equal Weight Technology ETF.... 82,379,585 8,402,517 (1,192,213) 7,210,304
Rydex S&P Equal Weight Utilities ETF..... 11,092,223 1,066,735 (499,068) 567,667
</Table>
E. FAIR VALUE MEASUREMENT
In accordance with U.S. generally accepted accounting principles, fair value is
defined as the price that the Fund would receive to sell an investment or pay to
transfer a liability in an orderly transaction with an independent buyer in the
principal market, or in the absence of a principal market the most advantageous
market for the investment or liability. A three-tier hierarchy is utilized to
distinguish between (1) inputs that reflect the assumptions market participants
would use in pricing an asset or liability developed based on market data
obtained from sources independent of the reporting entity (observable inputs)
and (2) inputs that reflect the reporting entity's own assumptions about the
assumptions market participants would use in pricing an asset or liability
developed based on the best information available in the circumstances
(unobservable inputs) and to establish classification of fair value measurements
for disclosure purposes.
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.
The following table summarizes the inputs used to value the Funds' net assets as
of April 30, 2010:
<Table>
<Caption>
LEVEL 1 LEVEL 2 LEVEL 3
INVESTMENTS INVESTMENTS INVESTMENTS
FUND IN SECURITIES IN SECURITIES IN SECURITIES TOTAL
- ---- ------------- ------------- ------------- ------------
ASSETS
Rydex S&P 500 Pure Value ETF.............. $117,562,510 $-- $-- $117,562,510
Rydex S&P 500 Pure Growth ETF............. 89,451,361 -- -- 89,451,361
Rydex S&P MidCap 400 Pure Value ETF....... 72,814,998 -- -- 72,814,998
Rydex S&P MidCap 400 Pure Growth ETF...... 227,716,335 -- -- 227,716,335
Rydex S&P SmallCap 600 Pure Value ETF..... 199,187,296 -- -- 199,187,296
Rydex S&P SmallCap 600 Pure Growth ETF.... 23,054,963 -- -- 23,054,963
Rydex S&P Equal Weight Consumer
Discretionary ETF....................... 41,224,423 -- -- 41,224,423
Rydex S&P Equal Weight Consumer Staples
ETF..................................... 10,763,492 -- -- 10,763,492
Rydex S&P Equal Weight Energy ETF......... 16,104,885 -- -- 16,104,885
Rydex S&P Equal Weight Financials ETF..... 24,199,110 -- -- 24,199,110
Rydex S&P Equal Weight Health Care ETF.... 73,830,995 -- -- 73,830,995
Rydex S&P Equal Weight Industrials ETF.... 42,433,102 -- -- 42,433,102
Rydex S&P Equal Weight Materials ETF...... 39,312,915 -- -- 39,312,915
Rydex S&P Equal Weight Technology ETF..... 89,589,889 -- -- 89,589,889
Rydex S&P Equal Weight Utilities ETF...... 11,659,890 -- -- 11,659,890
</Table>
For the six months ended April 30, 2010, there were no Level 3 Investments.
78
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
- --------------------------------------------------------------------------------
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. RISK
Throughout the normal course of business, the Funds enter into contracts that
contain a variety of representations and warranties which provide general
indemnifications. The Funds' maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Funds
and/or their affiliates that have not yet occurred. However, based on experience
the Funds expect the risk of loss to be remote.
I. NEW ACCOUNTING PRONOUNCEMENTS
In January 2010, the Financial Accounting Standards Board issued an Accounting
Standards Update, Improving Disclosures about Fair Value Measurements, which
introduces new disclosure requirements and clarifies certain existing disclosure
requirements around fair value measurements currently presented in Note 2E. The
new disclosures and clarifications of existing disclosures are generally
effective for the Funds' year ending October 31, 2011 and interim periods
therein. Management is evaluating the impact of this update on current
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 each Fund's to conform
to changes in the composition of the relevant index. For these services, Rydex
Investments receives a management 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
SEMI-ANNUAL REPORT 79
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., an affiliated entity, (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, 2010, 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 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, 2010 the Funds had in-kind contributions and
in-kind redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
------------- -----------
Rydex S&P 500 Pure Value ETF............................... $ 80,392,982 $ 7,546,965
Rydex S&P 500 Pure Growth ETF.............................. 41,965,028 1,896,830
Rydex S&P MidCap 400 Pure Value ETF........................ 40,156,198 1,329,816
Rydex S&P MidCap 400 Pure Growth ETF....................... 120,143,715 24,984,388
Rydex S&P SmallCap 600 Pure Value ETF...................... 94,696,185 38,371,461
Rydex S&P SmallCap 600 Pure Growth ETF..................... 7,476,636 --
Rydex S&P Equal Weight Consumer Discretionary ETF.......... 23,285,247 --
Rydex S&P Equal Weight Consumer Staples ETF................ -- --
Rydex S&P Equal Weight Energy ETF.......................... 5,044,958 2,673,845
Rydex S&P Equal Weight Financials ETF...................... 11,141,990 4,722,436
Rydex S&P Equal Weight Health Care ETF..................... 34,130,921 46,063,531
Rydex S&P Equal Weight Industrials ETF..................... 18,895,464 --
Rydex S&P Equal Weight Materials ETF....................... 5,062,049 15,043,595
Rydex S&P Equal Weight Technology ETF...................... 54,681,917 32,580,914
Rydex S&P Equal Weight Utilities ETF....................... 2,362,460 --
</Table>
80
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 S&P 500 Pure Value ETF................................ $15,881,347 $15,988,272
Rydex S&P 500 Pure Growth ETF............................... 22,550,893 24,818,857
Rydex S&P MidCap 400 Pure Value ETF......................... 14,625,993 14,674,048
Rydex S&P MidCap 400 Pure Growth ETF........................ 68,929,657 65,139,765
Rydex S&P SmallCap 600 Pure Value ETF....................... 64,647,252 65,738,771
Rydex S&P SmallCap 600 Pure Growth ETF...................... 8,196,162 6,991,317
Rydex S&P Equal Weight Consumer Discretionary ETF........... 3,348,633 3,161,466
Rydex S&P Equal Weight Consumer Staples ETF................. 1,052,785 1,118,023
Rydex S&P Equal Weight Energy ETF........................... 2,216,074 2,199,506
Rydex S&P Equal Weight Financials ETF....................... 1,577,817 1,672,923
Rydex S&P Equal Weight Health Care ETF...................... 8,164,599 8,447,104
Rydex S&P Equal Weight Industrials ETF...................... 2,118,165 2,116,325
Rydex S&P Equal Weight Materials ETF........................ 3,051,066 3,268,596
Rydex S&P Equal Weight Technology ETF....................... 10,366,058 10,339,432
Rydex S&P Equal Weight Utilities ETF........................ 1,133,528 1,025,123
</Table>
There were no purchases or sales of U.S. government or government agency
obligations for the six months ended April 30, 2010.
6. SUBSEQUENT EVENTS
Management has evaluated events or transactions that may have occurred since
April 30, 2010, that would merit recognition or disclosure in the financial
statements. This evaluation was completed through June xx, 2010, the date the
financial statements were available to be issued and there were no events or
transactions to be reported.
SEMI-ANNUAL REPORT 81
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, 2009 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.
PENDING ACQUISITION TRANSACTION
On February 16, 2010, Security Benefit Corporation ("SBC"), the parent company
of PADCO Advisors, Inc., PADCO Advisors II, Inc. and Security Investors, LLC,
the Funds' investment advisers, as applicable (the "Investment Advisers"), and
certain of SBC's affiliates entered into agreements with an investor group (the
"Investors") led by Guggenheim Partners, LLC ("Guggenheim"). Under the
agreements, a special purpose vehicle owned by the Investors and managed by an
affiliate of Guggenheim would receive a 100% ownership stake in SBC and
consequently acquire control of the Investment Advisers and affiliates (the
"Purchase Transaction"). Guggenheim is a global, independent, privately held,
diversified financial services firm with more than $100 billion in assets under
supervision. The Purchase Transaction should not result in material changes to
the day-to-day management and operations of the Funds or any increase in fees.
While the parties expect the Purchase Transaction's closing to take place on or
about the end of the second quarter, 2010, it is subject to various conditions,
and may be delayed or even terminated due to unforeseen circumstances.
82
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.
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 Board (1940) Rydex Dynamic Funds - 1999
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 Company, registered investment adviser (2005 to
2006); Senior Vice President of Marketing and Co-Owner of Schield Management
Company, registered investment adviser (1985 to 2005)
---------------------
J. KENNETH DALTON Rydex Series Funds - 1995 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
---------------------
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
---------------------
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>
SEMI-ANNUAL REPORT 83
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES (concluded)
EXECUTIVE OFFICERS
<Table>
<Caption>
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE
YEAR OF BIRTH YEARS
- ----------------------------------------- -----------------------------------------
RICHARD M. GOLDMAN* President of Rydex Series Funds, Rydex
President (1961) Variable Trust, Rydex Dynamic Funds and
Rydex ETF Trust (2009 to present); Chief
Executive Officer and Director of Rydex
Investments (2009 to present); President,
Chief Executive Officer and Director of
Rydex Distributors, Inc. (2009 to
present); President and Chief Executive
Officer of Rydex Holdings, LLC (2009 to
present); Senior Vice President of
Security Benefit Corp. (2007 to present);
Director of First Security Benefit Life
and Annuity Insurance Company of New York
(2007 to present); Director of Security
Distributors, Inc. (2007 to present);
President of Security Investors, LLC
(2007 to present); Manager and President
of Security Global Investors, LLC (2007
to present); Managing Member of R.M.
Goldman Partners, LLC (2006 to 2007);
President and Chief Executive Officer of
FortsmannLeff Associates (2003 to 2005)
MICHAEL P. BYRUM* Vice President of Rydex Series Funds
Vice President (1970) (1997 to present); Vice President of
Rydex Variable Trust (1998 to present);
Vice President of Rydex Dynamic Funds
(1999 to present); President of Rydex
Investments (2004 to present); Chief
Investment Officer of Rydex Investments
(2006 to present); Secretary of Rydex
Investments (2002 to present); Director
of Rydex Investments (2008 to present);
Chief Investment Officer of Rydex
Holdings, LLC (2008 to present); Vice
President of Rydex Distributors, Inc.
(2009 to present); Manager of Rydex
Specialized Products, LLC (2005 to
present); Secretary of Rydex Specialized
Products, LLC (2005 to 2008); Trustee of
Rydex Series Funds, Rydex Variable Trust
and Rydex Dynamic Funds (2005 to 2009);
Vice President of Rydex ETF Trust (2002
to present); President and Trustee of
Rydex Capital Partners SPhinX Fund (2003
to 2007)
NICK BONOS* Vice President and Treasurer of Rydex
Vice President and Treasurer (1963) Series Funds, Rydex Variable Trust, Rydex
Dynamic Funds and Rydex ETF Trust (2003
to present); Senior Vice President of
Rydex Investments (2006 to present);
Chief Executive Officer of Rydex
Specialized Products, LLC (2009 to
present); Chief Financial Officer of
Rydex Specialized Products, LLC (2005 to
2009); Vice President and Treasurer of
Rydex Capital Partners SPhinX Fund (2003
to 2006)
JOANNA M. HAIGNEY* Chief Compliance Officer of 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, Rydex Dynamic Funds (2000
to present); Secretary of Rydex ETF Trust
(2002 to present); Chief Compliance
Officer of Rydex Investments (2005 to
present) Vice President of Compliance of
Rydex Investments (2006 to present);
Director of Rydex Distributors, Inc.
(2009 to present); Secretary of Rydex
Capital Partners SPhinX Fund (2003 to
2006)
KEITH FLETCHER* Vice President of Rydex Series Funds,
Vice President (1958) Rydex Variable Trust, Rydex Dynamic Funds
and Rydex ETF Trust (2009 to present);
Vice President of Rydex Investments (2009
to present); Vice President of Rydex
Specialized Products, LLC (2009 to
present); Vice President and Director of
Rydex Distributors, Inc. (2009 to
present); Vice President of Security
Global Investors, LLC (2009 to present)
</Table>
84
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
- --------------------------------------------------------------------------------
EXECUTIVE OFFICERS (concluded)
<Table>
<Caption>
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE
YEAR OF BIRTH YEARS
- ----------------------------------------- -----------------------------------------
AMY LEE* Vice President and Assistant Secretary of
Vice President and Assistant Secretary Rydex Series Funds, Rydex Variable Trust,
(1960) Rydex Dynamic Funds and Rydex ETF Trust
(2009 to present); Secretary of Rydex
Distributors, Inc. (2008 to present);
Chief Compliance Officer of Rydex
Distributors, Inc. (2008 to 2009); Vice
President, Associate General Counsel and
Assistant Secretary of Security Benefit
Corp. (2005 to present); Vice President,
Associate General Counsel and Assistant
Secretary of Security Benefit Life
Insurance Co. (2004 to present);
Assistant General Counsel of First
Security Benefit Life and Annuity Company
of New York (2004 to present); Chief
Compliance Officer and Secretary of
Security Distributors, Inc. (2004 to
present); Secretary of Security Global
Investors, Inc. (2007 to present)
JOSEPH ARRUDA* Assistant Treasurer of Rydex Series
Assistant Treasurer (1966) Funds, Rydex Variable Trust, Rydex
Dynamic Funds and Rydex ETF Trust (2006
to present); Senior Vice President of
Rydex Investments (2008 to present); Vice
President of Rydex Investments (2004 to
2008); Manager and Chief Financial
Officer of Rydex Specialized Products,
LLC (2009 to present) Director of
Accounting of Rydex Investments (2003 to
2004)
PAULA BILLOS* Controller of Rydex Series Funds, Rydex
Controller (1974) Variable Trust, Rydex Dynamic Funds and
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 Rydex Investments.
[RYDEX SGI LOGO]
9601 Blackwell Road - Suite 500 -Rockville, MD 20850
www.rydex-sgi.com - 800.820.0888
ETF2-SEMI-0410X1010
APRIL 30, 2010
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 LOGO]
SEMI-ANNUAL REPORT 1
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<Table>
LETTER TO OUR SHAREHOLDERS........................ 2
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS........ 3
FEES & EXPENSES................................... 4
PREMIUM AND DISCOUNT INFORMATION.................. 5
PORTFOLIO SUMMARY................................. 7
SCHEDULES OF INVESTMENTS.......................... 14
STATEMENTS OF ASSETS AND LIABILITIES.............. 57
STATEMENTS OF OPERATIONS.......................... 61
STATEMENTS OF CHANGES IN NET ASSETS............... 65
FINANCIAL HIGHLIGHTS.............................. 72
NOTES TO FINANCIAL STATEMENTS..................... 86
SUPPLEMENTAL INFORMATION.......................... 96
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS..... 97
</Table>
2
LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER,
With the economy now showing signs of growth, despite having shrunk 2.4% last
year, economic pundits are cautiously optimistic on the U.S. economy. In
prepared remarks to the Dallas Regional Chamber, Fed Chairman Ben Bernanke said,
"The economy has stabilized and is growing again, although we can hardly be
satisfied when one out of every 10 U.S. workers is unemployed and family
finances remain under great stress." Minutes of a March 16, 2010 Federal Reserve
meeting showed policy makers warned against raising rates too soon because
unemployment may hobble a recovery in the world's largest economy. Separately,
New York Fed President William Dudley said that the benchmark federal funds rate
"needs to be exceptionally low for an extended period to contribute to easier
financial conditions to support economic activity." The Fed has kept its target
rate for overnight loans between banks at zero to 0.25% since December 2008.
STEADY PROGRESS, BUT CERTAINTY STILL ELUSIVE
The S&P 500(R) Index returned 15.66% for the six months ended April 30, 2010,
while the S&P Equal Weighted Index returned 22.54%. Rydex|SGI offers 10 equal
weight ETFs which provide equal exposure to relevant indices, ensuring that
smaller cap names are weighted as heavily as market giants, therefore
eliminating the large-cap bias of traditional capitalization-weighted index
products.
INCREASED DEMAND FOR ETFS
In the past decade, demand for ETFs has increased as institutional investors
have found ETFs well suited for participating in, or hedging against, broad
movements in the stock market. Individual investors and their financial advisors
also have become increasingly aware of these investment vehicles. Assets in ETFs
accounted for 6% of total net assets managed by investment companies at year-end
2009, according to The Investment Company Institute(1).
In a regulatory environment that emphasizes transparency and reduced risk,
investment professionals are increasingly turning to exchange traded funds
(ETFs) -- there were 756 ETFs (a total of $691 billion in assets) in the
marketplace in the beginning of the reporting period, and 839 (a total of $805
billion in assets) at the end of the reporting period(1). 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|SGI is a proud participant in the ETF space with more
than two dozen exchange traded products. Our exchange traded product asset base
grew 20% in the six-month period ended April 30, 2010 -- to $6.7 billion from
$5.6 billion.
As one of the earlier entrants in the exchange traded product space, we are
advocates on the numerous advantages ETFs offer investors. Thank you for the
trust you place in us by investing with us.
Sincerely,
- -s- Michael Byrum
Michael Byrum
President & Chief Investment Officer
PERFORMANCE DISPLAYED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS.
FUND PERFORMANCE IS SUBJECT TO DAILY MARKET VOLATILITY AND MAY BE BETTER OR
WORSE SINCE THE END OF THE LAST QUARTER. FOR UP-TO-DATE FUND PERFORMANCE, CALL
800.820.0888 OR VISIT WWW.RYDEX-SGI.COM.
- --------
(1) Investment Company Institute 2010 Investment Company Factbook, p. 46.,
http://www.ici.org/pdf/2010_factbook.pdf
SEMI-ANNUAL REPORT 3
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.
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, 2009 and held for the six months ended April 30, 2010.
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 10/31/09 4/30/10 10/31/09 TO 4/30/10
------- --------- --------- -------------------
ACTUAL
Rydex 2x S&P 500 ETF....................... 0.71% $1,000.00 $1,318.70 $4.08
Rydex Inverse 2x S&P 500 ETF............... 0.71% 1,000.00 723.70 3.03
Rydex 2x MidCap 400 ETF.................... 0.71% 1,000.00 1,552.80 4.49
Rydex Inverse 2x S&P MidCap 400 ETF........ 0.71% 1,000.00 606.90 2.83
Rydex 2x Russell 2000 ETF.................. 0.71% 1,000.00 1,606.30 4.59
Rydex Inverse 2x Russell 2000 ETF.......... 0.71% 1,000.00 573.30 2.77
Rydex 2x S&P Select Sector Energy ETF...... 0.71% 1,000.00 1,163.60 3.81
Rydex Inverse 2x S&P Select Sector Energy
ETF..................................... 0.71% 1,000.00 779.00 3.13
Rydex 2x S&P Select Sector Financial ETF... 0.71% 1,000.00 1,303.80 4.06
Rydex Inverse 2x S&P Select Sector
Financial ETF........................... 0.71% 1,000.00 690.40 2.98
Rydex 2x S&P Select Sector Health Care
ETF..................................... 0.71% 1,000.00 1,216.40 3.90
Rydex Inverse 2x S&P Select Sector Health
Care ETF................................ 0.71% 1,000.00 787.70 3.15
Rydex 2x S&P Select Sector Technology ETF.. 0.71% 1,000.00 1,280.40 4.01
Rydex Inverse 2x S&P Select Sector
Technology ETF.......................... 0.71% 1,000.00 737.80 3.06
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE
EXPENSES)
Rydex 2x S&P 500 ETF....................... 0.71% 1,000.00 1,021.27 3.56
Rydex Inverse 2x S&P 500 ETF............... 0.71% 1,000.00 1,021.27 3.56
Rydex 2x MidCap 400 ETF.................... 0.71% 1,000.00 1,021.27 3.56
Rydex Inverse 2x S&P MidCap 400 ETF........ 0.71% 1,000.00 1,021.27 3.56
Rydex 2x Russell 2000 ETF.................. 0.71% 1,000.00 1,021.27 3.56
Rydex Inverse 2x Russell 2000 ETF.......... 0.71% 1,000.00 1,021.27 3.56
Rydex 2x S&P Select Sector Energy ETF...... 0.71% 1,000.00 1,021.27 3.56
Rydex Inverse 2x S&P Select Sector Energy
ETF..................................... 0.71% 1,000.00 1,021.27 3.56
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........................... 0.71% 1,000.00 1,021.27 3.56
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................................ 0.71% 1,000.00 1,021.27 3.56
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.......................... 0.71% 1,000.00 1,021.27 3.56
</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. 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 period
from inception to April 30, 2010.
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 RYDEX 2X
RYDEX RYDEX 2X INVERSE 2X INVERSE 2X S&P SELECT
RYDEX 2X INVERSE 2X S&P S&P RYDEX 2X RUSSELL SECTOR
S&P 500 S&P 500 MIDCAP 400 MIDCAP 400 RUSSELL 2000 2000 ENERGY
PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF ETF
- -------------------------------------------------------------------------------------------------------------------
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 14 6 10 16
Between 1.01% and 3% 17 11 43 62 29 21 35
Between .51% and 1% 41 36 38 56 41 50 39
Between .26% and .5% 41 38 47 60 40 82 38
Between 0% and .25% 196 328 161 206 180 254 194
Between -0.01% and -0.25% 332 248 231 175 236 199 111
Between -0.26% and -0.5% 60 37 66 57 100 48 56
Between -0.51% and -1% 29 20 71 47 54 37 47
Between -1.01% and -3% 16 16 66 47 42 32 45
Between -3.01% and -8% 0 4 7 14 11 6 8
Between -8.01% and -10% 0 0 0 0 0 0 1
Less Than -10% 0 0 0 0 0 0 0
- -------------------------------------------------------------------------------------------------------------------
Total 739 739 739 739 739 739 590
</Table>
<Table>
<Caption>
PERCENTAGE OF TOTAL DAYS
----------------------------------------------------------------------------------------
RYDEX RYDEX RYDEX 2X
RYDEX RYDEX 2X INVERSE 2X INVERSE 2X S&P SELECT
RYDEX 2X INVERSE 2X S&P S&P RYDEX 2X RUSSELL SECTOR
S&P 500 S&P 500 MIDCAP 400 MIDCAP 400 RUSSELL 2000 2000 ENERGY
PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF ETF
- -------------------------------------------------------------------------------------------------------------------
Greater Than 10% 0.00% 0.00% 0.13% 0.00% 0.00% 0.00% 0.00%
Between 8.01% and 10% 0.00% 0.00% 0.00% 0.14% 0.00% 0.00% 0.00%
Between 3.01% and 8% 0.95% 0.13% 1.08% 1.89% 0.81% 1.35% 2.71%
Between 1.01% and 3% 2.30% 1.49% 5.82% 8.39% 3.92% 2.84% 5.93%
Between .51% and 1% 5.55% 4.87% 5.14% 7.58% 5.55% 6.77% 6.61%
Between .26% and .5% 5.55% 5.14% 6.36% 8.12% 5.41% 11.10% 6.44%
Between 0% and .25% 26.52% 44.38% 21.79% 27.88% 24.36% 34.37% 32.88%
Between -0.01% and -0.25% 44.93% 33.56% 31.26% 23.68% 31.94% 26.93% 18.81%
Between -0.26% and -0.5% 8.12% 5.01% 8.93% 7.71% 13.53% 6.49% 9.49%
Between -0.51% and -1% 3.92% 2.71% 9.61% 6.36% 7.31% 5.01% 7.97%
Between -1.01% and -3% 2.16% 2.17% 8.93% 6.36% 5.68% 4.33% 7.63%
Between -3.01% and -8% 0.00% 0.54% 0.95% 1.89% 1.49% 0.81% 1.36%
Between -8.01% and -10% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.17%
Less Than -10% 0.00% 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% 100.00%
</Table>
6
PREMIUM AND DISCOUNT INFORMATION (Unaudited) (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
NUMBER OF DAYS
------------------------------------------------------------------------------------------
RYDEX RYDEX RYDEX RYDEX
INVERSE 2X RYDEX 2X INVERSE 2X RYDEX 2X INVERSE 2X RYDEX 2X INVERSE 2X
S&P SELECT S&P SELECT S&P SELECT S&P SELECT S&P SELECT S&P SELECT S&P SELECT
SECTOR SECTOR SECTOR SECTOR SECTOR SECTOR SECTOR
ENERGY FINANCIAL FINANCIAL HEALTH CARE HEALTH CARE TECHNOLOGY TECHNOLOGY
PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF ETF
- --------------------------------------------------------------------------------------------------------------------
Greater Than 10% 1 1 0 1 5 3 0
Between 8.01% and 10% 1 1 0 1 3 1 2
Between 3.01% and 8% 10 14 10 16 29 10 27
Between 1.01% and 3% 53 48 43 43 82 47 73
Between .51% and 1% 67 36 46 39 37 37 50
Between .26% and .5% 56 36 54 26 34 35 30
Between 0% and .25% 194 196 238 180 143 172 159
Between -0.01% and
-0.25% 60 120 82 65 68 77 60
Between -0.26% and -0.5% 40 56 32 37 39 57 26
Between -0.51% and -1% 40 28 35 73 48 48 61
Between -1.01% and -3% 51 40 37 85 71 58 66
Between -3.01% and -8% 16 13 13 22 29 41 36
Between -8.01% and -10% 0 0 0 1 2 1 0
Less Than -10% 1 1 0 1 0 3 0
- --------------------------------------------------------------------------------------------------------------------
Total 590 590 590 590 590 590 590
</Table>
<Table>
<Caption>
PERCENTAGE OF TOTAL DAYS
------------------------------------------------------------------------------------------
RYDEX RYDEX RYDEX RYDEX
INVERSE 2X RYDEX 2X INVERSE 2X RYDEX 2X INVERSE 2X RYDEX 2X INVERSE 2X
S&P SELECT S&P SELECT S&P SELECT S&P SELECT S&P SELECT S&P SELECT S&P SELECT
SECTOR SECTOR SECTOR SECTOR SECTOR SECTOR SECTOR
ENERGY FINANCIAL FINANCIAL HEALTH CARE HEALTH CARE TECHNOLOGY TECHNOLOGY
PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF ETF
- --------------------------------------------------------------------------------------------------------------------
Greater Than 10% 0.17% 0.17% 0.00% 0.17% 0.85% 0.51% 0.00%
Between 8.01% and 10% 0.17% 0.17% 0.00% 0.17% 0.51% 0.17% 0.34%
Between 3.01% and 8% 1.69% 2.37% 1.70% 2.71% 4.91% 1.69% 4.58%
Between 1.01% and 3% 8.98% 8.14% 7.29% 7.29% 13.90% 7.97% 12.37%
Between .51% and 1% 11.36% 6.10% 7.80% 6.61% 6.27% 6.27% 8.47%
Between .26% and .5% 9.49% 6.10% 9.15% 4.41% 5.76% 5.93% 5.08%
Between 0% and .25% 32.88% 33.22% 40.34% 30.51% 24.24% 29.15% 26.95%
Between -0.01% and
-0.25% 10.17% 20.34% 13.90% 11.01% 11.52% 13.05% 10.17%
Between -0.26% and -0.5% 6.78% 9.49% 5.42% 6.27% 6.61% 9.66% 4.41%
Between -0.51% and -1% 6.78% 4.75% 5.93% 12.37% 8.14% 8.14% 10.34%
Between -1.01% and -3% 8.65% 6.78% 6.27% 14.41% 12.03% 9.83% 11.19%
Between -3.01% and -8% 2.71% 2.20% 2.20% 3.73% 4.92% 6.95% 6.10%
Between -8.01% and -10% 0.00% 0.00% 0.00% 0.17% 0.34% 0.17% 0.00%
Less Than -10% 0.17% 0.17% 0.00% 0.17% 0.00% 0.51% 0.00%
- --------------------------------------------------------------------------------------------------------------------
Total 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
</Table>
SEMI-ANNUAL REPORT 7
RYDEX 2x S&P 500 ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
EXXON MOBIL CORP. 2.47%
APPLE, INC. 1.83%
MICROSOFT CORP. 1.80%
GENERAL ELECTRIC CO. 1.55%
PROCTER & GAMBLE CO. 1.39%
BANK OF AMERICA CORP. 1.38%
JOHNSON & JOHNSON, INC. 1.36%
WELLS FARGO & CO. 1.32%
JPMORGAN CHASE & CO. 1.30%
INTERNATIONAL BUSINESS MACHINES CORP. 1.29%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Information Technology 17.61
Industrials 16.81
Financials 15.36
Health Care 10.77
Energy 10.43
Consumer Staples 10.17
Consumer Discretionary 9.84
Utilities 3.25
Materials 3.22
Telecommunication Services 2.54
</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.
8
RYDEX 2x S&P MIDCAP 400 ETF
PORTFOLIO SUMMARY (Unaudited) As April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
CREE, INC. 0.63%
VERTEX PHARMACEUTICALS, INC. 0.63%
NEWFIELD EXPLORATION CO. 0.63%
NEW YORK COMMUNITY BANCORP, INC. 0.58%
LUBRIZOL CORP. 0.50%
JOY GLOBAL, INC. 0.48%
EDWARDS LIFESCIENCES CORP. 0.47%
MACERICH CO. (THE) 0.47%
CIMAREX ENERGY CO. 0.46%
CARMAX, INC. 0.45%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Industrials 21.34
Financials 19.20
Consumer Discretionary 13.78
Information Technology 13.42
Health Care 11.13
Materials 5.98
Energy 5.71
Utilities 5.32
Consumer Staples 3.40
Telecommunication Services 0.72
</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 9
RYDEX 2x RUSSELL 2000 ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
HUMAN GENOME SCIENCES, INC. 0.39%
UAL CORP. 0.28%
TUPPERWARE BRANDS CORP. 0.25%
ARES CAPITAL CORP. 0.23%
DOMTAR CORP. 0.23%
SKYWORKS SOLUTIONS, INC. 0.22%
POLYCOM, INC. 0.21%
SOLERA HOLDINGS, INC. 0.21%
ASSURED GUARANTY, LTD. 0.20%
E*TRADE FINANCIAL CORP. 0.20%
- ------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Industrials 24.13
Financials 19.00
Information Technology 15.53
Consumer Discretionary 13.73
Health Care 12.47
Energy 4.56
Materials 4.30
Consumer Staples 2.81
Utilities 2.68
Telecommunication Services 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 equity
investments market value. These percentages may change over time.
10
RYDEX 2x S&P SELECT SECTOR ENERGY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
EXXON MOBIL CORP. 14.61%
CHEVRON CORP. 11.29%
SCHLUMBERGER, LTD. 6.03%
CONOCOPHILLIPS 4.40%
OCCIDENTAL PETROLEUM CORP. 4.25%
APACHE CORP. 2.67%
ANADARKO PETROLEUM CORP. 2.41%
DEVON ENERGY CORP. 2.35%
EOG RESOURCES, INC. 2.33%
HALLIBURTON CO. 2.25%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Oil, Gas & Consumable Fuels 79.37
Energy Equipment & Services 20.63
</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 11
RYDEX 2x S&P SELECT SECTOR FINANCIAL ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
BANK OF AMERICA CORP. 8.53%
WELLS FARGO & CO. 8.18%
JPMORGAN CHASE & CO. 8.06%
BERKSHIRE HATHAWAY, INC. -- CLASS B 6.07%
CITIGROUP, INC. 4.09%
GOLDMAN SACHS GROUP, INC. 3.64%
AMERICAN EXPRESS CO. 2.63%
U.S. BANCORP 2.44%
MORGAN STANLEY 2.01%
BANK OF NEW YORK MELLON CORP. 1.79%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Diversified Financial Services 27.48
Insurance 22.76
Commercial Banks 20.22
Capital Markets 15.67
Real Estate Investment Trusts (REITs) 7.87
Consumer Finance 5.05
Thrifts & Mortgage Finance 0.68
Real Estate Management & Development 0.27
</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.
12
RYDEX 2x S&P SELECT SECTOR HEALTH CARE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
JOHNSON & JOHNSON, INC. 12.36%
PFIZER, INC. 9.43%
MERCK & CO., INC. 7.63%
ABBOTT LABORATORIES 4.70%
AMGEN, INC. 3.93%
MEDTRONIC, INC. 3.39%
BRISTOL-MYERS SQUIBB CO. 3.04%
GILEAD SCIENCES, INC. 2.50%
ELI LILLY & CO. 2.48%
UNITEDHEALTH GROUP, INC. 2.47%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Pharmaceuticals 49.24
Health Care Providers & Services 17.79
Health Care Equipment & Supplies 16.04
Biotechnology 12.48
Life Sciences Tools & Services 3.97
Health Care Technology 0.48
</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 2x S&P SELECT SECTOR TECHNOLOGY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2010
- --------------------------------------------------------------------------------
TOP 10 HOLDINGS*
- --------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------------
APPLE, INC. 8.50%
MICROSOFT CORP. 8.36%
INTERNATIONAL BUSINESS MACHINES CORP. 6.00%
CISCO SYSTEMS, INC. 5.53%
AT&T, INC. 5.52%
GOOGLE, INC. -- CLASS A 4.53%
INTEL CORP. 3.86%
HEWLETT-PACKARD CO. 3.64%
ORACLE CORP. 3.64%
VERIZON COMMUNICATIONS, INC. 2.96%
- ------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Computers & Peripherals 26.66
Software 19.29
Communication Equipment 11.52
Diversified Telecommunications Services 11.38
Semiconductors & Semiconductor Equipment 11.23
Internet Software &Services 8.06
IT Services 6.98
Electronic Equipment, Instruments &
Components 2.80
Wireless Telecommunication Services 1.40
Office Electronics 0.68
</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 equity
investments market value. These percentages may change over time.
14
Rydex 2x S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS 82.7%
AEROSPACE & DEFENSE 2.5%
Boeing Co. ..................................... 6,480 $469,346
General Dynamics Corp. ......................... 3,300 251,988
Goodrich Corp. ................................. 1,070 79,373
Honeywell International, Inc. .................. 6,550 310,929
ITT Corp. ...................................... 1,570 87,245
L-3 Communications Holdings, Inc. .............. 990 92,634
Lockheed Martin Corp. .......................... 2,700 229,203
Northrop Grumman Corp. ......................... 2,590 175,680
Precision Castparts Corp. ...................... 1,210 155,291
Raytheon Co. ................................... 3,250 189,475
Rockwell Collins, Inc. ......................... 1,350 87,750
United Technologies Corp. ...................... 8,020 601,099
------------
TOTAL AEROSPACE & DEFENSE 2,730,013
------------
AIR FREIGHT & LOGISTICS 0.9%
C.H. Robinson Worldwide, Inc. .................. 1,430 86,229
Expeditors International of Washington, Inc. ... 1,820 74,147
FedEx Corp. .................................... 2,680 241,227
United Parcel Service, Inc. -- Class B.......... 8,500 587,690
------------
TOTAL AIR FREIGHT & LOGISTICS 989,293
------------
AIRLINES 0.1%
Southwest Airlines Co. ......................... 6,370 83,957
------------
TOTAL AIRLINES 83,957
------------
AUTO COMPONENTS 0.2%
Goodyear Tire & Rubber Co.(The)*................ 2,070 27,800
Johnson Controls, Inc. ......................... 5,750 193,143
------------
TOTAL AUTO COMPONENTS 220,943
------------
AUTOMOBILES 0.4%
Ford Motor Co.*................................. 28,850 375,627
Harley-Davidson, Inc. .......................... 2,010 67,998
------------
TOTAL AUTOMOBILES 443,625
------------
BEVERAGES 2.0%
Brown-Forman Corp. -- Class B................... 930 54,107
Coca-Cola Co.(The).............................. 19,740 1,055,103
Coca-Cola Enterprises, Inc. .................... 2,740 75,980
Constellation Brands, Inc. -- Class A*.......... 1,710 31,242
Dr Pepper Snapple Group, Inc. .................. 2,180 71,351
Molson Coors Brewing Co. -- Class B............. 1,360 60,330
PepsiCo, Inc. .................................. 14,000 913,080
------------
TOTAL BEVERAGES 2,261,193
------------
BIOTECHNOLOGY 1.2%
Amgen, Inc.*.................................... 8,390 481,250
Biogen Idec, Inc.*.............................. 2,310 123,008
Celgene Corp.*.................................. 3,940 244,083
Cephalon, Inc.*................................. 640 41,088
Genzyme Corp.*.................................. 2,280 121,387
Gilead Sciences, Inc.*.......................... 7,740 307,046
------------
TOTAL BIOTECHNOLOGY 1,317,862
------------
BUILDING PRODUCTS 0.0%(A)
Masco Corp. .................................... 3,070 49,826
------------
TOTAL BUILDING PRODUCTS 49,826
------------
CAPITAL MARKETS 2.1%
Ameriprise Financial, Inc. ..................... 2,190 101,528
Bank of New York Mellon Corp. .................. 10,350 322,196
Charles Schwab Corp.(The)....................... 8,370 161,457
E*TRADE Financial Corp.*........................ 16,420 27,586
Federated Investors, Inc. -- Class B............ 760 18,331
Franklin Resources, Inc. ....................... 1,270 146,863
Goldman Sachs Group, Inc.(The).................. 4,510 654,852
Invesco Ltd. ................................... 3,670 84,373
Janus Capital Group, Inc. ...................... 1,570 22,106
Legg Mason, Inc. ............................... 1,390 44,049
Morgan Stanley.................................. 11,970 361,733
Northern Trust Corp. ........................... 2,070 113,809
State Street Corp. ............................. 4,240 184,440
T. Rowe Price Group, Inc. ...................... 2,220 127,672
------------
TOTAL CAPITAL MARKETS 2,370,995
------------
CHEMICALS 1.6%
Air Products & Chemicals, Inc. ................. 1,820 139,740
Airgas, Inc. ................................... 710 45,050
CF Industries Holdings, Inc. ................... 590 49,365
Dow Chemical Co.(The)........................... 9,850 303,676
Du Pont (E.I.) de Nemours & Co. ................ 7,740 308,362
Eastman Chemical Co. ........................... 620 41,490
Ecolab, Inc. ................................... 2,020 98,657
FMC Corp. ...................................... 620 39,457
International Flavors & Fragrances, Inc. ....... 680 34,061
Monsanto Co. ................................... 4,670 294,490
PPG Industries, Inc. ........................... 1,420 99,925
Praxair, Inc. .................................. 2,620 219,477
Sigma-Aldrich Corp. ............................ 1,040 61,672
------------
TOTAL CHEMICALS 1,735,422
------------
COMMERCIAL BANKS 2.8%
BB&T Corp. ..................................... 5,920 196,781
Comerica, Inc. ................................. 1,490 62,580
Fifth Third Bancorp............................. 6,810 101,537
First Horizon National Corp.*................... 1,930 27,310
Huntington Bancshares, Inc. .................... 6,140 41,568
KeyCorp......................................... 7,520 67,830
M&T Bank Corp. ................................. 710 62,018
Marshall & Ilsley Corp. ........................ 4,510 41,041
PNC Financial Services Group, Inc. ............. 4,430 297,740
Regions Financial Corp. ........................ 10,210 90,256
SunTrust Banks, Inc. ........................... 4,280 126,688
U.S. Bancorp.................................... 16,390 438,760
Wells Fargo & Co. .............................. 44,370 1,469,091
Zions Bancorp................................... 1,290 37,062
------------
TOTAL COMMERCIAL BANKS 3,060,262
------------
COMMERCIAL SERVICES & SUPPLIES 0.4%
Avery Dennison Corp. ........................... 960 37,469
Cintas Corp. ................................... 1,130 30,793
Iron Mountain, Inc. ............................ 1,550 38,982
Pitney Bowes, Inc. ............................. 1,780 45,212
R.R. Donnelley & Sons Co. ...................... 1,760 37,822
Republic Services, Inc. ........................ 2,770 85,953
Stericycle, Inc.*............................... 730 42,997
Waste Management, Inc. ......................... 4,150 143,922
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 463,150
------------
COMMUNICATIONS EQUIPMENT 2.0%
Cisco Systems, Inc.*............................ 49,040 1,320,157
Harris Corp. ................................... 1,120 57,658
JDS Uniphase Corp.*............................. 1,910 24,811
Juniper Networks, Inc.*......................... 4,500 127,845
Motorola, Inc.*................................. 19,810 140,057
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 15
Rydex 2x S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
QUALCOMM, Inc. ................................. 14,390 $557,468
Tellabs, Inc. .................................. 3,290 29,873
------------
TOTAL COMMUNICATIONS EQUIPMENT 2,257,869
------------
COMPUTERS & PERIPHERALS 4.9%
Apple, Inc.*.................................... 7,770 2,028,902
Dell, Inc.*..................................... 14,750 238,655
EMC Corp.*...................................... 17,580 334,196
Hewlett-Packard Co. ............................ 20,160 1,047,715
International Business Machines Corp. .......... 11,130 1,435,770
Lexmark International, Inc. -- Class A*......... 670 24,824
NetApp, Inc.*................................... 2,950 102,277
QLogic Corp.*................................... 980 18,983
SanDisk Corp.*.................................. 1,960 78,184
Teradata Corp.*................................. 1,430 41,570
Western Digital Corp.*.......................... 1,960 80,536
------------
TOTAL COMPUTERS & PERIPHERALS 5,431,612
------------
CONSTRUCTION & ENGINEERING 0.1%
Fluor Corp. .................................... 1,530 80,845
Jacobs Engineering Group, Inc.*................. 1,070 51,596
Quanta Services, Inc.*.......................... 1,800 36,234
------------
TOTAL CONSTRUCTION & ENGINEERING 168,675
------------
CONSTRUCTION MATERIALS 0.1%
Vulcan Materials Co. ........................... 1,080 61,862
------------
TOTAL CONSTRUCTION MATERIALS 61,862
------------
CONSUMER FINANCE 0.7%
American Express Co. ........................... 10,250 472,730
Capital One Financial Corp. .................... 3,900 169,299
Discover Financial Services..................... 4,660 72,044
SLM Corp.*...................................... 4,150 50,796
------------
TOTAL CONSUMER FINANCE 764,869
------------
CONTAINERS & PACKAGING 0.2%
Ball Corp. ..................................... 810 43,100
Bemis Co., Inc. ................................ 930 28,281
Owens-Illinois, Inc.*........................... 1,440 51,034
Pactiv Corp.*................................... 1,130 28,713
Sealed Air Corp. ............................... 1,360 29,240
------------
TOTAL CONTAINERS & PACKAGING 180,368
------------
DISTRIBUTORS 0.1%
Genuine Parts Co. .............................. 1,360 58,208
------------
TOTAL DISTRIBUTORS 58,208
------------
DIVERSIFIED CONSUMER SERVICES 0.1%
Apollo Group, Inc. -- Class A*.................. 1,100 63,151
DeVry, Inc. .................................... 530 33,067
H&R Block, Inc. ................................ 2,870 52,549
------------
TOTAL DIVERSIFIED CONSUMER SERVICES 148,767
------------
DIVERSIFIED FINANCIAL SERVICES 3.7%
Bank of America Corp. .......................... 85,920 1,531,953
Citigroup, Inc.*................................ 168,280 735,384
CME Group, Inc. ................................ 570 187,194
IntercontinentalExchange, Inc.*................. 630 73,477
JPMorgan Chase & Co. ........................... 34,030 1,448,997
Leucadia National Corp.*........................ 1,630 41,255
Moody's Corp. .................................. 1,680 41,530
Nasdaq OMX Group (The)*......................... 1,270 26,670
NYSE Euronext................................... 2,240 73,091
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES 4,159,551
------------
DIVERSIFIED TELECOMMUNICATION SERVICES 2.0%
AT&T, Inc. ..................................... 50,550 1,317,333
CenturyTel, Inc. ............................... 2,570 87,663
Frontier Communications Corp. .................. 2,670 21,253
Qwest Communications International, Inc. ....... 12,740 66,630
Verizon Communications, Inc. ................... 24,290 701,738
Windstream Corp. ............................... 3,910 43,206
------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES 2,237,823
------------
ELECTRIC UTILITIES 1.5%
Allegheny Energy, Inc. ......................... 1,450 31,581
American Electric Power Co., Inc. .............. 4,090 140,287
Duke Energy Corp. .............................. 11,210 188,104
Edison International............................ 2,790 95,892
Entergy Corp. .................................. 1,620 131,690
Exelon Corp. ................................... 5,650 246,283
FirstEnergy Corp. .............................. 2,610 98,840
FPL Group, Inc. ................................ 3,540 184,257
Northeast Utilities............................. 1,500 41,685
Pepco Holdings, Inc. ........................... 1,900 31,806
Pinnacle West Capital Corp. .................... 920 34,353
PPL Corp. ...................................... 3,230 79,975
Progress Energy, Inc. .......................... 2,440 97,405
Southern Co. ................................... 7,030 242,957
------------
TOTAL ELECTRIC UTILITIES 1,645,115
------------
ELECTRICAL EQUIPMENT 0.5%
Emerson Electric Co. ........................... 6,440 336,361
First Solar, Inc.*.............................. 420 60,291
Rockwell Automation, Inc. ...................... 1,220 74,079
Roper Industries, Inc. ......................... 800 48,816
------------
TOTAL ELECTRICAL EQUIPMENT 519,547
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 0.5%
Agilent Technologies, Inc.*..................... 2,990 108,417
Amphenol Corp. -- Class A....................... 1,480 68,391
Corning, Inc. .................................. 13,350 256,987
FLIR Systems, Inc.*............................. 1,310 40,073
Jabil Circuit, Inc. ............................ 1,650 25,278
Molex, Inc. .................................... 1,160 25,996
------------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 525,142
------------
ENERGY EQUIPMENT & SERVICES 1.6%
Baker Hughes, Inc. ............................. 3,675 182,862
Cameron International Corp.*.................... 2,090 82,471
Diamond Offshore Drilling, Inc. ................ 600 47,460
FMC Technologies, Inc.*......................... 1,040 70,398
Halliburton Co. ................................ 7,750 237,538
Helmerich & Payne, Inc. ........................ 910 36,964
Nabors Industries, Ltd.*........................ 2,440 52,631
National-Oilwell Varco, Inc. ................... 3,580 157,627
Rowan Cos., Inc.*............................... 970 28,906
Schlumberger, Ltd. ............................. 10,250 732,055
Smith International, Inc. ...................... 2,130 101,729
------------
TOTAL ENERGY EQUIPMENT & SERVICES 1,730,641
------------
FOOD & STAPLES RETAILING 2.1%
Costco Wholesale Corp. ......................... 3,760 222,141
CVS Caremark Corp. ............................. 11,910 439,836
</Table>
See Notes to Financial Statements.
16
Rydex 2x S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Kroger Co.(The)................................. 5,570 $123,821
Safeway, Inc. .................................. 3,330 78,588
SUPERVALU, Inc. ................................ 1,820 27,118
Sysco Corp. .................................... 5,070 159,908
Wal-Mart Stores, Inc. .......................... 18,270 980,186
Walgreen Co. ................................... 8,440 296,666
Whole Foods Market, Inc.*....................... 1,460 56,969
------------
TOTAL FOOD & STAPLES RETAILING 2,385,233
------------
FOOD PRODUCTS 1.4%
Archer-Daniels-Midland Co. ..................... 5,500 153,670
Campbell Soup Co. .............................. 1,620 58,093
ConAgra Foods, Inc. ............................ 3,800 92,986
Dean Foods Co.*................................. 1,550 24,335
General Mills, Inc. ............................ 2,820 200,728
H.J. Heinz Co. ................................. 2,710 127,018
Hershey Co.(The)................................ 1,430 67,224
Hormel Foods Corp. ............................. 600 24,456
J.M. Smucker Co.(The)........................... 1,020 62,291
Kellogg Co. .................................... 2,180 119,769
Kraft Foods, Inc. -- Class A.................... 14,870 440,152
McCormick & Co., Inc. .......................... 1,130 44,714
Sara Lee Corp. ................................. 5,970 84,894
Tyson Foods, Inc. -- Class A.................... 2,610 51,130
------------
TOTAL FOOD PRODUCTS 1,551,460
------------
GAS UTILITIES 0.2%
EQT Corp. ...................................... 1,230 53,493
Nicor, Inc. .................................... 390 16,969
Oneok, Inc. .................................... 900 44,226
Questar Corp. .................................. 1,500 71,925
------------
TOTAL GAS UTILITIES 186,613
------------
HEALTH CARE EQUIPMENT & SUPPLIES 1.5%
Baxter International, Inc. ..................... 5,160 243,655
Becton, Dickinson & Co. ........................ 2,020 154,267
Boston Scientific Corp.*........................ 12,940 89,027
C.R. Bard, Inc. ................................ 820 70,955
CareFusion Corp.*............................... 1,520 41,922
Dentsply International, Inc. ................... 1,260 46,166
Hospira, Inc.*.................................. 1,400 75,306
Intuitive Surgical, Inc.*....................... 330 118,985
Medtronic, Inc. ................................ 9,460 413,307
St Jude Medical, Inc.*.......................... 2,790 113,888
Stryker Corp. .................................. 2,420 139,005
Varian Medical Systems, Inc.*................... 1,060 59,763
Zimmer Holdings, Inc.*.......................... 1,820 110,856
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,677,102
------------
HEALTH CARE PROVIDERS & SERVICES 1.6%
Aetna, Inc. .................................... 3,690 109,040
AmerisourceBergen Corp. ........................ 2,420 74,657
Cardinal Health, Inc. .......................... 3,100 107,539
CIGNA Corp. .................................... 2,350 75,341
Coventry Health Care, Inc.*..................... 1,270 30,150
DaVita, Inc.*................................... 880 54,938
Express Scripts, Inc.*.......................... 2,360 236,307
Humana, Inc.*................................... 1,460 66,751
Laboratory Corp. of America Holdings*........... 900 70,713
McKesson Corp. ................................. 2,310 149,711
Medco Health Solutions, Inc.*................... 3,970 233,912
Patterson Cos., Inc. ........................... 800 25,592
Quest Diagnostics, Inc. ........................ 1,290 73,736
Tenet Healthcare Corp.*......................... 3,710 23,188
UnitedHealth Group, Inc. ....................... 9,910 300,372
WellPoint, Inc.*................................ 3,800 204,440
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 1,836,387
------------
HEALTH CARE TECHNOLOGY 0.0%(A)
Cerner Corp.*................................... 580 49,248
------------
TOTAL HEALTH CARE TECHNOLOGY 49,248
------------
HOTELS, RESTAURANTS & LEISURE 1.4%
Carnival Corp. ................................. 3,720 155,124
Darden Restaurants, Inc. ....................... 1,200 53,700
International Game Technology................... 2,540 53,543
Marriott International, Inc. -- Class A......... 2,180 80,137
McDonald's Corp. ............................... 9,220 650,840
Starbucks Corp. ................................ 6,370 165,493
Starwood Hotels & Resorts Worldwide, Inc. ...... 1,600 87,216
Wyndham Worldwide Corp. ........................ 1,530 41,019
Wynn Resorts Ltd. .............................. 590 52,062
Yum! Brands, Inc. .............................. 4,020 170,528
------------
TOTAL HOTELS, RESTAURANTS & LEISURE 1,509,662
------------
HOUSEHOLD DURABLES 0.4%
D.R. Horton, Inc. .............................. 2,370 34,815
Fortune Brands, Inc. ........................... 1,300 68,146
Harman International Industries, Inc.*.......... 590 23,293
Leggett & Platt, Inc. .......................... 1,270 31,153
Lennar Corp. -- Class A......................... 1,390 27,661
Newell Rubbermaid, Inc. ........................ 2,380 40,627
Pulte Homes, Inc.*.............................. 2,720 35,605
Stanley Black & Decker, Inc. ................... 1,350 83,902
Whirlpool Corp. ................................ 640 69,677
------------
TOTAL HOUSEHOLD DURABLES 414,879
------------
HOUSEHOLD PRODUCTS 2.0%
Clorox Co. ..................................... 1,200 77,640
Colgate-Palmolive Co. .......................... 4,230 355,743
Kimberly-Clark Corp. ........................... 3,570 218,698
Procter & Gamble Co. ........................... 24,880 1,546,541
------------
TOTAL HOUSEHOLD PRODUCTS 2,198,622
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.2%
AES Corp.(The)*................................. 5,730 66,124
Constellation Energy Group, Inc. ............... 1,720 60,802
NRG Energy, Inc.*............................... 2,240 54,141
------------
TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 181,067
------------
INDUSTRIAL CONGLOMERATES 2.1%
3M Co. ......................................... 6,100 540,887
General Electric Co. ........................... 91,380 1,723,427
Textron, Inc. .................................. 2,330 53,217
------------
TOTAL INDUSTRIAL CONGLOMERATES 2,317,531
------------
INSURANCE 3.1%
AFLAC, Inc. .................................... 4,020 204,859
Allstate Corp. ................................. 4,600 150,282
American International Group, Inc.*............. 1,160 45,124
Aon Corp. ...................................... 2,290 97,233
Assurant, Inc. ................................. 1,000 36,430
Berkshire Hathaway, Inc. -- Class B*............ 14,170 1,091,090
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 17
Rydex 2x S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Chubb Corp. .................................... 2,810 $148,565
Cincinnati Financial Corp. ..................... 1,400 39,760
Genworth Financial, Inc. -- Class A*............ 4,190 69,219
Hartford Financial Services Group, Inc. ........ 3,800 108,566
Lincoln National Corp. ......................... 2,590 79,228
Loews Corp. .................................... 3,040 113,210
Marsh & McLennan Cos., Inc. .................... 4,560 110,443
MetLife, Inc. .................................. 7,020 319,972
Principal Financial Group, Inc. ................ 2,740 80,063
Progressive Corp. .............................. 5,750 115,517
Prudential Financial, Inc. ..................... 3,980 252,969
Torchmark Corp. ................................ 710 38,013
Travelers Cos., Inc.(The)....................... 4,400 223,256
Unum Group...................................... 2,850 69,740
XL Capital, Ltd. -- Class A..................... 2,930 52,154
------------
TOTAL INSURANCE 3,445,693
------------
INTERNET & CATALOG RETAIL 0.5%
Amazon.com, Inc.*............................... 2,930 401,586
Expedia, Inc. .................................. 1,810 42,734
Priceline.com, Inc.*............................ 390 102,199
------------
TOTAL INTERNET & CATALOG RETAIL 546,519
------------
INTERNET SOFTWARE & SERVICES 1.4%
Akamai Technologies, Inc.*...................... 1,470 57,080
eBay, Inc.*..................................... 9,680 230,481
Google, Inc. -- Class A*........................ 2,070 1,087,661
Monster Worldwide, Inc.*........................ 1,080 18,824
VeriSign, Inc.*................................. 1,570 42,814
Yahoo!, Inc.*................................... 10,190 168,441
------------
TOTAL INTERNET SOFTWARE & SERVICES 1,605,301
------------
IT SERVICES 1.2%
Automatic Data Processing, Inc. ................ 4,320 187,315
Cognizant Technology Solutions Corp. --
Class A*..................................... 2,550 130,509
Computer Sciences Corp.*........................ 1,320 69,155
Fidelity National Information Services, Inc. ... 2,830 74,401
Fiserv, Inc.*................................... 1,300 66,417
Mastercard, Inc. -- Class A..................... 830 205,873
Paychex, Inc. .................................. 2,750 84,150
SAIC, Inc.*..................................... 2,610 45,440
Total System Services, Inc. .................... 1,690 27,057
Visa, Inc. -- Class A........................... 3,820 344,679
Western Union Co. .............................. 5,850 106,762
------------
TOTAL IT SERVICES 1,341,758
------------
LEISURE EQUIPMENT & PRODUCTS 0.1%
Eastman Kodak Co.*.............................. 2,300 14,076
Hasbro, Inc. ................................... 1,050 40,278
Mattel, Inc. ................................... 3,110 71,685
------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 126,039
------------
LIFE SCIENCES TOOLS & SERVICES 0.4%
Life Technologies Corp.*........................ 1,550 84,800
Millipore Corp.*................................ 480 50,952
PerkinElmer, Inc. .............................. 1,010 25,301
Thermo Fisher Scientific, Inc.*................. 3,510 194,033
Waters Corp.*................................... 800 57,592
------------
TOTAL LIFE SCIENCES TOOLS & SERVICES 412,678
------------
MACHINERY 1.5%
Caterpillar, Inc. .............................. 5,350 364,282
Cummins, Inc. .................................. 1,720 124,236
Danaher Corp. .................................. 2,240 188,787
Deere & Co. .................................... 3,630 217,147
Dover Corp. .................................... 1,600 83,552
Eaton Corp. .................................... 1,420 109,567
Flowserve Corp. ................................ 480 54,998
Illinois Tool Works, Inc. ...................... 3,310 169,141
PACCAR, Inc. ................................... 3,120 145,142
Pall Corp. ..................................... 1,010 39,380
Parker-Hannifin Corp. .......................... 1,380 95,468
Snap-on, Inc. .................................. 490 23,608
------------
TOTAL MACHINERY 1,615,308
------------
MEDIA 2.6%
CBS Corp. -- Class B............................ 5,800 94,018
Comcast Corp. -- Class A........................ 24,300 479,682
DIRECTV -- Class A*............................. 8,010 290,202
Discovery Communications, Inc. -- Class A*...... 2,430 94,041
Gannett Co., Inc. .............................. 2,030 34,551
Interpublic Group of Cos., Inc.*................ 4,160 37,066
McGraw-Hill Cos., Inc. ......................... 2,700 91,044
Meredith Corp. ................................. 310 11,138
New York Times Co. -- Class A*.................. 1,000 9,920
News Corp. -- Class A........................... 19,300 297,606
Omnicom Group, Inc. ............................ 2,660 113,476
Scripps Networks Interactive -- Class A......... 770 34,912
Time Warner Cable, Inc. ........................ 3,020 169,875
Time Warner, Inc. .............................. 9,850 325,838
Viacom, Inc. -- Class B*........................ 5,200 183,716
Walt Disney Co.(The)............................ 16,610 611,912
Washington Post Co. -- Class B.................. 50 25,358
------------
TOTAL MEDIA 2,904,355
------------
METALS & MINING 0.9%
AK Steel Holding Corp. ......................... 940 15,745
Alcoa, Inc. .................................... 8,740 117,465
Allegheny Technologies, Inc. ................... 840 44,915
Cliffs Natural Resources, Inc. ................. 1,160 72,535
Freeport-McMoRan Copper & Gold, Inc. ........... 3,690 278,706
Newmont Mining Corp. ........................... 4,210 236,097
Nucor Corp. .................................... 2,700 122,364
Titanium Metals Corp.*.......................... 720 11,102
United States Steel Corp. ...................... 1,230 67,232
------------
TOTAL METALS & MINING 966,161
------------
MULTI-UTILITIES 1.1%
Ameren Corp. ................................... 2,030 52,699
CenterPoint Energy, Inc. ....................... 3,360 48,250
CMS Energy Corp. ............................... 1,970 32,032
Consolidated Edison, Inc. ...................... 2,410 108,932
Dominion Resources, Inc. ....................... 5,140 214,852
DTE Energy Co. ................................. 1,410 67,920
Integrys Energy Group, Inc. .................... 660 32,743
NiSource, Inc. ................................. 2,370 38,631
PG&E Corp. ..................................... 3,180 139,284
Public Service Enterprise Group, Inc. .......... 4,330 139,123
SCANA Corp. .................................... 950 37,496
Sempra Energy................................... 2,120 104,261
TECO Energy, Inc. .............................. 1,830 30,982
</Table>
See Notes to Financial Statements.
18
Rydex 2x S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Wisconsin Energy Corp. ......................... 1,000 $52,510
Xcel Energy, Inc. .............................. 3,910 85,042
------------
TOTAL MULTI-UTILITIES 1,184,757
------------
MULTILINE RETAIL 0.7%
Big Lots, Inc.*................................. 710 27,122
Family Dollar Stores, Inc. ..................... 1,190 47,076
J.C. Penney Co., Inc. .......................... 2,020 58,923
Kohl's Corp.*................................... 2,630 144,624
Macy's, Inc. ................................... 3,610 83,752
Nordstrom, Inc. ................................ 1,420 58,689
Sears Holdings Corp.*........................... 420 50,799
Target Corp. ................................... 6,440 366,243
------------
TOTAL MULTILINE RETAIL 837,228
------------
OFFICE ELECTRONICS 0.1%
Xerox Corp. .................................... 11,580 126,222
------------
TOTAL OFFICE ELECTRONICS 126,222
------------
OIL, GAS & CONSUMABLE FUELS 7.7%
Anadarko Petroleum Corp. ....................... 4,220 262,315
Apache Corp. ................................... 2,880 293,069
Cabot Oil & Gas Corp. .......................... 890 32,156
Chesapeake Energy Corp. ........................ 5,580 132,804
Chevron Corp. .................................. 17,200 1,400,768
ConocoPhillips.................................. 12,730 753,489
CONSOL Energy, Inc. ............................ 1,880 83,998
Denbury Resources, Inc.*........................ 3,390 64,918
Devon Energy Corp. ............................. 3,830 257,874
El Paso Corp. .................................. 6,010 72,721
EOG Resources, Inc. ............................ 2,160 242,179
Exxon Mobil Corp. .............................. 40,440 2,743,854
Hess Corp. ..................................... 2,490 158,239
Marathon Oil Corp. ............................. 6,060 194,829
Massey Energy Co. .............................. 870 31,868
Murphy Oil Corp. ............................... 1,640 98,646
Noble Energy, Inc. ............................. 1,490 113,836
Occidental Petroleum Corp. ..................... 6,950 616,187
Peabody Energy Corp. ........................... 2,300 107,456
Pioneer Natural Resources Co. .................. 990 63,489
Range Resources Corp. .......................... 1,360 64,954
Southwestern Energy Co.*........................ 2,960 117,453
Spectra Energy Corp. ........................... 5,550 129,537
Sunoco, Inc. ................................... 1,000 32,780
Tesoro Corp. ................................... 1,200 15,780
Valero Energy Corp. ............................ 4,840 100,624
Williams Cos., Inc.(The)........................ 5,000 118,050
XTO Energy, Inc. ............................... 5,000 237,600
------------
TOTAL OIL, GAS & CONSUMABLE FUELS 8,541,473
------------
PAPER & FOREST PRODUCTS 0.2%
International Paper Co. ........................ 3,710 99,205
MeadWestvaco Corp. ............................. 1,470 39,940
Weyerhaeuser Co. ............................... 1,810 89,631
------------
TOTAL PAPER & FOREST PRODUCTS 228,776
------------
PERSONAL PRODUCTS 0.2%
Avon Products, Inc. ............................ 3,660 118,328
Estee Lauder Cos., Inc -- Class A............... 1,010 66,579
Mead Johnson Nutrition Co. ..................... 1,750 90,317
------------
TOTAL PERSONAL PRODUCTS 275,224
------------
PHARMACEUTICALS 4.8%
Abbott Laboratories............................. 13,300 680,428
Allergan, Inc. ................................. 2,630 167,505
Bristol-Myers Squibb Co. ....................... 14,680 371,257
Eli Lilly & Co. ................................ 8,690 303,889
Forest Laboratories, Inc.*...................... 2,590 70,603
Johnson & Johnson, Inc. ........................ 23,570 1,515,551
King Pharmaceuticals, Inc.*..................... 2,130 20,874
Merck & Co., Inc. .............................. 26,680 934,867
Mylan, Inc.*.................................... 2,630 57,939
Pfizer, Inc. ................................... 69,120 1,155,687
Watson Pharmaceuticals, Inc.*................... 910 38,966
------------
TOTAL PHARMACEUTICALS 5,317,566
------------
PROFESSIONAL SERVICES 0.1%
Dun & Bradstreet Corp. ......................... 440 33,867
Equifax, Inc. .................................. 1,080 36,288
Robert Half International, Inc. ................ 1,270 34,772
------------
TOTAL PROFESSIONAL SERVICES 104,927
------------
REAL ESTATE INVESTMENT TRUSTS (REITS) 1.1%
Apartment Investment & Management Co. --
Class A...................................... 1,000 22,410
AvalonBay Communities, Inc. .................... 700 72,828
Boston Properties, Inc. ........................ 1,190 93,843
Equity Residential.............................. 2,410 109,101
HCP, Inc. ...................................... 2,520 80,942
Health Care REIT, Inc. ......................... 1,060 47,626
Host Hotels & Resorts, Inc. .................... 5,590 90,893
Kimco Realty Corp. ............................. 3,470 54,097
Plum Creek Timber Co., Inc. .................... 1,390 55,322
ProLogis........................................ 4,060 53,470
Public Storage, Inc. ........................... 1,160 112,416
Simon Property Group, Inc. ..................... 2,480 220,770
Ventas, Inc. ................................... 1,340 63,288
Vornado Realty Trust............................ 1,350 112,550
------------
TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS) 1,189,556
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.0%(A)
CB Richard Ellis Group, Inc. -- Class A*........ 2,320 40,182
------------
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT 40,182
------------
ROAD & RAIL 0.6%
CSX Corp. ...................................... 3,340 187,207
Norfolk Southern Corp. ......................... 3,170 188,076
Ryder System, Inc. ............................. 460 21,399
Union Pacific Corp. ............................ 4,330 327,608
------------
TOTAL ROAD & RAIL 724,290
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.1%
Advanced Micro Devices, Inc.*................... 4,840 43,850
Altera Corp. ................................... 2,550 64,668
Analog Devices, Inc. ........................... 2,550 76,321
Applied Materials, Inc. ........................ 11,500 158,470
Broadcom Corp. -- Class A....................... 3,690 127,268
Intel Corp. .................................... 47,310 1,080,087
KLA-Tencor Corp. ............................... 1,470 50,068
Linear Technology Corp. ........................ 1,910 57,415
LSI Corp.*...................................... 5,620 33,832
MEMC Electronic Materials, Inc.*................ 1,950 25,292
Microchip Technology, Inc. ..................... 1,580 46,152
Micron Technology, Inc.*........................ 7,290 68,162
National Semiconductor Corp. ................... 2,040 30,151
Novellus Systems, Inc.*......................... 820 21,484
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 19
Rydex 2x S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONCLUDED)
NVIDIA Corp.*................................... 4,750 $74,670
Teradyne, Inc.*................................. 1,520 18,590
Texas Instruments, Inc. ........................ 10,640 276,746
Xilinx, Inc. ................................... 2,370 61,099
------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2,314,325
------------
SOFTWARE 3.4%
Adobe Systems, Inc.*............................ 4,490 150,819
Autodesk, Inc.*................................. 1,970 67,000
BMC Software, Inc.*............................. 1,560 61,402
CA, Inc. ....................................... 3,380 77,098
Citrix Systems, Inc.*........................... 1,570 73,790
Compuware Corp.*................................ 1,950 16,770
Electronic Arts, Inc.*.......................... 2,800 54,236
Intuit, Inc.*................................... 2,690 97,270
McAfee, Inc.*................................... 1,360 47,260
Microsoft Corp. ................................ 65,350 1,995,789
Novell, Inc.*................................... 2,980 16,718
Oracle Corp. ................................... 33,480 865,123
Red Hat, Inc.*.................................. 1,620 48,389
Salesforce.com, Inc.*........................... 940 80,464
Symantec Corp.*................................. 6,910 115,881
------------
TOTAL SOFTWARE 3,768,009
------------
SPECIALTY RETAIL 1.8%
Abercrombie & Fitch Co. -- Class A.............. 750 32,798
AutoNation, Inc.*............................... 770 15,554
AutoZone, Inc.*................................. 250 46,253
Bed Bath & Beyond, Inc.*........................ 2,240 102,950
Best Buy Co., Inc. ............................. 2,940 134,064
GameStop Corp. -- Class A*...................... 1,310 31,846
Gap, Inc.(The).................................. 4,080 100,898
Home Depot, Inc. ............................... 14,560 513,240
Limited Brands, Inc. ........................... 2,290 61,372
Lowe's Cos., Inc. .............................. 12,610 341,983
O'Reilly Automotive, Inc.*...................... 1,180 57,690
Office Depot, Inc.*............................. 2,350 16,121
RadioShack Corp. ............................... 1,070 23,059
Ross Stores, Inc. .............................. 1,060 59,360
Sherwin-Williams Co.(The)....................... 790 61,675
Staples, Inc. .................................. 6,240 146,827
Tiffany & Co. .................................. 1,070 51,874
TJX Cos., Inc. ................................. 3,590 166,361
Urban Outfitters, Inc.*......................... 1,110 41,636
------------
TOTAL SPECIALTY RETAIL 2,005,561
------------
TEXTILES, APPAREL & LUXURY GOODS 0.4%
Coach, Inc. .................................... 2,690 112,308
NIKE, Inc. -- Class B........................... 3,340 253,539
Polo Ralph Lauren Corp. ........................ 490 44,051
V.F. Corp. ..................................... 760 65,679
------------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 475,577
------------
THRIFTS & MORTGAGE FINANCE 0.1%
Hudson City Bancorp, Inc. ...................... 4,060 53,998
People's United Financial, Inc. ................ 3,180 49,385
------------
TOTAL THRIFTS & MORTGAGE FINANCE 103,383
------------
TOBACCO 1.2%
Altria Group, Inc. ............................. 17,820 377,606
Lorillard, Inc. ................................ 1,330 104,232
Philip Morris International, Inc. .............. 16,110 790,679
Reynolds American, Inc. ........................ 1,450 77,459
------------
TOTAL TOBACCO 1,349,976
------------
TRADING COMPANIES & DISTRIBUTORS 0.1%
Fastenal Co. ................................... 1,120 61,253
W.W. Grainger, Inc. ............................ 530 58,586
------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 119,839
------------
WIRELESS TELECOMMUNICATION SERVICES 0.2%
American Tower Corp. -- Class A*................ 3,450 140,795
MetroPCS Communications, Inc.*.................. 2,240 17,091
Sprint Nextel Corp.*............................ 25,500 108,375
------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 266,261
------------
TOTAL COMMON STOCKS
(Cost $73,710,065) 91,861,339
------------
<Caption>
FACE
AMOUNT
- ------------------------------------------------------------------------------
REPURCHASE AGREEMENTS 6.0%
State Street Bank & Trust Co., 0.100%, dated
04/30/10, to be repurchased at $66,551,055 on
05/03/10 collateralized by $6,735,000 FNMA at
1.000% due 11/23/11 with a value of
$6,785,513................................... $6,651,000 $6,651,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost $6,651,000) 6,651,000
------------
TOTAL INVESTMENTS 88.7%(B)
(Cost $80,361,065) 98,512,339
------------
OTHER ASSETS IN EXCESS OF LIABILITIES--11.3% 12,608,422
------------
NET ASSETS--100.0% $111,120,761
- ------------------------------------------------------------------------------
<Caption>
UNREALIZED
CONTRACTS GAIN
- ------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED
June 2010 S&P 500 Index E-Mini Futures Contracts
(Aggregate Market Value of Contracts
$36,037,575)(b).............................. 609 $931,422
------------
<Caption>
UNREALIZED
UNITS LOSS
- ------------------------------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Goldman Sachs International May 2010 S&P 500
Index Swap, Terminating 05/21/10 (Notional
Market Value $94,252,561)**(c)............... 79,425 $(1,900,965)
- ------------------------------------------------------------------------------
</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.
(b) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(c) Values determined based on Level 2 inputs.
FNMA--Federal National Mortgage Association.
REIT--Real Estate Investment Trust
See Notes to Financial Statements.
20
RYDEX Inverse 2x S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- -------------------------------------------------------
REPURCHASE AGREEMENTS 67.8%
State Street Bank & Trust
Co., 0.100%, dated
04/30/10, to be
repurchased at
$58,930,491 on 05/03/10
collateralized by
$59,810,000 FHLB at
1.050% due 08/18/11
with a value of
$60,109,050............ $58,930,000 $58,930,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $58,930,000) 58,930,000
-----------
TOTAL INVESTMENTS 67.8%(A)
(Cost $58,930,000) 58,930,000
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--32.2% 28,033,753
-----------
NET ASSETS--100.0% $86,963,753
- -------------------------------------------------------
<Caption>
UNREALIZED
CONTRACTS LOSS
- -------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
June 2010 S&P 500 Index E-
Mini Futures Contracts
(Aggregate Market Value
of Contracts
$33,078,825)(a)........ 559 $(541,683)
-----------
<Caption>
UNREALIZED
UNITS GAIN
- -------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
May 2010 S&P 500 Index
Swap, Terminating
05/21/10 (Notional
Market Value
$107,922,122)*(b)...... 90,944 $1,827,062
Goldman Sachs
International May 2010
S&P 500 Index Swap,
Terminating 05/21/10
(Notional Market Value
$32,834,917)*(b)....... 27,669 541,970
-----------
(TOTAL NOTIONAL MARKET VALUE
$140,757,039) $2,369,032
- -------------------------------------------------------
</Table>
* Price return based on S&P 500 Index +/- financing at a variable rate.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Values determined based on Level 2 inputs.
FHLB--Federal Home Loan Bank
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 21
RYDEX 2x S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS 82.7%
AEROSPACE & DEFENSE 0.5%
Alliant Techsystems,
Inc.*................... 580 $46,928
BE Aerospace, Inc.*........ 1,810 53,775
-----------
TOTAL AEROSPACE & DEFENSE 100,703
-----------
AIRLINES 0.3%
Airtran Holdings, Inc.*.... 2,380 12,566
Alaska Air Group, Inc.*.... 630 26,088
JetBlue Airways Corp.*..... 3,660 20,460
-----------
TOTAL AIRLINES 59,114
-----------
AUTO COMPONENTS 0.7%
BorgWarner, Inc.*.......... 2,070 89,714
Gentex Corp. .............. 2,460 52,865
-----------
TOTAL AUTO COMPONENTS 142,579
-----------
AUTOMOBILES 0.1%
Thor Industries, Inc. ..... 690 24,640
-----------
TOTAL AUTOMOBILES 24,640
-----------
BEVERAGES 0.3%
Hansen Natural Corp.*...... 1,250 55,100
-----------
TOTAL BEVERAGES 55,100
-----------
BIOTECHNOLOGY 1.1%
OSI Pharmaceuticals,
Inc.*................... 1,030 60,430
United Therapeutics
Corp.*.................. 850 48,356
Vertex Pharmaceuticals,
Inc.*................... 3,540 137,246
-----------
TOTAL BIOTECHNOLOGY 246,032
-----------
BUILDING PRODUCTS 0.2%
Lennox International,
Inc. ................... 870 39,376
-----------
TOTAL BUILDING PRODUCTS 39,376
-----------
CAPITAL MARKETS 2.0%
Affiliated Managers Group,
Inc.*................... 780 65,661
Apollo Investment Corp. ... 3,380 41,101
Eaton Vance Corp. ......... 2,080 73,299
Greenhill & Co., Inc. ..... 360 31,640
Jefferies Group, Inc. ..... 2,150 58,523
Raymond James Financial,
Inc. ................... 1,750 53,620
SEI Investments Co. ....... 2,280 51,209
Waddell & Reed Financial,
Inc. -- Class A......... 1,510 56,051
-----------
TOTAL CAPITAL MARKETS 431,104
-----------
CHEMICALS 2.8%
Albemarle Corp. ........... 1,610 73,513
Ashland, Inc. ............. 1,380 82,193
Cabot Corp. ............... 1,160 37,746
Cytec Industries, Inc. .... 860 41,332
Intrepid Potash, Inc.*..... 730 19,170
Lubrizol Corp. ............ 1,210 109,311
Minerals Technologies,
Inc. ................... 330 19,041
NewMarket Corp. ........... 210 23,100
Olin Corp. ................ 1,390 29,190
RPM International, Inc. ... 2,290 50,563
Scotts Miracle-Gro
Co.(The) -- Class A..... 800 38,760
Sensient Technologies
Corp. .................. 870 27,431
Valspar Corp. ............. 1,760 55,123
-----------
TOTAL CHEMICALS 606,473
-----------
COMMERCIAL BANKS 3.3%
Associated Banc-Corp. ..... 3,050 44,317
Bancorpsouth, Inc. ........ 1,300 28,782
Bank of Hawaii Corp. ...... 850 44,948
Cathay General Bancorp..... 1,390 17,194
City National Corp. ....... 770 47,956
Commerce Bancshares
Inc/Kansas City MO...... 1,290 53,432
Cullen/Frost Bankers,
Inc. ................... 1,060 62,922
FirstMerit Corp. .......... 1,540 36,190
Fulton Financial Corp. .... 3,500 36,750
International Bancshares
Corp. .................. 910 21,995
PacWest Bancorp............ 530 12,725
Prosperity Bancshares,
Inc. ................... 820 32,160
SVB Financial Group*....... 730 35,938
Synovus Financial Corp. ... 13,190 39,702
TCF Financial Corp. ....... 2,180 40,613
Trustmark Corp. ........... 1,000 24,480
Valley National Bancorp.... 2,710 44,010
Webster Financial Corp. ... 1,180 24,450
Westamerica Bancorp........ 520 30,560
Wilmington Trust Corp. .... 1,560 27,035
-----------
TOTAL COMMERCIAL BANKS 706,159
-----------
COMMERCIAL SERVICES & SUPPLIES 1.3%
Brink's Co.(The)........... 850 22,635
Clean Harbors, Inc.*....... 400 25,372
Copart, Inc.*.............. 1,190 42,471
Corrections Corp. of
America*................ 2,050 42,476
Deluxe Corp. .............. 910 19,083
Herman Miller, Inc. ....... 990 21,008
HNI Corp. ................. 800 24,832
Mine Safety Appliances
Co. .................... 530 15,577
Rollins, Inc. ............. 770 16,747
Waste Connections, Inc.*... 1,390 49,748
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 279,949
-----------
COMMUNICATIONS EQUIPMENT 1.5%
ADC Telecommunications,
Inc.*................... 1,710 13,697
Adtran, Inc. .............. 990 26,502
Ciena Corp.*............... 1,640 30,324
CommScope, Inc.*........... 1,670 54,409
F5 Networks, Inc.*......... 1,410 96,486
Palm, Inc.*................ 2,960 17,168
Plantronics, Inc. ......... 850 28,220
Polycom, Inc.*............. 1,490 48,499
-----------
TOTAL COMMUNICATIONS EQUIPMENT 315,305
-----------
COMPUTERS & PERIPHERALS 0.3%
Diebold, Inc. ............. 1,170 36,679
NCR Corp.*................. 2,810 36,980
-----------
TOTAL COMPUTERS & PERIPHERALS 73,659
-----------
CONSTRUCTION & ENGINEERING 1.3%
Aecom Technology Corp.*.... 2,010 60,441
Granite Construction,
Inc. ................... 590 19,830
KBR, Inc. ................. 2,840 62,707
Shaw Group, Inc.(The)*..... 1,480 56,654
URS Corp.*................. 1,480 75,998
-----------
TOTAL CONSTRUCTION & ENGINEERING 275,630
-----------
CONSTRUCTION MATERIALS 0.4%
Martin Marietta Materials,
Inc. ................... 800 76,704
-----------
TOTAL CONSTRUCTION MATERIALS 76,704
-----------
</Table>
See Notes to Financial Statements.
22
RYDEX 2x S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSUMER FINANCE 0.2%
AmeriCredit Corp.*......... 1,700 $40,698
-----------
TOTAL CONSUMER FINANCE 40,698
-----------
CONTAINERS & PACKAGING 1.2%
AptarGroup, Inc. .......... 1,200 51,648
Greif, Inc. -- Class A..... 610 36,100
Packaging Corp. of
America................. 1,820 45,009
Silgan Holdings, Inc. ..... 470 28,355
Sonoco Products Co. ....... 1,770 58,640
Temple-Inland, Inc. ....... 1,900 44,308
-----------
TOTAL CONTAINERS & PACKAGING 264,060
-----------
DISTRIBUTORS 0.2%
LKQ Corp.*................. 2,500 52,650
-----------
TOTAL DISTRIBUTORS 52,650
-----------
DIVERSIFIED CONSUMER SERVICES 1.5%
Brink's Home Security
Holdings, Inc.*......... 810 33,972
Career Education Corp.*.... 1,200 35,124
Corinthian Colleges,
Inc.*................... 1,550 24,211
ITT Educational Services,
Inc.*................... 530 53,599
Matthews International
Corp. -- Class A........ 540 18,900
Regis Corp. ............... 1,010 19,311
Service Corp.
International........... 4,490 40,320
Sotheby's.................. 1,190 39,746
Strayer Education, Inc. ... 250 60,780
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 325,963
-----------
DIVERSIFIED FINANCIAL SERVICES 0.3%
MSCI, Inc. -- Class A*..... 1,860 64,449
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 64,449
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 0.3%
Cincinnati Bell, Inc.*..... 3,550 11,964
TW telecom, Inc.*.......... 2,650 47,170
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 59,134
-----------
ELECTRIC UTILITIES 1.5%
Cleco Corp. ............... 1,070 29,318
DPL, Inc. ................. 2,120 59,742
Great Plains Energy,
Inc. ................... 2,390 46,199
Hawaiian Electric
Industries, Inc. ....... 1,630 38,060
IDACORP, Inc. ............. 850 30,668
NV Energy, Inc. ........... 4,150 51,833
PNM Resources, Inc. ....... 1,530 20,793
Westar Energy, Inc. ....... 1,930 45,722
-----------
TOTAL ELECTRIC UTILITIES 322,335
-----------
ELECTRICAL EQUIPMENT 1.1%
AMETEK, Inc. .............. 1,910 82,608
Hubbell, Inc. -- Class B... 1,060 49,258
Regal-Beloit Corp. ........ 660 41,758
Thomas & Betts Corp.*...... 930 39,004
Woodward Governor Co. ..... 1,000 32,050
-----------
TOTAL ELECTRICAL EQUIPMENT 244,678
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 2.0%
Arrow Electronics, Inc.*... 2,120 64,660
Avnet, Inc.*............... 2,680 85,680
Ingram Micro, Inc. -- Class
A*...................... 2,890 52,482
Itron, Inc.*............... 710 56,523
National Instruments
Corp. .................. 1,010 34,926
Tech Data Corp.*........... 900 38,610
Trimble Navigation, Ltd.*.. 2,130 69,672
Vishay Intertechnology,
Inc.*................... 3,300 34,353
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS 436,906
-----------
ENERGY EQUIPMENT & SERVICES 1.9%
Atwood Oceanics, Inc.*..... 1,000 36,410
Exterran Holdings, Inc.*... 1,100 32,065
Helix Energy Solutions
Group, Inc.*............ 1,620 23,620
Oceaneering International,
Inc.*................... 970 63,535
Patterson-UTI Energy,
Inc. ................... 2,710 41,436
Pride International,
Inc.*................... 3,100 94,023
Superior Energy Services,
Inc.*................... 1,390 37,613
Tidewater, Inc. ........... 910 48,785
Unit Corp.*................ 710 33,917
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 411,404
-----------
FOOD & STAPLES RETAILING 0.3%
BJ's Wholesale Club,
Inc.*................... 980 37,514
Ruddick Corp. ............. 720 25,445
-----------
TOTAL FOOD & STAPLES RETAILING 62,959
-----------
FOOD PRODUCTS 1.2%
Corn Products
International, Inc. .... 1,330 47,880
Flowers Foods, Inc. ....... 1,360 35,850
Green Mountain Coffee
Roasters, Inc.*......... 620 45,049
Lancaster Colony Corp. .... 340 18,690
Ralcorp Holdings, Inc.*.... 970 64,553
Smithfield Foods, Inc.*.... 2,500 46,850
Tootsie Roll Industries,
Inc. ................... 480 12,768
-----------
TOTAL FOOD PRODUCTS 271,640
-----------
GAS UTILITIES 1.5%
AGL Resources, Inc. ....... 1,370 54,129
Atmos Energy Corp. ........ 1,640 48,511
Energen Corp. ............. 1,270 62,065
National Fuel Gas Co. ..... 1,430 74,388
UGI Corp. ................. 1,920 52,781
WGL Holdings, Inc. ........ 890 31,809
-----------
TOTAL GAS UTILITIES 323,683
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 3.3%
Beckman Coulter, Inc. ..... 1,230 76,752
Edwards Lifesciences
Corp.*.................. 1,000 103,080
Gen-Probe, Inc.*........... 870 41,230
Hill-Rom Holdings, Inc. ... 1,110 35,198
Hologic, Inc.*............. 4,570 81,666
Idexx Laboratories, Inc.*.. 1,030 68,124
Immucor, Inc.*............. 1,230 26,334
Kinetic Concepts, Inc.*.... 1,100 47,630
Masimo Corp. .............. 920 21,537
ResMed, Inc.*.............. 1,330 91,012
STERIS Corp. .............. 1,040 34,611
Teleflex, Inc. ............ 700 42,924
Thoratec Corp.*............ 1,010 45,036
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 715,134
-----------
HEALTH CARE PROVIDERS & SERVICES 3.0%
Community Health Systems,
Inc.*................... 1,650 67,419
Health Management
Associates,
Inc. -- Class A*........ 4,420 41,194
Health Net, Inc.*.......... 1,770 38,975
Henry Schein, Inc.*........ 1,600 96,752
Kindred Healthcare, Inc.*.. 690 12,310
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 23
RYDEX 2x S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
LifePoint Hospitals,
Inc.*................... 970 $37,035
Lincare Holdings, Inc.*.... 1,160 54,160
MEDNAX, Inc.*.............. 830 45,600
Omnicare, Inc. ............ 2,130 59,193
Owens & Minor, Inc. ....... 1,110 34,909
Psychiatric Solutions,
Inc.*................... 990 31,848
Universal Health Services,
Inc. -- Class B......... 1,710 63,475
VCA Antech, Inc.*.......... 1,510 42,975
WellCare Health Plans,
Inc.*................... 750 21,473
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 647,318
-----------
HOTELS, RESTAURANTS & LEISURE 2.0%
Bally Technologies, Inc.*.. 980 45,198
Bob Evans Farms, Inc. ..... 540 16,702
Boyd Gaming Corp.*......... 970 12,319
Brinker International,
Inc. ................... 1,810 33,521
Burger King Holdings,
Inc. ................... 1,630 34,393
Cheesecake Factory,
Inc.(The)*.............. 1,070 29,072
Chipotle Mexican Grill,
Inc. -- Class A*........ 560 75,550
International Speedway
Corp. -- Class A........ 540 16,502
Life Time Fitness, Inc.*... 730 26,835
Panera Bread Co. --
Class A*................ 560 43,646
Scientific Games
Corp. -- Class A*....... 1,150 16,916
Wendy's/Arby's Group,
Inc. -- Class A......... 6,120 32,497
WMS Industries, Inc.*...... 930 46,519
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 429,670
-----------
HOUSEHOLD DURABLES 1.6%
American Greetings
Corp. -- Class A........ 700 17,192
KB HOME.................... 1,310 24,274
MDC Holdings, Inc. ........ 670 25,661
Mohawk Industries, Inc.*... 990 63,102
NVR, Inc.*................. 110 78,985
Ryland Group, Inc. ........ 770 17,541
Toll Brothers, Inc.*....... 2,480 55,974
Tupperware Brands Corp. ... 1,110 56,688
-----------
TOTAL HOUSEHOLD DURABLES 339,417
-----------
HOUSEHOLD PRODUCTS 0.7%
Church & Dwight Co.,
Inc. ................... 1,250 86,563
Energizer Holdings, Inc.*.. 1,230 75,153
-----------
TOTAL HOUSEHOLD PRODUCTS 161,716
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.1%
Dynegy, Inc. -- Class A*... 8,920 11,864
-----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 11,864
-----------
INDUSTRIAL CONGLOMERATES 0.2%
Carlisle Cos., Inc. ....... 1,060 39,994
-----------
TOTAL INDUSTRIAL CONGLOMERATES 39,994
-----------
INSURANCE 3.7%
American Financial Group,
Inc. ................... 1,350 39,730
Arthur J. Gallagher &
Co. .................... 1,810 47,549
Brown & Brown, Inc. ....... 2,080 41,891
Everest Re Group, Ltd. .... 1,050 80,482
Fidelity National
Financial, Inc. --
Class A................. 4,070 61,783
First American Corp. ...... 1,830 63,263
Hanover Insurance Group,
Inc.(The)............... 790 35,589
HCC Insurance Holdings,
Inc. ................... 2,030 55,196
Horace Mann Educators
Corp. .................. 690 11,875
Mercury General Corp. ..... 630 28,344
Old Republic International
Corp. .................. 4,250 63,792
Protective Life Corp. ..... 1,510 36,346
Reinsurance Group of
America, Inc. .......... 1,290 66,603
StanCorp Financial Group,
Inc. ................... 830 37,317
Transatlantic Holdings,
Inc. ................... 1,140 56,692
Unitrin, Inc. ............. 880 25,740
W.R. Berkley Corp. ........ 2,270 61,290
-----------
TOTAL INSURANCE 813,482
-----------
INTERNET & CATALOG RETAIL 0.3%
NetFlix, Inc.*............. 750 74,078
-----------
TOTAL INTERNET & CATALOG RETAIL 74,078
-----------
INTERNET SOFTWARE & SERVICES 0.7%
AOL, Inc.*................. 1,880 43,917
Digital River, Inc.*....... 680 18,999
Equinix, Inc.*............. 790 79,514
ValueClick, Inc.*.......... 1,480 15,214
-----------
TOTAL INTERNET SOFTWARE & SERVICES 157,644
-----------
IT SERVICES 2.2%
Acxiom Corp.*.............. 1,400 26,712
Alliance Data Systems
Corp.*.................. 930 69,806
Broadridge Financial
Solutions, Inc. ........ 2,380 56,668
Convergys Corp.*........... 2,180 27,555
DST Systems, Inc. ......... 680 28,866
Gartner, Inc.*............. 1,070 25,766
Global Payments, Inc. ..... 1,440 61,646
Hewitt Associates,
Inc. -- Class A*........ 1,480 60,665
Lender Processing Services,
Inc. ................... 1,690 63,797
Mantech International
Corp. -- Class A*....... 390 17,562
NeuStar, Inc. -- Class A*.. 1,320 32,300
SRA International,
Inc. -- Class A*........ 760 17,541
-----------
TOTAL IT SERVICES 488,884
-----------
LIFE SCIENCES TOOLS & SERVICES 1.6%
Affymetrix, Inc.*.......... 1,250 8,675
Bio-Rad Laboratories,
Inc. -- Class A*........ 340 37,975
Charles River Laboratories
International, Inc.*.... 1,160 38,837
Covance, Inc.*............. 1,130 64,568
Mettler Toledo
International, Inc.*.... 600 75,288
Pharmaceutical Product
Development, Inc. ...... 2,090 57,475
Techne Corp. .............. 660 43,725
Varian, Inc.*.............. 510 26,413
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 352,956
-----------
MACHINERY 4.6%
AGCO Corp.*................ 1,630 57,083
Bucyrus International,
Inc. -- Class A......... 1,430 90,104
Crane Co. ................. 830 29,830
Donaldson Co., Inc. ....... 1,370 63,431
Federal Signal Corp. ...... 860 6,932
Graco, Inc. ............... 1,060 36,761
Harsco Corp. .............. 1,420 43,963
IDEX Corp. ................ 1,430 48,048
Joy Global, Inc. .......... 1,820 103,394
Kennametal, Inc. .......... 1,440 47,318
Lincoln Electric Holdings,
Inc. ................... 750 44,955
Nordson Corp. ............. 600 43,092
Oshkosh Corp.*............. 1,580 61,020
Pentair, Inc. ............. 1,740 62,919
</Table>
See Notes to Financial Statements.
24
RYDEX 2x S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
SPX Corp. ................. 880 $61,494
Terex Corp.*............... 1,910 50,653
Timken Co. ................ 1,400 49,252
Trinity Industries, Inc. .. 1,400 34,846
Valmont Industries, Inc. .. 350 29,152
Wabtec Corp. .............. 840 39,967
-----------
TOTAL MACHINERY 1,004,214
-----------
MARINE 0.3%
Alexander & Baldwin,
Inc. ................... 730 25,973
Kirby Corp.*............... 950 39,976
-----------
TOTAL MARINE 65,949
-----------
MEDIA 0.7%
DreamWorks Animation SKG,
Inc. -- Class A*........ 1,340 53,185
Harte-Hanks, Inc. ......... 670 9,648
John Wiley & Sons,
Inc. -- Class A......... 760 32,125
Lamar Advertising
Co. -- Class A*......... 940 34,987
Scholastic Corp. .......... 450 12,154
-----------
TOTAL MEDIA 142,099
-----------
METALS & MINING 0.9%
Carpenter Technology
Corp. .................. 780 30,631
Commercial Metals Co. ..... 2,000 29,760
Reliance Steel & Aluminum
Co. .................... 1,130 55,155
Steel Dynamics, Inc. ...... 3,820 60,012
Worthington Industries,
Inc. ................... 1,080 17,248
-----------
TOTAL METALS & MINING 192,806
-----------
MULTI-UTILITIES 1.5%
Alliant Energy Corp. ...... 1,960 67,032
Black Hills Corp. ......... 690 22,694
MDU Resources Group,
Inc. ................... 3,320 70,384
NSTAR...................... 1,890 69,174
OGE Energy Corp. .......... 1,720 71,174
Vectren Corp. ............. 1,430 35,764
-----------
TOTAL MULTI-UTILITIES 336,222
-----------
MULTILINE RETAIL 0.6%
99 Cents Only Stores*...... 810 12,571
Dollar Tree, Inc.*......... 1,560 94,723
Saks, Inc.*................ 2,820 27,495
-----------
TOTAL MULTILINE RETAIL 134,789
-----------
OFFICE ELECTRONICS 0.1%
Zebra Technologies
Corp. -- Class A*....... 1,040 30,212
-----------
TOTAL OFFICE ELECTRONICS 30,212
-----------
OIL, GAS & CONSUMABLE FUELS 3.2%
Arch Coal, Inc. ........... 2,870 77,490
Bill Barrett Corp.*........ 680 23,174
Cimarex Energy Co. ........ 1,480 100,758
Comstock Resources, Inc.*.. 830 26,610
Forest Oil Corp.*.......... 1,990 58,307
Frontier Oil Corp. ........ 1,850 28,120
Mariner Energy, Inc.*...... 1,800 42,984
Newfield Exploration Co.*.. 2,350 136,747
Overseas Shipholding Group,
Inc. ................... 470 23,528
Patriot Coal Corp.*........ 1,330 26,188
Plains Exploration &
Production Co.*......... 2,460 72,103
Quicksilver Resources,
Inc.*................... 2,090 28,988
Southern Union Co. ........ 2,200 57,486
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 702,483
-----------
PAPER & FOREST PRODUCTS 0.1%
Louisiana-Pacific Corp.*... 2,240 26,342
-----------
TOTAL PAPER & FOREST PRODUCTS 26,342
-----------
PERSONAL PRODUCTS 0.4%
Alberto-Culver Co. ........ 1,510 43,488
NBTY, Inc.*................ 1,120 45,562
-----------
TOTAL PERSONAL PRODUCTS 89,050
-----------
PHARMACEUTICALS 1.0%
Endo Pharmaceuticals
Holdings, Inc.*......... 2,070 45,333
Medicis Pharmaceutical
Corp. -- Class A........ 1,020 25,888
Perrigo Co. ............... 1,420 86,662
Valeant Pharmaceuticals
International*.......... 1,140 51,300
-----------
TOTAL PHARMACEUTICALS 209,183
-----------
PROFESSIONAL SERVICES 0.9%
Corporate Executive Board
Co.(The)................ 600 16,476
FTI Consulting, Inc.*...... 820 33,727
Korn/Ferry International*.. 810 13,130
Manpower, Inc. ............ 1,450 81,345
Navigant Consulting,
Inc.*................... 880 11,334
Towers Watson & Co.-
Class A................. 750 36,000
-----------
TOTAL PROFESSIONAL SERVICES 192,012
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 6.3%
Alexandria Real Estate
Equities, Inc. ......... 780 55,232
AMB Property Corp. ........ 2,920 81,351
BRE Properties, Inc. ...... 1,100 45,936
Camden Property Trust...... 1,130 54,726
Corporate Office Properties
Trust................... 1,030 41,664
Cousins Properties, Inc. .. 1,780 14,347
Duke Realty Corp. ......... 3,960 53,579
Equity One, Inc. .......... 620 12,034
Essex Property Trust,
Inc. ................... 510 53,968
Federal Realty Investment
Trust................... 1,080 83,581
Highwoods Properties,
Inc. ................... 1,260 40,282
Hospitality Properties
Trust................... 2,180 57,748
Liberty Property Trust..... 1,990 67,282
Macerich Co.(The).......... 2,260 101,045
Mack-Cali Realty Corp. .... 1,400 48,104
Nationwide Health
Properties, Inc. ....... 2,080 72,842
Omega Healthcare Investors,
Inc. ................... 1,570 31,431
Potlatch Corp. ............ 700 26,222
Rayonier, Inc. ............ 1,410 69,062
Realty Income Corp. ....... 1,850 60,661
Regency Centers Corp. ..... 1,440 59,112
Senior Housing Properties
Trust................... 2,250 50,580
SL Green Realty Corp. ..... 1,380 85,795
UDR, Inc. ................. 2,750 55,852
Weingarten Realty
Investors............... 1,850 42,772
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 1,365,208
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.3%
Jones Lang LaSalle, Inc. .. 740 58,371
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 58,371
-----------
ROAD & RAIL 1.0%
Con-way, Inc. ............. 870 33,791
J.B. Hunt Transport
Services, Inc. ......... 1,550 57,133
Kansas City Southern*...... 1,800 72,990
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 25
RYDEX 2x S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONCLUDED)
Landstar System, Inc. ..... 890 $39,356
Werner Enterprises, Inc. .. 780 17,487
-----------
TOTAL ROAD & RAIL 220,757
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.1%
Atmel Corp.*............... 8,050 43,792
Cree, Inc.*................ 1,880 137,635
Fairchild Semiconductor
International, Inc.*.... 2,200 24,684
Integrated Device
Technology, Inc.*....... 2,930 19,367
International Rectifier
Corp.*.................. 1,260 29,005
Intersil Corp. -- Class A.. 2,170 32,290
Lam Research Corp.*........ 2,260 91,643
RF Micro Devices, Inc.*.... 4,740 26,639
Semtech Corp.*............. 1,090 19,784
Silicon Laboratories,
Inc.*................... 810 39,163
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 464,002
-----------
SOFTWARE 3.0%
ACI Worldwide, Inc.*....... 600 11,274
Advent Software, Inc.*..... 280 12,650
Ansys, Inc.*............... 1,590 71,550
Cadence Design Systems,
Inc.*................... 4,750 35,435
Factset Research Systems,
Inc. ................... 740 55,663
Fair Isaac Corp. .......... 820 17,269
Informatica Corp.*......... 1,600 40,016
Jack Henry & Associates,
Inc. ................... 1,490 38,025
Mentor Graphics Corp.*..... 1,840 16,542
MICROS Systems, Inc.*...... 1,410 52,396
Parametric Technology
Corp.*.................. 2,070 38,481
Quest Software, Inc.*...... 1,110 19,458
Rovi Corp.*................ 1,840 71,723
Solera Holdings, Inc. ..... 1,230 47,810
Sybase, Inc.*.............. 1,460 63,335
Synopsys, Inc.*............ 2,590 58,819
-----------
TOTAL SOFTWARE 650,446
-----------
SPECIALTY RETAIL 3.7%
Aaron's, Inc. ............. 1,440 32,501
Advance Auto Parts, Inc. .. 1,630 73,513
Aeropostale, Inc.*......... 1,750 50,820
American Eagle Outfitters,
Inc. ................... 3,670 61,693
AnnTaylor Stores Corp.*.... 1,040 22,568
Barnes & Noble, Inc. ...... 700 15,428
CarMax, Inc.*.............. 3,940 96,806
Chico's FAS, Inc. ......... 3,150 46,903
Coldwater Creek, Inc.*..... 1,020 7,222
Collective Brands, Inc.*... 1,130 26,499
Dick's Sporting Goods,
Inc.*................... 1,580 45,994
Dress Barn, Inc.(The)*..... 1,050 29,064
Foot Locker, Inc. ......... 2,770 42,519
Guess?, Inc. .............. 1,030 47,246
J. Crew Group, Inc.*....... 990 46,005
PetSmart, Inc. ............ 2,180 72,093
Rent-A-Center, Inc.*....... 1,160 29,951
Williams-Sonoma, Inc. ..... 1,880 54,144
-----------
TOTAL SPECIALTY RETAIL 800,969
-----------
TEXTILES, APPAREL & LUXURY GOODS 1.0%
Fossil, Inc.*.............. 850 33,065
Hanesbrands, Inc.*......... 1,690 48,114
Phillips-Van Heusen
Corp. .................. 1,000 63,010
Timberland Co. -- Class
A*...................... 770 16,555
Under Armour, Inc. --
Class A*................ 670 22,613
Warnaco Group, Inc.*....... 810 38,750
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 222,107
-----------
THRIFTS & MORTGAGE FINANCE 1.2%
Astoria Financial Corp. ... 1,450 23,403
First Niagara Financial
Group, Inc. ............ 3,690 51,291
New York Community Bancorp,
Inc. ................... 7,660 126,160
NewAlliance Bancshares,
Inc. ................... 1,870 24,366
Washington Federal, Inc. .. 1,990 40,935
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 266,155
-----------
TOBACCO 0.1%
Universal Corp. ........... 430 22,265
-----------
TOTAL TOBACCO 22,265
-----------
TRADING COMPANIES & DISTRIBUTORS 0.4%
GATX Corp. ................ 810 26,438
MSC Industrial Direct
Co. -- Class A.......... 780 42,502
United Rentals, Inc.*...... 1,060 15,222
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 84,162
-----------
WATER UTILITIES 0.2%
Aqua America, Inc. ........ 2,410 44,175
-----------
TOTAL WATER UTILITIES 44,175
-----------
WIRELESS TELECOMMUNICATION SERVICES 0.4%
Syniverse Holdings, Inc.*.. 1,230 24,698
Telephone & Data Systems,
Inc. ................... 1,630 56,496
-----------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 81,194
-----------
TOTAL COMMON STOCKS
(Cost $12,262,140) 17,950,415
- -------------------------------------------------------
<Caption>
FACE
AMOUNT
- -------------------------------------------------------
REPURCHASE AGREEMENTS 7.2%
State Street Bank & Trust
Co., 0.100%, dated
04/30/10, to be
repurchased at
$1,557,013 on 05/03/10
collateralized by
$1,580,000 FNMA at
1.000% due 11/23/11 with
a value of $1,591,850... $1,557,000 $1,557,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,557,000) 1,557,000
-----------
TOTAL INVESTMENTS 89.9%(A)
(Cost $13,819,140) 19,507,415
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--10.1% 2,201,605
-----------
NET ASSETS--100.0% $21,709,020
- -------------------------------------------------------
<Caption>
UNREALIZED
CONTRACTS GAIN
- -------------------------------------------------------
FUTURES CONTRACTS PURCHASED
June 2010 S&P MidCap 400
Index E-Mini Futures
Contracts (Aggregate
Market Value of
Contracts
$8,944,540)(a).......... 109 $413,976
-----------
</Table>
See Notes to Financial Statements.
26
RYDEX 2x S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
UNREALIZED
UNITS LOSS
- -------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
May 2010 S&P MidCap 400
Index Swap, Terminating
05/21/10 (Notional
Market Value
$9,734,668)**(b)........ 11,827 $(195,034)
Goldman Sachs International
May 2010 S&P MidCap 400
Index Swap, Terminating
05/21/10 (Notional
Market Value
$6,884,115)**(b)........ 8,364 (192,290)
-----------
(TOTAL NOTIONAL MARKET VALUE $16,618,783) $(387,324)
- -------------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on S&P MidCap 400 Index +/- financing at a variable
rate.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Values determined based on Level 2 inputs.
FNMA--Federal National Mortgage Association.
REIT--Real Estate Investment Trust
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 27
RYDEX Inverse 2x S&P MIDCAP 400 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- ------------------------------------------------------
REPURCHASE AGREEMENTS 64.2%
State Street Bank & Trust
Co., 0.100%, dated
04/30/10, to be
repurchased at
$2,199,018 on 05/03/10
collateralized by
$2,230,000 FNMA at
1.000% due 11/23/11 with
a value of $2,246,725... $2,199,000 $2,199,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $2,199,000) 2,199,000
----------
TOTAL INVESTMENTS 64.2%(A)
(Cost $2,199,000) 2,199,000
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--35.8% 1,224,270
NET ASSETS--100.0% $3,423,270
- ------------------------------------------------------
<Caption>
UNREALIZED
CONTRACTS LOSS
- ------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
June 2010 S&P MidCap 400
Index E-Mini Futures
Contracts (Aggregate
Market Value of
Contracts
$1,148,840)(a).......... 14 $(21,282)
----------
<Caption>
UNREALIZED
UNITS GAIN
- ------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
May 2010 S&P MidCap 400
Index Swap, Terminating
05/21/10 (Notional
Market Value
$4,116,115)*(b)......... 5,001 $74,453
Goldman Sachs International
May 2010
S&P MidCap 400 Index
Swap, Terminating
05/21/10 (Notional
Market Value
$1,542,497)*(b)......... 1,874 43,083
----------
(TOTAL NOTIONAL MARKET VALUE
$5,658,612) $117,536
- ------------------------------------------------------
</Table>
* Price return based on S&P MidCap 400 Index +/- financing at a variable
rate.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Values determined based on Level 2 inputs.
FNMA--Federal National Mortgage Association.
See Notes to Financial Statements.
28
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS 82.6%
AEROSPACE & DEFENSE 1.5%
AAR Corp.*................. 910 $22,186
Aerovironment, Inc.*....... 310 8,116
American Science &
Engineering, Inc. ...... 210 15,782
Applied Signal Technology,
Inc. ................... 300 5,607
Argon ST, Inc.*............ 320 8,320
Ascent Solar Technologies,
Inc.*................... 440 1,676
Astronics Corp.*........... 220 3,181
Ceradyne, Inc.*............ 600 13,320
Cubic Corp. ............... 370 13,805
Curtiss-Wright Corp. ...... 1,059 37,775
DigitalGlobe, Inc.*........ 350 9,296
Ducommun, Inc. ............ 240 5,494
DynCorp International,
Inc. -- Class A*........ 580 9,976
Esterline Technologies
Corp.*.................. 700 39,046
GenCorp, Inc.*............. 1,179 7,333
GeoEye, Inc.*.............. 489 13,937
Global Defense Technology &
Systems, Inc.*.......... 110 1,554
HEICO Corp. ............... 675 29,072
Herley Industries, Inc.*... 320 4,688
Hexcel Corp.*.............. 2,259 36,596
Ladish Co., Inc.*.......... 370 10,171
LMI Aerospace, Inc.*....... 200 3,452
Moog, Inc. -- Class A*..... 1,060 39,400
Orbital Sciences Corp.*.... 1,319 24,243
Stanley, Inc.*............. 270 8,540
Taser International,
Inc.*................... 1,449 6,854
Teledyne Technologies,
Inc.*................... 840 36,624
Todd Shipyards Corp. ...... 140 2,223
Triumph Group, Inc. ....... 390 30,248
-----------
TOTAL AEROSPACE & DEFENSE 448,515
-----------
AIR FREIGHT & LOGISTICS 0.3%
Air Transport Services
Group, Inc.*............ 1,299 7,144
Atlas Air Worldwide
Holdings, Inc.*......... 490 27,082
Dynamex, Inc.*............. 230 4,069
Forward Air Corp. ......... 680 19,054
HUB Group, Inc. --
Class A*................ 870 27,849
Pacer International,
Inc.*................... 820 5,445
-----------
TOTAL AIR FREIGHT & LOGISTICS 90,643
-----------
AIRLINES 0.8%
Airtran Holdings, Inc.*.... 3,148 16,621
Alaska Air Group, Inc.*.... 850 35,199
Allegiant Travel Co.*...... 360 18,515
Hawaiian Holdings, Inc.*... 1,209 8,584
JetBlue Airways Corp.*..... 5,937 33,188
Republic Airways Holdings,
Inc.*................... 810 5,071
SkyWest, Inc. ............. 1,299 19,459
UAL Corp.*................. 3,918 84,550
US Airways Group, Inc.*.... 3,778 26,710
-----------
TOTAL AIRLINES 247,897
-----------
AUTO COMPONENTS 0.8%
American Axle &
Manufacturing Holdings,
Inc.*................... 1,309 14,085
Amerigon, Inc.*............ 500 4,905
ArvinMeritor, Inc.*........ 2,202 33,735
China Automotive Systems,
Inc.*................... 100 2,224
Cooper Tire & Rubber Co. .. 1,379 29,262
Dana Holding Corp.*........ 3,268 43,660
Dorman Products, Inc.*..... 270 6,845
Drew Industries, Inc.*..... 430 11,030
Exide Technologies*........ 1,179 7,003
Fuel Systems Solutions,
Inc.*................... 320 10,070
Hawk Corp. -- Class A*..... 130 3,008
Modine Manufacturing Co.*.. 1,099 15,397
Raser Technologies, Inc.*.. 1,529 1,233
Spartan Motors, Inc. ...... 760 4,689
Standard Motor Products,
Inc. ................... 430 4,584
Stoneridge, Inc.*.......... 350 3,777
Superior Industries
International, Inc. .... 540 9,104
Tenneco, Inc.*............. 1,389 35,795
Wonder Auto Technolgy,
Inc.*................... 420 4,859
-----------
TOTAL AUTO COMPONENTS 245,265
-----------
AUTOMOBILES 0.0%(A)
Winnebago Industries,
Inc.*................... 680 11,308
-----------
TOTAL AUTOMOBILES 11,308
-----------
BEVERAGES 0.1%
Boston Beer Co.,
Inc. -- Class A*........ 210 11,972
Coca-Cola Bottling Co.
Consolidated............ 100 5,508
Heckmann Corp.*............ 2,079 12,474
National Beverage Corp. ... 250 2,900
-----------
TOTAL BEVERAGES 32,854
-----------
BIOTECHNOLOGY 3.2%
Acorda Therapeutics,
Inc.*................... 890 34,488
Affymax, Inc.*............. 410 9,774
Alkermes, Inc.*............ 2,219 29,069
Allos Therapeutics, Inc.*.. 1,689 13,343
Alnylam Pharmaceuticals,
Inc.*................... 840 14,246
AMAG Pharmaceuticals,
Inc.*................... 490 16,734
Amicus Therapeutics,
Inc.*................... 429 1,394
Arena Pharmaceuticals,
Inc.*................... 2,366 7,690
Ariad Pharmaceuticals,
Inc.*................... 2,549 8,972
ArQule, Inc.*.............. 970 6,179
Array BioPharma, Inc.*..... 1,189 4,399
AVI BioPharma, Inc.*....... 2,249 2,991
BioCryst Pharmaceuticals,
Inc.*................... 570 4,332
Biospecifics Technologies
Corp.*.................. 90 2,848
Cardium Therapeutics,
Inc.*................... 1,503 872
Celera Corp.*.............. 1,919 14,335
Cell Therapeutics, Inc.*... 13,463 8,313
Celldex Therapeutics Inc*.. 590 4,820
Cepheid, Inc.*............. 1,359 27,166
Chelsea Therapeutics
International, Ltd.*.... 738 2,959
Clinical Data, Inc.*....... 310 5,791
Cubist Pharmaceuticals,
Inc.*................... 1,349 30,245
Curis, Inc.*............... 1,729 5,706
Cytokinetics, Inc.*........ 1,020 3,284
Cytori Therapeutics,
Inc.*................... 690 3,892
Dyax Corp.*................ 1,679 5,877
Emergent Biosolutions,
Inc.*................... 380 6,186
Enzon Pharmaceuticals,
Inc.*................... 1,385 14,653
Exelixis, Inc.*............ 2,499 14,444
Genomic Health, Inc.*...... 330 5,287
Geron Corp.*............... 2,276 13,269
GTx, Inc.*................. 450 1,476
Halozyme Therapeutics,
Inc.*................... 1,589 13,538
Hemispherx Biopharma,
Inc.*................... 2,898 2,217
Human Genome Sciences,
Inc.*................... 4,288 118,735
Idenix Pharmaceuticals,
Inc.*................... 730 3,373
Idera Pharmaceuticals,
Inc.*................... 510 3,193
Immunogen, Inc.*........... 1,339 13,270
Immunomedics, Inc.*........ 1,529 5,352
Incyte Corp.*.............. 2,039 27,363
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 29
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Infinity Pharmaceuticals,
Inc.*................... 420 $2,898
Insmed, Inc.*.............. 2,929 3,105
InterMune, Inc.*........... 1,040 44,262
Ironwood Pharmaceuticals,
Inc.*................... 450 5,814
Isis Pharmaceuticals,
Inc.*................... 2,179 23,424
Lexicon Pharmaceuticals,
Inc.*................... 3,730 6,005
Ligand Pharmaceuticals,
Inc. -- Class B*........ 2,659 4,893
MannKind Corp.*............ 1,349 9,376
Martek Biosciences Corp.*.. 780 17,183
Maxygen, Inc.*............. 570 3,654
Medivation, Inc.*.......... 670 7,477
Metabolix, Inc.*........... 520 6,484
Micromet, Inc.*............ 1,576 12,009
Molecular Insight
Pharmaceuticals, Inc.*.. 400 884
Momenta Pharmaceuticals,
Inc.*................... 920 12,770
Myriad Pharmaceuticals,
Inc.*................... 560 2,750
Nabi Biopharmaceuticals*... 1,160 6,519
Nanosphere, Inc.*.......... 300 1,890
Neurocrine Biosciences,
Inc.*................... 1,097 3,521
NeurogesX, Inc.*........... 240 2,400
Novavax, Inc.*............. 1,679 4,752
NPS Pharmaceuticals,
Inc.*................... 1,109 7,730
Omeros Corp.*.............. 160 944
OncoGenex Pharmaceutical,
Inc.*................... 100 2,200
Onyx Pharmaceuticals,
Inc.*................... 1,449 41,833
Opko Health, Inc.*......... 1,020 2,203
Orexigen Therapeutics,
Inc.*................... 620 4,204
Osiris Therapeutics,
Inc.*................... 390 2,913
OXiGENE, Inc.*............. 860 920
PDL BioPharma, Inc. ....... 2,799 16,290
Pharmasset, Inc.*.......... 530 17,172
Poniard Pharmaceuticals,
Inc.*................... 650 832
Progenics Pharmaceuticals,
Inc.*................... 630 4,057
Protalix BioTherapeutics,
Inc.*................... 859 5,815
Regeneron Pharmaceuticals,
Inc.*................... 1,479 37,759
Repligen Corp.*............ 720 2,527
Rigel Pharmaceuticals,
Inc.*................... 1,169 9,083
Sangamo Biosciences,
Inc.*................... 1,039 6,400
Savient Pharmaceuticals,
Inc.*................... 1,559 22,606
SciClone Pharmaceuticals,
Inc.*................... 840 3,511
Seattle Genetics, Inc.*.... 1,949 24,557
SIGA Technologies, Inc.*... 710 4,878
Spectrum Pharmaceuticals,
Inc.*................... 1,010 5,212
StemCells, Inc.*........... 2,769 3,184
Synta Pharmaceuticals
Corp.*.................. 459 1,864
Theravance, Inc.*.......... 1,634 27,402
Vanda Pharmaceuticals,
Inc.*................... 620 5,189
Vical, Inc.*............... 1,078 3,902
Zymogenetics, Inc.*........ 1,089 6,469
-----------
TOTAL BIOTECHNOLOGY 965,801
-----------
BUILDING PRODUCTS 0.5%
AAON, Inc. ................ 290 7,001
American Woodmark Corp. ... 240 5,546
Ameron International
Corp. .................. 220 15,266
Apogee Enterprises, Inc. .. 650 8,931
Builders FirstSource,
Inc.*................... 990 3,772
Gibraltar Industries,
Inc.*................... 630 9,462
Griffon Corp.*............. 1,019 14,368
Insteel Industries, Inc. .. 410 5,027
NCI Building Systems,
Inc.*................... 420 5,788
Quanex Building Products
Corp. .................. 880 16,720
Simpson Manufacturing Co.,
Inc. ................... 890 30,251
Trex Co., Inc.*............ 360 8,816
Universal Forest Products,
Inc. ................... 450 18,922
-----------
TOTAL BUILDING PRODUCTS 149,870
-----------
CAPITAL MARKETS 2.2%
American Capital, Ltd.*.... 6,557 40,260
Apollo Investment Corp. ... 4,129 50,209
Ares Capital Corp. ........ 4,429 70,244
Artio Global Investors,
Inc. ................... 650 14,872
BGC Partners, Inc. --
Class A................. 1,089 7,100
BlackRock Kelso Capital
Corp. .................. 290 3,077
Broadpoint Gleacher
Securities, Inc.*....... 1,289 5,517
Calamos Asset Management,
Inc. -- Class A......... 460 5,727
Capital Southwest Corp. ... 70 6,583
Cohen & Steers, Inc. ...... 400 10,828
Cowen Group, Inc. --
Class A*................ 500 2,700
Diamond Hill Investment
Group, Inc. ............ 60 4,682
Duff & Phelps
Corp. -- Class A........ 380 5,966
E*TRADE Financial Corp.*... 36,892 61,979
Epoch Holding Corp. ....... 300 3,876
Evercore Partners,
Inc. -- Class A......... 340 12,186
FBR Capital Markets
Corp.*.................. 420 1,987
Fifth Street Finance
Corp. .................. 910 11,602
GAMCO Investors,
Inc. -- Class A......... 170 7,822
GFI Group, Inc. ........... 1,519 10,481
Gladstone Capital Corp. ... 490 6,576
Gladstone Invt Corp. ...... 520 3,385
Harris & Harris Group,
Inc.*................... 720 3,492
Hercules Technology Growth
Capital, Inc. .......... 830 8,997
International Assets
Holding Corp.*.......... 300 4,851
JMP Group, Inc. ........... 340 2,632
Kayne Anderson Energy
Development Co. ........ 240 3,881
KBW, Inc.*................. 820 24,559
Knight Capital Group,
Inc. -- Class A*........ 2,179 33,883
Kohlberg Capital Corp. .... 430 2,430
LaBranche & Co., Inc.*..... 1,170 5,780
Main Street Capital
Corp. .................. 230 3,643
MCG Capital Corp.*......... 1,529 10,137
MF Global Holdings Ltd.*... 2,269 20,920
MVC Capital, Inc. ......... 510 7,206
NGP Capital Resources
Co. .................... 510 3,901
Oppenheimer Holdings,
Inc. ................... 220 6,395
optionsXpress Holdings,
Inc.*................... 990 17,572
PennantPark Investment
Corp. .................. 590 6,455
Penson Worldwide, Inc.*.... 460 4,324
Piper Jaffray Cos., Inc.*.. 460 18,106
Prospect Capital Corp. .... 1,525 17,736
Pzena Investment
Management,
Inc. -- Class A*........ 180 1,386
Riskmetrics Group, Inc.*... 520 11,669
Safeguard Scientifics,
Inc.*................... 480 6,605
Sanders Morris Harris
Group, Inc. ............ 479 2,860
Solar Capital Ltd.*........ 130 3,028
Stifel Financial Corp.*.... 700 40,131
SWS Group, Inc. ........... 650 7,195
Teton Advisors, Inc.(d).... 2 --
Thomas Weisel Partners
Group, Inc.*............ 490 3,847
TICC Capital Corp. ........ 620 4,414
TradeStation Group, Inc.*.. 780 6,521
Triangle Capital Corp. .... 250 3,765
U.S. Global Investors,
Inc. -- Class A......... 300 2,712
</Table>
See Notes to Financial Statements.
30
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Virtus Investment Partners,
Inc.*................... 140 $3,392
Westwood Holdings Group,
Inc. ................... 130 5,005
-----------
TOTAL CAPITAL MARKETS 657,089
-----------
CHEMICALS 1.9%
A. Schulman, Inc. ......... 550 14,305
American Vanguard Corp. ... 460 3,726
Ampal-American Israel
Corp -- Class A*........ 490 1,107
Arch Chemicals, Inc. ...... 590 20,066
Balchem Corp. ............. 640 16,602
Calgon Carbon Corp.*....... 1,279 19,824
China Green Agriculture,
Inc.*................... 250 3,170
Ferro Corp.*............... 2,019 22,047
H.B. Fuller Co. ........... 1,139 26,710
Hawkins, Inc. ............. 200 5,364
ICO, Inc. ................. 650 5,571
Innophos Holdings, Inc. ... 400 11,396
Innospec, Inc.*............ 550 7,321
Koppers Holdings, Inc. .... 480 13,522
Kraton Performance
Polymers, Inc.*......... 260 4,930
Landec Corp.*.............. 620 3,801
LSB Industries, Inc.*...... 400 7,104
Minerals Technologies,
Inc. ................... 440 25,388
NewMarket Corp. ........... 240 26,400
NL Industries, Inc. ....... 160 1,358
Olin Corp. ................ 1,829 38,409
OM Group, Inc.*............ 720 27,180
Omnova Solutions, Inc.*.... 1,029 7,872
PolyOne Corp.*............. 2,169 24,531
Quaker Chemical Corp. ..... 260 8,182
Rockwood Holdings, Inc.*... 1,149 34,401
Sensient Technologies
Corp. .................. 1,139 35,913
ShengdaTech, Inc.*......... 660 4,547
Solutia, Inc.*............. 2,789 49,086
Spartech Corp.*............ 720 10,253
Stepan Co. ................ 170 12,878
STR Holdings, Inc.*........ 290 6,687
Westlake Chemical Corp. ... 460 12,917
WR Grace & Co.*............ 1,689 48,795
Zep, Inc. ................. 510 9,404
Zoltek Cos., Inc.*......... 650 6,396
-----------
TOTAL CHEMICALS 577,163
-----------
COMMERCIAL BANKS 5.3%
1st Source Corp. .......... 350 6,695
Alliance Financial Corp. .. 100 2,997
American National
Bankshares, Inc. ....... 140 3,039
Ameris Bancorp............. 330 3,676
Ames Natl Corp. ........... 150 2,870
Arrow Financial Corp. ..... 220 6,116
Auburn National
Bancorporation, Inc. ... 50 1,002
Bancfirst Corp. ........... 150 6,621
Banco Latinoamericano de
Comercio Exterior,
S.A. -- Class E......... 640 9,062
Bancorp Rhode Island,
Inc. ................... 90 2,580
Bancorp, Inc. (The)*....... 470 4,169
Bank of Kentucky Financial
Corp. (The)............. 70 1,343
Bank of Marin Bancorp...... 120 4,022
Bank of the Ozarks, Inc. .. 310 11,926
Banner Corp. .............. 469 2,659
Bar Harbor Bankshares...... 90 2,646
Boston Private Financial
Holdings, Inc. ......... 1,589 12,601
Bridge Bancorp, Inc. ...... 150 3,500
Bryn Mawr Bank Corp. ...... 160 2,939
Camden National Corp. ..... 180 6,431
Cape Bancorp, Inc.*........ 280 2,005
Capital City Bank Group,
Inc. ................... 280 4,925
Cardinal Financial Corp. .. 660 7,227
Cathay General Bancorp..... 1,839 22,748
Center Bancorp, Inc. ...... 290 2,413
Centerstate Banks of
Florida, Inc. .......... 440 5,293
Central Pacific Financial
Corp.*.................. 710 1,548
Century Bancorp,
Inc. -- Class A......... 80 1,548
Chemical Financial Corp. .. 500 11,850
Chicopee Bancorp, Inc.*.... 150 1,910
Citizens + Northn Corp. ... 280 3,632
Citizens Holding Co. ...... 90 2,273
Citizens Republic Bancorp,
Inc.*................... 9,245 11,556
City Holding Co. .......... 370 12,965
CNB Financial Corp. ....... 200 3,100
CoBiz Financial, Inc. ..... 690 4,927
Columbia Banking System,
Inc. ................... 660 14,837
Community Bank System,
Inc. ................... 770 18,996
Community Trust Bancorp,
Inc. ................... 350 10,507
CVB Financial Corp. ....... 1,989 21,899
Danvers Bancorp, Inc. ..... 510 8,338
Eagle Bancorp, Inc.*....... 350 4,410
East West Bancorp, Inc. ... 2,589 50,719
Enterprise Bancorp, Inc. .. 130 1,616
Enterprise Financial
Services Corp. ......... 270 2,838
F.N.B. Corp. .............. 2,669 24,875
Farmers Capital Bank
Corp. .................. 150 1,265
Financial Institutions,
Inc. ................... 250 4,020
First Bancorp Inc/ME....... 200 3,178
First BanCorp. ............ 1,879 3,983
First Bancorp. ............ 350 5,709
First Busey Corp. ......... 1,129 5,701
First California Financial
Group, Inc.*............ 317 1,046
First Commonwealth
Financial Corp. ........ 1,989 13,028
First Community Bancshares,
Inc. ................... 350 5,828
First Financial Bancorp.... 1,359 25,970
First Financial Bankshares,
Inc. ................... 490 26,205
First Financial Corp. ..... 280 8,162
First Merchants Corp. ..... 490 4,283
First Midwest Bancorp,
Inc. ................... 1,729 26,281
First of Long Island Corp.
(The)................... 130 3,346
First South Bancorp,
Inc. ................... 190 2,649
FirstMerit Corp. .......... 2,038 47,893
German American Bancorp,
Inc. ................... 260 4,137
Glacier Bancorp, Inc. ..... 1,686 31,174
Great Southern Bancorp,
Inc. ................... 240 5,854
Guaranty Bancorp*.......... 1,229 1,930
Hampton Roads Bankshares,
Inc. ................... 430 1,243
Hancock Holding Co. ....... 660 26,981
Heartland Financial USA,
Inc. ................... 310 5,924
Heritage Financial Corp.*.. 220 3,368
Home Bancorp, Inc.*........ 210 2,913
Home Bancshares, Inc. ..... 410 11,529
IBERIABANK Corp. .......... 628 38,710
Independent Bank Corp. .... 490 12,711
International Bancshares
Corp. .................. 1,219 29,463
Investors Bancorp, Inc.*... 1,099 15,287
Lakeland Bancorp, Inc. .... 480 5,040
Lakeland Financial Corp. .. 370 7,718
MainSource Financial Group,
Inc. ................... 470 3,802
MB Financial, Inc. ........ 1,179 28,885
Merchants Bancshares,
Inc. ................... 110 2,562
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 31
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Metro Bancorp, Inc.*....... 230 $3,121
Midsouth Bancorp, Inc. .... 150 2,408
Nara Bancorp, Inc.*........ 770 6,930
National Bankshares,
Inc. ................... 160 4,334
National Penn Bancshares,
Inc. ................... 2,959 21,660
NBT Bancorp, Inc. ......... 800 19,576
Northfield Bancorp, Inc. .. 450 6,642
Northrim BanCorp, Inc. .... 150 2,589
Norwood Financial Corp. ... 40 1,110
Ohio Valley Banc Corp. .... 90 1,876
Old National Bancorp....... 2,039 27,343
Old Point Financial
Corp. .................. 50 726
Old Second Bancorp, Inc. .. 250 1,430
OmniAmerican Bancorp,
Inc.*................... 280 3,304
Oriental Financial Group... 767 12,824
Orrstown Financial
Services, Inc. ......... 150 3,837
Pacific Capital Bancorp*... 1,090 1,897
Pacific Continental
Corp. .................. 430 4,984
PacWest Bancorp............ 620 14,886
Park National Corp. ....... 270 18,495
Peapack Gladstone Financial
Corp. .................. 200 2,780
Penns Woods Bancorp,
Inc. ................... 90 2,885
Peoples Bancorp, Inc. ..... 250 4,335
Peoples Financial Corp. ... 90 1,425
Pinnacle Financial
Partners, Inc.*......... 770 11,766
Porter Bancorp, Inc. ...... 70 991
Premierwest Bancorp*....... 2,179 2,070
PrivateBancorp, Inc. ...... 1,239 17,742
Prosperity Bancshares,
Inc. ................... 1,079 42,318
Renasant Corp. ............ 490 8,100
Republic Bancorp,
Inc. -- Class A......... 220 5,313
Republic First Bancorp,
Inc.*................... 170 634
S&T Bancorp, Inc. ......... 550 13,227
S.Y. Bancorp, Inc. ........ 270 6,410
Sandy Spring Bancorp,
Inc. ................... 557 9,720
Santander BanCorp*......... 100 1,196
SCBT Financial Corp. ...... 300 11,937
Shore Bancshares, Inc. .... 200 2,818
Sierra Bancorp............. 210 2,621
Signature Bank*............ 950 38,361
Simmons First National
Corp. -- Class A........ 390 10,951
Smithtown Bancorp, Inc. ... 340 1,581
South Financial Group,
Inc. ................... 5,047 3,886
Southside Bancshares,
Inc. ................... 320 6,906
Southwest Bancorp, Inc. ... 340 4,984
State Bancorp Inc/NY....... 380 3,762
StellarOne Corp. .......... 530 7,902
Sterling Bancorp........... 627 6,715
Sterling Bancshares,
Inc. ................... 2,392 14,065
Sterling Financial Corp.*.. 1,229 1,070
Suffolk Bancorp............ 230 7,141
Sun Bancorp, Inc.*......... 320 1,728
Susquehanna Bancshares,
Inc. ................... 3,025 32,972
SVB Financial Group*....... 960 47,261
Texas Capital Bancshares,
Inc.*................... 830 16,517
Tompkins Financial Corp. .. 210 8,530
Tower Bancorp, Inc. ....... 110 2,831
TowneBank/Portsmouth VA.... 549 8,800
Trico Bancshares........... 330 6,283
Trustmark Corp. ........... 1,489 36,451
UMB Financial Corp. ....... 750 31,590
Umpqua Holdings Corp. ..... 2,239 33,451
Union First Market
Bankshares Corp. ....... 607 10,185
United Bankshares, Inc. ... 899 26,107
United Community Banks,
Inc.*................... 1,919 11,207
United Security Bancshares,
Inc. ................... 140 2,174
Univest Corp. of
Pennsylvania............ 390 7,632
Washington Banking Co. .... 360 5,180
Washington Trust Bancorp,
Inc. ................... 330 5,976
Webster Financial Corp. ... 1,599 33,131
WesBanco, Inc. ............ 540 10,411
West Bancorporation,
Inc.*................... 370 3,008
Westamerica Bancorp........ 680 39,964
Western Alliance Bancorp*.. 1,070 9,309
Wilber Corp. (The)......... 140 953
Wilshire Bancorp, Inc. .... 450 4,887
Wintrust Financial Corp. .. 708 26,408
Yadkin Valley Financial
Corp. .................. 380 1,740
-----------
TOTAL COMMERCIAL BANKS 1,623,897
-----------
COMMERCIAL SERVICES & SUPPLIES 1.9%
ABM Industries, Inc. ...... 1,079 23,188
ACCO Brands Corp.*......... 1,279 11,677
American Reprographics
Co.*.................... 850 8,492
AMREP Corp.*............... 30 435
APAC Customer Services,
Inc.*................... 600 3,450
ATC Technology Corp.*...... 460 9,402
Bowne & Co., Inc. ......... 900 10,062
Cenveo, Inc.*.............. 1,259 10,790
Clean Harbors, Inc.*....... 500 31,715
Consolidated Graphics,
Inc.*................... 230 9,639
Cornell Cos., Inc.*........ 260 7,150
Courier Corp. ............. 240 4,126
Deluxe Corp. .............. 1,199 25,143
EnergySolutions, Inc. ..... 1,769 12,825
EnerNOC, Inc.*............. 330 9,596
Ennis, Inc. ............... 610 11,279
Fuel Tech, Inc.*........... 410 3,079
G&K Services, Inc. --
Class A................. 430 11,821
Geo Group, Inc.(The)*...... 1,199 25,395
Healthcare Services Group,
Inc. ................... 950 20,415
Heritage-Crystal Clean,
Inc.*................... 60 616
Herman Miller, Inc. ....... 1,259 26,716
HNI Corp. ................. 1,050 32,592
Innerworkings, Inc.*....... 580 3,468
Interface, Inc. --
Class A................. 1,139 14,898
Kimball International,
Inc. -- Class B......... 750 6,030
Knoll, Inc. ............... 1,099 15,364
M&F Worldwide Corp.*....... 250 7,665
McGrath RentCorp........... 560 14,554
Metalico, Inc.*............ 780 5,148
Mine Safety
Appliances Co. ......... 630 18,516
Mobile Mini, Inc.*......... 830 13,795
Multi-Color Corp. ......... 240 3,002
North American Galvanizing
& Coating, Inc.*........ 300 2,250
Perma-Fix Environmental
Services, Inc.*......... 1,269 2,716
Rollins, Inc. ............. 1,029 22,381
Schawk, Inc. .............. 350 6,633
Standard Parking Corp.*.... 180 3,040
Standard Register
Co.(The)................ 410 2,112
Steelcase, Inc. --
Class A................. 1,669 13,702
SYKES Enterprises, Inc.*... 889 20,207
Team, Inc.*................ 440 7,656
Tetra Tech, Inc.*.......... 1,409 34,309
United Stationers, Inc.*... 560 34,283
US Ecology, Inc. .......... 430 6,708
</Table>
See Notes to Financial Statements.
32
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Viad Corp. ................ 480 $11,232
Waste Services, Inc.*...... 420 4,721
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 583,993
-----------
COMMUNICATIONS EQUIPMENT 2.3%
Acme Packet, Inc.*......... 910 23,787
ADC Telecommunications,
Inc.*................... 2,259 18,095
Adtran, Inc. .............. 1,299 34,774
Anaren, Inc.*.............. 340 5,039
Arris Group, Inc.*......... 2,899 35,629
Aruba Networks, Inc.*...... 1,379 17,320
Aviat Networks, Inc.*...... 1,379 8,963
Bel Fuse, Inc. -- Class B.. 240 5,621
BigBand Networks, Inc.*.... 830 2,739
Black Box Corp. ........... 410 12,788
Blue Coat Systems, Inc.*... 979 31,847
Cogo Group, Inc.*.......... 540 3,802
Communications Systems,
Inc. ................... 140 1,798
Comtech Telecommunications
Corp.*.................. 660 20,618
DG FastChannel, Inc.*...... 490 17,238
Digi International, Inc.*.. 580 6,212
Emcore Corp.*.............. 1,759 $2,357
EMS Technologies, Inc.*.... 360 5,720
Emulex Corp.*.............. 1,939 22,783
Extreme Networks*.......... 2,079 6,923
Globecomm Systems, Inc.*... 490 3,817
Harmonic, Inc.*............ 2,239 15,315
Hughes Communications,
Inc.*................... 210 5,859
Infinera Corp.*............ 1,969 18,016
InterDigital, Inc.*........ 1,020 28,223
Ixia*...................... 740 7,585
KVH Industries, Inc.*...... 330 4,973
Loral Space &
Communications, Ltd.*... 250 10,765
NETGEAR, Inc.*............. 810 21,919
Network Equipment
Technologies, Inc.*..... 680 3,488
Oplink Communications,
Inc.*................... 480 7,253
Opnext, Inc.*.............. 650 1,528
Palm, Inc.*................ 3,878 22,492
Parkervision, Inc.*........ 860 1,625
PC-Tel, Inc.*.............. 440 2,864
Plantronics, Inc. ......... 1,149 38,147
Polycom, Inc.*............. 1,969 64,091
Powerwave Technologies,
Inc.*................... 3,089 5,468
Riverbed Technology,
Inc.*................... 1,279 39,636
SeaChange International,
Inc.*................... 750 6,248
ShoreTel, Inc.*............ 1,039 6,805
Sonus Networks, Inc.*...... 4,828 12,505
Sycamore Networks, Inc. ... 450 8,905
Symmetricom, Inc.*......... 1,020 6,763
Tekelec*................... 1,559 28,265
Utstarcom, Inc.*........... 2,649 7,550
ViaSat, Inc.*.............. 710 25,169
-----------
TOTAL COMMUNICATIONS EQUIPMENT 689,327
-----------
COMPUTERS & PERIPHERALS 0.6%
3PAR, Inc.*................ 640 5,971
ActivIdentity Corp.*....... 1,070 3,135
Adaptec, Inc.*............. 2,859 8,835
Avid Technology, Inc.*..... 660 9,636
Compellent Technologies,
Inc.*................... 390 4,902
Cray, Inc.*................ 800 5,408
Electronics for Imaging,
Inc.*................... 1,039 13,351
Imation Corp.*............. 700 7,588
Immersion Corp.*........... 660 3,696
Intermec, Inc.*............ 1,449 16,620
Intevac, Inc.*............. 510 7,099
Isilon Systems, Inc.*...... 610 7,918
Netezza Corp.*............. 1,109 15,182
Novatel Wireless, Inc.*.... 710 4,864
Quantum Corp.*............. 4,928 14,291
Rimage Corp.*.............. 220 3,861
Silicon Graphics
International Corp.*.... 700 6,923
STEC, Inc.*................ 580 8,056
Stratasys, Inc.*........... 470 11,205
Super Micro Computer,
Inc.*................... 540 7,657
Synaptics, Inc.*........... 800 24,496
-----------
TOTAL COMPUTERS & PERIPHERALS 190,694
-----------
CONSTRUCTION & ENGINEERING 0.7%
Argan, Inc.*............... 170 1,931
Comfort Systems USA,
Inc. ................... 910 12,813
Dycom Industries, Inc.*.... 910 9,664
EMCOR Group, Inc.*......... 1,539 43,954
Furmanite Corp.*........... 860 4,386
Granite Construction,
Inc. ................... 800 26,888
Great Lakes Dredge & Dock
Corp. .................. 940 5,095
Insituform Technologies,
Inc. -- Class A*........ 910 21,813
Integrated Electrical
Services, Inc.*......... 130 810
Layne Christensen Co.*..... 460 12,595
MasTec, Inc.*.............. 1,219 15,250
Michael Baker Corp.*....... 180 6,361
MYR Group, Inc.*........... 400 7,172
Northwest Pipe Co.*........ 220 5,306
Orion Marine Group, Inc.*.. 630 11,945
Pike Electric Corp.*....... 390 4,192
Primoris Services Corp. ... 190 1,501
Sterling Construction Co,
Inc.*................... 380 6,650
Tutor Perini Corp.*........ 600 14,562
-----------
TOTAL CONSTRUCTION & ENGINEERING 212,888
-----------
CONSTRUCTION MATERIALS 0.1%
Headwaters, Inc.*.......... 1,409 8,454
Texas Industries, Inc. .... 550 20,812
U.S. Concrete, Inc.*....... 780 413
United States Lime &
Minerals, Inc.*......... 40 1,630
-----------
TOTAL CONSTRUCTION MATERIALS 31,309
-----------
CONSUMER FINANCE 0.4%
Advance America Cash
Advance Centers, Inc. .. 1,079 6,172
Cardtronics, Inc.*......... 310 4,321
Cash America International,
Inc. ................... 690 25,572
CompuCredit Holdings
Corp. .................. 380 2,276
Credit Acceptance Corp.*... 140 6,314
Dollar Financial Corp.*.... 560 13,110
Ezcorp, Inc. -- Class A*... 1,059 21,932
First Cash Financial
Services, Inc.*......... 540 11,912
First Marblehead Corp
(The)*.................. 1,449 5,086
Nelnet, Inc. -- Class A.... 450 8,982
QC Holdings, Inc. ......... 80 415
Rewards Network, Inc. ..... 150 1,953
World Acceptance Corp.*.... 380 13,406
-----------
TOTAL CONSUMER FINANCE 121,451
-----------
CONTAINERS & PACKAGING 0.4%
AEP Industries, Inc.*...... 130 3,592
Boise, Inc.*............... 690 4,754
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 33
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Bway Holding Co.*.......... 180 $3,560
Graham Packaging Co,
Inc.*................... 390 4,692
Graphic Packaging
Holding Co.*............ 2,619 9,664
Myers Industries, Inc. .... 740 8,037
Rock-Tenn Co. -- Class A... 900 46,440
Silgan Holdings, Inc. ..... 630 38,008
-----------
TOTAL CONTAINERS & PACKAGING 118,747
-----------
DISTRIBUTORS 0.0%(A)
Audiovox Corp. --
Class A*................ 400 3,724
Core-Mark Holding Co.,
Inc.*................... 230 7,020
-----------
TOTAL DISTRIBUTORS 10,744
-----------
DIVERSIFIED CONSUMER SERVICES 1.0%
American Public Education,
Inc.*................... 430 18,210
Bridgepoint Education,
Inc.*................... 330 8,484
Capella Education Co.*..... 340 30,811
ChinaCast Education
Corp.*.................. 800 5,384
Coinstar, Inc.*............ 710 31,496
Corinthian Colleges,
Inc.*................... 1,879 29,350
CPI Corp. ................. 120 3,184
Grand Canyon Education,
Inc.*................... 370 8,947
Jackson Hewitt Tax Service,
Inc.*................... 670 1,132
K12, Inc.*................. 550 13,018
Learning Tree
International, Inc.*.... 180 2,846
Lincoln Educational
Services Corp.*......... 230 5,741
Mac-Gray Corp. ............ 270 3,145
Matthews International
Corp. -- Class A........ 710 24,850
Nobel Learning Communities,
Inc.*................... 100 695
Pre-Paid Legal Services,
Inc.*................... 160 7,115
Princeton Review, Inc.*.... 340 1,064
Regis Corp. ............... 1,339 25,602
Sotheby's.................. 1,569 52,404
Steiner Leisure, Ltd.*..... 340 15,936
Stewart Enterprises,
Inc. -- Class A......... 1,879 12,740
Universal Technical
Institute, Inc.*........ 460 11,022
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 313,176
-----------
DIVERSIFIED FINANCIAL SERVICES 0.4%
Asset Acceptance Capital
Corp.*.................. 350 2,576
California First National
Bancorp................. 40 523
Compass Diversified
Holdings................ 560 8,131
Encore Capital Group,
Inc.*................... 320 7,363
Life Partners Holdings,
Inc. ................... 170 3,927
MarketAxess Holdings,
Inc. ................... 740 11,633
Medallion Financial
Corp. .................. 350 2,800
NewStar Financial, Inc.*... 650 4,979
PHH Corp.*................. 1,279 29,021
Pico Holdings, Inc.*....... 530 18,841
Portfolio Recovery
Associates, Inc.*....... 400 26,588
Primus Guaranty, Ltd.*..... 410 1,849
Resource America,
Inc. -- Class A......... 290 1,714
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 119,945
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 0.5%
AboveNet, Inc.*............ 310 15,667
Alaska Communications
Systems Group, Inc. .... 1,039 8,894
Atlantic Tele-Network,
Inc. ................... 210 11,588
Cbeyond, Inc.*............. 569 8,751
Cincinnati Bell, Inc.*..... 4,758 16,034
Cogent Communications
Group, Inc.*............ 1,039 10,608
Consolidated Communications
Holdings, Inc. ......... 550 10,203
General Communication,
Inc. -- Class A*........ 989 6,082
Global Crossing, Ltd.*..... 680 10,098
HickoryTech Corp. ......... 310 2,626
inContact, Inc.*........... 709 2,021
Iowa Telecommunications
Services, Inc. ......... 770 12,967
Neutral Tandem, Inc.*...... 770 13,052
PAETEC Holding Corp.*...... 2,879 14,337
Premiere Global Services,
Inc.*................... 1,419 13,296
SureWest Communications*... 330 2,838
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 159,062
-----------
ELECTRIC UTILITIES 0.9%
Allete, Inc. .............. 690 25,164
Central Vermont Public
Service Corp. .......... 270 5,889
Cleco Corp. ............... 1,419 38,881
El Paso Electric Co.*...... 1,050 22,312
Empire District Electric
Co.(The)................ 900 17,559
IDACORP, Inc. ............. 1,109 40,013
MGE Energy, Inc. .......... 540 19,850
PNM Resources, Inc. ....... 2,029 27,574
Portland General Electric
Co. .................... 1,759 34,969
UIL Holdings Corp. ........ 690 20,031
Unisource Energy Corp. .... 830 27,656
Unitil Corp. .............. 250 5,520
-----------
TOTAL ELECTRIC UTILITIES 285,418
-----------
ELECTRICAL EQUIPMENT 1.9%
Acuity Brands, Inc. ....... 1,009 45,617
Advanced Battery
Technologies, Inc.*..... 1,299 4,508
American Superconductor
Corp.*.................. 1,019 29,734
AO Smith Corp. ............ 510 26,331
AZZ, Inc. ................. 280 11,374
Baldor Electric Co. ....... 1,089 41,828
Belden, Inc. .............. 1,089 29,904
Brady Corp. -- Class A..... 1,119 38,449
Broadwind Energy, Inc.*.... 810 3,208
Chase Corp. ............... 140 1,838
China BAK Battery, Inc.*... 970 1,950
Encore Wire Corp. ......... 430 9,550
Ener1, Inc.*............... 1,199 4,988
Energy Conversion Devices,
Inc.*................... 1,070 7,618
EnerSys*................... 949 24,560
Evergreen Solar, Inc.*..... 4,398 4,926
Franklin Electric Co.,
Inc. ................... 540 18,895
FuelCell Energy, Inc.*..... 1,709 4,700
Fushi Copperweld, Inc.*.... 460 5,088
Generac Holdings, Inc.*.... 440 6,640
GrafTech International,
Ltd.*................... 2,819 47,528
GT Solar International,
Inc.*................... 740 4,314
Harbin Electric, Inc.*..... 370 8,107
II-VI, Inc.*............... 580 20,799
LaBarge, Inc.*............. 300 3,708
Lihua International,
Inc.*................... 70 615
LSI Industries, Inc. ...... 440 3,093
Microvision, Inc.*......... 2,079 6,507
Orion Energy Systems,
Inc.*................... 410 2,185
Polypore International,
Inc.*................... 530 9,386
Powell Industries, Inc.*... 180 6,044
Power-One, Inc.*........... 1,799 14,140
PowerSecure International,
Inc.*................... 400 4,504
Preformed Line Products
Co. .................... 50 1,500
Regal-Beloit Corp. ........ 840 53,147
</Table>
See Notes to Financial Statements.
34
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
SatCon Technology Corp.*... 1,649 $4,634
Ultralife Corp.*........... 280 1,173
Valence Technology, Inc.*.. 1,179 1,238
Vicor Corp.*............... 460 6,955
Woodward Governor Co. ..... 1,409 45,158
-----------
TOTAL ELECTRICAL EQUIPMENT 566,441
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 1.7%
Agilysys, Inc. ............ 360 3,906
Anixter International,
Inc.*................... 700 36,680
Benchmark Electronics,
Inc.*................... 1,529 33,088
Brightpoint, Inc.*......... 1,130 9,142
Checkpoint Systems, Inc.*.. 910 20,557
China Security &
Surveillance Technology,
Inc.*................... 1,029 6,123
Cogent, Inc.*.............. 1,000 10,350
Cognex Corp. .............. 930 19,446
Coherent, Inc.*............ 510 19,161
Comverge, Inc.*............ 500 5,670
CPI International, Inc.*... 170 2,283
CTS Corp. ................. 790 8,295
Daktronics, Inc. .......... 790 6,620
DDi Corp.*................. 340 2,910
DTS, Inc.*................. 410 13,628
Echelon Corp.*............. 760 7,182
Electro Rent Corp. ........ 420 6,002
Electro Scientific
Industries, Inc.*....... 640 8,813
FARO Technologies, Inc.*... 390 9,832
ICx Technologies, Inc.*.... 270 1,903
Insight Enterprises,
Inc.*................... 1,070 16,082
IPG Photonics Corp.*....... 540 9,455
L-1 Identity Solutions,
Inc.*................... 1,749 15,164
Littelfuse, Inc.*.......... 510 21,537
Maxwell Technologies,
Inc.*................... 530 7,648
Measurement Specialties,
Inc.*................... 340 5,600
Mercury Computer Systems,
Inc.*................... 530 6,816
Methode Electronics,
Inc. ................... 889 9,868
MTS Systems Corp. ......... 390 11,649
Multi-Fineline Electronix,
Inc.*................... 230 5,962
Newport Corp.*............. 850 10,055
OSI Systems, Inc.*......... 360 9,374
PAR Technology Corp.*...... 190 1,332
Park Electrochemical
Corp. .................. 480 14,501
PC Connection, Inc.*....... 220 1,514
PC Mall, Inc.*............. 240 1,246
Plexus Corp.*.............. 920 34,086
Radisys Corp.*............. 550 5,384
RAE Systems, Inc.*......... 950 751
Rofin-Sinar Technologies,
Inc.*................... 680 18,061
Rogers Corp.*.............. 370 12,384
Scansource, Inc.*.......... 620 17,273
Smart Modular Technologies
WWH, Inc.*.............. 860 6,037
Spectrum Control, Inc.*.... 290 4,031
SYNNEX Corp.*.............. 450 12,339
Technitrol, Inc. .......... 960 5,184
TTM Technologies, Inc.*.... 1,010 10,969
Universal Display Corp.*... 690 9,211
X-Rite, Inc.*.............. 669 2,208
Zygo Corp.*................ 350 3,307
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS 520,619
-----------
ENERGY EQUIPMENT & SERVICES 1.4%
Allis-Chalmers Energy,
Inc.*................... 1,379 5,557
Basic Energy Services,
Inc.*................... 530 5,411
Bolt Technology Corp.*..... 200 2,214
Boots & Coots, Inc.*....... 1,829 5,359
Bristow Group, Inc.*....... 840 32,516
Bronco Drilling Co.,
Inc.*................... 560 2,677
Cal Dive International,
Inc.*................... 1,049 6,882
CARBO Ceramics, Inc. ...... 450 32,963
Complete Production
Services, Inc.*......... 1,369 20,658
Dawson Geophysical Co.*.... 180 5,272
Dril-Quip, Inc.*........... 680 39,392
ENGlobal Corp.*............ 440 1,562
Geokinetics, Inc.*......... 229 2,002
Global Industries Ltd.*.... 2,339 15,671
Gulf Island Fabrication,
Inc. ................... 290 6,951
GulfMark Offshore,
Inc. -- Class A*........ 530 18,269
Hercules Offshore, Inc.*... 2,689 10,649
Hornbeck Offshore Services,
Inc.*................... 540 13,214
ION Geophysical Corp.*..... 2,489 14,959
Key Energy Services,
Inc.*................... 2,899 31,483
Lufkin Industries, Inc. ... 350 29,796
Matrix Service Co.*........ 610 6,484
Natural Gas Services Group,
Inc.*................... 280 5,020
Newpark Resources, Inc.*... 2,079 13,888
OYO Geospace Corp.*........ 90 4,473
Parker Drilling Co.*....... 2,719 15,036
PHI, Inc.*................. 310 6,445
Pioneer Drilling Co.*...... 1,079 7,920
RPC, Inc. ................. 660 9,009
Sulphco, Inc.*............. 1,799 689
Superior Well Services,
Inc.*................... 420 6,090
T-3 Energy Services,
Inc.*................... 290 8,628
TETRA Technologies, Inc.*.. 1,759 21,618
TGC Industries, Inc.*...... 326 1,341
Union Drilling, Inc.*...... 230 1,525
Vantage Drilling Co.*...... 1,829 3,292
Willbros Group, Inc.*...... 929 11,659
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 426,574
-----------
FOOD & STAPLES RETAILING 0.7%
Andersons, Inc.(The)....... 430 15,540
Arden Group, Inc. --
Class A................. 30 3,045
Casey's General Stores,
Inc. ................... 1,189 45,931
Diedrich Coffee, Inc.*..... 70 2,433
Great Atlantic & Pacific
Tea Co., Inc.*.......... 790 6,359
Ingles Markets,
Inc. -- Class A......... 300 4,809
Nash Finch Co. ............ 300 10,506
Pantry, Inc.(The)*......... 530 8,385
Pricesmart, Inc. .......... 370 9,206
Ruddick Corp. ............. 1,009 35,658
Spartan Stores, Inc. ...... 520 7,847
Susser Holdings Corp.*..... 180 1,939
United Natural Foods,
Inc.*................... 1,009 30,966
Village Super
Market -- Class A....... 150 4,036
Weis Markets, Inc. ........ 260 9,693
Winn-Dixie Stores, Inc.*... 1,279 16,128
-----------
TOTAL FOOD & STAPLES RETAILING 212,481
-----------
FOOD PRODUCTS 1.1%
AgFeed Industries, Inc.*... 709 3,049
Alico, Inc. ............... 80 2,134
American Dairy, Inc.*...... 230 4,370
American Italian Pasta
Co. -- Class A*......... 490 19,223
B&G Foods, Inc. --
Class A................. 1,113 11,497
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 35
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Cal-Maine Foods, Inc. ..... 320 $10,682
Calavo Growers, Inc. ...... 240 4,162
Chiquita Brands
International, Inc.*.... 1,040 15,641
Darling International,
Inc.*................... 1,929 18,306
Diamond Foods, Inc. ....... 508 21,697
Dole Food Co., Inc.*....... 840 9,509
Farmer Brothers Co. ....... 160 2,994
Fresh Del Monte Produce,
Inc.*................... 960 20,035
Griffin Land & Nurseries,
Inc. ................... 80 2,340
Hain Celestial Group,
Inc.*................... 950 18,791
Harbinger Group, Inc.*..... 210 1,405
HQ Sustainable Maritime
Industries, Inc.*....... 250 1,422
Imperial Sugar Co. ........ 290 4,649
J&J Snack Foods Corp. ..... 330 15,375
Lancaster Colony Corp. .... 450 24,736
Lance, Inc. ............... 650 15,067
Lifeway Foods, Inc.*....... 110 1,212
Omega Protein Corp.*....... 440 2,354
Overhill Farms, Inc.*...... 370 2,242
Sanderson Farms, Inc. ..... 480 27,201
Seneca Foods Corp. --
Class A*................ 220 7,225
Smart Balance, Inc.*....... 1,469 9,769
Synutra International,
Inc.*................... 420 9,845
Tootsie Roll Industries,
Inc. ................... 580 15,428
TreeHouse Foods, Inc.*..... 818 34,593
Zhongpin, Inc.*............ 560 7,101
-----------
TOTAL FOOD PRODUCTS 344,054
-----------
GAS UTILITIES 1.0%
Chesapeake Utilities
Corp. .................. 220 6,626
Laclede Group, Inc. ....... 520 17,722
New Jersey Resources
Corp. .................. 989 37,315
Nicor, Inc. ............... 1,059 46,077
Northwest Natural Gas
Co. .................... 620 29,382
Piedmont Natural Gas Co.,
Inc. ................... 1,719 47,273
South Jersey Industries,
Inc. ................... 700 31,577
Southwest Gas Corp. ....... 1,049 32,624
WGL Holdings, Inc. ........ 1,179 42,137
-----------
TOTAL GAS UTILITIES 290,733
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 2.9%
Abaxis, Inc.*.............. 510 13,214
Abiomed, Inc.*............. 720 6,941
Accuray, Inc.*............. 930 5,989
AGA Medical Holdings,
Inc.*................... 320 5,146
Align Technology, Inc.*.... 1,369 23,246
Alphatec Holdings, Inc.*... 770 5,144
American Medical Systems
Holdings, Inc.*......... 1,729 30,984
Analogic Corp. ............ 300 14,346
Angiodynamics, Inc.*....... 570 9,120
Atrion Corp. .............. 40 5,671
ATS Medical, Inc.*......... 1,208 4,820
Bovie Medical Corp.*....... 400 2,084
Cantel Medical Corp. ...... 290 5,788
Cardiac Science Corp.*..... 470 733
Cardiovascular Systems,
Inc.*................... 220 1,102
Conceptus, Inc.*........... 720 13,637
CONMED Corp.*.............. 680 15,123
CryoLife, Inc.*............ 660 4,033
Cutera, Inc.*.............. 310 3,584
Cyberonics, Inc.*.......... 640 12,499
Cynosure, Inc. --
Class A*................ 230 2,898
Delcath Systems, Inc.*..... 760 11,643
DexCom, Inc.*.............. 1,238 13,556
Endologix, Inc.*........... 1,129 5,250
EnteroMedics, Inc.*........ 530 279
ev3, Inc.*................. 1,739 33,267
Exactech, Inc.*............ 190 3,887
Greatbatch, Inc.*.......... 540 12,064
Haemonetics Corp.*......... 600 34,716
Hansen Medical, Inc.*...... 590 1,499
HeartWare International,
Inc.*................... 170 9,561
ICU Medical, Inc.*......... 280 9,971
Immucor, Inc.*............. 1,649 35,305
Insulet Corp.*............. 830 11,454
Integra LifeSciences
Holdings Corp.*......... 440 19,989
Invacare Corp. ............ 680 17,972
IRIS International, Inc.*.. 420 4,801
Kensey Nash Corp.*......... 190 4,304
MAKO Surgical Corp.*....... 410 5,752
Masimo Corp. .............. 1,189 27,834
Medical Action Industries,
Inc.*................... 330 3,917
Mela Sciences, Inc.*....... 520 3,702
Meridian Bioscience,
Inc. ................... 950 18,991
Merit Medical Systems,
Inc.*................... 650 10,511
Micrus Endovascular
Corp.*.................. 370 7,430
Natus Medical, Inc.*....... 660 11,246
Neogen Corp.*.............. 460 12,093
NuVasive, Inc.*............ 909 37,814
NxStage Medical, Inc.*..... 540 6,869
OraSure Technologies,
Inc.*................... 1,079 6,841
Orthofix International
N.V.*................... 400 13,676
Orthovita, Inc.*........... 1,549 6,196
Palomar Medical
Technologies, Inc.*..... 420 5,275
Quidel Corp.*.............. 600 8,844
Rochester Medical Corp.*... 230 2,758
Rockwell Medical
Technologies, Inc.*..... 400 2,324
RTI Biologics, Inc.*....... 1,269 4,860
Sirona Dental Systems,
Inc.*................... 400 16,676
Somanetics Corp.*.......... 280 5,664
SonoSite, Inc.*............ 390 13,073
Spectranetics Corp.*....... 750 5,115
Stereotaxis, Inc.*......... 720 3,420
STERIS Corp. .............. 1,369 45,560
SurModics, Inc.*........... 360 6,696
Symmetry Medical, Inc.*.... 840 9,710
Synovis Life Technologies,
Inc.*................... 270 3,996
Thoratec Corp.*............ 1,319 58,814
TomoTherapy, Inc.*......... 1,079 4,197
TranS1, Inc.*.............. 310 1,001
Utah Medical Products,
Inc. ................... 80 2,233
Vascular Solutions, Inc.*.. 380 3,762
Volcano Corp.*............. 1,129 27,119
West Pharmaceutical
Services, Inc. ......... 770 32,225
Wright Medical Group,
Inc.*................... 890 16,714
Young Innovations, Inc. ... 130 3,272
Zoll Medical Corp.*........ 490 14,970
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 886,770
-----------
HEALTH CARE PROVIDERS & SERVICES 3.0%
Air Methods Corp.*......... 250 8,270
Alliance Imaging, Inc.*.... 620 3,323
Allied Healthcare
International, Inc.*.... 1,050 2,951
Almost Family, Inc.*....... 190 8,048
Amedisys, Inc.*............ 640 36,851
America Service Group,
Inc. ................... 190 3,222
</Table>
See Notes to Financial Statements.
36
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
American Caresource
Holdings, Inc.*......... 250 $510
American Dental Partners,
Inc.*................... 360 4,637
AMERIGROUP Corp.*.......... 1,239 44,901
AMN Healthcare Services,
Inc.*................... 760 6,946
Amsurg Corp.*.............. 720 14,918
Assisted Living Concepts,
Inc.- Class A*.......... 240 8,424
Bio-Reference Labs, Inc.*.. 560 13,104
BioScrip, Inc.*............ 910 8,135
Capital Senior Living
Corp.*.................. 530 2,788
CardioNet, Inc.*........... 560 5,387
Catalyst Health Solutions,
Inc.*................... 860 36,387
Centene Corp.*............. 1,129 25,854
Chemed Corp. .............. 530 29,155
Chindex International,
Inc.*................... 310 3,918
Clarient, Inc.*............ 759 2,292
Continucare Corp.*......... 690 2,312
Corvel Corp.*.............. 170 5,661
Cross Country Healthcare,
Inc.*................... 720 7,214
Emergency Medical Services
Corp. -- Class A*....... 680 35,959
Emeritus Corp.*............ 460 10,304
Ensign Group, Inc. ........ 260 4,514
Genoptix, Inc.*............ 390 15,089
Gentiva Health Services,
Inc.*................... 680 19,502
Hanger Orthopedic Group,
Inc.*................... 590 10,998
Health Grades, Inc.*....... 560 3,926
Healthsouth Corp.*......... 2,189 44,787
Healthspring, Inc.*........ 1,149 20,222
Healthways, Inc.*.......... 790 12,869
HMS Holdings Corp.*........ 610 32,635
inVentiv Health, Inc.*..... 780 17,963
IPC The Hospitalist Co.,
Inc.*................... 380 11,795
Kindred Healthcare, Inc.*.. 910 16,234
Landauer, Inc. ............ 220 14,993
LCA-Vision, Inc.*.......... 390 3,288
LHC Group, Inc.*........... 360 12,276
Magellan Health Services,
Inc.*................... 830 35,034
MedCath Corp.*............. 370 3,678
Metropolitan Health
Networks, Inc.*......... 830 2,565
Molina Healthcare, Inc.*... 310 9,043
MWI Veterinary Supply,
Inc.*................... 250 10,488
National Healthcare
Corp. .................. 190 6,718
National Research Corp. ... 40 1,036
Nighthawk Radiology
Holdings, Inc.*......... 440 1,628
NovaMed, Inc.*............. 470 1,542
Odyssey HealthCare, Inc.*.. 770 16,039
Owens & Minor, Inc. ....... 1,459 45,886
PharMerica Corp.*.......... 710 13,703
Providence Service Corp.*.. 250 4,153
PSS World Medical, Inc.*... 1,389 32,544
Psychiatric Solutions,
Inc.*................... 1,319 42,432
RadNet, Inc.*.............. 680 2,502
RehabCare Group, Inc.*..... 580 16,542
Res-Care, Inc.*............ 590 6,868
Select Medical Holdings
Corp.*.................. 790 6,865
Skilled Healthcare Group,
Inc. -- Class A*........ 460 3,077
Sun Healthcare Group,
Inc.*................... 1,020 9,119
Sunrise Senior Living,
Inc.*................... 1,168 6,494
Team Health Holdings,
Inc.*................... 360 5,659
Triple-S Mgmt
Corp. -- Class B*....... 480 8,736
Universal American Corp.*.. 630 9,671
US Physical Therapy,
Inc.*................... 270 4,736
Virtual Radiologic Corp.*.. 150 1,875
WellCare Health Plans,
Inc.*................... 990 28,344
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 909,539
-----------
HEALTH CARE TECHNOLOGY 0.5%
athenahealth, Inc.*........ 790 22,926
Computer Programs &
Systems, Inc. .......... 230 10,364
Eclipsys Corp.*............ 1,319 27,277
MedAssets, Inc.*........... 920 21,003
Medidata Solutions, Inc.*.. 170 2,494
MedQuist, Inc. ............ 210 1,955
Merge Healthcare, Inc.*.... 810 2,009
Omnicell, Inc.*............ 740 9,879
Phase Forward, Inc.*....... 980 16,474
Quality Systems, Inc. ..... 550 35,205
Transcend Services, Inc.*.. 180 2,677
Vital Images, Inc.*........ 340 5,365
-----------
TOTAL HEALTH CARE TECHNOLOGY 157,628
-----------
HOTELS, RESTAURANTS & LEISURE 2.2%
AFC Enterprises, Inc.*..... 590 6,437
Ambassadors Group, Inc. ... 440 5,342
Ameristar Casinos, Inc. ... 600 11,298
Bally Technologies, Inc.*.. 1,279 58,987
Benihana, Inc. --
Class A*................ 310 2,111
Biglari Holdings, Inc.*.... 30 11,737
BJ's Restaurants, Inc.*.... 460 11,100
Bluegreen Corp.*........... 340 2,064
Bob Evans Farms, Inc. ..... 720 22,270
Buffalo Wild Wings, Inc.*.. 420 17,363
California Pizza Kitchen,
Inc.*................... 450 9,225
Caribou Coffee Co., Inc.*.. 160 1,416
Carrols Restaurant Group,
Inc.*................... 260 1,947
CEC Entertainment, Inc.*... 540 21,087
Cheesecake Factory,
Inc.(The)*.............. 1,409 38,283
Churchill Downs, Inc. ..... 220 8,433
CKE Restaurants, Inc. ..... 1,139 14,055
Cracker Barrel Old Country
Store, Inc. ............ 530 26,166
Denny's Corp.*............. 2,249 7,489
DineEquity, Inc.*.......... 410 16,863
Domino's Pizza, Inc.*...... 860 13,253
Dover Downs Gaming &
Entertainment, Inc. .... 330 1,297
Einstein Noah Restaurant
Group, Inc.*............ 110 1,428
Frisch's Restaurants,
Inc. ................... 50 1,096
Gaylord Entertainment
Co.*.................... 930 31,387
Great Wolf Resorts, Inc.*.. 650 2,087
Interval Leisure Group,
Inc.*................... 930 13,755
Isle of Capri Casinos,
Inc.*................... 360 3,920
Jack in the Box, Inc.*..... 1,339 31,493
Krispy Kreme Doughnuts,
Inc.*................... 1,369 5,065
Lakes Entertainment,
Inc.*................... 440 990
Landry's Restaurants,
Inc.*................... 170 3,925
Life Time Fitness, Inc.*... 940 34,554
Luby's, Inc.*.............. 470 1,918
Marcus Corp. .............. 470 6,039
McCormick & Schmick's
Seafood Restaurants,
Inc.*................... 350 3,469
Monarch Casino & Resort,
Inc.*................... 210 2,440
Morgans Hotel Group Co.*... 510 4,320
Multimedia Games, Inc.*.... 620 2,833
O'Charleys, Inc.*.......... 410 3,916
Orient-Express Hotels,
Ltd. -- Class A*........ 2,119 28,924
P.F. Chang's China Bistro,
Inc.*................... 560 24,438
Papa John's International,
Inc.*................... 510 13,974
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 37
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Peet's Coffee & Tea,
Inc.*................... 270 $10,697
Pinnacle Entertainment,
Inc.*................... 1,409 19,064
Red Lion Hotels Corp.*..... 310 2,368
Red Robin Gourmet Burgers,
Inc.*................... 360 8,788
Ruby Tuesday, Inc.*........ 1,519 16,998
Ruth's Hospitality Group
Inc*.................... 710 3,855
Shuffle Master, Inc.*...... 1,259 12,086
Sonic Corp.*............... 1,419 16,616
Speedway Motorsports,
Inc. ................... 310 5,038
Texas Roadhouse, Inc.*..... 1,169 17,278
Town Sports International
Holdings, Inc.*......... 450 1,697
Universal Travel Group*.... 280 2,556
Vail Resorts, Inc.*........ 690 31,492
Youbet.com, Inc.*.......... 700 2,051
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 680,778
-----------
HOUSEHOLD DURABLES 1.2%
American Greetings
Corp. -- Class A........ 920 22,595
Beazer Homes USA, Inc.*.... 1,459 9,586
Blyth, Inc. ............... 140 8,069
Brookfield Homes Corp.*.... 240 2,690
Cavco Industries, Inc.*.... 150 5,875
CSS Industries, Inc. ...... 180 3,604
Ethan Allen Interiors,
Inc. ................... 580 11,716
Furniture Brands
International, Inc.*.... 970 8,032
Helen of Troy, Ltd.*....... 700 18,907
Hooker Furniture Corp. .... 250 3,940
Hovnanian Enterprises,
Inc. -- Class A*........ 1,219 8,667
iRobot Corp.*.............. 460 9,283
La-Z-Boy, Inc.*............ 1,209 15,765
M/I Homes, Inc.*........... 430 6,708
Meritage Homes Corp.*...... 730 17,359
National Presto Industries,
Inc. ................... 110 12,317
NIVS IntelliMedia
Technology Group,
Inc.*................... 190 610
Ryland Group, Inc. ........ 1,009 22,985
Sealy Corp.*............... 1,059 3,961
Skyline Corp. ............. 160 3,730
Standard Pacific Corp.*.... 2,487 15,942
Stanley Furniture Co.,
Inc.*................... 240 2,369
Tempur-Pedic International,
Inc.*................... 1,759 59,278
Tupperware Brands Corp. ... 1,469 75,022
Universal Electronics,
Inc.*................... 320 6,790
-----------
TOTAL HOUSEHOLD DURABLES 355,800
-----------
HOUSEHOLD PRODUCTS 0.1%
Cellu Tissue Holdings,
Inc.*................... 190 1,980
Central Garden & Pet
Co. -- Class A*......... 1,379 14,245
Oil-Dri Corp. of America... 120 2,460
Orchids Paper Products
Co.*.................... 130 1,925
WD-40 Co. ................. 390 13,740
-----------
TOTAL HOUSEHOLD PRODUCTS 34,350
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.0%(A)
U S Geothermal, Inc.*...... 1,649 1,567
-----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 1,567
-----------
INDUSTRIAL CONGLOMERATES 0.2%
Otter Tail Corp. .......... 830 18,443
Raven Industries, Inc. .... 380 11,537
Seaboard Corp. ............ 10 14,600
Standex International
Corp. .................. 290 6,922
Tredegar Corp. ............ 690 11,771
United Capital Corp.*...... 40 993
-----------
TOTAL INDUSTRIAL CONGLOMERATES 64,266
-----------
INSURANCE 2.5%
Ambac Financial Group,
Inc.*................... 6,737 10,173
American Equity Investment
Life Holding Co. ....... 1,359 14,297
American Physicians
Capital, Inc. .......... 200 6,688
American Physicians Service
Group, Inc. ............ 150 3,507
American Safety Insurance
Holdings, Ltd.*......... 200 3,236
Amerisafe, Inc.*........... 440 7,524
Amtrust Financial Services,
Inc. ................... 530 7,224
Argo Group International
Holdings, Ltd. ......... 720 23,753
Assured Guaranty, Ltd. .... 2,879 62,042
Baldwin & Lyons,
Inc. -- Class B......... 190 4,767
Citizens, Inc.*............ 780 5,468
CNA Surety Corp.*.......... 390 6,540
Conseco, Inc.*............. 5,897 34,792
Crawford & Co. --
Class B*................ 490 2,205
Delphi Financial
Group -- Class A........ 1,080 29,700
Donegal Group,
Inc. -- Class A......... 270 3,896
Eastern Insurance Holdings,
Inc. ................... 180 1,845
eHealth, Inc.*............. 550 7,540
EMC Insurance Group,
Inc. ................... 110 2,669
Employers Holdings, Inc. .. 1,030 16,974
Enstar Group, Ltd.*........ 160 10,579
FBL Financial Group,
Inc. -- Class A......... 300 7,752
First Acceptance Corp.*.... 390 776
First Mercury Financial
Corp. .................. 330 4,326
Flagstone Reinsurance
Holdings, Ltd. ......... 920 10,258
Fpic Insurance Group,
Inc.*................... 250 6,805
Greenlight Capital Re,
Ltd.*................... 660 16,909
Hallmark Financial
Services*............... 220 2,576
Harleysville Group, Inc. .. 310 9,926
Hilltop Holdings, Inc.*.... 930 10,909
Horace Mann Educators
Corp. .................. 920 15,833
Independence Holding Co. .. 150 1,202
Infinity Property &
Casualty Corp. ......... 320 14,762
Kansas City Life Insurance
Co. .................... 100 3,400
Maiden Holdings, Ltd. ..... 1,169 8,756
Max Capital Group, Ltd. ... 1,079 24,062
Meadowbrook Insurance
Group, Inc. ............ 1,349 10,657
Mercer Insurance Group,
Inc. ................... 130 2,385
Montpelier Re Holdings,
Ltd. ................... 1,810 30,046
National Financial Partners
Corp.*.................. 960 14,774
National Interstate
Corp. .................. 140 2,925
National Western Life
Insurance Co. --
Class A................. 50 9,557
Navigators Group, Inc.*.... 290 11,638
NYMAGIC, Inc. ............. 110 2,442
Phoenix Cos., Inc.*........ 2,709 8,750
Platinum Underwriters
Holdings, Ltd. ......... 1,199 44,615
PMA Capital Corp. --
Class A*................ 760 5,221
Presidential Life Corp. ... 490 5,772
ProAssurance Corp.*........ 780 47,541
RLI Corp. ................. 440 25,520
Safety Insurance Group,
Inc. ................... 310 11,560
SeaBright Insurance
Holdings, Inc. ......... 510 5,549
Selective Insurance Group,
Inc. ................... 1,239 20,704
State Auto Financial
Corp. .................. 340 6,083
</Table>
See Notes to Financial Statements.
38
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Stewart Information
Services Corp. ......... 400 $4,552
Tower Group, Inc. ......... 1,040 23,982
United America Indemnity,
Ltd. -- Class A*........ 860 8,170
United Fire &
Casualty Co. ........... 520 11,892
Universal Insurance
Holdings, Inc. ......... 310 1,566
Zenith National Insurance
Corp. .................. 879 33,244
-----------
TOTAL INSURANCE 752,816
-----------
INTERNET & CATALOG RETAIL 0.4%
1-800-FLOWERS.COM,
Inc. -- Class A*........ 610 1,745
Blue Nile, Inc.*........... 300 16,197
Drugstore.Com*............. 2,157 7,895
Gaiam, Inc. -- Class A..... 380 3,443
HSN, Inc.*................. 930 28,021
NutriSystem, Inc. ......... 720 13,917
Orbitz Worldwide, Inc.*.... 850 5,601
Overstock.com, Inc.*....... 370 6,845
PetMed Express, Inc. ...... 550 12,177
Shutterfly, Inc.*.......... 490 11,530
Stamps.com, Inc.*.......... 250 2,650
US Auto Parts Network,
Inc.*................... 230 2,162
Vitacost.com, Inc.*........ 260 2,264
-----------
TOTAL INTERNET & CATALOG RETAIL 114,447
-----------
INTERNET SOFTWARE & SERVICES 1.4%
Ancestry.com, Inc.*........ 180 3,533
Archipelago Learning,
Inc.*................... 170 2,465
Art Technology Group,
Inc.*................... 3,658 15,656
comScore, Inc.*............ 510 9,256
Constant Contact, Inc.*.... 560 14,308
DealerTrack Holdings,
Inc.*................... 880 13,420
Dice Holdings, Inc.*....... 370 3,208
Digital River, Inc.*....... 890 24,867
DivX, Inc.*................ 760 6,354
EarthLink, Inc. ........... 2,479 22,361
GSI Commerce, Inc.*........ 710 19,347
Imergent, Inc. ............ 180 1,139
InfoSpace, Inc.*........... 820 8,585
Innodata Isogen, Inc.*..... 500 1,730
Internap Network Services
Corp.*.................. 1,189 6,872
Internet Brands,
Inc. -- Class A*........ 640 6,624
Internet Capital Group,
Inc.*................... 860 8,505
iPass, Inc.*............... 1,179 1,698
j2 Global Communications,
Inc.*................... 1,049 25,260
Keynote Systems, Inc. ..... 290 3,184
Knot, Inc.(The)*........... 700 5,677
Limelight Networks, Inc.*.. 770 3,095
Liquidity Services, Inc.*.. 350 3,980
LivePerson, Inc.*.......... 969 8,004
LogMeIn, Inc.*............. 170 3,976
LoopNet, Inc.*............. 470 5,302
Marchex, Inc. -- Class B... 460 2,420
MercadoLibre, Inc.*........ 610 30,756
ModusLink Global Solutions,
Inc.*................... 1,069 9,546
Move, Inc.*................ 3,618 7,960
NIC, Inc. ................. 1,179 8,312
OpenTable, Inc.*........... 70 2,720
Openwave Systems, Inc.*.... 1,949 4,346
Perficient, Inc.*.......... 650 8,106
QuinStreet, Inc.*.......... 230 3,885
Rackspace Hosting, Inc.*... 1,559 27,984
RealNetworks, Inc.*........ 1,939 8,047
Saba Software, Inc.*....... 580 2,958
SAVVIS, Inc.*.............. 850 14,960
support.com, Inc.*......... 1,089 4,748
Switch & Data Facilities
Co., Inc.*.............. 480 9,211
TechTarget, Inc.*.......... 270 1,310
Terremark Worldwide,
Inc.*................... 1,359 9,744
Travelzoo, Inc.*........... 130 2,592
United Online, Inc. ....... 1,959 15,613
ValueClick, Inc.*.......... 2,039 20,961
Vocus, Inc.*............... 390 6,650
Web.com Group, Inc.*....... 620 2,995
Zix Corp.*................. 1,479 3,638
-----------
TOTAL INTERNET SOFTWARE & SERVICES 437,868
-----------
IT SERVICES 1.7%
Acxiom Corp.*.............. 1,589 30,318
CACI International,
Inc. -- Class A*........ 700 33,201
Cass Information Systems,
Inc. ................... 190 6,042
China Information Security
Technology, Inc*........ 669 4,041
Ciber, Inc.*............... 1,609 6,388
Computer Task Group,
Inc.*................... 350 3,287
CSG Systems International,
Inc.*................... 820 18,630
Cybersource Corp.*......... 1,619 41,576
Echo Global Logistics,
Inc.*................... 130 1,754
eLoyalty Corp.*............ 150 1,050
Euronet Worldwide, Inc.*... 1,139 18,144
ExlService Holdings,
Inc.*................... 350 5,572
Forrester Research, Inc.*.. 370 11,881
Gartner, Inc.*............. 1,579 38,022
Global Cash Access
Holdings, Inc.*......... 880 7,638
Hackett Group Inc (The)*... 969 2,723
Heartland Payment Systems,
Inc. ................... 880 16,174
iGate Corp. ............... 530 6,561
infoGROUP, Inc.*........... 800 6,408
Information Services Group,
Inc.*................... 560 1,926
Integral Systems, Inc.*.... 410 3,575
Lionbridge Technologies,
Inc.*................... 1,349 7,298
Mantech International
Corp. -- Class A*....... 510 22,965
MAXIMUS, Inc. ............. 410 25,383
MoneyGram International,
Inc.*................... 1,929 5,884
NCI, Inc. -- Class A*...... 150 4,262
Ness Technologies, Inc.*... 910 5,888
Online Resources Corp.*.... 600 2,796
RightNow Technologies,
Inc.*................... 510 8,364
Sapient Corp. ............. 1,979 20,245
SRA International,
Inc. -- Class A*........ 979 22,595
StarTek, Inc.*............. 280 1,898
Syntel, Inc. .............. 300 10,836
TeleTech Holdings, Inc.*... 760 12,578
Tier Technologies, Inc.*... 380 3,181
TNS, Inc.*................. 590 15,311
Unisys Corp.*.............. 990 27,740
VeriFone Holdings, Inc.*... 1,689 32,142
Virtusa Corp.*............. 310 3,190
Wright Express Corp.*...... 900 30,573
-----------
TOTAL IT SERVICES 528,040
-----------
LEISURE EQUIPMENT & PRODUCTS 0.7%
Brunswick Corp. ........... 2,069 43,242
Callaway Golf Co. ......... 1,509 14,170
Eastman Kodak Co.*......... 6,287 38,476
JAKKS Pacific, Inc.*....... 650 9,939
Leapfrog Enterprises,
Inc.*................... 800 5,472
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 39
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Marine Products Corp.*..... 230 $1,633
Polaris Industries, Inc. .. 720 42,602
Pool Corp. ................ 1,129 27,694
RC2 Corp.*................. 500 9,185
Smith & Wesson Holding
Corp.*.................. 1,389 6,181
Sport Supply Group, Inc. .. 220 2,950
Steinway Musical
Instruments*............ 160 3,066
Sturm Ruger & Co., Inc. ... 450 7,511
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 212,121
-----------
LIFE SCIENCES TOOLS & SERVICES 0.6%
Accelrys, Inc.*............ 640 4,474
Affymetrix, Inc.*.......... 1,659 11,513
Albany Molecular Research,
Inc.*................... 550 4,400
BioDelivery Sciences
International, Inc.*.... 240 833
Bruker Corp.*.............. 1,149 17,568
Cambrex Corp.*............. 690 3,029
Dionex Corp.*.............. 410 33,444
Enzo Biochem, Inc.*........ 770 4,597
eResearchTechnology,
Inc.*................... 999 7,363
Harvard Bioscience, Inc.*.. 580 2,424
Kendle International,
Inc.*................... 350 5,793
Luminex Corp.*............. 970 15,772
Parexel International
Corp.*.................. 1,349 31,809
Sequenom, Inc.*............ 1,429 8,860
Varian, Inc.*.............. 680 35,217
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 187,096
-----------
MACHINERY 2.3%
3D Systems Corp.*.......... 420 6,535
Actuant Corp. -- Class A... 1,589 36,436
Alamo Group, Inc. ......... 180 4,241
Albany International
Corp. -- Class A........ 630 16,046
Altra Holdings, Inc.*...... 630 9,551
American Railcar
Industries, Inc. ....... 220 3,597
Ampco-Pittsburgh Corp. .... 200 5,142
Astec Industries, Inc.*.... 420 13,910
Badger Meter, Inc. ........ 350 14,476
Barnes Group, Inc. ........ 1,089 22,651
Blount International,
Inc.*................... 900 10,098
Briggs & Stratton Corp. ... 1,169 27,752
Cascade Corp. ............. 210 7,321
Chart Industries, Inc.*.... 670 15,403
China Fire & Security
Group, Inc.*............ 330 4,514
CIRCOR International,
Inc. ................... 400 13,784
CLARCOR, Inc. ............. 1,189 44,968
Colfax Corp.*.............. 560 7,308
Columbus McKinnon Corp.*... 450 8,114
Duoyuan Printing, Inc.*.... 190 1,645
Dynamic Materials Corp. ... 300 5,388
Eastern Co. (The).......... 140 2,275
Energy Recovery, Inc.*..... 790 4,764
EnPro Industries, Inc.*.... 470 14,843
ESCO Technologies, Inc. ... 610 18,818
Federal Signal Corp. ...... 1,139 9,180
Flow International Corp.*.. 1,069 3,378
Force Protection, Inc.*.... 1,639 8,769
FreightCar America, Inc. .. 280 8,014
Gorman-Rupp Co. ........... 340 9,483
Graham Corp. .............. 240 4,284
Greenbrier Cos., Inc.*..... 390 6,349
Hurco Cos., Inc.*.......... 150 2,919
John Bean Technologies
Corp. .................. 650 11,940
Kadant, Inc.*.............. 290 5,803
Kaydon Corp. .............. 780 32,471
LB Foster Co. -- Class A*.. 240 7,104
Lindsay Corp. ............. 290 11,029
Met-Pro Corp. ............. 340 3,458
Middleby Corp.*............ 380 23,226
Miller Industries, Inc. ... 240 3,432
Mueller Industries, Inc. .. 870 25,795
Mueller Water Products,
Inc. -- Class A......... 3,608 20,205
NACCO Industries,
Inc. -- Class A......... 130 11,302
Nordson Corp. ............. 790 56,738
Omega Flex, Inc. .......... 60 734
PMFG, Inc.*................ 349 5,019
Portec Rail Products,
Inc. ................... 160 1,891
RBC Bearings, Inc.*........ 510 16,096
Robbins & Myers, Inc. ..... 620 16,064
Sauer-Danfoss, Inc.*....... 260 4,225
SmartHeat, Inc.*........... 210 1,762
Sun Hydraulics Corp. ...... 290 8,123
Tecumseh Products
Co. -- Class A*......... 430 5,495
Tennant Co. ............... 440 15,176
Titan International,
Inc. ................... 830 10,300
Trimas Corp.*.............. 360 3,661
Twin Disc, Inc. ........... 200 2,824
Watts Water Technologies,
Inc. -- Class A......... 690 24,481
-----------
TOTAL MACHINERY 700,310
-----------
MARINE 0.1%
American Commercial Lines,
Inc.*................... 210 4,284
Eagle Bulk Shipping,
Inc.*................... 1,449 8,390
Genco Shipping & Trading,
Ltd.*................... 600 13,896
Horizon Lines,
Inc. -- Class A......... 710 3,884
International Shipholding
Corp. .................. 130 3,944
Ultrapetrol Bahamas,
Ltd.*................... 510 3,121
-----------
TOTAL MARINE 37,519
-----------
MEDIA 1.0%
Arbitron, Inc. ............ 620 19,102
Ascent Media
Corp. -- Series A*...... 330 9,742
Belo Corp. -- Class A...... 2,089 18,112
Carmike Cinemas, Inc.*..... 260 4,363
Cinemark Holdings, Inc. ... 760 13,878
CKX, Inc.*................. 1,359 7,991
Crown Media Holdings,
Inc. -- Class A*........ 260 471
Dolan Media Co.*........... 700 8,323
E.W. Scripps Co. --
Class A*................ 709 7,756
Fisher Communications,
Inc.*................... 140 2,106
Global Sources, Ltd.*...... 380 2,785
Harte-Hanks, Inc. ......... 890 12,816
Journal Communications,
Inc. -- Class A*........ 960 5,443
Knology, Inc.*............. 700 9,191
LIN TV Corp. -- Class A*... 630 4,555
Live Nation, Inc.*......... 3,258 51,118
LodgeNet Entertainment
Corp.*.................. 529 3,491
Martha Stewart Living
Omnimedia, Inc. --
Class A*................ 620 4,142
Mediacom Communications
Corp. -- Class A*....... 920 6,090
National CineMedia, Inc. .. 989 18,831
Outdoor Channel Holdings,
Inc.*................... 340 2,349
Playboy Enterprises,
Inc. -- Class B*........ 500 2,090
Primedia, Inc. ............ 390 1,361
RCN Corp.*................. 850 12,478
</Table>
See Notes to Financial Statements.
40
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Reading International,
Inc. -- Class A*........ 410 $1,710
Rentrak Corp.*............. 220 4,814
Scholastic Corp. .......... 530 14,315
Sinclair Broadcast Group,
Inc. -- Class A*........ 1,000 6,890
Valassis Communications,
Inc.*................... 1,129 36,907
Value Line, Inc. .......... 30 651
World Wrestling
Entertainment,
Inc. -- Class A......... 510 9,307
-----------
TOTAL MEDIA 303,178
-----------
METALS & MINING 0.9%
Allied Nevada Gold Corp.*.. 1,289 23,563
AM Castle & Co.*........... 390 5,351
AMCOL International
Corp. .................. 550 15,807
Brush Engineered Materials,
Inc.*................... 470 13,973
Century Aluminum Co.*...... 1,329 17,915
China Precision Stl,
Inc.*................... 730 1,504
Coeur d'Alene Mines
Corp.*.................. 1,909 34,209
General Moly, Inc.*........ 1,489 5,569
General Stl Hldgs, Inc.*... 480 1,790
Haynes International,
Inc. ................... 280 10,055
Hecla Mining Co.*.......... 5,547 33,116
Horsehead Holding Corp.*... 1,019 12,106
Kaiser Aluminum Corp. ..... 360 14,468
Olympic Steel, Inc. ....... 210 6,674
Paramount Gold and Silver
Corp.*.................. 1,829 3,475
RTI International Metals,
Inc.*................... 700 18,935
Stillwater Mining Co.*..... 959 16,207
Sutor Technology Group
Ltd.*................... 190 522
Universal Stainless &
Alloy*.................. 160 3,733
US Gold Corp.*............. 1,869 6,373
Worthington Industries,
Inc. ................... 1,409 22,502
-----------
TOTAL METALS & MINING 267,847
-----------
MULTI-UTILITIES 0.3%
Avista Corp. .............. 1,279 27,665
Black Hills Corp. ......... 910 29,930
CH Energy Group, Inc. ..... 370 15,325
NorthWestern Corp. ........ 840 25,385
-----------
TOTAL MULTI-UTILITIES 98,305
-----------
MULTILINE RETAIL 0.3%
99 Cents Only Stores*...... 1,099 17,056
Dillard's, Inc. --
Class A................. 1,199 33,668
Fred's, Inc. -- Class A.... 940 13,057
Retail Ventures, Inc.*..... 580 6,276
Saks, Inc.*................ 2,958 28,840
Tuesday Morning Corp.*..... 700 3,955
-----------
TOTAL MULTILINE RETAIL 102,852
-----------
OIL, GAS & CONSUMABLE FUELS 2.8%
Alon USA Energy, Inc. ..... 190 1,389
Apco Oil and Gas
International, Inc. .... 210 5,867
Approach Resources, Inc.*.. 280 2,506
Arena Resources, Inc.*..... 899 33,200
Atlas Energy, Inc.*........ 1,579 56,970
ATP Oil & Gas Corp.*....... 930 16,982
Berry Petroleum
Co. -- Class A.......... 1,189 38,488
Bill Barrett Corp.*........ 900 30,672
BPZ Resources, Inc.*....... 2,169 14,359
Brigham Exploration Co.*... 2,319 45,244
Carrizo Oil & Gas, Inc.*... 650 14,261
Cheniere Energy, Inc.*..... 1,319 5,474
Clayton Williams Energy,
Inc.*................... 140 6,504
Clean Energy Fuels Corp.*.. 840 14,801
Cloud Peak Energy, Inc.*... 720 11,520
Contango Oil & Gas Co.*.... 280 15,372
CREDO Petroleum Corp.*..... 160 1,552
Crosstex Energy, Inc.*..... 950 8,579
Cubic Energy, Inc.*........ 630 655
CVR Energy, Inc.*.......... 540 4,585
Delek US Holdings, Inc. ... 300 2,103
Delta Petroleum Corp.*..... 4,168 6,419
DHT Maritime, Inc. ........ 1,159 5,470
Endeavour International
Corp.*.................. 2,669 4,324
Evergreen Energy, Inc.*.... 3,058 676
FX Energy, Inc.*........... 999 4,306
General Maritime Corp. .... 1,139 9,237
Georesources, Inc.*........ 210 3,604
GMX Resources, Inc.*....... 730 5,847
Golar LNG, Ltd.*........... 760 9,872
Goodrich Petroleum Corp.*.. 570 9,650
Gran Tierra Energy, Inc.*.. 4,778 28,955
Green Plains Renewable
Energy, Inc.*........... 269 3,693
Gulfport Energy Corp.*..... 620 7,750
Harvest Natural Resources,
Inc.*................... 770 6,799
International Coal Group,
Inc.*................... 2,784 14,672
Isramco, Inc.*............. 30 1,859
James River Coal Co.*...... 650 12,233
Knightsbridge Tankers,
Ltd. ................... 400 7,576
McMoRan Exploration Co.*... 1,907 22,770
Nordic American Tanker
Shipping, Ltd. ......... 1,099 34,333
Northern Oil And Gas,
Inc.*................... 840 13,658
Oilsands Quest, Inc.*...... 5,474 4,841
Panhandle Oil and Gas,
Inc. -- Class A......... 170 4,243
Patriot Coal Corp.*........ 1,729 34,044
Penn Virginia Corp. ....... 1,060 27,041
Petroleum Development
Corp.*.................. 450 10,534
Petroquest Energy, Inc.*... 1,199 7,086
PrimeEnergy Corp.*......... 10 225
Rex Energy Corp.*.......... 710 9,443
Rosetta Resources, Inc.*... 1,229 30,602
Ship Finance International,
Ltd. ................... 1,040 20,592
Stone Energy Corp.*........ 979 15,958
Swift Energy Co.*.......... 880 31,838
Syntroleum Corp.*.......... 1,479 3,343
Teekay Tankers, Ltd. ...... 250 3,185
Toreador Resources Corp.*.. 580 5,261
Uranerz Energy Corp.*...... 1,219 2,011
Uranium Energy Corp.*...... 1,319 3,772
USEC, Inc.*................ 2,629 15,774
Vaalco Energy, Inc.*....... 1,369 7,680
Venoco, Inc.*.............. 420 6,258
W&T Offshore, Inc. ........ 800 7,576
Warren Resources, Inc.*.... 1,659 5,939
Western Refining, Inc.*.... 950 5,092
Westmoreland Coal Co.*..... 240 3,374
World Fuel Services
Corp. .................. 1,379 39,205
Zion Oil & Gas, Inc.*...... 340 2,173
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 851,876
-----------
PAPER & FOREST PRODUCTS 0.7%
Buckeye Technologies,
Inc.*................... 909 12,835
Clearwater Paper Corp.*.... 270 17,193
Deltic Timber Corp. ....... 250 13,155
Domtar Corp.*.............. 970 68,715
Glatfelter................. 1,069 15,704
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 41
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Kapstone Paper and
Packaging Corp.*........ 770 $9,933
Louisiana-Pacific Corp.*... 2,939 34,563
Neenah Paper, Inc. ........ 340 5,950
Schweitzer-Mauduit
International, Inc. .... 410 23,337
Wausau Paper Corp.*........ 1,019 9,018
-----------
TOTAL PAPER & FOREST PRODUCTS 210,403
-----------
PERSONAL PRODUCTS 0.3%
American Oriental
Bioengineering, Inc.*... 1,449 5,869
China Sky One Med, Inc.*... 240 3,401
China-Biotics, Inc.*....... 220 3,920
Elizabeth Arden, Inc.*..... 570 10,380
Female Health Co. (The).... 370 2,364
Inter Parfums, Inc. ....... 330 5,702
Mannatech, Inc. ........... 370 1,428
Medifast, Inc.*............ 300 9,576
Nu Skin Enterprises,
Inc. -- Class A......... 1,159 34,840
Nutraceutical International
Corp.*.................. 260 4,022
Prestige Brands Holdings,
Inc.*................... 790 7,695
Revlon, Inc. -- Class A*... 460 8,059
Schiff Nutrition
International, Inc. .... 260 1,843
USANA Health Sciences,
Inc.*................... 150 5,438
-----------
TOTAL PERSONAL PRODUCTS 104,537
-----------
PHARMACEUTICALS 1.3%
Acura Pharmaceuticals,
Inc.*................... 190 699
Adolor Corp.*.............. 1,089 2,124
Akorn, Inc.*............... 1,319 2,770
Ardea Biosciences, Inc.*... 330 8,382
ARYx Therapeutics, Inc.*... 490 432
Auxilium Pharmaceuticals,
Inc.*................... 1,080 38,448
AVANIR Pharmaceuticals,
Inc. -- Class A*........ 1,509 4,859
Biodel, Inc.*.............. 360 1,620
BioMimetic Therapeutics,
Inc.*................... 320 4,266
BMP Sunstone Corp.*........ 760 4,081
Cadence Pharmaceuticals,
Inc.*................... 580 5,684
Caraco Pharmaceutical
Laboratories, Ltd.*..... 240 1,548
Cornerstone Therapeutics,
Inc.*................... 150 1,048
Cumberland Pharmaceuticals,
Inc.*................... 190 2,023
Cypress Bioscience, Inc.*.. 890 4,486
Depomed, Inc.*............. 1,199 4,832
Discovery Laboratories,
Inc.*................... 3,498 1,752
Durect Corp.*.............. 2,029 5,783
Hi-Tech Pharmacal Co.,
Inc.*................... 200 4,866
Impax Laboratories, Inc.*.. 1,419 25,684
Inspire Pharmaceuticals,
Inc.*................... 1,439 9,857
Ista Pharmaceuticals,
Inc.*................... 780 3,050
Javelin Pharmaceuticals,
Inc.*................... 1,239 2,701
KV Pharmaceutical
Co. -- Class A*......... 870 1,348
Lannett Co., Inc.*......... 240 1,126
MAP Pharmaceuticals,
Inc.*................... 210 3,772
Matrixx Initiatives,
Inc.*................... 220 1,126
Medicines Co.(The)*........ 1,239 9,094
Medicis Pharmaceutical
Corp. -- Class A........ 1,379 34,999
MiddleBrook
Pharmaceuticals, Inc.*.. 850 256
Nektar Therapeutics*....... 2,169 30,279
Obagi Medical Products,
Inc.*................... 400 5,392
Optimer Pharmaceuticals,
Inc.*................... 778 9,577
Pain Therapeutics, Inc.*... 810 4,860
Par Pharmaceutical Cos.,
Inc.*................... 820 22,255
Pozen, Inc.*............... 610 6,606
Questcor Pharmaceuticals,
Inc.*................... 1,349 13,139
Repros Therapeutics,
Inc.*................... 370 315
Salix Pharmaceuticals
Ltd.*................... 1,299 52,220
Santarus, Inc.*............ 1,219 3,998
Sucampo Pharmaceuticals,
Inc. -- Class A*........ 250 1,028
SuperGen, Inc.*............ 1,389 4,098
Viropharma, Inc.*.......... 1,809 23,010
Vivus, Inc.*............... 1,879 19,147
XenoPort, Inc.*............ 700 7,280
-----------
TOTAL PHARMACEUTICALS 395,920
-----------
PROFESSIONAL SERVICES 1.1%
Acacia Research -- Acacia
Technologies*........... 750 11,160
Administaff, Inc. ......... 490 10,849
Advisory Board Co.(The)*... 360 11,855
Barrett Business Services,
Inc. ................... 180 2,772
CBIZ, Inc.*................ 1,029 7,213
CDI Corp. ................. 290 5,055
Corporate Executive Board
Co.(The)................ 800 21,968
CoStar Group, Inc.*........ 470 20,656
CRA International, Inc.*... 260 6,040
Diamond Management &
Technology Consultants,
Inc. ................... 560 4,547
Exponent, Inc.*............ 320 9,539
Franklin Covey Co.*........ 300 2,364
GP Strategies Corp.*....... 370 2,986
Heidrick & Struggles
International, Inc. .... 400 10,564
Hill International, Inc.*.. 580 3,724
Huron Consulting Group,
Inc.*................... 500 11,710
ICF International, Inc.*... 260 6,022
Kelly Services,
Inc. -- Class A*........ 610 9,809
Kforce, Inc.*.............. 670 9,306
Korn/Ferry International*.. 1,049 17,004
Mistras Group, Inc.*....... 230 2,698
Navigant Consulting,
Inc.*................... 1,169 15,057
Odyssey Marine Exploration,
Inc.*................... 1,489 1,995
On Assignment, Inc.*....... 850 5,975
Resources Connection,
Inc.*................... 1,059 18,575
School Specialty, Inc.*.... 440 10,322
SFN Group, Inc.*........... 1,209 10,337
Towers Watson &
Co. -- Class A.......... 999 47,952
TrueBlue, Inc.*............ 1,029 16,248
Volt Information Sciences,
Inc.*................... 280 3,511
VSE Corp. ................. 100 4,019
-----------
TOTAL PROFESSIONAL SERVICES 321,832
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 5.5%
Acadia Realty Trust........ 930 17,744
Agree Realty Corp. ........ 170 4,357
Alexander's, Inc.*......... 50 15,891
American Campus
Communities, Inc. ...... 1,219 34,339
American Capital Agency
Corp. .................. 380 10,454
Anworth Mortgage Asset
Corp. .................. 2,659 17,842
Apollo Commercial Real
Estate Finance, Inc. ... 230 4,142
Ashford Hospitality Trust,
Inc.*................... 1,190 11,067
Associated Estates Realty
Corp. .................. 460 6,454
BioMed Realty Trust,
Inc. ................... 2,299 42,554
CapLease, Inc. ............ 1,209 7,048
Capstead Mortgage Corp. ... 1,619 18,327
CBL & Associates
Properties, Inc. ....... 3,228 47,129
Cedar Shopping Centers,
Inc. ................... 1,059 8,430
Chesapeake Lodging Trust*.. 180 3,379
Cogdell Spencer, Inc. ..... 700 5,306
</Table>
See Notes to Financial Statements.
42
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Colonial Properties Trust.. 1,549 $24,428
Colony Financial, Inc. .... 340 6,463
Cousins Properties, Inc. .. 1,739 14,016
CreXus Investment Corp. ... 320 4,227
Cypress Sharpridge
Investments, Inc. ...... 390 5,047
DCT Industrial Trust,
Inc. ................... 4,788 25,185
Developers Diversified
Realty Corp. ........... 4,808 59,090
DiamondRock Hospitality
Co.*.................... 2,909 31,970
DuPont Fabros Technology,
Inc. ................... 620 13,745
Dynex Capital, Inc. ....... 280 2,596
EastGroup Properties,
Inc. ................... 629 25,714
Education Realty Trust,
Inc. ................... 1,329 9,396
Entertainment Properties
Trust................... 980 42,846
Equity Lifestyle
Properties, Inc. ....... 590 32,751
Equity One, Inc. .......... 819 15,897
Extra Space Storage,
Inc. ................... 2,029 30,476
FelCor Lodging Trust,
Inc.*................... 1,519 12,319
First Industrial Realty
Trust, Inc.*............ 1,239 9,887
First Potomac Realty
Trust................... 887 14,387
Franklin Street Properties
Corp. .................. 1,569 23,127
Getty Realty Corp. ........ 410 10,156
Gladstone Commercial
Corp. .................. 200 3,240
Glimcher Realty Trust...... 1,449 9,868
Government Properties
Income Trust............ 390 10,573
Gramercy Capital Corp.*.... 999 2,527
Hatteras Financial Corp. .. 850 22,669
Healthcare Realty Trust,
Inc. ................... 1,389 33,530
Hersha Hospitality Trust... 2,831 16,335
Highwoods Properties,
Inc. ................... 1,659 53,038
Home Properties, Inc. ..... 810 40,249
Inland Real Estate Corp. .. 1,649 15,534
Invesco Mortgage Capital... 390 8,053
Investors Real Estate
Trust................... 1,709 14,920
iStar Financial, Inc.*..... 2,209 14,822
Kilroy Realty Corp. ....... 1,010 35,411
Kite Realty Group Trust.... 1,080 5,854
LaSalle Hotel Properties... 1,489 39,235
Lexington Realty Trust..... 2,279 16,135
LTC Properties, Inc. ...... 540 15,066
Medical Properties Trust,
Inc. ................... 1,879 18,884
MFA Mortgage Investments,
Inc. ................... 6,567 46,691
Mid-America Apartment
Communities, Inc. ...... 660 36,478
Mission West Properties.... 410 2,968
Monmouth Real Estate
Investment
Corp. -- Class A........ 510 3,958
National Health Investors,
Inc. ................... 610 24,778
National Retail Properties,
Inc. ................... 1,869 43,978
NorthStar Realty Finance
Corp. .................. 1,559 7,358
Omega Healthcare Investors,
Inc. ................... 2,077 41,582
Parkway Properties, Inc. .. 510 10,047
Pebblebrook Hotel Trust*... 440 8,668
Pennsylvania Real Estate
Investment Trust........ 900 14,211
Pennymac Mortgage
Investment Trust*....... 340 5,923
Post Properties, Inc. ..... 1,139 29,341
Potlatch Corp. ............ 930 34,838
PS Business Parks, Inc. ... 420 25,200
RAIT Financial Trust*...... 1,739 7,060
Ramco-Gershenson
Properties.............. 610 7,601
Redwood Trust, Inc. ....... 1,819 30,341
Resource Capital Corp. .... 759 5,396
Saul Centers, Inc. ........ 150 5,929
Sovran Self Storage,
Inc. ................... 640 23,610
Starwood Property Trust,
Inc. ................... 1,089 20,637
Strategic Hotels & Resorts,
Inc.*................... 1,759 11,293
Sun Communities, Inc. ..... 390 11,279
Sunstone Hotel Investors,
Inc.*................... 2,299 29,266
Tanger Factory Outlet
Centers................. 940 39,104
Terreno Realty Corp.*...... 210 3,950
Transcontinental Realty
Investors, Inc.*........ 30 309
U-Store-It Trust........... 1,869 16,111
UMH Properties, Inc. ...... 220 2,064
Universal Health Realty
Income Trust............ 260 8,637
Urstadt Biddle Properties,
Inc- Class A............ 480 8,093
Walter Investment
Management Corp. ....... 540 9,790
Washington Real Estate
Investment Trust........ 1,369 43,055
Winthrop Realty Trust...... 350 4,725
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 1,668,398
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.1%
American Realty Investors,
Inc.*................... 60 509
Avatar Holdings, Inc.*..... 180 4,291
China Housing & Land
Development, Inc.*...... 639 2,211
Consolidated-Tomoka Land
Co. .................... 130 4,444
Forestar Real Estate Group,
Inc.*................... 840 18,934
Tejon Ranch Co.*........... 250 7,190
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 37,579
-----------
ROAD & RAIL 0.9%
Amerco, Inc.*.............. 210 13,115
Arkansas Best Corp. ....... 590 17,971
Avis Budget Group, Inc.*... 2,389 36,122
Celadon Group, Inc.*....... 520 7,764
Dollar Thrifty Automotive
Group*.................. 670 29,473
Genesee & Wyoming,
Inc. -- Class A*........ 870 34,017
Heartland Express, Inc. ... 1,179 19,501
Knight Transportation,
Inc. ................... 1,339 28,507
Marten Transport, Ltd.*.... 360 7,866
Old Dominion Freight Line,
Inc.*................... 650 23,322
Patriot Transportation
Holding, Inc.*.......... 30 2,518
RailAmerica, Inc.*......... 520 6,703
Saia, Inc.*................ 369 6,114
Universal Truckload
Services, Inc.*......... 140 2,556
USA Truck, Inc.*........... 180 3,316
Werner Enterprises, Inc. .. 999 22,398
YRC Worldwide, Inc.*....... 24,391 13,578
-----------
TOTAL ROAD & RAIL 274,841
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.0%
Actel Corp.*............... 610 9,467
Advanced Analogic
Technologies, Inc.*..... 1,009 3,834
Advanced Energy Industries,
Inc.*................... 770 11,334
Amkor Technology, Inc.*.... 2,559 19,295
Anadigics, Inc.*........... 1,479 7,439
Applied Micro Circuits
Corp.*.................. 1,539 17,360
Atheros Communications,
Inc.*................... 1,579 61,328
ATMI, Inc.*................ 740 13,416
Brooks Automation, Inc.*... 1,509 14,667
Cabot Microelectronics
Corp.*.................. 550 21,098
Cavium Networks, Inc.*..... 850 23,468
Ceva, Inc.*................ 489 5,985
Cirrus Logic, Inc.*........ 1,529 19,434
Cohu, Inc. ................ 550 8,882
Cymer, Inc.*............... 700 23,905
Diodes, Inc.*.............. 790 16,961
DSP Group, Inc.*........... 530 4,330
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 43
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Entegris, Inc.*............ 3,048 $18,867
Entropic Communications,
Inc.*................... 1,239 6,542
Exar Corp.*................ 830 6,134
FEI Co.*................... 880 19,800
Formfactor, Inc.*.......... 1,159 17,397
GSI Technology, Inc.*...... 430 2,782
Hittite Microwave Corp.*... 500 25,640
IXYS Corp.*................ 560 5,057
Kopin Corp.*............... 1,579 6,648
Kulicke & Soffa Industries,
Inc.*................... 1,599 13,112
Lattice Semiconductor
Corp.*.................. 2,699 14,224
MEMSIC, Inc.*.............. 360 1,195
Micrel, Inc. .............. 1,060 12,370
Microsemi Corp.*........... 1,899 31,447
Microtune, Inc.*........... 1,219 3,267
MIPS Technologies, Inc.*... 1,059 5,284
MKS Instruments, Inc.*..... 1,159 26,286
Monolithic Power Systems,
Inc.*................... 790 19,473
Netlogic Microsystems,
Inc.*................... 1,099 34,256
NVE Corp.*................. 110 5,305
OmniVision Technologies,
Inc.*................... 1,169 20,528
Pericom Semiconductor
Corp.*.................. 590 6,891
Photronics, Inc.*.......... 1,239 6,753
PLX Technology, Inc.*...... 870 4,568
Power Integrations, Inc. .. 560 21,549
RF Micro Devices, Inc.*.... 6,227 34,996
Rubicon Technology, Inc.*.. 290 7,871
Rudolph Technologies,
Inc.*................... 720 6,862
Semtech Corp.*............. 1,429 25,936
Sigma Designs, Inc.*....... 720 8,539
Silicon Image, Inc.*....... 1,749 6,506
Skyworks Solutions, Inc.*.. 3,928 66,148
Standard Microsystems
Corp.*.................. 510 13,097
Supertex, Inc.*............ 260 7,023
Tessera Technologies,
Inc.*................... 1,139 23,099
Trident Microsystems,
Inc.*................... 1,479 2,559
TriQuint Semiconductor,
Inc.*................... 3,448 25,998
Ultratech, Inc.*........... 550 8,080
Veeco Instruments, Inc.*... 900 39,591
Virage Logic Corp.*........ 380 3,526
Volterra Semiconductor
Corp.*.................. 559 13,394
White Electronic Designs
Corp.*.................. 540 3,780
Zoran Corp.*............... 1,209 11,764
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 926,347
-----------
SOFTWARE 3.5%
ACI Worldwide, Inc.*....... 820 15,408
Actuate Corp.*............. 1,049 5,937
Advent Software, Inc.*..... 360 16,265
American Software,
Inc. -- Class A......... 520 3,323
ArcSight, Inc.*............ 430 9,774
Ariba, Inc.*............... 2,049 29,239
AsiaInfo Holdings, Inc.*... 730 20,739
Blackbaud, Inc. ........... 1,029 23,719
Blackboard, Inc.*.......... 780 33,189
Bottomline Technologies,
Inc.*................... 630 10,962
Callidus Software, Inc.*... 600 1,902
China TransInfo Technology
Corp.*.................. 200 1,400
Commvault Systems, Inc.*... 979 20,510
Concur Technologies,
Inc.*................... 930 38,976
Deltek, Inc.*.............. 430 3,384
DemandTec, Inc.*........... 470 3,177
Double-Take Software,
Inc.*................... 400 4,300
Dynamics Research Corp.*... 200 2,860
Ebix, Inc.*................ 530 8,623
Epicor Software Corp.*..... 1,109 10,181
EPIQ Systems, Inc.*........ 760 9,158
ePlus, Inc.*............... 90 1,675
Fair Isaac Corp. .......... 1,149 24,198
FalconStor Software,
Inc.*................... 810 2,422
Fortinet, Inc.*............ 290 5,156
GSE Systems, Inc.*......... 440 2,464
Informatica Corp.*......... 2,039 50,995
Interactive Intelligence,
Inc.*................... 300 5,931
Jack Henry & Associates,
Inc. ................... 1,959 49,994
JDA Software Group, Inc.*.. 780 22,542
Kenexa Corp.*.............. 530 7,955
Lawson Software, Inc.*..... 3,218 24,972
Manhattan Associates,
Inc.*................... 540 15,476
Mentor Graphics Corp.*..... 2,485 22,340
MicroStrategy,
Inc. -- Class A*........ 210 16,086
Monotype Imaging Holdings,
Inc.*................... 510 5,324
Net 1 UEPS Technologies,
Inc.*................... 730 11,972
Netscout Systems, Inc.*.... 580 8,422
NetSuite, Inc.*............ 390 5,495
Opnet Technologies, Inc. .. 310 4,979
Parametric Technology
Corp.*.................. 2,719 50,546
Pegasystems, Inc. ......... 350 11,085
Pervasive Software, Inc.*.. 360 1,793
Phoenix Technologies
Ltd.*................... 820 2,452
Progress Software Corp.*... 939 30,283
PROS Holdings, Inc.*....... 450 4,095
QAD, Inc.*................. 291 1,606
Quest Software, Inc.*...... 1,429 25,050
Radiant Systems, Inc.*..... 640 9,005
Renaissance Learning,
Inc. ................... 150 2,132
Rosetta Stone, Inc.*....... 150 3,876
S1 Corp.*.................. 1,239 7,645
Smith Micro Software,
Inc.*................... 670 6,358
Solarwinds, Inc.*.......... 280 5,197
Solera Holdings, Inc. ..... 1,629 63,319
SonicWALL, Inc.*........... 1,259 12,754
Sourcefire, Inc.*.......... 520 11,632
SRS Labs, Inc.*............ 270 2,527
SuccessFactors, Inc.*...... 1,080 22,604
Symyx Technologies*........ 800 4,360
Synchronoss Technologies,
Inc.*................... 440 8,989
Take-Two Interactive
Software, Inc.*......... 1,978 21,501
Taleo Corp. Class A*....... 920 23,902
TeleCommunication Systems,
Inc. -- Class A*....... 1,028 7,104
THQ, Inc.*................. 1,579 12,000
TIBCO Software, Inc.*...... 3,898 44,437
Tivo, Inc.*................ 2,579 45,184
Tyler Technologies, Inc.*.. 730 12,439
Ultimate Software Group,
Inc.*................... 570 19,067
Unica Corp.*............... 330 3,062
Vasco Data Security
International, Inc.*.... 630 4,082
Websense, Inc.*............ 1,039 23,658
-----------
TOTAL SOFTWARE 1,065,168
-----------
SPECIALTY RETAIL 3.0%
America's Car-Mart, Inc.*.. 230 5,826
AnnTaylor Stores Corp.*.... 1,369 29,707
Asbury Automotive Group,
Inc.*................... 750 11,663
Bebe Stores, Inc. ......... 560 4,614
Big 5 Sporting Goods
Corp. .................. 500 8,475
</Table>
See Notes to Financial Statements.
44
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONTINUED)
Books-A-Million, Inc. ..... 160 $1,184
Borders Group, Inc.*....... 1,149 2,918
Brown Shoe Co., Inc. ...... 970 18,236
Buckle, Inc.(The).......... 600 21,708
Build-A-Bear Workshop,
Inc.*................... 390 3,728
Cabela's, Inc.*............ 939 17,052
Cato Corp. -- Class A...... 650 15,438
Charming Shoppes, Inc.*.... 2,709 15,306
Children's Place Retail
Stores, Inc.(The)*...... 520 23,826
Christopher & Banks
Corp. .................. 840 8,224
Citi Trends, Inc.*......... 340 11,404
Coldwater Creek, Inc.*..... 1,339 9,480
Collective Brands, Inc.*... 1,499 35,152
Conn's, Inc.*.............. 230 2,192
Destination Maternity
Corp.*.................. 110 3,476
Dress Barn, Inc.(The)*..... 1,467 40,607
DSW, Inc. -- Class A*...... 280 8,456
Finish Line, Inc. -- Class
A....................... 990 15,949
Genesco, Inc.*............. 530 17,644
Group 1 Automotive, Inc.*.. 560 17,388
Gymboree Corp.*............ 680 33,408
Haverty Furniture Cos.,
Inc. ................... 420 6,846
hhgregg, Inc.*............. 300 8,589
Hibbett Sports, Inc.*...... 670 18,425
Hot Topic, Inc. ........... 1,030 7,869
J. Crew Group, Inc.*....... 1,179 54,788
Jo-Ann Stores, Inc.*....... 620 27,354
Jos. A. Bank Clothiers,
Inc.*................... 430 26,170
Kirkland's, Inc.*.......... 290 6,458
Lithia Motors,
Inc. -- Class A*........ 480 3,830
Lumber Liquidators
Holdings, Inc.*......... 340 10,356
Men's Wearhouse,
Inc.(The)............... 1,219 28,805
Midas, Inc.*............... 330 3,798
Monro Muffler, Inc. ....... 390 13,985
New York & Co, Inc.*....... 590 3,623
OfficeMax, Inc.*........... 1,789 33,991
Pacific Sunwear of
California, Inc.*....... 1,539 7,787
PEP Boys-Manny Moe & Jack.. 1,139 14,272
Pier 1 Imports, Inc.*...... 2,699 22,348
Rent-A-Center, Inc.*....... 1,549 39,995
Rex Stores Corp.*.......... 170 2,917
Rue21, Inc.*............... 160 5,056
Sally Beauty Holdings,
Inc.*................... 2,199 21,000
Shoe Carnival, Inc.*....... 210 5,809
Sonic Automotive,
Inc. -- Class A*........ 720 7,690
Stage Stores, Inc. ........ 890 13,573
Stein Mart, Inc.*.......... 600 5,688
Syms Corp.*................ 150 1,367
Systemax, Inc. ............ 240 5,575
Talbots, Inc.*............. 570 9,377
Tractor Supply Co. ........ 840 56,423
Ulta Salon Cosmetics &
Fragrance, Inc.*........ 650 15,028
Vitamin Shoppe, Inc.*...... 210 5,212
West Marine, Inc.*......... 340 4,070
Wet Seal,
Inc.(The) -- Class A*... 2,269 10,732
Zale Corp.*................ 560 1,826
Zumiez, Inc.*.............. 470 8,723
-----------
TOTAL SPECIALTY RETAIL 902,416
-----------
TEXTILES, APPAREL & LUXURY GOODS 2.0%
American Apparel, Inc.*.... 760 2,333
Carter's, Inc.*............ 1,329 42,820
Cherokee, Inc. ............ 180 3,679
Columbia Sportswear Co. ... 270 14,996
Crocs, Inc.*............... 1,959 18,924
Deckers Outdoor Corp.*..... 310 43,580
Fossil, Inc.*.............. 1,099 42,751
Fuqi Intl, Inc.*........... 290 3,048
G-III Apparel Group,
Ltd.*................... 340 9,724
Iconix Brand Group, Inc.*.. 1,669 28,807
Jones Apparel Group,
Inc. ................... 1,999 43,498
K-Swiss, Inc. -- Class A*.. 610 7,588
Kenneth Cole Productions,
Inc. -- Class A*........ 180 2,243
Liz Claiborne, Inc.*....... 2,229 19,481
Lululemon Athletica,
Inc.*................... 950 35,739
Maidenform Brands, Inc.*... 440 10,041
Movado Group, Inc.*........ 380 4,716
Oxford Industries, Inc. ... 290 6,261
Perry Ellis International,
Inc.*................... 220 5,309
Quiksilver, Inc.*.......... 2,999 15,985
Skechers U.S.A.,
Inc. -- Class A*........ 780 29,913
Steven Madden, Ltd.*....... 370 21,445
Timberland Co. --
Class A*................ 1,020 21,930
True Religion Apparel,
Inc.*................... 590 18,437
Under Armour, Inc. --
Class A*................ 780 26,325
Unifi, Inc.*............... 1,049 4,018
Unifirst Corp. ............ 330 16,127
Volcom, Inc.*.............. 440 10,490
Warnaco Group, Inc.*....... 1,070 51,189
Weyco Group, Inc. ......... 160 3,910
Wolverine World Wide,
Inc. ................... 1,149 35,171
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 600,478
-----------
THRIFTS & MORTGAGE FINANCE 1.1%
Abington Bancorp, Inc. .... 510 4,850
Astoria Financial Corp. ... 1,999 32,264
Bank Mutual Corp. ......... 1,099 7,825
BankFinancial Corp. ....... 500 4,830
Beneficial Mutual Bancorp,
Inc.*................... 770 7,631
Berkshire Hills Bancorp,
Inc. ................... 320 6,720
Brookline Bancorp, Inc. ... 1,379 15,155
Brooklyn Fed Bancorp,
Inc. ................... 70 525
Cheviot Financial Corp. ... 70 629
Clifton Savings Bancorp,
Inc. ................... 220 2,160
Dime Community Bancshares.. 610 7,777
Doral Financial Corp.*..... 150 809
ESB Financial Corp. ....... 220 3,146
ESSA Bancorp, Inc. ........ 360 4,547
First Defiance Financial
Corp. .................. 190 2,565
First Financial Holdings,
Inc. ................... 370 5,224
First Financial Northwest.. 400 2,580
First Financial Service
Corp. .................. 90 764
Flagstar Bancorp, Inc.*.... 1,569 996
Flushing Financial Corp. .. 710 9,663
Fox Chase Bancorp, Inc.*... 130 1,459
Heritage Financial Group... 50 627
Home Federal Bancorp
Inc/ID.................. 390 6,213
K-Fed Bancorp.............. 90 901
Kearny Financial Corp. .... 430 4,399
Kentucky First Federal
Bancorp................. 70 694
Legacy Bancorp, Inc. ...... 170 1,593
Meridian Interstate
Bancorp, Inc.*.......... 230 2,650
MGIC Investment Corp.*..... 2,929 30,549
NASB Financial, Inc. ...... 80 1,979
NewAlliance Bancshares,
Inc. ................... 2,499 32,562
Northeast Community
Bancorp, Inc. .......... 140 855
Northwest Bancshares,
Inc. ................... 909 11,353
OceanFirst Financial
Corp. .................. 310 3,987
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 45
RYDEX 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS (CONCLUDED)
Ocwen Financial Corp.*..... 1,339 $15,465
Oritani Financial Corp. ... 240 3,982
PMI Group, Inc.(The)*...... 1,709 8,904
Provident Financial
Services, Inc. ......... 1,399 18,439
Provident New York
Bancorp................. 810 8,319
Prudential Bancorp, Inc. of
Pennsylvania............ 90 695
Radian Group, Inc. ........ 1,919 27,231
Rockville Financial,
Inc. ................... 190 2,291
Roma Financial Corp. ...... 190 2,223
Territorial Bancorp,
Inc. ................... 290 5,504
Tree.com, Inc.*............ 150 1,365
TrustCo Bank Corp. ........ 1,789 11,897
United Financial Bancorp,
Inc. ................... 390 5,452
ViewPoint Financial Group.. 240 4,087
Waterstone Financial
Inc.*................... 170 656
Westfield Financial,
Inc. ................... 730 6,643
WSFS Financial Corp. ...... 170 7,159
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 350,793
-----------
TOBACCO 0.2%
Alliance One International,
Inc.*................... 2,089 10,633
Star Scientific, Inc.*..... 1,879 3,457
Universal Corp. ........... 590 30,550
Vector Group, Ltd. ........ 910 14,915
-----------
TOTAL TOBACCO 59,555
-----------
TRADING COMPANIES & DISTRIBUTORS 0.7%
Aceto Corp. ............... 580 3,869
Aircastle Ltd. ............ 1,099 13,199
Applied Industrial
Technologies, Inc. ..... 990 30,472
Beacon Roofing Supply,
Inc.*................... 1,059 23,510
BlueLinx Holdings, Inc.*... 270 1,353
DXP Enterprises, Inc.*..... 180 2,986
H&E Equipment Services,
Inc.*................... 640 7,558
Houston Wire & Cable Co. .. 410 5,392
Interline Brands, Inc.*.... 760 15,816
Kaman Corp. -- Class A..... 600 16,446
Lawson Products, Inc. ..... 90 1,463
RSC Holdings, Inc.*........ 1,149 10,536
Rush Enterprises,
Inc. -- Class A*........ 750 12,165
TAL International Group,
Inc. ................... 350 9,096
Textainer Group Holdings,
Ltd. ................... 210 4,822
Titan Machinery, Inc.*..... 300 4,314
United Rentals, Inc.*...... 1,409 20,233
Watsco, Inc. .............. 620 36,716
Willis Lease Finance
Corp.*.................. 110 1,544
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 221,490
-----------
TRANSPORTATION INFRASTRUCTURE 0.0%(A)
CAI International, Inc.*... 230 3,130
-----------
TOTAL TRANSPORTATION INFRASTRUCTURE 3,130
-----------
WATER UTILITIES 0.3%
American States Water
Co. .................... 430 16,047
Artesian Resources
Corp. -- Class A........ 150 2,841
Cadiz, Inc.*............... 310 3,866
California Water Service
Group................... 460 17,816
Connecticut Water Service,
Inc. ................... 200 4,738
Consolidated Water Co.,
Ltd. ................... 340 4,811
Middlesex Water Co. ....... 310 5,599
Pennichuck Corp. .......... 110 2,560
SJW Corp. ................. 300 8,244
Southwest Water Co. ....... 580 6,188
York Water Co. (The)....... 290 3,987
-----------
TOTAL WATER UTILITIES 76,697
-----------
WIRELESS TELECOMMUNICATION SERVICES 0.2%
NTELOS Holdings Corp. ..... 710 13,937
Shenandoah Telecom Co. .... 550 9,768
Syniverse Holdings, Inc.*.. 1,599 32,108
USA Mobility, Inc.*........ 530 7,388
-----------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 63,201
-----------
TOTAL COMMON STOCKS
(Cost $17,580,546) 25,215,716
-----------
WARRANTS 0.0%(A)(D)
OIL, GAS & CONSUMABLE FUELS 0.0%(A)
Greenhunter Energy, Inc.
$27.50, 09/14/11........ 3 --
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS --
-----------
TOTAL WARRANTS
(Cost $0) --
- -------------------------------------------------------
<Caption>
FACE
AMOUNT
- -------------------------------------------------------
REPURCHASE AGREEMENTS 9.3%
State Street Bank & Trust
Co., 0.100%, dated
04/30/10, to be
repurchased at
$2,846,024 on 05/03/10
collateralized by
$2,885,000 FNMA at
1.000% due 11/23/11 with
a value of $2,906,638... $2,846,000 $2,846,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $2,846,000)...................... 2,846,000
-----------
TOTAL INVESTMENTS 91.9%(B)
(Cost $20,426,546)..................... 28,061,716
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--8.1% 2,465,260
-----------
NET ASSETS -- 100.0% $30,526,976
- -------------------------------------------------------
<Caption>
UNREALIZED
CONTRACTS GAIN
- -------------------------------------------------------
FUTURES CONTRACTS PURCHASED
June 2010 Russell 2000
Index Mini Futures
Contracts (Aggregate
Market Value of
Contracts
$13,637,400)(b)......... 191 $572,767
- -------------------------------------------------------
<Caption>
UNREALIZED
UNITS LOSS
- -------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
May 2010 Russell 2000
Index Swap, Terminating
05/21/10 (Notional
Market Value
$11,390,164)**(c)....... 15,895 $(336,015)
Goldman Sachs International
May 2010 Russell 2000
Index Swap, Terminating
05/21/10 (Notional
Market Value
$10,822,258)**(c)....... 15,102 (372,879)
-----------
(TOTAL NOTIONAL MARKET VALUE $22,212,422) $(708,894)
- -------------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on Russell 2000 Index +/- financing at a variable rate.
(a) Amount represents less than 0.05% of net assets.
(b) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(c) Values determined based on Level 2 inputs.
(d) Values determined based on Level 3 inputs.
FNMA--Federal National Mortgage Association.
See Notes to Financial Statements.
46
RYDEX INVERSE 2x RUSSELL 2000 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- -------------------------------------------------------
REPURCHASE AGREEMENTS 61.6%
State Street Bank & Trust
Co., 0.100%, dated
04/30/10, to be
repurchased at
$7,356,061 on 05/03/10
collateralized by
$7,450,000 FNMA at
1.000% due 11/23/11 with
a value of $7,505,875... $7,356,000 $7,356,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $7,356,000) 7,356,000
-----------
TOTAL INVESTMENTS 61.6%(A)
(Cost $7,356,000) 7,356,000
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--38.4% 4,582,409
-----------
NET ASSETS--100.0% $11,938,409
- -------------------------------------------------------
<Caption>
UNREALIZED
CONTRACTS LOSS
- -------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
June 2010 Russell 2000
Index Mini Futures
Contracts (Aggregate
Market Value of
Contracts
$6,283,200)(a).......... 88 $(132,761)
- -------------------------------------------------------
<Caption>
UNREALIZED
UNITS GAIN
- -------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
May 2010 Russell 2000
Index Swap, Terminating
05/21/10 (Notional
Market Value
$12,368,301)*(b)........ 17,260 $364,870
Goldman Sachs International
May 2010 Russell 2000
Index Swap, Terminating
05/21/10 (Notional
Market Value
$5,222,244)*(b)......... 7,288 123,065
-----------
(TOTAL NOTIONAL MARKET VALUE $17,590,545) $487,935
- -------------------------------------------------------
</Table>
* Price return based on Russell 2000 Index +/- financing at a variable rate.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Values determined based on Level 2 inputs.
FNMA--Federal National Mortgage Association.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 47
RYDEX 2x S&P SELECT SECTOR ENERGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 84.5%
ENERGY EQUIPMENT & SERVICES 17.4%
Baker Hughes, Inc. .......... 4,321 $214,988
Cameron International
Corp.*.................... 2,970 117,196
Diamond Offshore Drilling,
Inc. ..................... 860 68,026
FMC Technologies, Inc.*...... 1,660 112,365
Halliburton Co. ............. 8,210 251,636
Helmerich & Payne, Inc. ..... 800 32,496
Nabors Industries, Ltd.*..... 3,970 85,633
National-Oilwell Varco,
Inc. ..................... 4,020 177,001
Rowan Cos., Inc.*............ 2,330 69,434
Schlumberger, Ltd. .......... 9,450 674,919
Smith International, Inc. ... 3,110 148,534
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 1,952,228
-----------
OIL, GAS & CONSUMABLE FUELS 67.1%
Anadarko Petroleum Corp. .... 4,340 269,775
Apache Corp. ................ 2,940 299,175
Cabot Oil & Gas Corp. ....... 1,700 61,421
Chesapeake Energy Corp. ..... 6,570 156,366
Chevron Corp. ............... 15,530 1,264,763
ConocoPhillips............... 8,320 492,461
CONSOL Energy, Inc. ......... 2,660 118,849
Denbury Resources, Inc.*..... 6,030 115,475
Devon Energy Corp. .......... 3,910 263,260
El Paso Corp. ............... 8,380 101,398
EOG Resources, Inc. ......... 2,330 261,240
Exxon Mobil Corp. ........... 24,120 1,636,542
Hess Corp. .................. 2,740 174,127
Marathon Oil Corp. .......... 6,290 202,224
Massey Energy Co. ........... 2,480 90,842
Murphy Oil Corp. ............ 1,960 117,894
Noble Energy, Inc. .......... 1,800 137,520
Occidental Petroleum Corp. .. 5,370 476,104
Peabody Energy Corp. ........ 2,970 138,758
Pioneer Natural
Resources Co. ............ 1,980 126,977
Range Resources Corp. ....... 1,890 90,266
Southwestern Energy Co.*..... 3,350 132,928
Spectra Energy Corp. ........ 6,580 153,577
Sunoco, Inc. ................ 2,110 69,166
Tesoro Corp. ................ 3,350 44,053
Valero Energy Corp. ......... 5,970 124,116
Williams Cos., Inc.(The)..... 6,240 147,326
XTO Energy, Inc. ............ 5,160 245,203
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 7,511,806
-----------
TOTAL COMMON STOCKS
(Cost $7,872,974) 9,464,034
-----------
TOTAL INVESTMENTS 84.5%(A)
(Cost $7,872,974) 9,464,034
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--15.5% 1,735,720
-----------
NET ASSETS--100.0% $11,199,754
- -----------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
May 2010 S&P Select Sector
Energy Index Swap,
Terminating 05/21/10
(Notional Market Value
$12,951,299)**(b)......... 21,550 (164,786)
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on S&P Select Sector Energy Index +/- financing at a
variable rate.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Values determined based on Level 2 inputs.
See Notes to Financial Statements.
48
RYDEX INVERSE 2x S&P SELECT SECTOR ENERGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- ------------------------------------------------------
REPURCHASE AGREEMENTS 70.4%
State Street Bank & Trust
Co., 0.100%, dated
04/30/10, to be
repurchased at
$1,118,009 on 05/03/10
collateralized by
$1,135,000 FNMA at
1.000% due 11/23/11 with
a value of $1,143,513... $1,118,000 $1,118,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,118,000) 1,118,000
----------
TOTAL INVESTMENTS 70.4%(A)
(Cost $1,118,000) 1,118,000
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--29.6% 470,871
----------
NET ASSETS--100.0% $1,588,871
- ------------------------------------------------------
<Caption>
UNREALIZED
UNITS GAIN
- ------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
May 2010 S&P Select
Sector Energy Index
Swap, Terminating
05/21/10 (Notional
Market Value
$3,182,387)*(b)......... 5,295 $38,593
- ------------------------------------------------------
</Table>
* Price return based on S&P Select Sector Energy Index +/- financing at a
variable rate.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Values determined based on Level 2 inputs.
FNMA--Federal National Mortgage Association.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 49
RYDEX 2x S&P SELECT SECTOR FINANCIAL ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------
COMMON STOCKS 84.2%
CAPITAL MARKETS 13.2%
Ameriprise Financial,
Inc. .................... 2,650 $122,854
Bank of New York Mellon
Corp. ................... 12,550 390,681
Charles Schwab Corp.(The)... 10,160 195,986
E*TRADE Financial Corp.*.... 19,920 33,466
Federated Investors,
Inc. -- Class B.......... 920 22,190
Franklin Resources, Inc. ... 1,540 178,086
Goldman Sachs Group,
Inc.(The)................ 5,470 794,244
Invesco Ltd. ............... 4,460 102,535
Janus Capital Group, Inc. .. 1,910 26,893
Legg Mason, Inc. ........... 1,690 53,556
Morgan Stanley.............. 14,530 439,097
Northern Trust Corp. ....... 2,510 138,000
State Street Corp. ......... 5,150 224,025
T. Rowe Price Group, Inc. .. 2,690 154,702
-----------
TOTAL CAPITAL MARKETS 2,876,315
-----------
COMMERCIAL BANKS 17.0%
BB&T Corp. ................. 7,180 238,663
Comerica, Inc. ............. 1,810 76,020
Fifth Third Bancorp......... 8,260 123,157
First Horizon National
Corp.*................... 2,340 33,111
Huntington Bancshares,
Inc. .................... 7,440 50,369
KeyCorp..................... 9,120 82,262
M&T Bank Corp. ............. 860 75,121
Marshall & Ilsley Corp. .... 5,470 49,777
PNC Financial Services
Group, Inc. ............. 5,370 360,918
Regions Financial Corp. .... 12,390 109,528
SunTrust Banks, Inc. ....... 5,190 153,624
U.S. Bancorp................ 19,880 532,187
Wells Fargo & Co. .......... 53,830 1,782,311
Zions Bancorp............... 1,560 44,819
-----------
TOTAL COMMERCIAL BANKS 3,711,867
-----------
CONSUMER FINANCE 4.3%
American Express Co. ....... 12,430 573,271
Capital One Financial
Corp. ................... 4,730 205,329
Discover Financial
Services................. 5,650 87,349
SLM Corp.*.................. 5,040 61,690
-----------
TOTAL CONSUMER FINANCE 927,639
-----------
DIVERSIFIED FINANCIAL SERVICES 23.1%
Bank of America Corp. ...... 104,230 1,858,421
Citigroup, Inc.*............ 204,160 892,179
CME Group, Inc. ............ 690 226,603
IntercontinentalExchange,
Inc.*.................... 760 88,639
JPMorgan Chase & Co. ....... 41,280 1,757,702
Leucadia National Corp.*.... 1,970 49,861
Moody's Corp. .............. 2,040 50,429
Nasdaq OMX Group (The)*..... 1,540 32,340
NYSE Euronext............... 2,710 88,427
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 5,044,601
-----------
INSURANCE 19.2%
AFLAC, Inc. ................ 4,870 248,175
Allstate Corp. ............. 5,580 182,299
American International
Group, Inc.*............. 1,400 54,460
Aon Corp. .................. 2,770 117,614
Assurant, Inc. ............. 1,210 44,080
Berkshire Hathaway,
Inc. -- Class B*......... 17,190 1,323,630
Chubb Corp. ................ 3,410 180,287
Cincinnati Financial
Corp. ................... 1,690 47,996
Genworth Financial,
Inc. -- Class A*......... 5,080 83,922
Hartford Financial Services
Group, Inc. ............. 4,610 131,708
Lincoln National Corp. ..... 3,140 96,053
Loews Corp. ................ 3,690 137,416
Marsh & McLennan Cos.,
Inc. .................... 5,530 133,937
MetLife, Inc. .............. 8,510 387,886
Principal Financial Group,
Inc. .................... 3,320 97,010
Progressive Corp. .......... 6,980 140,228
Prudential Financial,
Inc. .................... 4,830 306,995
Torchmark Corp. ............ 860 46,044
Travelers Cos., Inc.(The)... 5,340 270,951
Unum Group.................. 3,450 84,421
XL Capital, Ltd. --
Class A.................. 3,550 63,190
-----------
TOTAL INSURANCE 4,178,302
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 6.6%
Apartment Investment &
Management Co. --
Class A.................. 1,220 27,340
AvalonBay Communities,
Inc. .................... 850 88,434
Boston Properties, Inc. .... 1,440 113,559
Equity Residential.......... 2,930 132,641
HCP, Inc. .................. 3,050 97,966
Health Care REIT, Inc. ..... 1,290 57,960
Host Hotels & Resorts,
Inc. .................... 6,790 110,405
Kimco Realty Corp. ......... 4,210 65,634
Plum Creek Timber Co.,
Inc. .................... 1,690 67,262
ProLogis.................... 4,930 64,928
Public Storage, Inc. ....... 1,410 136,643
Simon Property Group,
Inc. .................... 3,010 267,950
Ventas, Inc. ............... 1,630 76,985
Vornado Realty Trust........ 1,640 136,727
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 1,444,434
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.2%
CB Richard Ellis Group,
Inc. -- Class A*......... 2,810 48,669
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 48,669
-----------
THRIFTS & MORTGAGE FINANCE 0.6%
Hudson City Bancorp, Inc. .. 4,920 65,436
People's United Financial,
Inc. .................... 3,860 59,946
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 125,382
-----------
TOTAL COMMON STOCKS
(Cost $11,012,805) 18,357,209
- ------------------------------------------------------
<Caption>
FACE
AMOUNT
- ------------------------------------------------------
REPURCHASE AGREEMENTS 0.9%
State Street Bank & Trust
Co., 0.100%, dated
04/30/10, to be
repurchased at $203,002
on 05/03/10
collateralized by
$210,000 FNMA at 1.000%
due 11/23/11 with a value
of $211,575.............. $203,000 $203,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $203,000) 203,000
-----------
TOTAL INVESTMENTS 85.1%(A)
(Cost $11,215,805) 18,560,209
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--14.9% 3,238,039
-----------
NET ASSETS--100.0% $21,798,248
- ------------------------------------------------------
</Table>
See Notes to Financial Statements.
50
RYDEX 2x S&P SELECT SECTOR FINANCIAL ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
UNREALIZED
UNITS LOSS
- ------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
May 2010 S&P Select
Sector Financial Index
Swap, Terminating
05/21/10 (Notional Market
Value $25,280,995)**(b).. 156,779 $(667,868)
- ------------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on S&P Select Sector Financial Index +/- financing at a
variable rate.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Values determined based on Level 2 inputs.
FNMA--Federal National Mortgage Association.
REIT--Real Estate Investment Trust
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 51
RYDEX INVERSE 2x S&P SELECT SECTOR FINANCIAL ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- ------------------------------------------------------
REPURCHASE AGREEMENTS 57.3%
State Street Bank & Trust
Co., 0.100%, dated
04/30/10, to be
repurchased at
$4,390,037 on 05/03/10
collateralized by
$4,445,000 FNMA at
1.000% due 11/23/11 with
a value of $4,478,338... $4,390,000 $4,390,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $4,390,000) 4,390,000
----------
TOTAL INVESTMENTS 57.3%(A)
(Cost $4,390,000) 4,390,000
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--42.7% 3,269,826
----------
NET ASSETS--100.0% $7,659,826
- ------------------------------------------------------
<Caption>
UNREALIZED
UNITS GAIN
- ------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
May 2010 S&P Select
Sector Financial Index
Swap, Terminating
05/21/10 (Notional
Market Value
$15,273,903)*(b)........ 94,722 $361,741
- ------------------------------------------------------
</Table>
* Price return based on S&P Select Sector Financial Index +/- financing at a
variable rate.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Values determined based on Level 2 inputs.
FNMA--Federal National Mortgage Association.
See Notes to Financial Statements.
52
RYDEX 2x S&P SELECT SECTOR HEALTH CARE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ----------------------------------------------------
COMMON STOCKS 86.6%
BIOTECHNOLOGY 10.8%
Amgen, Inc.*................. 2,259 $129,576
Biogen Idec, Inc.*........... 640 34,080
Celgene Corp.*............... 1,059 65,605
Cephalon, Inc.*.............. 170 10,914
Genzyme Corp.*............... 630 33,541
Gilead Sciences, Inc.*....... 2,079 82,474
----------
TOTAL BIOTECHNOLOGY 356,190
----------
HEALTH CARE EQUIPMENT & SUPPLIES 13.9%
Baxter International, Inc. .. 1,409 66,533
Becton, Dickinson & Co. ..... 560 42,767
Boston Scientific Corp.*..... 3,518 24,204
C.R. Bard, Inc. ............. 230 19,902
CareFusion Corp.*............ 410 11,308
Dentsply International,
Inc. ..................... 340 12,458
Hospira, Inc.*............... 380 20,440
Intuitive Surgical, Inc.*.... 90 32,450
Medtronic, Inc. ............. 2,559 111,803
St Jude Medical, Inc.*....... 770 31,431
Stryker Corp. ............... 660 37,911
Varian Medical Systems,
Inc.*..................... 290 16,350
Zimmer Holdings, Inc.*....... 500 30,455
----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 458,012
----------
HEALTH CARE PROVIDERS & SERVICES 15.4%
Aetna, Inc. ................. 1,020 30,141
AmerisourceBergen Corp. ..... 680 20,978
Cardinal Health, Inc. ....... 840 29,139
CIGNA Corp. ................. 660 21,160
Coventry Health Care, Inc.*.. 340 8,072
DaVita, Inc.*................ 240 14,983
Express Scripts, Inc.*....... 670 67,087
Humana, Inc.*................ 420 19,202
Laboratory Corp. of America
Holdings*................. 240 18,857
McKesson Corp. .............. 640 41,478
Medco Health Solutions,
Inc.*..................... 1,099 64,753
Patterson Cos., Inc. ........ 220 7,038
Quest Diagnostics, Inc. ..... 360 20,578
Tenet Healthcare Corp.*...... 1,039 6,494
UnitedHealth Group, Inc. .... 2,689 81,503
WellPoint, Inc.*............. 1,050 56,490
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 507,953
----------
HEALTH CARE TECHNOLOGY 0.4%
Cerner Corp.*................ 160 13,586
----------
TOTAL HEALTH CARE TECHNOLOGY 13,586
----------
LIFE SCIENCES TOOLS & SERVICES 3.5%
Life Technologies Corp.*..... 420 22,978
Millipore Corp.*............. 150 15,922
PerkinElmer, Inc. ........... 270 6,764
Thermo Fisher Scientific,
Inc.*..................... 940 51,963
Waters Corp.*................ 220 15,838
----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 113,465
----------
PHARMACEUTICALS 42.6%
Abbott Laboratories.......... 3,029 154,964
Allergan, Inc. .............. 730 46,494
Bristol-Myers Squibb Co. .... 3,968 100,351
Eli Lilly & Co. ............. 2,339 81,795
Forest Laboratories, Inc.*... 710 19,355
Johnson & Johnson, Inc. ..... 6,337 407,469
King Pharmaceuticals, Inc.*.. 620 6,076
Merck & Co., Inc. ........... 7,177 251,482
Mylan, Inc.*................. 710 $15,641
Pfizer, Inc. ................ 18,602 311,025
Watson Pharmaceuticals,
Inc.*..................... 260 11,133
----------
TOTAL PHARMACEUTICALS 1,405,785
----------
TOTAL COMMON STOCKS
(Cost $2,495,089) 2,854,991
----------
TOTAL INVESTMENTS 86.6%(A)
(Cost $2,495,089)......... 2,854,991
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--13.4% 442,452
----------
NET ASSETS--100.0% $3,297,443
- ----------------------------------------------------
<Caption>
UNREALIZED
UNITS LOSS
- ----------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
May 2010 S&P
Select Sector Health Care
Index Swap, Terminating
05/21/10 (Notional Market
Value $3,728,935)**(b).... 12,023 $(48,886)
- ----------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on S&P Select Sector Health Care Index +/- financing at
a variable rate.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Values determined based on Level 2 inputs.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 53
RYDEX INVERSE 2x S&P SELECT SECTOR HEALTH CARE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- ------------------------------------------------------
REPURCHASE AGREEMENTS 69.3%
State Street Bank & Trust
Co., 0.100%, dated
04/30/10, to be
repurchased at
$1,138,009 on 05/03/10
collateralized by
$1,065,000 FNMA at
4.620% due 10/15/14 with
a value of $1,162,181... $1,138,000 $1,138,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $1,138,000) 1,138,000
-----------
TOTAL INVESTMENTS 69.3%(A)
(Cost $1,138,000) 1,138,000
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--30.7% 504,388
-----------
NET ASSETS--100.0% $1,642,388
- ------------------------------------------------------
<Caption>
UNREALIZED
UNITS GAIN
- ------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
May 2010 S&P Select
Sector Health Care Index
Swap, Terminating
05/21/10 (Notional
Market Value
$3,276,384)*(b)......... 10,564 $40,525
- ------------------------------------------------------
</Table>
* Price return based on S&P Select Sector Health Care Index +/- financing at
a variable rate.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Values determined based on Level 2 inputs.
FNMA--Federal National Mortgage Association.
See Notes to Financial Statements.
54
RYDEX 2x S&P SELECT SECTOR TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------
COMMON STOCKS 83.2%
COMMUNICATIONS EQUIPMENT 9.6%
Cisco Systems, Inc.*........ 17,170 $462,217
Harris Corp. ............... 430 22,136
JDS Uniphase Corp.*......... 870 11,301
Juniper Networks, Inc.*..... 1,630 46,308
Motorola, Inc.*............. 7,100 50,197
QUALCOMM, Inc. ............. 5,070 196,412
Tellabs, Inc. .............. 1,350 12,258
----------
TOTAL COMMUNICATIONS EQUIPMENT 800,829
----------
COMPUTERS & PERIPHERALS 22.2%
Apple, Inc.*................ 2,720 710,247
Dell, Inc.*................. 5,250 84,945
EMC Corp.*.................. 6,240 118,622
Hewlett-Packard Co. ........ 5,860 304,544
International Business
Machines Corp. .......... 3,890 501,810
Lexmark International,
Inc. -- Class A*......... 300 11,115
NetApp, Inc.*............... 1,090 37,790
QLogic Corp.*............... 420 8,135
SanDisk Corp.*.............. 750 29,918
Teradata Corp.*............. 550 15,989
Western Digital Corp.*...... 720 29,585
----------
TOTAL COMPUTERS & PERIPHERALS 1,852,700
----------
DIVERSIFIED TELECOMMUNICATION SERVICES 9.5%
AT&T, Inc. ................. 17,700 461,262
CenturyTel, Inc. ........... 940 32,063
Frontier Communications
Corp. ................... 1,120 8,915
Qwest Communications
International, Inc. ..... 4,840 25,313
Verizon Communications,
Inc. .................... 8,550 247,010
Windstream Corp. ........... 1,520 16,796
----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 791,359
----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 2.3%
Agilent Technologies,
Inc.*.................... 1,100 39,886
Amphenol Corp. -- Class A... 560 25,878
Corning, Inc. .............. 4,770 91,822
FLIR Systems, Inc.*......... 510 15,601
Jabil Circuit, Inc. ........ 700 10,724
Molex, Inc. ................ 470 10,533
----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 194,444
----------
INTERNET SOFTWARE & SERVICES 6.7%
Akamai Technologies, Inc.*.. 580 22,521
eBay, Inc.*................. 3,450 82,144
Google, Inc. -- Class A*.... 720 378,317
VeriSign, Inc.*............. 610 16,635
Yahoo!, Inc.*............... 3,650 60,335
----------
TOTAL INTERNET SOFTWARE & SERVICES 559,952
----------
IT SERVICES 5.8%
Automatic Data Processing,
Inc. .................... 1,550 67,208
Cognizant Technology
Solutions Corp. -- Class
A*....................... 930 47,598
Computer Sciences Corp.*.... 490 25,671
Fidelity National
Information Services,
Inc. .................... 1,080 28,393
Fiserv, Inc.*............... 480 24,523
Mastercard, Inc. -- Class
A........................ 300 74,412
Paychex, Inc. .............. 1,010 30,906
SAIC, Inc.*................. 910 15,843
Total System Services,
Inc. .................... 680 10,887
Visa, Inc. -- Class A....... 1,340 120,908
Western Union Co. .......... 2,120 38,690
----------
TOTAL IT SERVICES 485,039
----------
OFFICE ELECTRONICS 0.6%
Xerox Corp. ................ 4,330 $47,197
----------
TOTAL OFFICE ELECTRONICS 47,197
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 9.3%
Advanced Micro Devices,
Inc.*.................... 1,930 17,486
Altera Corp. ............... 960 24,346
Analog Devices, Inc. ....... 940 28,134
Applied Materials, Inc. .... 4,130 56,911
Broadcom Corp. -- Class A... 1,340 46,217
Intel Corp. ................ 14,120 322,360
KLA-Tencor Corp. ........... 560 19,074
Linear Technology Corp. .... 720 21,643
LSI Corp.*.................. 2,220 13,364
MEMC Electronic Materials,
Inc.*.................... 770 9,987
Microchip Technology,
Inc. .................... 600 17,526
Micron Technology, Inc.*.... 2,720 25,432
National Semiconductor
Corp. ................... 810 11,972
Novellus Systems, Inc.*..... 350 9,170
NVIDIA Corp.*............... 1,760 27,667
Teradyne, Inc.*............. 680 8,316
Texas Instruments, Inc. .... 3,780 98,318
Xilinx, Inc. ............... 890 22,944
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 780,867
----------
SOFTWARE 16.0%
Adobe Systems, Inc.*........ 1,610 54,080
Autodesk, Inc.*............. 750 25,507
BMC Software, Inc.*......... 580 22,829
CA, Inc. ................... 1,250 28,512
Citrix Systems, Inc.*....... 590 27,730
Compuware Corp.*............ 860 7,396
Electronic Arts, Inc.*...... 1,050 20,339
Intuit, Inc.*............... 990 35,798
McAfee, Inc.*............... 510 17,723
Microsoft Corp. ............ 22,880 698,755
Novell, Inc.*............... 1,350 7,574
Oracle Corp. ............... 11,780 304,395
Red Hat, Inc.*.............. 620 18,519
Salesforce.com, Inc.*....... 350 29,960
Symantec Corp.*............. 2,500 41,925
----------
TOTAL SOFTWARE 1,341,042
----------
WIRELESS TELECOMMUNICATION SERVICES 1.2%
American Tower
Corp. -- Class A*........ 1,250 51,012
MetroPCS Communications,
Inc.*.................... 930 7,096
Sprint Nextel Corp.*........ 9,290 39,483
----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 97,591
----------
TOTAL COMMON STOCKS
(Cost $5,995,092) 6,951,020
----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 55
RYDEX 2x S&P SELECT SECTOR TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- -----------------------------------------------------
REPURCHASE AGREEMENTS 1.6%
State Street Bank & Trust
Co., 0.100%,
dated 04/30/10, to be
repurchased at $139,001
on 05/03/10
collateralized by
$130,000 FNMA at 4.620%
due 10/15/14 with a value
of $141,863.............. $139,000 $139,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $139,000) 139,000
----------
TOTAL INVESTMENTS 84.8%(A)
(Cost $6,134,092) 7,090,020
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--15.2% 1,267,351
----------
NET ASSETS--100.0% $8,357,371
- -----------------------------------------------------
<Caption>
UNREALIZED
UNITS LOSS
- -----------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
May 2010 S&P Select
Sector Technology Index
Swap, Terminating
05/21/10 (Notional Market
Value $9,799,744)**(b)... 41,863 $(215,058)
- -----------------------------------------------------
</Table>
* Non-Income Producing Security.
** Price return based on S&P Select Sector Technology Index +/- financing at a
variable rate.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Values determined based on Level 2 inputs.
FNMA--Federal National Mortgage Association.
See Notes to Financial Statements.
56
RYDEX INVERSE 2x S&P SELECT SECTOR TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
- -----------------------------------------------------
REPURCHASE AGREEMENTS 52.1%
State Street Bank & Trust
Co., 0.100%,
dated 04/30/10, to be
repurchased at $863,007
on 05/03/10
collateralized by
$810,000 FNMA at 4.620%
due 10/15/14 with a value
of $883,913.............. $863,000 $863,000
----------
TOTAL REPURCHASE AGREEMENTS
(Cost $863,000) 863,000
----------
TOTAL INVESTMENTS 52.1%(A)
(Cost $863,000) 863,000
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--47.9% 794,467
----------
NET ASSETS--100.0% $1,657,467
- -----------------------------------------------------
<Caption>
UNREALIZED
UNITS GAIN
- -----------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
May 2010 S&P Select
Sector Technology Index
Swap, Terminating
05/21/10 (Notional Market
Value $3,286,916)*(b).... 14,041 $66,421
- -----------------------------------------------------
</Table>
* Price return based on S&P Select Sector Technology Index +/- financing at a
variable rate.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
(b) Values determined based on Level 2 inputs.
FNMA--Federal National Mortgage Association.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 57
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
<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*.............. $ 91,861,339 $ -- $17,950,415 $ --
Repurchase Agreements..................... 6,651,000 58,930,000 1,557,000 2,199,000
------------ ------------ ----------- ------------
Total Investments......................... 98,512,339 58,930,000 19,507,415 2,199,000
------------ ------------ ----------- ------------
Cash...................................... 736 647 811 396
Segregated Cash for Swaps................. 12,457,176 22,579,788 2,077,006 998,744
Margin Deposit for Future Contracts....... 2,727,000 2,529,000 708,000 84,000
Unrealized Appreciation on Swap
Agreements.............................. -- 2,369,032 -- 117,536
Receivables:
Investments Sold........................ 41,458 -- 105,000 --
Dividends............................... 90,499 164 7,632 6
Variation Margin on Futures Contracts... -- 612,575 -- 25,760
Equity Index Swap Settlement............ 10,764 -- 987 --
------------ ------------ ----------- ------------
TOTAL ASSETS......................... 113,839,972 87,021,206 22,406,851 3,425,442
------------ ------------ ----------- ------------
LIABILITIES
Unrealized Depreciation on Swap
Agreements.............................. 1,900,965 -- 387,324 --
Payables:
Investments Purchased................... 92,817 -- 82,200 --
Equity Index Swap Settlement............ -- 7,833 -- 173
Variation Margin on Futures Contracts... 660,545 -- 215,885 --
Accrued Management Fees................. 64,884 49,620 12,422 1,999
------------ ------------ ----------- ------------
TOTAL LIABILITIES.................... 2,719,211 57,453 697,831 2,172
------------ ------------ ----------- ------------
NET ASSETS................................ $111,120,761 $ 86,963,753 $21,709,020 $ 3,423,270
============ ============ =========== ============
NET ASSETS CONSIST OF:
Paid-in Capital........................... $110,003,263 $175,988,114 $16,581,086 $ 16,158,872
Undistributed (Distributions in Excess) of
Net Investment Income................... 48,341 (307,772) (412) (14,855)
Accumulated Net Realized Loss on
Investment Securities, Futures and
Swaps................................... (16,112,574) (90,543,938) (586,581) (12,817,001)
Net Unrealized Appreciation on Investment
Securities, Futures and Swaps........... 17,181,731 1,827,349 5,714,927 96,254
------------ ------------ ----------- ------------
NET ASSETS................................ $111,120,761 $ 86,963,753 $21,709,020 $ 3,423,270
============ ============ =========== ============
Shares Outstanding (Unlimited Shares
Authorized), No Par Value............... 3,000,002 1,800,000 450,000 150,000
============ ============ =========== ============
Net Asset Value, Offering Price and
Repurchase Price Per Share.............. $ 37.04 $ 48.31 $ 48.24 $ 22.82
============ ============ =========== ============
*Total Cost of Investments................ $ 80,361,065 $ 58,930,000 $13,819,140 $ 2,199,000
============ ============ =========== ============
</Table>
See Notes to Financial Statements.
58
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<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*............. $25,215,716 $ -- $ 9,464,034 $ --
Repurchase Agreements.................... 2,846,000 7,356,000 -- 1,118,000
----------- ------------ ----------- -----------
Total Investments........................ 28,061,716 7,356,000 9,464,034 1,118,000
----------- ------------ ----------- -----------
Cash..................................... 260 416 -- 700
Segregated Cash for Swaps................ 2,785,014 3,719,019 2,022,000 432,300
Margin Deposit for Future Contracts...... 868,000 240,000 -- --
Unrealized Appreciation on Swap
Agreements............................. -- 487,935 -- 38,593
Receivables:
Investments Sold....................... 15,660 -- 103,988 --
Dividends.............................. 12,434 21 1,708 3
Variation Margin on Futures Contracts.. -- 143,861 -- --
Equity Index Swap Settlement........... 3,812 -- -- --
----------- ------------ ----------- -----------
TOTAL ASSETS........................ 31,746,896 11,947,252 11,591,730 1,589,596
----------- ------------ ----------- -----------
LIABILITIES
Unrealized Depreciation on Swap
Agreements............................. 708,894 -- 164,786 --
Payables:
Investments Purchased.................. -- -- 72,580 --
Equity Index Swap Settlement........... -- 1,803 303 20
Variation Margin on Futures Contracts.. 493,657 -- -- --
Due to Custodian....................... -- -- 147,462 --
Accrued Management Fees................ 17,369 7,040 6,845 705
----------- ------------ ----------- -----------
TOTAL LIABILITIES................... 1,219,920 8,843 391,976 725
----------- ------------ ----------- -----------
NET ASSETS............................... $30,526,976 $ 11,938,409 $11,199,754 $ 1,588,871
=========== ============ =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital.......................... $24,358,481 $ 35,450,429 $12,797,871 $ 6,760,787
Undistributed (Distributions in Excess)
of Net Investment Income............... 8,563 (55,675) (4,159) (4,444)
Accumulated Net Realized Loss on
Investment Securities, Futures and
Swaps.................................. (1,339,111) (23,811,519) (3,020,232) (5,206,065)
Net Unrealized Appreciation on Investment
Securities, Futures and Swaps.......... 7,499,043 355,174 1,426,274 38,593
----------- ------------ ----------- -----------
NET ASSETS............................... $30,526,976 $ 11,938,409 $11,199,754 $ 1,588,871
=========== ============ =========== ===========
Shares Outstanding (Unlimited Shares
Authorized), No Par Value.............. 700,000 450,000 500,017 350,000
=========== ============ =========== ===========
Net Asset Value, Offering Price and
Repurchase Price Per Share............. $ 43.61 $ 26.53 $ 22.40 $ 4.54
=========== ============ =========== ===========
*Total Cost of Investments............... $20,426,546 $ 7,356,000 $ 7,872,974 $ 1,118,000
=========== ============ =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 59
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<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*......... $ 18,357,209 $ -- $ 2,854,991 $ --
Repurchase Agreements................ 203,000 4,390,000 -- 1,138,000
------------ ------------ ----------- -----------
Total Investments.................... 18,560,209 4,390,000 2,854,991 1,138,000
------------ ------------ ----------- -----------
Cash................................. 373 864 -- 753
Segregated Cash for Swaps............ 3,916,600 2,911,600 518,900 464,000
Unrealized Appreciation on Swap
Agreements......................... -- 361,741 -- 40,525
Receivables:
Dividends.......................... 8,976 12 2,770 3
Equity Index Swap Settlement....... -- -- -- 6
------------ ------------ ----------- -----------
TOTAL ASSETS.................... 22,486,158 7,664,217 3,376,661 1,643,287
------------ ------------ ----------- -----------
LIABILITIES
Unrealized Depreciation on Swap
Agreements......................... 667,868 -- 48,886 --
Payables:
Investments Purchased.............. 5,915 -- 13,998 --
Equity Index Swap Settlement....... 615 94 88 --
Due to Custodian................... -- -- 14,241 --
Accrued Management Fees............ 13,512 4,297 2,005 899
------------ ------------ ----------- -----------
TOTAL LIABILITIES............... 687,910 4,391 79,218 899
------------ ------------ ----------- -----------
NET ASSETS........................... $ 21,798,248 $ 7,659,826 $ 3,297,443 $ 1,642,388
============ ============ =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital...................... $ 29,046,395 $ 20,893,523 $ 5,239,117 $ 4,811,743
Undistributed (Distributions in
Excess) of Net Investment Income... 13,524 (31,065) 1,423 (5,581)
Accumulated Net Realized Loss on
Investment Securities, Futures and
Swaps.............................. (13,938,207) (13,564,373) (2,254,113) (3,204,299)
Net Unrealized Appreciation on
Investment Securities, Futures and
Swaps.............................. 6,676,536 361,741 311,016 40,525
------------ ------------ ----------- -----------
NET ASSETS........................... $ 21,798,248 $ 7,659,826 $ 3,297,443 $ 1,642,388
============ ============ =========== ===========
Shares Outstanding (Unlimited Shares
Authorized), No Par Value.......... 1,400,277 1,750,100 50,009 50,000
============ ============ =========== ===========
Net Asset Value, Offering Price and
Repurchase Price Per Share......... $ 15.57 $ 4.38 $ 65.94 $ 32.85
============ ============ =========== ===========
*Total Cost of Investments........... $ 11,215,805 $ 4,390,000 $ 2,495,089 $ 1,138,000
============ ============ =========== ===========
</Table>
See Notes to Financial Statements.
60
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX
RYDEX 2X S&P INVERSE 2X S&P
SELECT SECTOR SELECT SECTOR
TECHNOLOGY ETF TECHNOLOGY ETF
-------------- --------------
ASSETS
Investments at Market Value*............................. $ 6,951,020 $ --
Repurchase Agreements.................................... 139,000 863,000
----------- -----------
Total Investments........................................ 7,090,020 863,000
----------- -----------
Cash..................................................... 686 405
Segregated Cash for Swaps................................ 1,474,400 728,600
Unrealized Appreciation on Swap Agreements............... -- 66,421
Receivables:
Dividends.............................................. 12,467 2
----------- -----------
TOTAL ASSETS........................................ 8,577,573 1,658,428
----------- -----------
LIABILITIES
Unrealized Depreciation on Swap Agreements............... 215,058 --
Payables:
Equity Index Swap Settlement........................... 236 20
Accrued Management Fees................................ 4,908 941
----------- -----------
TOTAL LIABILITIES................................... 220,202 961
----------- -----------
NET ASSETS............................................... $ 8,357,371 $ 1,657,467
=========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital.......................................... $ 9,964,977 $ 6,086,350
Undistributed (Distributions in Excess) of Net Investment
Income................................................. 7,570 (6,356)
Accumulated Net Realized Loss on Investment Securities,
Futures and Swaps...................................... (2,356,046) (4,488,948)
Net Unrealized Appreciation on Investment Securities,
Futures and Swaps...................................... 740,870 66,421
----------- -----------
NET ASSETS............................................... $ 8,357,371 $ 1,657,467
=========== ===========
Shares Outstanding (Unlimited Shares Authorized), No Par
Value.................................................. 150,005 100,000
=========== ===========
Net Asset Value, Offering Price and Repurchase Price Per
Share.................................................. $ 55.71 $ 16.57
=========== ===========
*Total Cost of Investments............................... $ 6,134,092 $ 863,000
=========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 61
STATEMENT OF OPERATIONS (Unaudited) For the Six Months Ended April 30, 2010
- --------------------------------------------------------------------------------
<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................................ $ 887,745 $ -- $ 118,868 $ --
Interest................................. 1,003 11,658 200 520
----------- ------------ ---------- -----------
Total Income.......................... 888,748 11,658 119,068 520
----------- ------------ ---------- -----------
EXPENSES
Management Fee........................... 377,693 315,242 61,952 15,155
Trustee Fees............................. 5,120 4,188 738 220
----------- ------------ ---------- -----------
Total Expenses........................ 382,813 319,430 62,690 15,375
----------- ------------ ---------- -----------
Net Investment Income (Loss)............... 505,935 (307,772) 56,378 (14,855)
----------- ------------ ---------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) From:
Investments.............................. 575,342 (1,453) 339,326 (112)
In-kind Redemptions...................... 4,204,508 -- -- --
Futures Contracts........................ 3,024,330 (10,086,287) 1,128,887 (398,493)
Swap Contracts........................... 16,437,078 (22,780,296) 3,130,306 (1,827,902)
----------- ------------ ---------- -----------
Net Realized Gain (Loss).............. 24,241,258 (32,868,036) 4,598,519 (2,226,507)
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities.................... 7,554,959 -- 2,771,550 --
Futures Contracts........................ 1,167,916 (599,199) 703,299 (93,816)
Swap Contracts........................... (1,900,962) 2,369,027 (387,318) 117,536
----------- ------------ ---------- -----------
Net Change in Unrealized Appreciation on
Investments.............................. 6,821,913 1,769,828 3,087,531 23,720
----------- ------------ ---------- -----------
Net Realized and Unrealized Gain (Loss) on
Investments, Futures and Swap Contracts.. 31,063,171 (31,098,208) 7,686,050 (2,202,787)
----------- ------------ ---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS........... $31,569,106 $(31,405,980) $7,742,428 $(2,217,642)
=========== ============ ========== ===========
</Table>
See Notes to Financial Statements.
62
STATEMENT OF OPERATIONS (Unaudited) (continued) For the Six Months Ended April
30, 2010
- --------------------------------------------------------------------------------
<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........................ $ 148,222 $ -- $ 69,777 $ --
Interest........................... 317 2,017 49 157
----------- ----------- ---------- ---------
Total Income.................... 148,539 2,017 69,826 157
----------- ----------- ---------- ---------
EXPENSES
Management Fee..................... 89,947 56,991 33,053 4,535
Trustee Fees....................... 1,178 701 390 66
Other Fees......................... 30 -- -- --
----------- ----------- ---------- ---------
Total Expenses.................. 91,155 57,692 33,443 4,601
----------- ----------- ---------- ---------
Net Investment Income (Loss)......... 57,384 (55,675) 36,383 (4,444)
----------- ----------- ---------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net Realized Gain (Loss) From:
Investments........................ 117,738 (385) 441,057 (38)
In-kind Redemptions................ 1,098,545 -- 302,493 --
Futures Contracts.................. 1,583,427 (1,600,343) -- --
Swap Contracts..................... 4,920,734 (6,522,924) 1,205,555 (349,515)
----------- ----------- ---------- ---------
Net Realized Gain (Loss)........ 7,720,444 (8,123,652) 1,949,105 (349,553)
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities.............. 3,635,032 -- (42,131) --
Futures Contracts.................. 1,311,550 (825,697) -- --
Swap Contracts..................... (708,891) 487,935 (164,785) 38,594
----------- ----------- ---------- ---------
Net Change in Unrealized Appreciation
(Depreciation) on Investments...... 4,237,691 (337,762) (206,916) 38,594
----------- ----------- ---------- ---------
Net Realized and Unrealized Gain
(Loss) on Investments, Futures and
Swap Contracts..................... 11,958,135 (8,461,414) 1,742,189 (310,959)
----------- ----------- ---------- ---------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................... $12,015,519 $(8,517,089) $1,778,572 $(315,403)
=========== =========== ========== =========
Foreign Taxes Withheld............. $ 4 -- -- --
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 63
STATEMENT OF OPERATIONS (Unaudited) (continued) For the Six Months Ended April
30, 2010
- --------------------------------------------------------------------------------
<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.......................... $ 108,991 $ -- $ 27,349 $ --
Interest........................... 91 1,055 14 196
---------- ----------- -------- ---------
Total Income.................... 109,082 1,055 27,363 196
---------- ----------- -------- ---------
EXPENSES
Management Fee..................... 68,242 31,744 11,768 5,694
Trustee Fees....................... 1,036 376 141 83
---------- ----------- -------- ---------
Total Expenses.................. 69,278 32,120 11,909 5,777
---------- ----------- -------- ---------
Net Investment Income (Loss)......... 39,804 (31,065) 15,454 (5,581)
---------- ----------- -------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net Realized Gain (Loss) From:
Investments........................ 736,998 (291) 38,318 (41)
In-kind Redemptions................ 387,446 -- -- --
Swap Contracts..................... 3,731,137 (3,516,882) 400,889 (477,565)
---------- ----------- -------- ---------
Net Realized Gain (Loss)........ 4,855,581 (3,517,173) 439,207 (477,606)
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities.............. 1,094,085 -- 184,125 --
Swap Contracts..................... (667,868) 361,740 (48,885) 40,525
---------- ----------- -------- ---------
Net Change in Unrealized Appreciation
on Investments..................... 426,217 361,740 135,240 40,525
---------- ----------- -------- ---------
Net Realized and Unrealized Gain
(Loss) on Investments, Futures and
Swap Contracts..................... 5,281,798 (3,155,433) 574,447 (437,081)
---------- ----------- -------- ---------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................... $5,321,602 $(3,186,498) $589,901 $(442,662)
========== =========== ======== =========
</Table>
See Notes to Financial Statements.
64
STATEMENT OF OPERATIONS (Unaudited) (concluded) For the Six Months Ended April
30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX
RYDEX 2X S&P INVERSE 2X S&P
SELECT SECTOR SELECT SECTOR
TECHNOLOGY ETF TECHNOLOGY ETF
-------------- --------------
INVESTMENT INCOME
Dividends.............................................. $ 46,261 $ --
Interest............................................... 41 218
---------- ---------
Total Income........................................ 46,302 218
---------- ---------
EXPENSES
Management Fee......................................... 24,276 6,483
Trustee Fees........................................... 336 91
---------- ---------
Total Expenses...................................... 24,612 6,574
---------- ---------
Net Investment Income (Loss)............................. 21,690 (6,356)
---------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) From:
Investments............................................ (68,424) (57)
In-kind Redemptions.................................... 513,159 --
Swap Contracts......................................... 1,061,242 (649,087)
---------- ---------
Net Realized Gain (Loss)............................ 1,505,977 (649,144)
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities.................................. 101,849 --
Swap Contracts......................................... (215,058) 66,421
---------- ---------
Net Change in Unrealized Appreciation (Depreciation)
on Investments.................................... (113,209) 66,421
---------- ---------
Net Realized and Unrealized Gain (Loss) on Investments,
Futures and Swap Contracts............................. 1,392,768 (582,723)
---------- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................ $1,414,458 $(589,079)
========== =========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 65
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, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income (Loss)..... $ 505,935 $ 1,827,179 $ (307,772) $ (634,418)
Net Realized Gain (Loss)......... 24,241,258 (5,159,831) (32,868,036) (68,148,665)
Net Change in Unrealized
Appreciation on Investments... 6,821,913 27,212,395 1,769,828 10,530,284
------------ ------------- ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... 31,569,106 23,879,743 (31,405,980) (58,252,799)
------------ ------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (504,994) (1,841,018) -- --
Net Realized Gains............... -- -- -- (12,634,948)
------------ ------------- ------------ ------------
Decrease in Net Assets From
Distributions to
Shareholders.................. (504,994) (1,841,018) -- (12,634,948)
------------ ------------- ------------ ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 15,398,029 88,152,392 43,977,555 175,280,502
Value of Shares Purchased through
Dividend Reinvestments........ 72 -- -- --
Value of Shares Redeemed......... (52,467,739) (106,428,723) (29,081,797) (67,024,337)
------------ ------------- ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (37,069,638) (18,276,331) 14,895,758 108,256,165
------------ ------------- ------------ ------------
Increase (Decrease) in Net
Assets...................... (6,005,526) 3,762,394 (16,510,222) 37,368,418
NET ASSETS--BEGINNING OF PERIOD.... 117,126,287 113,363,893 103,473,975 66,105,557
------------ ------------- ------------ ------------
NET ASSETS--END OF PERIOD(1)....... $111,120,761 $ 117,126,287 $ 86,963,753 $103,473,975
============ ============= ============ ============
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ 48,341 $ 47,400 $ (307,772) $ --
============ ============= ============ ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 500,000 4,750,000 750,000 1,600,000
Shares Purchased through Dividend
Reinvestments................. 2 -- -- --
Shares Redeemed.................. (1,650,000) (4,700,000) (500,000) (550,000)
Shares Outstanding, Beginning of
Period........................ 4,150,000 4,100,000 1,550,000 500,000
------------ ------------- ------------ ------------
Shares Outstanding, End of
Period........................ 3,000,002 4,150,000 1,800,000 1,550,000
============ ============= ============ ============
</Table>
See Notes to Financial Statements.
66
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P MIDCAP 400
RYDEX 2X S&P MIDCAP 400 ETF ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income (Loss)..... $ 56,378 $ 67,866 $ (14,855) $ (44,343)
Net Realized Gain (Loss)......... 4,598,519 1,225,122 (2,226,507) (11,057,060)
Net Change in Unrealized
Appreciation on Investments... 3,087,531 3,015,883 23,720 1,945,048
----------- ----------- ----------- ------------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... 7,742,428 4,308,871 (2,217,642) (9,156,355)
----------- ----------- ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (56,790) (67,595) -- --
Net Realized Gains............... -- -- -- (2,190,847)
----------- ----------- ----------- ------------
Decrease in Net Assets From
Distributions to
Shareholders.................. (56,790) (67,595) -- (2,190,847)
----------- ----------- ----------- ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... -- 6,026,265 -- 10,392,003
Value of Shares Redeemed......... -- (1,724,185) -- --
----------- ----------- ----------- ------------
Net Increase in Net Assets
Resulting From Share
Transactions.................. -- 4,302,080 -- 10,392,003
----------- ----------- ----------- ------------
Increase (Decrease) in Net
Assets...................... 7,685,638 8,543,356 (2,217,642) (955,199)
NET ASSETS--BEGINNING OF PERIOD.... 14,023,382 5,480,026 5,640,912 6,596,111
----------- ----------- ----------- ------------
NET ASSETS--END OF PERIOD(1)....... $21,709,020 $14,023,382 $ 3,423,270 $ 5,640,912
=========== =========== =========== ============
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ (412) $ -- $ (14,855) $ --
=========== =========== =========== ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. -- 350,000 -- 100,000
Shares Redeemed.................. -- (100,000) -- --
Shares Outstanding, Beginning of
Period........................ 450,000 200,000 150,000 50,000
----------- ----------- ----------- ------------
Shares Outstanding, End of
Period........................ 450,000 450,000 150,000 150,000
=========== =========== =========== ============
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 67
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, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income (Loss)..... $ 57,384 $ 110,893 $ (55,675) $ (113,240)
Net Realized Gain (Loss)......... 7,720,444 (2,659,831) (8,123,652) (17,915,327)
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 4,237,691 5,696,808 (337,762) 4,676,235
----------- ----------- ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... 12,015,519 3,147,870 (8,517,089) (13,352,332)
----------- ----------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (48,821) (103,863) -- --
Net Realized Gains............... -- -- -- (2,169,111)
----------- ----------- ------------ ------------
Decrease in Net Assets From
Distributions to
Shareholders.................. (48,821) (103,863) -- (2,169,111)
----------- ----------- ------------ ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... -- 9,780,206 27,768,744 38,859,185
Value of Shares Redeemed......... (3,198,494) (4,506,944) (25,822,940) (21,346,195)
----------- ----------- ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (3,198,494) 5,273,262 1,945,804 17,512,990
----------- ----------- ------------ ------------
Increase (Decrease) in Net
Assets...................... 8,768,204 8,317,269 (6,571,285) 1,991,547
NET ASSETS--BEGINNING OF PERIOD.... 21,758,772 13,441,503 18,509,694 16,518,147
----------- ----------- ------------ ------------
NET ASSETS--END OF PERIOD(1)....... $30,526,976 $21,758,772 $ 11,938,409 $ 18,509,694
=========== =========== ============ ============
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ 8,563 $ -- $ (55,675) $ --
=========== =========== ============ ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. -- 550,000 750,000 450,000
Shares Redeemed.................. (100,000) (200,000) (700,000) (200,000)
Shares Outstanding, Beginning of
Period........................ 800,000 450,000 400,000 150,000
----------- ----------- ------------ ------------
Shares Outstanding, End of
Period........................ 700,000 800,000 450,000 400,000
=========== =========== ============ ============
</Table>
See Notes to Financial Statements.
68
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P SELECT RYDEX INVERSE 2X S&P SELECT
SECTOR ENERGY ETF SECTOR ENERGY ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income (Loss)..... $ 36,383 $ 83,018 $ (4,444) $ (13,124)
Net Realized Gain (Loss)......... 1,949,105 148,455 (349,553) (4,856,512)
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... (206,916) 888,052 38,594 2,974,766
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... 1,778,572 1,119,525 (315,403) (1,894,870)
----------- ----------- ---------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (40,599) (83,944) -- --
Net Realized Gains............... -- -- -- (4,324,132)
----------- ----------- ---------- -----------
Decrease in Net Assets From
Distributions to
Shareholders.................. (40,599) (83,944) -- (4,324,132)
----------- ----------- ---------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 4,107,882 6,146,803 447,516 2,080,221
Value of Shares Purchased through
Dividend Reinvestments........ 20 244 -- --
Value of Shares Redeemed......... (5,286,373) (586,171) -- --
----------- ----------- ---------- -----------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (1,178,471) 5,560,876 447,516 2,080,221
----------- ----------- ---------- -----------
Increase (Decrease) in Net
Assets...................... 559,502 6,596,457 132,113 (4,138,781)
NET ASSETS--BEGINNING OF PERIOD.... 10,640,252 4,043,795 1,456,758 5,595,539
----------- ----------- ---------- -----------
NET ASSETS--END OF PERIOD(1)....... $11,199,754 $10,640,252 $1,588,871 $ 1,456,758
=========== =========== ========== ===========
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ (4,159) $ 57 $ (4,444) $ --
=========== =========== ========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 200,000 400,000 100,000 200,000
Shares Purchased through Dividend
Reinvestments................. 1 16 -- --
Shares Redeemed.................. (250,000) (50,000) -- --
Shares Outstanding, Beginning of
Period........................ 550,016 200,000 250,000 50,000
----------- ----------- ---------- -----------
Shares Outstanding, End of
Period........................ 500,017 550,016 350,000 250,000
=========== =========== ========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 69
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P SELECT RYDEX INVERSE 2X S&P SELECT
SECTOR FINANCIAL ETF SECTOR FINANCIAL ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income (Loss)..... $ 39,804 $ 142,453 $ (31,065) $ (39,564)
Net Realized Gain (Loss)......... 4,855,581 (190,082) (3,517,173) (10,045,813)
Net Change in Unrealized
Appreciation on Investments... 426,217 4,006,939 361,740 3,318,704
----------- ------------ ----------- ------------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... 5,321,602 3,959,310 (3,186,498) (6,766,673)
----------- ------------ ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (29,311) (166,185) -- --
Net Realized Gains............... -- -- -- (1,661,947)
----------- ------------ ----------- ------------
Decrease in Net Assets From
Distributions to
Shareholders.................. (29,311) (166,185) -- (1,661,947)
----------- ------------ ----------- ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... -- 13,456,148 2,921,757 26,033,289
Value of Shares Purchased through
Dividend Reinvestments........ 388 2,108 -- 3,296
Value of Shares Redeemed......... (837,540) (10,518,542) -- (16,847,204)
----------- ------------ ----------- ------------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (837,152) 2,939,714 2,921,757 9,189,381
----------- ------------ ----------- ------------
Increase (Decrease) in Net
Assets...................... 4,455,139 6,732,839 (264,741) 760,761
NET ASSETS--BEGINNING OF PERIOD.... 17,343,109 10,610,270 7,924,567 7,163,806
----------- ------------ ----------- ------------
NET ASSETS--END OF PERIOD(1)....... $21,798,248 $ 17,343,109 $ 7,659,826 $ 7,924,567
=========== ============ =========== ============
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ 13,524 $ 3,031 $ (31,065) $ --
=========== ============ =========== ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. -- 1,900,000 500,000 1,350,000
Shares Purchased through Dividend
Reinvestments................. 31 246 -- 100
Shares Redeemed.................. (50,000) (850,000) -- (200,000)
Shares Outstanding, Beginning of
Period........................ 1,450,246 400,000 1,250,100 100,000
----------- ------------ ----------- ------------
Shares Outstanding, End of
Period........................ 1,400,277 1,450,246 1,750,100 1,250,100
=========== ============ =========== ============
</Table>
See Notes to Financial Statements.
70
STATEMENTS OF CHANGES IN NET ASSETS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P SELECT RYDEX INVERSE 2X S&P SELECT SECTOR
SECTOR HEALTH CARE ETF HEALTH CARE ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income (Loss)..... $ 15,454 $ 49,002 $ (5,581) $ (28,871)
Net Realized Gain (Loss)......... 439,207 (539,509) (477,606) (2,726,693)
Net Change in Unrealized
Appreciation on Investments... 135,240 239,413 40,525 1,728,947
---------- ----------- ---------- -----------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... 589,901 (251,094) (442,662) (1,026,617)
---------- ----------- ---------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (15,335) (48,709) -- --
Net Realized Gains............... -- -- -- (2,610,366)
---------- ----------- ---------- -----------
Decrease in Net Assets From
Distributions to
Shareholders.................. (15,335) (48,709) -- (2,610,366)
---------- ----------- ---------- -----------
SHAREHOLDER TRANSACTIONS
Value of Shares Purchased through
Dividend Reinvestments........ -- 419 -- --
Value of Shares Redeemed......... -- (2,261,302) -- (2,659,386)
---------- ----------- ---------- -----------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. -- (2,260,883) -- (2,659,386)
---------- ----------- ---------- -----------
Increase (Decrease) in Net
Assets...................... 574,566 (2,560,686) (442,662) (6,296,369)
NET ASSETS--BEGINNING OF PERIOD.... 2,722,877 5,283,563 2,085,050 8,381,419
---------- ----------- ---------- -----------
NET ASSETS--END OF PERIOD(1)....... $3,297,443 $ 2,722,877 $1,642,388 $ 2,085,050
========== =========== ========== ===========
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ 1,423 $ 1,304 $ (5,581) $ --
========== =========== ========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased through Dividend
Reinvestments................. -- 9 -- --
Shares Redeemed.................. -- (50,000) -- (50,000)
Shares Outstanding, Beginning of
Period........................ 50,009 100,000 50,000 100,000
---------- ----------- ---------- -----------
Shares Outstanding, End of
Period........................ 50,009 50,009 50,000 50,000
========== =========== ========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 71
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P SELECT RYDEX INVERSE 2X S&P SELECT
SECTOR TECHNOLOGY ETF SECTOR TECHNOLOGY ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED APRIL 30, 2010 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 (UNAUDITED) OCTOBER 31, 2009
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income (Loss)..... $ 21,690 $ 37,150 $ (6,356) $ (17,584)
Net Realized Gain (Loss)......... 1,505,977 554,606 (649,144) (3,839,804)
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... (113,209) 1,339,956 66,421 1,879,566
----------- ---------- ---------- -----------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... 1,414,458 1,931,712 (589,079) (1,977,822)
----------- ---------- ---------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (20,379) (35,536) -- --
Net Realized Gains............... -- -- -- (3,807,845)
----------- ---------- ---------- -----------
Decrease in Net Assets From
Distributions to
Shareholders.................. (20,379) (35,536) -- (3,807,845)
----------- ---------- ---------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 2,725,756 1,535,941 -- 1,563,750
Value of Shares Purchased through
Dividend Reinvestments........ -- 136 -- --
Value of Shares Redeemed......... (2,310,015) -- -- --
----------- ---------- ---------- -----------
Net Increase in Net Assets
Resulting From Share
Transactions.................. 415,741 1,536,077 -- 1,563,750
----------- ---------- ---------- -----------
Increase (Decrease) in Net
Assets...................... 1,809,820 3,432,253 (589,079) (4,221,917)
NET ASSETS--BEGINNING OF PERIOD.... 6,547,551 3,115,298 2,246,546 6,468,463
----------- ---------- ---------- -----------
NET ASSETS--END OF PERIOD(1)....... $ 8,357,371 $6,547,551 $1,657,467 $ 2,246,546
=========== ========== ========== ===========
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ 7,570 $ 6,259 $ (6,356) $ --
=========== ========== ========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 50,000 50,000 -- 50,000
Shares Purchased through Dividend
Reinvestments................. -- 5 -- --
Shares Redeemed.................. (50,000) -- -- --
Shares Outstanding, Beginning of
Period........................ 150,005 100,000 100,000 50,000
----------- ---------- ---------- -----------
Shares Outstanding, End of
Period........................ 150,005 150,005 100,000 100,000
=========== ========== ========== ===========
</Table>
See Notes to Financial Statements.
72
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P 500 ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $ 28.22 $ 27.65 $ 75.00
-------- -------- --------
Net Investment Income**...................... 0.15 0.31 0.61
Net Realized and Unrealized Gain (Loss) on
Investments................................ 8.83 0.57 (47.27)
-------- -------- --------
TOTAL FROM INVESTMENT OPERATIONS............. 8.98 0.88 (46.66)
-------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income........................ (0.16) (0.31) (0.69)
-------- -------- --------
NET ASSET VALUE AT END OF PERIOD............. $ 37.04 $ 28.22 $ 27.65
======== ======== ========
TOTAL RETURN***.............................. 31.87% 3.51% (62.68)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $111,121 $117,126 $113,364
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.70% 0.70%****
Net Investment Income........................ 0.94%**** 1.43% 1.35%****
Portfolio Turnover Rate+..................... 13% 69% 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 73
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P 500 ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $ 66.76 $ 132.21 $ 75.00
------- -------- -------
Net Investment Income (Loss)**............... (0.19) (0.61) 1.04
Net Realized and Unrealized Gain (Loss) on
Investments................................ (18.26) (46.79) 57.20
------- -------- -------
TOTAL FROM INVESTMENT OPERATIONS............. (18.45) (47.40) 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............. $ 48.31 $ 66.76 $132.21
======= ======== =======
TOTAL RETURN***.............................. (27.63)% (41.45)% 78.27%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $86,964 $103,474 $66,106
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.71% 0.71%****
Net Investment Income........................ (0.68)%**** (0.64)% 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.
74
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P MIDCAP 400 ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $ 31.16 $ 27.40 $ 75.00
------- ------- -------
Net Investment Income**...................... 0.13 0.18 0.56
Net Realized and Unrealized Gain (Loss) on
Investments................................ 17.08 3.76 (47.62)
------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS............. 17.21 3.94 (47.06)
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income........................ (0.13) (0.18) (0.53)
Capital...................................... -- -- (0.01)
------- ------- -------
Total Distributions.......................... (0.13) (0.18) (0.54)
------- ------- -------
NET ASSET VALUE AT END OF PERIOD............. $ 48.24 $ 31.16 $ 27.40
======= ======= =======
TOTAL RETURN***.............................. 55.28% 14.60% (63.12)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $21,709 $14,023 $ 5,480
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.71% 0.71%****
Net Investment Income........................ 0.64%**** 0.71% 0.94%****
Portfolio Turnover Rate+..................... 7% 84% 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 75
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P MIDCAP 400 ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $ 37.61 $131.92 $ 75.00
------- ------- -------
Net Investment Income (Loss)**............... (0.10) (0.39) 1.40
Contribution from Advisor.................... -- -- 1.17
Net Realized and Unrealized Gain (Loss) on
Investments................................ (14.69) (50.10) 55.83
------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS............. (14.79) (50.49) 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............. $ 22.82 $ 37.61 $131.92
======= ======= =======
TOTAL RETURN***.............................. (39.31)% (55.74)% 78.90%(a)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $ 3,423 $ 5,641 $ 6,596
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.71% 0.71%****
Net Investment Income........................ (0.69)%**** (0.64)% 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
77.13%.
See Notes to Financial Statements.
76
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X RUSSELL 2000 ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $ 27.20 $ 29.87 $ 75.00
------- ------- -------
Net Investment Income**...................... 0.08 0.14 0.51
Net Realized and Unrealized Gain (Loss) on
Investments................................ 16.40 (2.67) (45.09)
------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS............. 16.48 (2.53) (44.58)
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income........................ (0.07) (0.14) (0.55)
------- ------- -------
NET ASSET VALUE AT END OF PERIOD............. $ 43.61 $ 27.20 $ 29.87
======= ======= =======
TOTAL RETURN***.............................. 60.63% (8.36)% (59.79)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $30,527 $21,759 $13,442
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.70% 0.71%****
Net Investment Income........................ 0.45%**** 0.62% 0.93%****
Portfolio Turnover Rate+..................... 7% 124% 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 77
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X RUSSELL 2000 ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $ 46.27 $110.12 $ 75.00
------- ------- -------
Net Investment Income (Loss)**............... (0.12) (0.45) 1.21
Contribution from Advisor.................... -- -- 1.29
Net Realized and Unrealized Gain (Loss) on
Investments................................ (19.62) (48.94) 33.76
------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS............. (19.74) (49.39) 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............. $ 26.53 $ 46.27 $110.12
======= ======= =======
TOTAL RETURN***.............................. (42.67)% (51.17)% 48.79%(a)
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $11,938 $18,510 $16,518
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.71% 0.71%****
Net Investment Income........................ (0.68)%**** (0.63)% 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.
78
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P SELECT SECTOR ENERGY ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $ 19.35 $ 20.22 $ 75.00
------- ------- -------
Net Investment Income**...................... 0.08 0.18 0.09
Net Realized and Unrealized Gain (Loss) on
Investments................................ 3.07 (0.88) (54.72)
------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS............. 3.15 (0.70) (54.63)
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income........................ (0.10) (0.17) (0.15)
------- ------- -------
NET ASSET VALUE AT END OF PERIOD............. $ 22.40 $ 19.35 $ 20.22
======= ======= =======
TOTAL RETURN***.............................. 16.36% (3.21)% (72.94)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $11,200 $10,640 $ 4,044
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.70% 0.71%****
Net Investment Income........................ 0.77%**** 1.11% 0.44%****
Portfolio Turnover Rate+..................... 16% 123% 105%
</Table>
* The Fund commenced operations on June 10, 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 79
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P SELECT SECTOR ENERGY ETF
-------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD...... $ 5.83 $111.91 $ 75.00
------- ------- -------
Net Investment Income (Loss)**.............. (0.02) (0.08) 0.22
Net Realized and Unrealized Gain (Loss) on
Investments............................... (1.27) (19.52) 37.09
------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS............ (1.29) (19.60) 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............ $ 4.54 $ 5.83 $111.91
======= ======= =======
TOTAL RETURN***............................. (22.10)% (57.39)% 49.75%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).................................. $ 1,589 $ 1,457 $ 5,596
RATIO TO AVERAGE NET ASSETS OF:
Expenses.................................... 0.71%**** 0.70% 0.71%****
Net Investment Income....................... (0.69)%**** (0.62)% 0.55%****
</Table>
* The Fund commenced operations on June 10, 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.
80
FINANCIAL HIGHLIGHTS (continued)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P SELECT SECTOR FINANCIAL ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $ 11.96 $ 26.53 $ 75.00
------- ------- -------
Net Investment Income**...................... 0.03 0.09 0.45
Net Realized and Unrealized Gain (Loss) on
Investments................................ 3.60 (14.48) (48.76)
------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS............. 3.63 (14.39) (48.31)
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income........................ (0.02) (0.18) (0.16)
------- ------- -------
NET ASSET VALUE AT END OF PERIOD............. $ 15.57 $ 11.96 $ 26.53
======= ======= =======
TOTAL RETURN***.............................. 30.38% (54.21)% (64.51)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $21,798 $17,343 $10,610
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.71% 0.71%****
Net Investment Income........................ 0.41%**** 0.92% 2.60%****
Portfolio Turnover Rate+..................... 16% 205% 177%
</Table>
* The Fund commenced operations on June 10, 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 FINANCIAL ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $ 6.34 $ 71.64 $75.00
------- ------- ------
Net Investment Income (Loss)**............... (0.02) (0.08) 0.16
Net Realized and Unrealized Gain (Loss) on
Investments................................ (1.94) (31.98) (3.34)
------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS............. (1.96) (32.06) (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............. $ 4.38 $ 6.34 $71.64
======= ======= ======
TOTAL RETURN***.............................. (30.96)% (82.23)% (4.19)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $ 7,660 $ 7,925 $7,164
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.70% 0.71%****
Net Investment Income........................ (0.69)%**** (0.63)% 0.52%****
</Table>
* The Fund commenced operations on June 10, 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 HEALTH CARE ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $54.45 $52.84 $ 75.00
------ ------ -------
Net Investment Income**...................... 0.31 0.63 0.23
Net Realized and Unrealized Gain (Loss) on
Investments................................ 11.49 1.63 (22.17)
------ ------ -------
TOTAL FROM INVESTMENT OPERATIONS............. 11.80 2.26 (21.94)
------ ------ -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income........................ (0.31) (0.65) (0.22)
------ ------ -------
NET ASSET VALUE AT END OF PERIOD............. $65.94 $54.45 $ 52.84
====== ====== =======
TOTAL RETURN***.............................. 21.64% 4.45% (29.33)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $3,297 $2,723 $ 5,284
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.71% 0.71%****
Net Investment Income........................ 0.92%**** 1.35% 0.81%****
Portfolio Turnover Rate+..................... 8% 56% 35%
</Table>
* The Fund commenced operations on June 10, 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 HEALTH CARE ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $ 41.70 $ 83.81 $75.00
------- ------- ------
Net Investment Income (Loss)**............... (0.11) (0.37) 0.16
Net Realized and Unrealized Gain (Loss) on
Investments................................ (8.74) (15.64) 8.84
------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS............. (8.85) (16.01) 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............. $ 32.85 $ 41.70 $83.81
======= ======= ======
TOTAL RETURN***.............................. (21.23)% (26.55)% 12.04%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $ 1,642 $ 2,085 $8,381
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.70% 0.71%****
Net Investment Income........................ (0.69)%**** (0.63)% 0.54%****
</Table>
* The Fund commenced operations on June 10, 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 TECHNOLOGY ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $43.65 $31.15 $ 75.00
------ ------ -------
Net Investment Income**...................... 0.16 0.30 0.16
Net Realized and Unrealized Gain (Loss) on
Investments................................ 12.07 12.49 (43.90)
------ ------ -------
TOTAL FROM INVESTMENT OPERATIONS............. 12.23 12.79 (43.74)
------ ------ -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income........................ (0.17) (0.29) (0.11)
------ ------ -------
NET ASSET VALUE AT END OF PERIOD............. $55.71 $43.65 $ 31.15
====== ====== =======
TOTAL RETURN***.............................. 28.04% 41.45% (58.36)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $8,357 $6,548 $ 3,115
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.71% 0.71%****
Net Investment Income........................ 0.63%**** 0.90% 0.72%****
Portfolio Turnover Rate+..................... 13% 43% 65%
</Table>
* The Fund commenced operations on June 10, 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 (concluded)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P SELECT SECTOR TECHNOLOGY ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2010 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD....... $ 22.47 $129.37 $ 75.00
------- ------- -------
Net Investment Income (Loss)**............... (0.06) (0.27) 0.18
Net Realized and Unrealized Gain (Loss) on
Investments................................ (5.84) (30.47) 54.37
------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS............. (5.90) (30.74) 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............. $ 16.57 $ 22.47 $129.37
======= ======= =======
TOTAL RETURN***.............................. (26.22)% (57.07)% 72.79%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted).. $ 1,657 $ 2,247 $ 6,468
RATIO TO AVERAGE NET ASSETS OF:
Expenses..................................... 0.71%**** 0.71% 0.71%****
Net Investment Income........................ (0.69)%**** (0.63)% 0.48%****
</Table>
* The Fund commenced operations on June 10, 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
NOTES TO FINANCIAL STATEMENTS (Unaudited) April 30, 2010
- --------------------------------------------------------------------------------
1. ORGANIZATION
Rydex ETF Trust (the "Trust") is an open-end, management investment company
registered under the Investment Company Act of 1940 (the "1940 Act"). The Trust
was organized as a Delaware statutory trust on November 22, 2002. As of April
30, 2010, 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 daily 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 daily 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 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 ("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
SEMI-ANNUAL REPORT 87
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
valued at the NASDAQ Official Closing Price. The Funds invest in money market
mutual funds, which are valued at their Net asset value per share (NAV).
Investments for which market quotations are not readily are fair valued as
determine in good faith by Rydex Investments, an affiliated entity, 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. Distributions received from investments in REITs are recorded
as dividend income on the ex-dividend date, subject to reclassification upon
notice of the character of such distribution by the issuer.
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.
88
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
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. Since futures are exchange-traded and the
exchange's clearinghouse, as counterparty to all exchange traded futures,
guarantees the futures against default, there is minimal counterparty credit
risk to the Funds.
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. Since swaps are not exchange-traded,
there is an element of counterparty credit risk to the Funds. The risk is
managed through the terms of the swap contracts which include trigger points to
terminate the current contract based on pre-determined thresholds and limit the
amount of potential loss. 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 2008 - 2009), 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, 2010, 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, 2010 are disclosed in the Fund's Statement of Operations.
SEMI-ANNUAL REPORT 89
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
At April 30, 2010, 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>
IDENTIFIED GROSS UNREALIZED GROSS UNREALIZED NET UNREALIZED
COST APPRECIATION DEPRECIATION APPRECIATION
----------- ---------------- ---------------- --------------
Rydex 2x S&P 500 ETF................. $80,361,065 $18,891,279 $(740,005) $18,151,274
Rydex Inverse 2x S&P 500 ETF......... 58,930,000 -- -- --
Rydex 2x S&P MidCap 400 ETF.......... 13,819,140 5,720,762 (32,487) 5,688,275
Rydex Inverse 2x S&P MidCap 400 ETF.. 2,199,000 -- -- --
Rydex 2x Russell 2000(R) ETF......... 20,426,546 7,929,776 (294,606) 7,635,170
Rydex Inverse 2x Russell 2000(R)
ETF................................ 7,356,000 -- -- --
Rydex 2x S&P Select Sector Energy
ETF................................ 7,872,974 1,593,240 (2,180) 1,591,060
Rydex Inverse 2x S&P Select Sector
Energy ETF......................... 1,118,000 -- -- --
Rydex 2x S&P Select Sector Financial
ETF................................ 11,215,805 7,354,289 (9,885) 7,344,404
Rydex Inverse 2x S&P Select Sector
Financial ETF...................... 4,390,000 -- -- --
Rydex 2x S&P Select Sector Health
Care ETF........................... 2,495,089 397,980 (38,078) 359,902
Rydex Inverse 2x S&P Select Sector
Health Care ETF.................... 1,138,000 -- -- --
Rydex 2x S&P Select Sector Technology
ETF................................ 6,134,092 1,030,462 (74,534) 955,928
Rydex Inverse 2x S&P Select Sector
Technology ETF..................... 863,000 -- -- --
</Table>
H. FAIR VALUE MEASUREMENT
In accordance with U.S. generally accepted accounting principles, fair value is
defined as the price that the Fund would receive to sell an investment or pay to
transfer a liability in an orderly transaction with an independent buyer in the
principal market, or in the absence of a principal market the most advantageous
market for the investment or liability. A three-tier hierarchy is utilized to
distinguish between (1) inputs that reflect the assumptions market participants
would use in pricing an asset or liability developed based on market data
obtained from sources independent of the reporting entity (observable inputs)
and (2) inputs that reflect the reporting entity's own assumptions about the
assumptions market participants would use in pricing an asset or liability
developed based on the best information available in the circumstances
(unobservable inputs) and to establish classification of fair value measurements
for disclosure purposes.
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.
90
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
The following table summarizes the inputs used to value the Funds' net assets as
of April 30, 2010:
<Table>
<Caption>
LEVEL 1 LEVEL 2
LEVEL 1 OTHER LEVEL 2 OTHER LEVEL 3
INVESTMENTS FINANCIAL INVESTMENTS FINANCIAL INVESTMENTS
FUND IN SECURITIES INSTRUMENTS IN SECURITIES INSTRUMENTS IN SECURITIES+ TOTAL
- ---- ------------- ----------- ------------- ----------- -------------- -----------
ASSETS
Rydex 2x S&P 500 ETF.................. $98,512,339 $931,422 $-- $ -- $-- $99,443,761
Rydex Inverse 2x S&P 500 ETF.......... 58,930,000 -- -- 2,369,032 -- 61,299,032
Rydex 2x S&P MidCap 400 ETF........... 19,507,415 413,976 -- -- -- 19,921,391
Rydex Inverse 2x S&P MidCap 400 ETF... 2,199,000 -- -- 117,536 -- 2,316,536
Rydex 2x Russell 2000 ETF............. 28,061,716 572,767 -- -- -- 28,634,483
Rydex Inverse 2x Russell 2000 ETF..... 7,356,000 -- -- 487,935 -- 7,843,935
Rydex 2x S&P Select Sector Energy
ETF................................. 9,464,034 -- -- -- -- 9,464,034
Rydex Inverse 2x S&P Select Sector
Energy ETF.......................... 1,118,000 -- -- 38,593 -- 1,156,593
Rydex 2x S&P Select Sector Financial
ETF................................. 18,560,209 -- -- -- -- 18,560,209
Rydex Inverse 2x S&P Select Sector
Financial ETF....................... 4,390,000 -- -- 361,741 -- 4,751,741
Rydex 2x S&P Select Sector Health Care
ETF................................. 2,854,991 -- -- -- -- 2,854,991
Rydex Inverse 2x S&P Select Sector
Health Care ETF..................... 1,138,000 -- -- 40,525 -- 1,178,525
Rydex 2x S&P Select Sector Technology
ETF................................. 7,090,020 -- -- -- -- 7,090,020
Rydex Inverse 2x S&P Select Sector
Technology ETF...................... 863,000 -- -- 66,421 -- 929,421
LIABILITIES
Rydex 2x S&P 500 ETF.................. -- -- -- 1,900,965 -- 1,900,965
Rydex Inverse 2x S&P 500 ETF.......... -- 541,683 -- -- -- 541,683
Rydex 2x S&P MidCap 400 ETF........... -- -- -- 387,324 -- 387,324
Rydex Inverse 2x S&P MidCap 400 ETF... -- 21,282 -- -- -- 21,282
Rydex 2x Russell 2000 ETF............. -- -- -- 708,894 -- 708,894
Rydex Inverse 2x Russell 2000 ETF..... -- 132,761 -- -- -- 132,761
Rydex 2x S&P Select Sector Energy
ETF................................. -- -- -- 164,786 -- 164,786
Rydex Inverse 2x S&P Select Sector
Energy ETF.......................... -- -- -- -- -- --
Rydex 2x S&P Select Sector Financial
ETF................................. -- -- -- 667,868 -- 667,868
Rydex Inverse 2x S&P Select Sector
Financial ETF....................... -- -- -- -- -- --
Rydex 2x S&P Select Sector Health Care
ETF................................. -- -- -- 48,886 -- 48,886
Rydex Inverse 2x S&P Select Sector
Health Care ETF..................... -- -- -- -- -- --
Rydex 2x S&P Select Sector Technology
ETF................................. -- -- -- 215,058 -- 215,058
Rydex Inverse 2x S&P Select Sector
Technology ETF...................... -- -- -- -- -- --
</Table>
- --------
* Other financial instruments may include futures contracts and /or swap
agreements, which are reported as unrealized gain/loss at year end.
+ For the six months ended April 30, 2010, the Level 3 Investments were
acquired at zero cost and are carried at zero value.
I. DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
U.S. generally accepted accounting principles require disclosures to enable
investors to better understand how and why the Funds use derivative instruments,
how these derivative instruments are accounted for and their effects on the
Funds' financial position and results of operations. None of the derivatives
currently held by the Funds are being used as hedging instruments.
Each Leveraged Fund employs as its investment strategy a program of 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. Equity index swaps and
futures, and options contracts enable the Fund to create the additional needed
exposure to pursue its investment objective. The notional amount of derivative
instruments outstanding generally will approximate 100% of a Leveraged Fund's
net assets on a daily basis, while the risk to the Fund is limited to the profit
earned on such derivatives.
Each Leveraged Inverse Fund employs as its investment strategy a program of
investing in leveraged derivative instruments, such as equity index swaps,
futures contracts and options on securities, futures contracts, and stock
indices. Equity index swaps and futures, and options contracts enable the Fund
to pursue its objective without selling short each of the securities included in
the Underlying
SEMI-ANNUAL REPORT 91
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
Index. The notional amount of derivative instruments outstanding generally will
approximate 200% of a Leveraged Inverse Fund's net assets on a daily basis,
while the risk to the Fund is limited to the profit earned on such derivatives.
<Table>
<Caption>
APPROXIMATE PERCENTAGE
OF FUNDS' NET ASSETS ON
FUND A DAILY BASIS
- ---- -----------------------
Rydex 2x S&P 500 ETF.......................................... 117%
Rydex Inverse 2x S&P 500 ETF.................................. 200%
Rydex 2x S&P MidCap 400 ETF................................... 118%
Rydex Inverse 2x S&P MidCap 400 ETF........................... 199%
Rydex 2x Russell 2000(R) ETF.................................. 117%
Rydex Inverse 2x Russell 2000(R) ETF.......................... 200%
Rydex 2x S&P Select Sector Energy ETF......................... 116%
Rydex Inverse 2x S&P Select Sector Energy ETF................. 200%
Rydex 2x S&P Select Sector Financial ETF...................... 116%
Rydex Inverse 2x S&P Select Sector Financial ETF.............. 199%
Rydex 2x S&P Select Sector Health Care ETF.................... 113%
Rydex Inverse 2x S&P Select Sector Health Care ETF............ 199%
Rydex 2x S&P Select Sector Technology ETF..................... 117%
Rydex Inverse 2x S&P Select Sector Technology ETF............. 198%
</Table>
DERIVATIVE INVESTMENT HOLDINGS CATEGORIZED BY RISK EXPOSURE
The following is a summary of the location of derivative investments on the
Funds' Statements of Assets and Liabilities as of April 30, 2010:
<Table>
<Caption>
LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
------------------------------------------------------------------
DERIVATIVE INVESTMENTS TYPE ASSET LIABILITY
- --------------------------- -------------------------------- -------------------------------
Equity Index Swap Contracts............ Unrealized Appreciation on Swap Unrealized Depreciation on Swap
Agreements Agreements
Equity Index Futures Contracts......... Receivables: Variation Margin on Payables: Variation Margin on
Futures Contracts Futures Contracts
</Table>
Because investment companies value their derivatives at fair value and recognize
changes in fair value through the Statements of Operations, they do not qualify
for under hedge accounting. The following table sets forth the fair value, on a
gross basis of the asset and liability components of the Funds' derivative
contracts by primary risk exposure as of April 30, 2010:
<Table>
<Caption>
ASSET DERIVATIVE INVESTMENTS VALUE
----------------------------------------------------
TOTAL VALUE AT EQUITY INDEX EQUITY INDEX
PORTFOLIO APRIL 30, 2010 SWAP CONTRACTS FUTURES CONTRACTS*
- --------- -------------- -------------- ------------------
Rydex 2x S&P 500 ETF.......................... $ 931,422 $ -- $931,422
Rydex Inverse 2x S&P 500 ETF.................. 2,369,032 2,369,032 --
Rydex 2x MidCap 400 ETF....................... 413,976 -- 413,976
Rydex Inverse 2x S&P MidCap 400 ETF........... 117,536 117,536 --
Rydex 2x Russell 2000 ETF..................... 572,767 -- 572,767
Rydex Inverse 2x Russell 2000 ETF............. 487,935 487,935 --
Rydex 2x S&P Select Sector Energy ETF......... -- -- --
Rydex Inverse 2x S&P Select Sector Energy
ETF......................................... 38,593 38,593 --
Rydex 2x S&P Select Sector Financial ETF...... -- -- --
Rydex Inverse 2x S&P Select Sector Financial
ETF......................................... 361,741 361,741 --
Rydex 2x S&P Select Sector Health Care ETF.... -- -- --
Rydex Inverse 2x S&P Select Sector Health Care
ETF......................................... 40,525 40,525 --
Rydex 2x S&P Select Sector Technology ETF..... -- -- --
Rydex Inverse 2x S&P Select Sector Technology
ETF......................................... 66,421 66,421 --
</Table>
92
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
LIABILITY DERIVATIVE INVESTMENTS VALUE
----------------------------------------------------
TOTAL VALUE AT EQUITY INDEX EQUITY INDEX
PORTFOLIO APRIL 30, 2010 SWAP CONTRACTS FUTURES CONTRACTS*
- --------- -------------- -------------- ------------------
Rydex 2x S&P 500 ETF.......................... $1,900,965 $1,900,965 $ --
Rydex Inverse 2x S&P 500 ETF.................. 541,683 -- 541,683
Rydex 2x MidCap 400 ETF....................... 387,324 387,324 --
Rydex Inverse 2x S&P MidCap 400 ETF........... 21,282 -- 21,282
Rydex 2x Russell 2000 ETF..................... 708,894 708,894 --
Rydex Inverse 2x Russell 2000 ETF............. 132,761 -- 132,761
Rydex 2x S&P Select Sector Energy ETF......... 164,786 164,786 --
Rydex Inverse 2x S&P Select Sector Energy
ETF......................................... -- -- --
Rydex 2x S&P Select Sector Financial ETF...... 667,868 667,868 --
Rydex Inverse 2x S&P Select Sector Financial
ETF......................................... -- -- --
Rydex 2x S&P Select Sector Health Care ETF.... 48,886 48,886 --
Rydex Inverse 2x S&P Select Sector Health Care
ETF......................................... -- -- --
Rydex 2x S&P Select Sector Technology ETF..... 215,058 215,058 --
Rydex Inverse 2x S&P Select Sector Technology
ETF......................................... -- -- --
</Table>
- --------
* Includes cumulative appreciation (depreciation) of futures contracts as
reported on the Schedule of Investments. Only current day's variation
margin is reported within the Statement of Assets and Liabilities.
The following is a summary of the location of derivative investments on the
Funds' Statements of Operations as of April 30, 2010:
<Table>
<Caption>
DERIVATIVE INVESTMENT TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
- -------------------------- -----------------------------------------
Equity Index Swap Contracts.............. Net Realized Gain (Loss) From: Swap
Contracts
Net Change in Unrealized Appreciation
(Depreciation) on: Swap Contracts
Futures Contracts........................ Net Realized Gain (Loss) From: Futures
Contracts
Net Change in Unrealized Appreciation
(Depreciation) on: Futures Contracts
</Table>
The following is a summary of the Funds' realized gain (loss) and change in
unrealized appreciation (depreciation) on derivative investments recognized in
the Statements of Operations categorized by primary risk exposure as of April
30, 2010:
<Table>
<Caption>
REALIZED GAIN (LOSS) ON DERIVATIVE INVESTMENTS
RECOGNIZED IN THE STATEMENT OF OPERATIONS
---------------------------------------------------
TOTAL VALUE AT EQUITY INDEX EQUITY INDEX
PORTFOLIO APRIL 30, 2010 SWAP CONTRACTS FUTURES CONTRACTS
- --------- -------------- -------------- -----------------
Rydex 2x S&P 500 ETF........................... $ 19,461,408 $ 16,437,078 $ 3,024,330
Rydex Inverse 2x S&P 500 ETF................... (32,866,583) (22,780,296) (10,086,287)
Rydex 2x MidCap 400 ETF........................ 4,259,193 3,130,306 1,128,887
Rydex Inverse 2x S&P MidCap 400 ETF............ (2,226,395) (1,827,902) (398,493)
Rydex 2x Russell 2000 ETF...................... 6,504,161 4,920,734 1,583,427
Rydex Inverse 2x Russell 2000 ETF.............. (8,123,267) (6,522,924) (1,600,343)
Rydex 2x S&P Select Sector Energy ETF.......... 1,205,555 1,205,555 --
Rydex Inverse 2x S&P Select Sector Energy ETF.. (349,515) (349,515) --
Rydex 2x S&P Select Sector Financial ETF....... 3,731,137 3,731,137 --
Rydex Inverse 2x S&P Select Sector Financial
ETF.......................................... (3,516,882) (3,516,882) --
Rydex 2x S&P Select Sector Health Care ETF..... 400,889 400,889 --
Rydex Inverse 2x S&P Select Sector Health Care
ETF.......................................... (477,565) (477,565) --
Rydex 2x S&P Select Sector Technology ETF...... 1,061,242 1,061,242 --
Rydex Inverse 2x S&P Select Sector Technology
ETF.......................................... (649,087) (649,087) --
</Table>
SEMI-ANNUAL REPORT 93
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
<Table>
<Caption>
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON
DERIVATIVE INVESTMENTS RECOGNIZED IN THE STATEMENT OF
OPERATIONS
-------------------------------------------------------------
TOTAL VALUE AT EQUITY INDEX EQUITY INDEX
PORTFOLIO APRIL 30, 2010 SWAP CONTRACTS FUTURES CONTRACTS
- --------- -------------- -------------- -----------------
Rydex 2x S&P 500 ETF..................... $ (733,046) $(1,900,962) $1,167,916
Rydex Inverse 2x S&P 500 ETF............. 1,769,828 2,369,027 (599,199)
Rydex 2x MidCap 400 ETF.................. 315,981 (387,318) 703,299
Rydex Inverse 2x S&P MidCap 400 ETF...... 23,720 117,536 (93,816)
Rydex 2x Russell 2000 ETF................ 602,659 (708,891) 1,311,550
Rydex Inverse 2x Russell 2000 ETF........ (337,762) 487,935 (825,697)
Rydex 2x S&P Select Sector Energy ETF.... (164,785) (164,785) --
Rydex Inverse 2x S&P Select Sector Energy
ETF.................................... 38,594 38,594 --
Rydex 2x S&P Select Sector Financial
ETF.................................... (667,868) (667,868) --
Rydex Inverse 2x S&P Select Sector
Financial ETF.......................... 361,740 361,740 --
Rydex 2x S&P Select Sector Health Care
ETF.................................... (48,885) (48,885) --
Rydex Inverse 2x S&P Select Sector Health
Care ETF............................... 40,525 40,525 --
Rydex 2x S&P Select Sector Technology
ETF.................................... (215,058) (215,058) --
Rydex Inverse 2x S&P Select Sector
Technology ETF......................... 66,421 66,421 --
</Table>
J. 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.
K. 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.
L. RISK
Throughout the normal course of business, the Funds enter into contracts that
contain a variety of representations and warranties which provide general
indemnifications. The Funds' maximum exposure under these arrangements is
unknown, as this would involve future claims that may be made against the Funds
and/or their affiliates that have not yet occurred. However, based on experience
the Funds expect the risk of loss to be remote.
M. NEW ACCOUNTING PRONOUNCEMENTS
In January 2010, the Financial Accounting Standards Board issued an Accounting
Standards Update, Improving Disclosures about Fair Value Measurements, which
introduces new disclosure requirements and clarifies certain existing disclosure
requirements around fair value measurements currently presented in Note 2E. The
new disclosures and clarifications of existing disclosures are generally
effective for the Funds' year ending October 31, 2011 and interim periods
therein. Management is evaluating the impact of this update on current
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
94
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2010
- --------------------------------------------------------------------------------
relevant index. For these services, the Advisor receives a management 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>
The Advisor 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., an affiliated entity, (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, 2010, 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>
SEMI-ANNUAL REPORT 95
NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded) April 30, 2010
- --------------------------------------------------------------------------------
5. INVESTMENT TRANSACTIONS
For the six months ended April 30, 2010 the Funds had in-kind contributions and
in-kind redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
------------- -----------
Rydex 2x S&P 500 ETF....................................... $9,865,322 $16,237,649
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............................... -- 2,582,928
Rydex Inverse 2x Russell 2000(R) ETF....................... -- --
Rydex 2x S&P Select Sector Energy ETF...................... 3,276,608 879,951
Rydex Inverse 2x S&P Select Sector Energy ETF.............. -- --
Rydex 2x S&P Select Sector Financial ETF................... -- 666,203
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.................. 2,175,066 1,844,534
Rydex Inverse 2x S&P Select Sector Technology ETF.......... -- --
</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 2x S&P 500 ETF........................................ $11,473,923 $24,012,480
Rydex Inverse 2x S&P 500 ETF................................ -- --
Rydex 2x S&P MidCap 400 ETF................................. 4,406,417 1,065,039
Rydex Inverse 2x S&P MidCap 400 ETF......................... -- --
Rydex 2x Russell 2000(R) ETF................................ 6,012,987 1,402,020
Rydex Inverse 2x Russell 2000(R) ETF........................ -- --
Rydex 2x S&P Select Sector Energy ETF....................... 1,337,342 3,869,757
Rydex Inverse 2x S&P Select Sector Energy ETF............... -- --
Rydex 2x S&P Select Sector Financial ETF.................... 4,701,173 2,618,517
Rydex Inverse 2x S&P Select Sector Financial ETF............ -- --
Rydex 2x S&P Select Sector Health Care ETF.................. 482,370 206,713
Rydex Inverse 2x S&P Select Sector Health Care ETF.......... -- --
Rydex 2x S&P Select Sector Technology ETF................... 1,347,189 750,443
Rydex Inverse 2x S&P Select Sector Technology ETF........... -- --
</Table>
6. SUBSEQUENT EVENTS
Management has evaluated events or transactions that may have occurred since
April 30, 2010, that would merit recognition or disclosure in the financial
statements. This evaluation was completed through June xx, 2010, the date the
financial statements were available to be issued.
As of May 21, 2010, the following Funds discontinued trading and on May 28, 2010
were liquidated: 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. The closure of these ETFs did
not impact the operations of any remaining Rydex ETFs.
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, 2009 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.
PENDING ACQUISITION TRANSACTION
On February 16, 2010, Security Benefit Corporation ("SBC"), the parent company
of PADCO Advisors, Inc., PADCO Advisors II, Inc. and Security Investors, LLC,
the Funds' investment advisers, as applicable (the "Investment Advisers"), and
certain of SBC's affiliates entered into agreements with an investor group (the
"Investors") led by Guggenheim Partners, LLC ("Guggenheim"). Under the
agreements, a special purpose vehicle owned by the Investors and managed by an
affiliate of Guggenheim would receive a 100% ownership stake in SBC and
consequently acquire control of the Investment Advisers and affiliates (the
"Purchase Transaction"). Guggenheim is a global, independent, privately held,
diversified financial services firm with more than $100 billion in assets under
supervision. The Purchase Transaction should not result in material changes to
the day-to-day management and operations of the Funds or any increase in fees.
While the parties expect the Purchase Transaction's closing to take place on or
about the end of the second quarter, 2010, it is subject to various conditions,
and may be delayed or even terminated due to unforeseen circumstances.
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.
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 Board (1940) Rydex Dynamic Funds - 1999
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 Company, registered investment adviser (2005 to
2006); Senior Vice President of Marketing and Co-Owner of Schield Management
Company, registered investment adviser (1985 to 2005)
---------------------
J. KENNETH DALTON Rydex Series Funds - 1995 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
---------------------
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
---------------------
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>
98
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES (concluded)
EXECUTIVE OFFICERS
<Table>
<Caption>
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE
YEAR OF BIRTH YEARS
- ----------------------------------------- -----------------------------------------
RICHARD M. GOLDMAN* President of Rydex Series Funds, Rydex
President (1961) Variable Trust, Rydex Dynamic Funds and
Rydex ETF Trust (2009 to present); Chief
Executive Officer and Director of Rydex
Investments (2009 to present); President,
Chief Executive Officer and Director of
Rydex Distributors, Inc. (2009 to
present); President and Chief Executive
Officer of Rydex Holdings, LLC (2009 to
present); Senior Vice President of
Security Benefit Corp. (2007 to present);
Director of First Security Benefit Life
and Annuity Insurance Company of New York
(2007 to present); Director of Security
Distributors, Inc. (2007 to present);
President of Security Investors, LLC
(2007 to present); Manager and President
of Security Global Investors, LLC (2007
to present); Managing Member of R.M.
Goldman Partners, LLC (2006 to 2007);
President and Chief Executive Officer of
FortsmannLeff Associates (2003 to 2005)
MICHAEL P. BYRUM* Vice President of Rydex Series Funds
Vice President (1970) (1997 to present); Vice President of
Rydex Variable Trust (1998 to present);
Vice President of Rydex Dynamic Funds
(1999 to present); President of Rydex
Investments (2004 to present); Chief
Investment Officer of Rydex Investments
(2006 to present); Secretary of Rydex
Investments (2002 to present); Director
of Rydex Investments (2008 to present);
Chief Investment Officer of Rydex
Holdings, LLC (2008 to present); Vice
President of Rydex Distributors, Inc.
(2009 to present); Manager of Rydex
Specialized Products, LLC (2005 to
present); Secretary of Rydex Specialized
Products, LLC (2005 to 2008); Trustee of
Rydex Series Funds, Rydex Variable Trust
and Rydex Dynamic Funds (2005 to 2009);
Vice President of Rydex ETF Trust (2002
to present); President and Trustee of
Rydex Capital Partners SPhinX Fund (2003
to 2007)
NICK BONOS* Vice President and Treasurer of Rydex
Vice President and Treasurer (1963) Series Funds, Rydex Variable Trust, Rydex
Dynamic Funds and Rydex ETF Trust (2003
to present); Senior Vice President of
Rydex Investments (2006 to present);
Chief Executive Officer of Rydex
Specialized Products, LLC (2009 to
present); Chief Financial Officer of
Rydex Specialized Products, LLC (2005 to
2009); Vice President and Treasurer of
Rydex Capital Partners SPhinX Fund (2003
to 2006)
JOANNA M. HAIGNEY* Chief Compliance Officer of 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, Rydex Dynamic Funds (2000
to present); Secretary of Rydex ETF Trust
(2002 to present); Chief Compliance
Officer of Rydex Investments (2005 to
present) Vice President of Compliance of
Rydex Investments (2006 to present);
Director of Rydex Distributors, Inc.
(2009 to present); Secretary of Rydex
Capital Partners SPhinX Fund (2003 to
2006)
KEITH FLETCHER* Vice President of Rydex Series Funds,
Vice President (1958) Rydex Variable Trust, Rydex Dynamic Funds
and Rydex ETF Trust (2009 to present);
Vice President of Rydex Investments (2009
to present); Vice President of Rydex
Specialized Products, LLC (2009 to
present); Vice President and Director of
Rydex Distributors, Inc. (2009 to
present); Vice President of Security
Global Investors, LLC (2009 to present)
</Table>
SEMI-ANNUAL REPORT 99
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (concluded)
- --------------------------------------------------------------------------------
EXECUTIVE OFFICERS (concluded)
<Table>
<Caption>
NAME, POSITION AND PRINCIPAL OCCUPATIONS DURING PAST FIVE
YEAR OF BIRTH YEARS
- ----------------------------------------- -----------------------------------------
AMY LEE* Vice President and Assistant Secretary of
Vice President and Assistant Secretary Rydex Series Funds, Rydex Variable Trust,
(1960) Rydex Dynamic Funds and Rydex ETF Trust
(2009 to present); Secretary of Rydex
Distributors, Inc. (2008 to present);
Chief Compliance Officer of Rydex
Distributors, Inc. (2008 to 2009); Vice
President, Associate General Counsel and
Assistant Secretary of Security Benefit
Corp. (2005 to present); Vice President,
Associate General Counsel and Assistant
Secretary of Security Benefit Life
Insurance Co. (2004 to present);
Assistant General Counsel of First
Security Benefit Life and Annuity Company
of New York (2004 to present); Chief
Compliance Officer and Secretary of
Security Distributors, Inc. (2004 to
present); Secretary of Security Global
Investors, Inc. (2007 to present)
JOSEPH ARRUDA* Assistant Treasurer of Rydex Series
Assistant Treasurer (1966) Funds, Rydex Variable Trust, Rydex
Dynamic Funds and Rydex ETF Trust (2006
to present); Senior Vice President of
Rydex Investments (2008 to present); Vice
President of Rydex Investments (2004 to
2008); Manager and Chief Financial
Officer of Rydex Specialized Products,
LLC (2009 to present) Director of
Accounting of Rydex Investments (2003 to
2004)
PAULA BILLOS* Controller of Rydex Series Funds, Rydex
Controller (1974) Variable Trust, Rydex Dynamic Funds and
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 Rydex Investments.
[RYDEX SGI LOGO]
9601 Blackwell Road - Suite 500 - Rockville, MD 20850
www.rydex-sgi.com - 800.820.0888
ETF3-SEMI-0410X1010
ITEM 2. CODE OF ETHICS.
Not applicable for a semiannual reporting period.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable for a semiannual reporting period.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable for a semiannual reporting period.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable for a semiannual reporting period.
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 1, 2010, the President (principal
executive officer) and the Treasurer (principal financial officer) of the Rydex
ETF Trust (the "Trust") concluded that there were no significant deficiencies in
the design or operation of the internal controls of 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 to record, process, summarize, and report the subject matter
contained in this Report.
(b) There were no significant changes in the Trust'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.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Rydex ETF Trust
By (Signature and Title)* /s/ Richard M. Goldman
--------------------------------------------
Richard M. Goldman, President
Date July 1, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Richard M. Goldman
--------------------------------------------
Richard M. Goldman, President
Date July 1, 2010
By (Signature and Title)* /s/ Nick Bonos
--------------------------------------------
Nick Bonos, Vice President and Treasurer
Date July 1, 2010
* Print the name and title of each signing officer under his or her
signature.