================================================================================
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)
805 King Farm Boulevard, Suite 600
Rockville, Maryland 20850
---------------------------------------------------
(Address of principal executive offices) (Zip code)
Richard Goldman
Rydex ETF Trust
805 King Farm Boulevard, Suite 600
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, 2011
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, 2011
RYDEX ETF TRUST SEMI-ANNUAL REPORT
Rydex S&P 500 Equal Weight ETF (NYSE Arca, Inc.: RSP)
(formerly, Rydex S&P Equal Weight ETF)
Rydex Russell Top 50((R) )ETF (NYSE Arca, Inc.: XLG)
<Table>
(RYDEX SGI LOGO) (RYDEX SGI LOGO)
</Table>
SEMI-ANNUAL REPORT 1
TABLE OF CONTENTS
--------------------------------------------------------------------------------
<Table>
LETTER TO OUR SHAREHOLDERS............................................... 2
FEES AND EXPENSES........................................................ 4
PREMIUM AND DISCOUNT INFORMATION......................................... 5
PORTFOLIO SUMMARY........................................................ 6
SCHEDULES OF INVESTMENTS................................................. 8
STATEMENT OF ASSETS AND LIABILITIES...................................... 16
STATEMENT OF OPERATIONS.................................................. 17
STATEMENTS OF CHANGES IN NET ASSETS...................................... 18
FINANCIAL HIGHLIGHTS..................................................... 19
NOTES TO FINANCIAL STATEMENTS............................................ 21
SUPPLEMENTAL INFORMATION................................................. 26
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS............................ 27
</Table>
2
LETTER TO OUR SHAREHOLDERS
--------------------------------------------------------------------------------
DEAR SHAREHOLDER:
The equity market rise that began shortly after the depths of the financial
crisis in 2008 continued through the six months ending April 30, 2011. Investors
appeared hopeful the economic recovery was becoming self-sustaining, in spite of
an assortment of first quarter 2011 shocks that ranged from higher oil prices to
turmoil in the Mid East to the effects of the natural disaster in Japan.
Assurance from the Fed that it was not going to immediately reverse its loose
monetary policy, and that inflation was transitory, helped drive stocks at
April's end to their highest level since just before the Lehman Brothers
collapse in September 2008.
Clouding the picture, however, were reports of a slower rate of U.S. output and
uncertainty over the expected conclusion of the Fed's quantitative easing
program in June. The infusion of liquidity helped stocks rise 30% since last
August and 20% over six months ending in April. As investors searching for
higher yields increasingly took on credit risk over the past year, many bond
sectors also benefited, particularly investment grade corporate bonds and high-
yield bonds. Yields on the benchmark 10-year Treasury, meanwhile, have been
sliding since December, reflecting increasingly weaker economic data and the
potential for Treasuries to benefit from the end of the Fed's bond buying. In
April, Standard & Poor's cut its outlook for U.S. sovereign debt for the first
time since it started rating it 70 years ago, highlighting the hit to U.S.
creditworthiness brought about by unfunded government tax cuts and spending
programs, along with fiscal stimulus during the recession that have added
significantly to the nation's debt.
April meeting minutes revealed that the Fed's next moves to maintain the economy
would be to reduce its balance sheet and then consider whether to begin raising
rates. But it also indicated it was in no hurry to make a move, particularly
since it believed the recent run-up in commodity prices would not lead to a
sustained increase in inflation. It has held short-term rates near zero since
December 2008.
Some analysts believe the end of quantitative easing could lead to more caution
in the markets, a view supported by weaker-than-expected U.S. GDP figures in
late April that showed the economy grew at an annual rate of 1.8% in the first
quarter of 2011, compared with estimates of around 2%. The rate was 3.1% for the
fourth quarter of 2010. Although some corners of the economy are showing
strength, such as job creation and export growth, stronger gains may be needed
to help encourage households to spend freely. Unemployment remains stubbornly
high at around 9%, while the prices of houses keep falling and sales are down,
keeping consumers on edge.
Investors in global markets, meanwhile, are increasingly concerned about the
potential for soaring food and energy prices to derail global economic recovery.
The International Monetary Fund said global economic growth would slow to 4.5%
this year, down from 5% last year. Through the first four months of 2011, stocks
in overseas developed markets have risen less than counterparts in the U.S.,
while emerging markets stocks have also underperformed. Central banks throughout
the emerging world have begun hiking rates in an effort to slow inflation, while
China has been tapping the brakes on too-fast growth in its economy. Such moves
contributed to a slowing in commodity price rises at the beginning of May, after
a rapid rise over the prior 12 months.
The price of a barrel of oil rose above $100 in the first quarter of 2011 for
the first time since 2008. The higher price of oil as a production cost caused
the prices of many metals to slip in early 2011, aided by a pullback in demand
due to the Japanese earthquake or China's efforts to slow lending. Gold spent
much of the first quarter of 2011 in negative territory, but has turned in a
spectacular climb over the past 12 months, rising above $1,500 an ounce in mid-
April for the first time. Gold traders said bullion bets have increased as
investors question central banks' ability to successfully manage the withdrawal
of stimulus policies put in place during the financial crisis.
Helped largely by the Fed's liberal monetary policy, the dollar has lost value
against most every other global currency over the past few months, as the value
of the dollar against a basket of other currencies fell to a four-decade low.
Some strategists believe the dollar may be poised to rally, benefiting from
hints at possible Fed tightening.
U.S. economic growth, while not robust, has proven strong enough to overcome
some major shocks in the past year. Many market observers, citing recent data on
unemployment, housing and inflation, say the economy remains fragile. Others
believe the economy is moving into a more mature phase and will continue to
expand, although at a lower level than is customary after a major recession.
Despite indicators of slowing in the U.S. and Europe, a new recession in Japan
and renewed worries about sovereign debt in the eurozone, equity markets are
still being buoyed by solid earnings, reasonable valuations and accommodative
monetary policy.
SEMI-ANNUAL REPORT 3
--------------------------------------------------------------------------------
At RydexSGI, our products are designed to help investors navigate uncertain
markets, including hedging or augmenting exposures to the equity or fixed-income
markets, or introducing alternative assets and strategies to portfolios for
overall diversification(1). Thank you for the trust you place in us.
Sincerely,
-s- Michael Byrum
Michael Byrum
President & Chief Investment Officer
Performance displayed represents past performance which is no guarantee of
future results. Of course, 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 us at 800.820.0888 or visit www.rydex-sgi.com.
READ EACH FUND'S PROSPECTUS AND SUMMARY PROSPECTUS (IF AVAILABLE) CAREFULLY
BEFORE INVESTING. IT CONTAINS THE FUND'S INVESTMENT OBJECTIVES, RISKS, CHARGES,
EXPENSES AND OTHER INFORMATION, WHICH SHOULD BE CONSIDERED CAREFULLY BEFORE
INVESTING. OBTAIN A PROSPECTUS AND SUMMARY PROSPECTUS (IF AVAILABLE) AT
WWW.RYDEX-SGI.COM OR CALL 800.820.0888
RYDEXSGI FUNDS ARE DISTRIBUTED BY RYDEX DISTRIBUTORS, LLC (RDL). Security
Investors, LLC (SI) is a registered investment advisor, and does business as
Security Global Investors(R) and Rydex Investments. SI and RDL are affiliates
and are subsidiaries of Security Benefit Corporation, which is wholly owned by
Guggenheim SBC Holdings, LLC, a special purpose entity managed by an affiliate
of Guggenheim Partners, LLC, a diversified financial services firm with more
than $100 billion in assets under supervision.
----------
(1) Diversification neither assures a profit not eliminates the risk of
experiencing investment losses.
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, 2010 and held for the six months ended April 30, 2011.
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 10/31/10 4/30/11 10/31/10 TO 4/30/11
------- --------- --------- -------------------
ACTUAL
Rydex S&P 500 Equal Weight ETF............. 0.40% $1,000.00 $1,193.60 $2.18
Rydex Russell Top 50 ETF................... 0.20% $1,000.00 $1,138.00 $1.06
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE
EXPENSES)
Rydex S&P 500 Equal Weight ETF............. 0.40% $1,000.00 $1,022.81 $2.01
Rydex Russell Top 50 ETF................... 0.20% $1,000.00 $1,023.80 $1.00
</Table>
--------
* Expenses are equal to the Fund's annualized expense ratio multiplied by
the average account value over the period, multiplied by 181/365 (to
reflect one-half year period).
SEMI-ANNUAL REPORT 5
PREMIUM AND DISCOUNT INFORMATION (Unaudited)
--------------------------------------------------------------------------------
The tables that follow present information about the differences between the
daily market price on secondary markets for shares of the Funds and each Fund's
NAV. Net Asset Value, or "NAV," is the price per share at which a Fund issues
and redeems shares. It is calculated in accordance with the standard formula for
valuing mutual fund shares. The "Market Price" of a Fund generally is determined
using the midpoint between the highest bid and the lowest offer on the Exchange
on which the Fund is listed for trading, as of the time the Fund's NAV is
calculated. A Fund's Market Price may be at, above or below its NAV. The NAV of
a Fund will fluctuate with changes in the market value of its portfolio
holdings. The Market Price of a Fund will fluctuate in accordance with changes
in its NAV, as well as market supply of and demand for shares of the Funds.
Premiums or discounts are the differences (generally expressed as a percentage)
between the NAV and Market Price of a Fund on a given day, generally at the time
NAV is calculated. A premium is the amount that a Fund is trading above the
reported NAV, expressed as a positive percentage of the NAV. A discount is the
amount that a Fund is trading below the reported NAV, expressed as a negative
percentage of the NAV.
The following information shows the frequency distribution of premiums and
discounts for the Funds. The information shown for each Fund is for the period
from inception to April 30, 2011.
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 500 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 24
Between 0% and .25% 1003 837
Between -0.01% and -0.25% 910 829
Between -0.26% and -0.5% 26 26
Between -0.51% and -1% 8 7
Between -1.01% and -3% 3 2
Between -3.01% and -8% 0 0
Less than -8% 0 0
----------------------------------------------------------------------------------------
Total 1988 1735
</Table>
<Table>
<Caption>
PERCENTAGE
OF TOTAL DAYS
--------------------------
RYDEX RYDEX
S&P 500 EQUAL RUSSELL
PREMIUM/DISCOUNT RANGE WEIGHT ETF TOP 50 ETF
----------------------------------------------------------------------------------------
Greater than 8% 0.05% 0.00%
Between 3.01% and 8% 0.00% 0.00%
Between 1.01% and 3% 0.15% 0.17%
Between .51% and 1% 0.35% 0.40%
Between .26% and .5% 1.36% 1.38%
Between 0% and .25% 50.46% 48.25%
Between -0.01% and -0.25% 45.77% 47.78%
Between -0.26% and -0.5% 1.31% 1.50%
Between -0.51% and -1% 0.40% 0.40%
Between -1.01% and -3% 0.15% 0.12%
Between -3.01% and -8% 0.00% 0.00%
Less than -8% 0.00% 0.00%
----------------------------------------------------------------------------------------
Total 100.00% 100.00%
</Table>
6
RYDEX S&P 500 EQUAL WEIGHT ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
NATIONAL SEMICONDUCTOR CORP. 0.32%
BIOGEN IDEC, INC. 0.26%
CEPHALON, INC. 0.26%
SUPERVALU, INC. 0.26%
LIMITED BRANDS, INC. 0.25%
ABERCROMBIE & FITCH CO. -- CLASS A 0.25%
WYNN RESORTS LTD. 0.23%
CITRIX SYSTEMS, INC. 0.23%
GOODYEAR TIRE & RUBBER CO.(THE) 0.23%
MOODY'S CORP. 0.23%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 16.26
Financials 15.79
Information Technology 14.70
Industrials 12.10
Health Care 10.52
Consumer Staples 8.35
Energy 7.86
Utilities 6.83
Materials 6.03
Telecommunication Services 1.56
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's investments
market value. These percentages may change over time.
SEMI-ANNUAL REPORT 7
RYDEX RUSSELL TOP 50 ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
EXXON MOBIL CORP. 7.53%
APPLE, INC. 5.32%
CHEVRON CORP. 3.69%
INTERNATIONAL BUSINESS MACHINES CORP. 3.67%
GENERAL ELECTRIC CO. 3.66%
MICROSOFT CORP. 3.34%
PROCTER & GAMBLE CO. 3.14%
AT&T, INC. 3.09%
JPMORGAN CHASE & CO. 3.05%
JOHNSON & JOHNSON, INC. 3.04%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Information Technology 24.43
Energy 16.85
Financials 14.57
Consumer Staples 14.04
Health Care 10.82
Industrials 8.17
Consumer Discretionary 6.23
Telecommunication Services 4.89
</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 500 EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
--------------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 2.3%
Boeing Co.(The)............ 87,830 $7,007,077
General Dynamics Corp. .... 81,271 5,918,154
Goodrich Corp. ............ 73,376 6,484,237
Honeywell International,
Inc. ................... 108,552 6,646,639
ITT Corp. ................. 106,888 6,177,058
L-3 Communications
Holdings, Inc. ......... 77,362 6,203,659
Lockheed Martin Corp. ..... 74,780 5,926,315
Northrop Grumman Corp. .... 100,680 6,404,255
Precision Castparts
Corp. .................. 43,188 6,673,410
Raytheon Co. .............. 120,524 5,851,440
Rockwell Collins, Inc. .... 96,913 6,115,210
United Technologies
Corp. .................. 75,526 6,765,619
--------------
TOTAL AEROSPACE & DEFENSE 76,173,073
--------------
AIR FREIGHT & LOGISTICS 0.8%
C.H. Robinson Worldwide,
Inc. ................... 83,579 6,701,364
Expeditors International of
Washington, Inc. ....... 127,424 6,915,301
FedEx Corp. ............... 68,157 6,520,580
United Parcel Service,
Inc. -- Class B......... 84,014 6,298,530
--------------
TOTAL AIR FREIGHT & LOGISTICS 26,435,775
--------------
AIRLINES 0.2%
Southwest Airlines Co. .... 503,337 5,914,210
--------------
TOTAL AIRLINES 5,914,210
--------------
AUTO COMPONENTS 0.4%
Goodyear Tire & Rubber
Co.(The)*............... 411,587 7,470,304
Johnson Controls, Inc. .... 151,192 6,198,872
--------------
TOTAL AUTO COMPONENTS 13,669,176
--------------
AUTOMOBILES 0.4%
Ford Motor Co.*............ 420,127 6,499,365
Harley-Davidson, Inc. ..... 149,540 5,571,860
--------------
TOTAL AUTOMOBILES 12,071,225
--------------
BEVERAGES 1.4%
Brown-Forman Corp. -- Class
B....................... 90,498 6,503,186
Coca-Cola Co.(The)......... 96,382 6,501,930
Coca-Cola Enterprises,
Inc. ................... 234,919 6,674,049
Constellation Brands,
Inc. -- Class A*........ 329,053 7,367,497
Dr Pepper Snapple Group,
Inc. ................... 160,750 6,301,400
Molson Coors Brewing
Co. -- Class B.......... 139,126 6,782,392
PepsiCo, Inc. ............. 95,376 6,570,453
--------------
TOTAL BEVERAGES 46,700,907
--------------
BIOTECHNOLOGY 1.1%
Amgen, Inc.*............... 112,321 6,385,449
Biogen Idec, Inc.*......... 86,860 8,455,821
Celgene Corp.*............. 113,068 6,657,444
Cephalon, Inc.*............ 109,112 8,379,801
Gilead Sciences, Inc.*..... 149,268 5,797,569
--------------
TOTAL BIOTECHNOLOGY 35,676,084
--------------
BUILDING PRODUCTS 0.2%
Masco Corp. ............... 438,470 5,884,267
--------------
TOTAL BUILDING PRODUCTS 5,884,267
--------------
CAPITAL MARKETS 2.9%
Ameriprise Financial,
Inc. ................... 99,891 6,199,235
Bank of New York Mellon
Corp. .................. 208,974 6,051,887
BlackRock, Inc. ........... 30,298 5,936,590
Charles Schwab Corp.(The).. 343,678 6,292,744
E*TRADE Financial Corp.*... 403,054 6,545,597
Federated Investors,
Inc. -- Class B......... 236,153 6,088,024
Franklin Resources, Inc. .. 51,997 6,713,853
Goldman Sachs Group,
Inc.(The)............... 38,307 5,784,740
Invesco Ltd. .............. 243,473 6,055,174
Janus Capital Group,
Inc. ................... 513,025 6,243,514
Legg Mason, Inc. .......... 180,430 6,702,975
Morgan Stanley............. 219,363 5,736,342
Northern Trust Corp. ...... 120,734 6,035,493
State Street Corp. ........ 137,744 6,411,983
T. Rowe Price Group,
Inc. ................... 97,014 6,233,150
--------------
TOTAL CAPITAL MARKETS 93,031,301
--------------
CHEMICALS 2.8%
Air Products & Chemicals,
Inc. ................... 69,368 6,626,031
Airgas, Inc. .............. 97,491 6,770,750
CF Industries Holdings,
Inc. ................... 46,468 6,577,545
Dow Chemical Co.(The)...... 168,424 6,903,700
Du Pont (E.I.) de Nemours &
Co. .................... 114,660 6,511,541
Eastman Chemical Co. ...... 63,786 6,841,049
Ecolab, Inc. .............. 125,806 6,637,525
FMC Corp. ................. 78,933 6,968,205
International Flavors &
Fragrances, Inc. ....... 102,670 6,521,598
Monsanto Co. .............. 89,324 6,077,605
PPG Industries, Inc. ...... 68,990 6,531,283
Praxair, Inc. ............. 61,893 6,586,653
Sherwin-Williams Co.(The).. 74,486 6,129,453
Sigma-Aldrich Corp. ....... 97,880 6,908,371
--------------
TOTAL CHEMICALS 92,591,309
--------------
COMMERCIAL BANKS 2.6%
BB&T Corp. ................ 223,781 6,024,185
Comerica, Inc. ............ 161,072 6,109,461
Fifth Third Bancorp........ 433,839 5,757,044
First Horizon National
Corp. .................. 538,002 5,891,122
Huntington Bancshares,
Inc. ................... 906,607 6,155,862
KeyCorp.................... 678,796 5,885,161
M&T Bank Corp. ............ 68,862 6,085,335
Marshall & Ilsley Corp. ... 783,423 6,400,566
PNC Financial Services
Group, Inc. ............ 96,728 6,030,023
Regions Financial Corp. ... 851,603 6,250,766
SunTrust Banks, Inc. ...... 204,343 5,760,429
U.S. Bancorp............... 227,710 5,879,472
Wells Fargo & Co. ......... 191,212 5,566,181
Zions Bancorp.............. 266,122 6,506,683
--------------
TOTAL COMMERCIAL BANKS 84,302,290
--------------
COMMERCIAL SERVICES & SUPPLIES 1.6%
Avery Dennison Corp. ...... 148,792 6,210,578
Cintas Corp. .............. 218,618 6,788,089
Iron Mountain, Inc. ....... 210,868 6,716,146
Pitney Bowes, Inc. ........ 250,523 6,152,845
R.R. Donnelley & Sons
Co. .................... 342,761 6,464,472
Republic Services, Inc. ... 207,287 6,554,415
Stericycle, Inc.*.......... 70,388 6,425,017
Waste Management, Inc. .... 165,797 6,542,349
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 51,853,911
--------------
COMMUNICATIONS EQUIPMENT 1.7%
Cisco Systems, Inc. ....... 353,322 6,204,334
F5 Networks, Inc.*......... 62,392 6,324,053
Harris Corp. .............. 131,869 7,006,200
JDS Uniphase Corp.*........ 319,393 6,656,150
Juniper Networks, Inc.*.... 147,256 5,644,323
Motorola Mobility Holdings,
Inc.*................... 230,177 5,998,413
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 9
RYDEX S&P 500 EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
--------------------------------------------------------
COMMON STOCKS (CONTINUED)
Motorola Solutions, Inc.*.. 145,698 $6,684,624
QUALCOMM, Inc. ............ 115,138 6,544,444
Tellabs, Inc. ............. 1,196,187 5,885,240
--------------
TOTAL COMMUNICATIONS EQUIPMENT 56,947,781
--------------
COMPUTERS & PERIPHERALS 1.6%
Apple, Inc.*............... 18,014 6,273,015
Dell, Inc.*................ 422,902 6,559,210
EMC Corp.*................. 235,369 6,670,357
Hewlett-Packard Co. ....... 144,721 5,842,387
Lexmark International,
Inc. -- Class A*........ 170,427 5,496,271
NetApp, Inc.*.............. 124,214 6,456,644
SanDisk Corp.*............. 139,649 6,862,352
Western Digital Corp.*..... 178,435 7,101,713
--------------
TOTAL COMPUTERS & PERIPHERALS 51,261,949
--------------
CONSTRUCTION & ENGINEERING 0.6%
Fluor Corp. ............... 87,030 6,086,878
Jacobs Engineering Group,
Inc.*................... 124,869 6,194,751
Quanta Services, Inc.*..... 279,025 6,049,262
--------------
TOTAL CONSTRUCTION & ENGINEERING 18,330,891
--------------
CONSTRUCTION MATERIALS 0.2%
Vulcan Materials Co. ...... 141,252 6,384,590
--------------
TOTAL CONSTRUCTION MATERIALS 6,384,590
--------------
CONSUMER FINANCE 0.8%
American Express Co. ...... 137,928 6,769,506
Capital One Financial
Corp. .................. 118,415 6,480,853
Discover Financial
Services................ 276,954 6,879,537
SLM Corp.*................. 414,450 6,875,726
--------------
TOTAL CONSUMER FINANCE 27,005,622
--------------
CONTAINERS & PACKAGING 0.8%
Ball Corp. ................ 177,363 6,617,413
Bemis Co., Inc. ........... 191,224 5,992,960
Owens-Illinois, Inc.*...... 205,552 6,098,728
Sealed Air Corp. .......... 235,315 6,064,068
--------------
TOTAL CONTAINERS & PACKAGING 24,773,169
--------------
DISTRIBUTORS 0.2%
Genuine Parts Co. ......... 117,187 6,292,942
--------------
TOTAL DISTRIBUTORS 6,292,942
--------------
DIVERSIFIED CONSUMER SERVICES 0.6%
Apollo Group, Inc. -- Class
A*...................... 148,870 5,959,266
DeVry, Inc. ............... 118,839 6,286,583
H&R Block, Inc. ........... 377,634 6,529,292
--------------
TOTAL DIVERSIFIED CONSUMER SERVICES 18,775,141
--------------
DIVERSIFIED FINANCIAL SERVICES 1.8%
Bank of America Corp. ..... 430,412 5,285,459
Citigroup, Inc.*........... 1,348,423 6,189,262
CME Group, Inc. ........... 20,936 6,192,241
IntercontinentalExchange,
Inc.*................... 48,012 5,778,244
JPMorgan Chase & Co. ...... 134,308 6,128,474
Leucadia National Corp. ... 176,007 6,804,431
Moody's Corp. ............. 189,913 7,433,195
Nasdaq OMX Group (The)*.... 244,374 6,622,535
NYSE Euronext.............. 170,400 6,824,520
--------------
TOTAL DIVERSIFIED FINANCIAL SERVICES 57,258,361
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES 1.0%
AT&T, Inc. ................ 216,620 6,741,214
CenturyTel, Inc. .......... 146,383 5,969,499
Frontier Communications
Corp. .................. 746,312 6,172,000
Verizon Communications,
Inc. ................... 169,454 6,401,972
Windstream Corp. .......... 470,906 6,032,306
--------------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 31,316,991
--------------
ELECTRIC UTILITIES 2.6%
American Electric Power
Co., Inc. .............. 178,844 6,524,229
Duke Energy Corp. ......... 341,750 6,373,638
Edison International....... 168,898 6,632,625
Entergy Corp. ............. 91,874 6,405,455
Exelon Corp. .............. 149,728 6,311,035
FirstEnergy Corp. ......... 164,444 6,571,182
NextEra Energy, Inc. ...... 113,678 6,430,764
Northeast Utilities........ 179,483 6,389,595
Pepco Holdings, Inc. ...... 334,104 6,438,184
Pinnacle West Capital
Corp. .................. 144,946 6,289,207
PPL Corp. ................. 246,053 6,749,234
Progress Energy, Inc. ..... 136,510 6,477,400
Southern Co. .............. 163,108 6,367,736
--------------
TOTAL ELECTRIC UTILITIES 83,960,284
--------------
ELECTRICAL EQUIPMENT 0.6%
Emerson Electric Co. ...... 105,130 6,387,699
Rockwell Automation,
Inc. ................... 68,992 6,011,273
Roper Industries, Inc. .... 72,540 6,273,984
--------------
TOTAL ELECTRICAL EQUIPMENT 18,672,956
--------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 1.0%
Amphenol Corp. -- Class A.. 109,278 6,109,733
Corning, Inc. ............. 290,457 6,082,170
FLIR Systems, Inc. ........ 188,884 6,652,494
Jabil Circuit, Inc. ....... 320,096 6,350,705
Molex, Inc. ............... 244,985 6,614,595
--------------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 31,809,697
--------------
ENERGY EQUIPMENT & SERVICES 2.1%
Baker Hughes, Inc. ........ 86,610 6,704,480
Cameron International
Corp.*.................. 100,754 5,311,751
Diamond Offshore Drilling,
Inc. ................... 80,843 6,133,558
FMC Technologies, Inc.*.... 130,841 6,081,490
Halliburton Co. ........... 138,203 6,976,487
Helmerich & Payne, Inc. ... 98,817 6,555,520
Nabors Industries, Ltd.*... 220,504 6,756,243
National-Oilwell Varco,
Inc. ................... 76,909 5,898,151
Noble Corp. ............... 137,966 5,933,918
Rowan Cos., Inc.*.......... 149,562 6,236,735
Schlumberger, Ltd. ........ 71,140 6,384,815
--------------
TOTAL ENERGY EQUIPMENT & SERVICES 68,973,148
--------------
FOOD & STAPLES RETAILING 1.8%
Costco Wholesale Corp. .... 85,362 6,907,493
CVS Caremark Corp. ........ 181,454 6,575,893
Kroger Co.(The)............ 253,329 6,158,428
Safeway, Inc. ............. 270,407 6,573,594
SUPERVALU, Inc. ........... 743,685 8,373,893
Sysco Corp. ............... 218,256 6,309,781
Wal-Mart Stores, Inc. ..... 117,062 6,436,069
Walgreen Co. .............. 146,162 6,244,041
Whole Foods Market, Inc. .. 99,570 6,249,013
--------------
TOTAL FOOD & STAPLES RETAILING 59,828,205
--------------
</Table>
See Notes to Financial Statements.
10
RYDEX S&P 500 EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
--------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS 3.0%
Archer-Daniels-Midland
Co. .................... 172,980 $6,403,720
Campbell Soup Co. ......... 179,828 6,040,423
ConAgra Foods, Inc. ....... 266,771 6,522,551
Dean Foods Co.*............ 597,465 6,685,633
General Mills, Inc. ....... 165,890 6,400,036
H.J. Heinz Co. ............ 123,586 6,331,311
Hershey Co.(The)........... 112,997 6,521,057
Hormel Foods Corp. ........ 221,017 6,500,110
J.M. Smucker Co.(The)...... 86,591 6,500,386
Kellogg Co. ............... 112,208 6,426,152
Kraft Foods, Inc. -- Class
A....................... 195,292 6,557,905
McCormick & Co., Inc. ..... 124,850 6,132,632
Mead Johnson Nutrition
Co. .................... 108,462 7,253,939
Sara Lee Corp. ............ 359,058 6,893,914
Tyson Foods, Inc. -- Class
A....................... 322,448 6,416,715
--------------
TOTAL FOOD PRODUCTS 97,586,484
--------------
GAS UTILITIES 0.4%
Nicor, Inc. ............... 113,563 6,294,797
Oneok, Inc. ............... 94,583 6,615,135
--------------
TOTAL GAS UTILITIES 12,909,932
--------------
HEALTH CARE EQUIPMENT & SUPPLIES 2.8%
Baxter International,
Inc. ................... 117,434 6,681,995
Becton, Dickinson & Co. ... 78,557 6,751,189
Boston Scientific Corp.*... 842,725 6,312,010
C.R. Bard, Inc. ........... 63,398 6,767,736
CareFusion Corp.*.......... 222,518 6,535,354
Covidien PLC............... 116,402 6,482,427
Dentsply International,
Inc. ................... 171,785 6,448,809
Edwards Lifesciences
Corp.*.................. 69,015 5,959,445
Intuitive Surgical, Inc.*.. 18,734 6,551,280
Medtronic, Inc. ........... 161,836 6,756,653
St Jude Medical, Inc. ..... 127,110 6,792,758
Stryker Corp. ............. 98,913 5,835,867
Varian Medical Systems,
Inc.*................... 91,993 6,457,909
Zimmer Holdings, Inc.*..... 100,517 6,558,734
--------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 90,892,166
--------------
HEALTH CARE PROVIDERS & SERVICES 3.3%
Aetna, Inc. ............... 172,549 7,140,078
AmerisourceBergen Corp. ... 163,454 6,642,771
Cardinal Health, Inc. ..... 149,341 6,524,708
CIGNA Corp. ............... 144,220 6,753,823
Coventry Health Care,
Inc.*................... 201,148 6,491,046
DaVita, Inc.*.............. 74,718 6,581,909
Express Scripts, Inc.*..... 114,094 6,473,694
Humana, Inc.*.............. 93,562 7,121,939
Laboratory Corp. of America
Holdings*............... 68,913 6,648,037
McKesson Corp. ............ 78,003 6,475,029
Medco Health Solutions,
Inc.*................... 113,667 6,743,863
Patterson Cos., Inc. ...... 190,552 6,614,060
Quest Diagnostics, Inc. ... 111,000 6,258,180
Tenet Healthcare Corp.*.... 856,922 5,938,469
UnitedHealth Group, Inc. .. 142,113 6,996,223
WellPoint, Inc. ........... 90,984 6,986,661
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 106,390,490
--------------
HEALTH CARE TECHNOLOGY 0.2%
Cerner Corp.*.............. 58,580 7,040,144
--------------
TOTAL HEALTH CARE TECHNOLOGY 7,040,144
--------------
HOTELS, RESTAURANTS & LEISURE 2.2%
Carnival Corp. ............ 153,312 5,836,588
Chipotle Mexican Grill,
Inc. -- Class A*........ 23,972 6,395,490
Darden Restaurants, Inc. .. 130,580 6,133,343
International Game
Technology.............. 383,825 6,789,864
Marriott International,
Inc. -- Class A......... 161,006 5,683,512
McDonald's Corp. .......... 81,884 6,412,336
Starbucks Corp. ........... 171,501 6,206,621
Starwood Hotels & Resorts
Worldwide, Inc. ........ 105,021 6,256,101
Wyndham Worldwide Corp. ... 199,476 6,903,864
Wynn Resorts Ltd. ......... 50,944 7,496,410
Yum! Brands, Inc. ......... 117,946 6,326,623
--------------
TOTAL HOTELS, RESTAURANTS & LEISURE 70,440,752
--------------
HOUSEHOLD DURABLES 1.8%
D.R. Horton, Inc. ......... 506,267 6,297,961
Fortune Brands, Inc. ...... 100,748 6,556,680
Harman International
Industries, Inc. ....... 131,368 6,375,289
Leggett & Platt, Inc. ..... 265,819 6,988,381
Lennar Corp. -- Class A.... 310,230 5,891,268
Newell Rubbermaid, Inc. ... 319,902 6,097,332
Pulte Homes, Inc.*......... 861,305 7,002,410
Stanley Black & Decker,
Inc. ................... 81,630 5,930,419
Whirlpool Corp. ........... 75,553 6,511,158
--------------
TOTAL HOUSEHOLD DURABLES 57,650,898
--------------
HOUSEHOLD PRODUCTS 0.8%
Clorox Co. ................ 88,261 6,148,261
Colgate-Palmolive Co. ..... 78,424 6,615,064
Kimberly-Clark Corp. ...... 94,063 6,213,802
Procter & Gamble Co. ...... 99,540 6,460,146
--------------
TOTAL HOUSEHOLD PRODUCTS 25,437,273
--------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.6%
AES Corp.(The)*............ 491,183 6,503,263
Constellation Energy Group,
Inc. ................... 198,467 7,228,168
NRG Energy, Inc.*.......... 292,756 7,084,695
--------------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 20,816,126
--------------
INDUSTRIAL CONGLOMERATES 0.8%
3M Co. .................... 67,788 6,589,671
General Electric Co. ...... 312,956 6,399,950
Textron, Inc. ............. 237,425 6,196,793
Tyco International Ltd. ... 136,890 6,672,019
--------------
TOTAL INDUSTRIAL CONGLOMERATES 25,858,433
--------------
INSURANCE 4.3%
ACE Ltd. .................. 98,908 6,651,563
AFLAC, Inc. ............... 119,216 6,698,747
Allstate Corp. ............ 193,428 6,545,603
American International
Group, Inc.*............ 168,632 5,252,887
Aon Corp. ................. 116,083 6,056,050
Assurant, Inc. ............ 155,905 6,189,428
Berkshire Hathaway,
Inc. -- Class B*........ 72,593 6,046,997
Chubb Corp.(The)........... 103,387 6,739,798
Cincinnati Financial
Corp. .................. 185,605 5,879,966
Genworth Financial,
Inc. -- Class A*........ 479,810 5,848,884
Hartford Financial Services
Group, Inc.(The)........ 238,146 6,899,090
Lincoln National Corp. .... 205,857 6,428,914
Loews Corp. ............... 143,580 6,354,851
Marsh & McLennan Cos.,
Inc. ................... 206,200 6,243,736
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 11
RYDEX S&P 500 EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
--------------------------------------------------------
COMMON STOCKS (CONTINUED)
MetLife, Inc. ............. 139,005 $6,504,044
Principal Financial Group,
Inc. ................... 191,064 6,448,410
Progressive Corp. ......... 293,005 6,428,530
Prudential Financial,
Inc. ................... 100,645 6,382,906
Torchmark Corp. ........... 93,939 6,286,398
Travelers Cos., Inc.(The).. 102,562 6,490,123
Unum Group................. 236,043 6,250,419
XL Group PLC............... 274,328 6,699,090
--------------
TOTAL INSURANCE 139,326,434
--------------
INTERNET & CATALOG RETAIL 0.9%
Amazon.com, Inc.*.......... 37,344 7,338,096
Expedia, Inc. ............. 279,340 6,991,880
Netflix, Inc.*............. 28,142 6,547,799
Priceline.com, Inc.*....... 13,308 7,279,609
--------------
TOTAL INTERNET & CATALOG RETAIL 28,157,384
--------------
INTERNET SOFTWARE & SERVICES 1.2%
Akamai Technologies,
Inc.*................... 164,982 5,681,980
eBay, Inc.*................ 199,935 6,877,764
Google, Inc. -- Class A*... 10,722 5,833,840
Monster Worldwide, Inc.*... 399,926 6,562,786
VeriSign, Inc. ............ 171,232 6,328,735
Yahoo!, Inc.*.............. 378,376 6,716,174
--------------
TOTAL INTERNET SOFTWARE & SERVICES 38,001,279
--------------
IT SERVICES 2.6%
Automatic Data Processing,
Inc. ................... 123,034 6,686,898
Cognizant Technology
Solutions Corp. -- Class
A*...................... 80,524 6,675,440
Computer Sciences Corp. ... 129,080 6,580,498
Fidelity National
Information Services,
Inc. ................... 197,007 6,520,932
Fiserv, Inc.*.............. 101,404 6,217,079
International Business
Machines Corp. ......... 38,912 6,637,609
Mastercard, Inc. -- Class
A....................... 24,670 6,806,206
Paychex, Inc. ............. 190,902 6,244,404
SAIC, Inc.*................ 362,461 6,306,821
Teradata Corp.*............ 122,948 6,875,252
Total System Services,
Inc. ................... 340,223 6,413,204
Visa, Inc. -- Class A...... 84,214 6,578,798
Western Union Co. ......... 290,178 6,166,283
--------------
TOTAL IT SERVICES 84,709,424
--------------
LEISURE EQUIPMENT & PRODUCTS 0.4%
Hasbro, Inc. .............. 131,122 6,141,755
Mattel, Inc. .............. 245,214 6,552,118
--------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 12,693,873
--------------
LIFE SCIENCES TOOLS & SERVICES 1.1%
Agilent Technologies,
Inc.*................... 141,334 7,053,980
Life Technologies Corp.*... 120,193 6,634,653
PerkinElmer, Inc. ......... 233,706 6,606,869
Thermo Fisher Scientific,
Inc.*................... 114,274 6,855,297
Waters Corp.*.............. 73,122 7,165,956
--------------
TOTAL LIFE SCIENCES TOOLS & SERVICES 34,316,755
--------------
MACHINERY 2.8%
Caterpillar, Inc. ......... 58,047 6,699,204
Cummins, Inc. ............. 60,202 7,235,076
Danaher Corp. ............. 120,415 6,651,725
Deere & Co. ............... 67,221 6,554,047
Dover Corp. ............... 94,968 6,461,623
Eaton Corp. ............... 117,005 6,263,278
Flowserve Corp. ........... 49,618 6,282,631
Illinois Tool Works,
Inc. ................... 111,902 6,536,196
Ingersoll-Rand PLC......... 129,896 6,559,748
Joy Global, Inc. .......... 65,870 6,649,576
PACCAR, Inc. .............. 124,723 6,624,039
Pall Corp. ................ 107,381 6,275,346
Parker-Hannifin Corp. ..... 68,180 6,430,738
Snap-on, Inc. ............. 105,520 6,517,970
--------------
TOTAL MACHINERY 91,741,197
--------------
MEDIA 3.2%
Cablevision Systems
Corp. -- Class A........ 172,611 6,081,086
CBS Corp. -- Class B....... 258,732 6,525,221
Comcast Corp. -- Class A... 249,884 6,556,956
DIRECTV -- Class A*........ 133,814 6,502,022
Discovery Communications,
Inc. -- Class A*........ 154,599 6,842,552
Gannett Co., Inc. ......... 399,041 6,009,558
Interpublic Group of Cos.,
Inc. ................... 500,606 5,882,121
McGraw-Hill Cos., Inc. .... 160,735 6,504,945
News Corp. -- Class A...... 369,457 6,583,724
Omnicom Group, Inc. ....... 126,160 6,205,810
Scripps Networks
Interactive -- Class A.. 121,932 6,269,743
Time Warner Cable, Inc. ... 89,063 6,958,492
Time Warner, Inc. ......... 171,600 6,496,776
Viacom, Inc. -- Class B.... 137,596 7,039,411
Walt Disney Co.(The)....... 147,265 6,347,122
Washington Post
Co.(The) -- Class B..... 14,117 6,153,600
--------------
TOTAL MEDIA 102,959,139
--------------
METALS & MINING 1.8%
AK Steel Holding Corp. .... 386,864 6,286,540
Alcoa, Inc. ............... 375,543 6,384,231
Allegheny Technologies,
Inc. ................... 98,640 7,102,080
Cliffs Natural Resources,
Inc. ................... 67,894 6,363,025
Freeport-McMoRan Copper &
Gold, Inc. ............. 115,702 6,367,081
Newmont Mining Corp. ...... 118,330 6,935,321
Nucor Corp. ............... 132,657 6,229,573
Titanium Metals Corp.*..... 345,531 6,920,986
United States Steel
Corp. .................. 110,008 5,248,482
--------------
TOTAL METALS & MINING 57,837,319
--------------
MULTI-UTILITIES 3.0%
Ameren Corp. .............. 223,036 6,537,185
CenterPoint Energy, Inc. .. 362,726 6,746,704
CMS Energy Corp. .......... 320,626 6,348,395
Consolidated Edison,
Inc. ................... 122,021 6,359,735
Dominion Resources, Inc. .. 137,640 6,389,249
DTE Energy Co. ............ 127,174 6,426,102
Integrys Energy Group,
Inc. ................... 123,190 6,450,228
NiSource, Inc. ............ 326,689 6,354,101
PG&E Corp. ................ 140,621 6,479,816
Public Service Enterprise
Group, Inc. ............ 197,412 6,350,744
SCANA Corp. ............... 157,043 6,520,425
Sempra Energy.............. 117,320 6,464,332
TECO Energy, Inc. ......... 339,084 6,534,149
Wisconsin Energy Corp. .... 204,140 6,371,209
Xcel Energy, Inc. ......... 255,686 6,220,840
--------------
TOTAL MULTI-UTILITIES 96,553,214
--------------
MULTILINE RETAIL 1.5%
Big Lots, Inc.*............ 144,102 5,924,033
Family Dollar Stores,
Inc. ................... 117,754 6,383,444
</Table>
See Notes to Financial Statements.
12
RYDEX S&P 500 EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
--------------------------------------------------------
COMMON STOCKS (CONTINUED)
J.C. Penney Co., Inc. ..... 167,158 $6,427,225
Kohl's Corp. .............. 112,686 5,939,679
Macy's, Inc. .............. 260,328 6,224,443
Nordstrom, Inc. ........... 144,306 6,861,750
Sears Holdings Corp.*...... 74,577 6,411,385
Target Corp. .............. 119,436 5,864,308
--------------
TOTAL MULTILINE RETAIL 50,036,267
--------------
OFFICE ELECTRONICS 0.2%
Xerox Corp. ............... 593,252 5,985,913
--------------
TOTAL OFFICE ELECTRONICS 5,985,913
--------------
OIL, GAS & CONSUMABLE FUELS 5.9%
Anadarko Petroleum Corp. .. 78,376 6,187,001
Apache Corp. .............. 50,685 6,759,859
Cabot Oil & Gas Corp. ..... 124,772 7,022,168
Chesapeake Energy Corp. ... 177,044 5,961,072
Chevron Corp. ............. 59,167 6,475,237
ConocoPhillips............. 78,542 6,199,320
CONSOL Energy, Inc. ....... 108,846 5,887,480
Denbury Resources, Inc.*... 260,843 5,887,227
Devon Energy Corp. ........ 67,177 6,113,107
El Paso Corp. ............. 345,805 6,712,075
EOG Resources, Inc. ....... 55,366 6,251,375
EQT Corp. ................. 128,977 6,785,480
Exxon Mobil Corp. ......... 75,232 6,620,416
Hess Corp. ................ 75,976 6,530,897
Marathon Oil Corp. ........ 121,434 6,562,293
Massey Energy Co. ......... 95,317 6,504,432
Murphy Oil Corp. .......... 85,560 6,629,189
Newfield Exploration Co.*.. 84,534 5,985,007
Noble Energy, Inc. ........ 64,788 6,237,141
Occidental Petroleum
Corp. .................. 61,441 7,022,092
Peabody Energy Corp. ...... 86,338 5,769,105
Pioneer Natural Resources
Co. .................... 60,570 6,192,071
QEP Resources, Inc. ....... 156,636 6,693,056
Range Resources Corp. ..... 115,563 6,523,531
Southwestern Energy Co.*... 148,342 6,506,280
Spectra Energy Corp. ...... 235,277 6,832,444
Sunoco, Inc. .............. 139,511 5,951,539
Tesoro Corp.*.............. 241,593 6,552,002
Valero Energy Corp. ....... 215,696 6,104,197
Williams Cos., Inc.(The)... 202,989 6,733,145
--------------
TOTAL OIL, GAS & CONSUMABLE FUELS 192,190,238
--------------
PAPER & FOREST PRODUCTS 0.4%
International Paper Co. ... 227,118 7,013,404
MeadWestvaco Corp. ........ 210,058 7,076,854
--------------
TOTAL PAPER & FOREST PRODUCTS 14,090,258
--------------
PERSONAL PRODUCTS 0.4%
Avon Products, Inc. ....... 228,442 6,711,626
Estee Lauder Cos.,
Inc. -- Class A......... 68,009 6,596,873
--------------
TOTAL PERSONAL PRODUCTS 13,308,499
--------------
PHARMACEUTICALS 2.3%
Abbott Laboratories........ 126,845 6,601,014
Allergan, Inc. ............ 85,770 6,823,861
Bristol-Myers Squibb Co. .. 235,873 6,628,031
Eli Lilly & Co. ........... 175,881 6,509,356
Forest Laboratories,
Inc.*................... 196,234 6,507,119
Hospira, Inc.*............. 115,682 6,562,640
Johnson & Johnson, Inc. ... 103,354 6,792,425
Merck & Co., Inc. ......... 190,620 6,852,789
Mylan, Inc.*............... 279,625 6,968,255
Pfizer, Inc. .............. 301,438 6,318,141
Watson Pharmaceuticals,
Inc.*................... 110,157 6,831,937
--------------
TOTAL PHARMACEUTICALS 73,395,568
--------------
PROFESSIONAL SERVICES 0.6%
Dun & Bradstreet Corp. .... 77,873 6,399,603
Equifax, Inc. ............. 169,064 6,344,972
Robert Half International,
Inc. ................... 203,083 6,159,507
--------------
TOTAL PROFESSIONAL SERVICES 18,904,082
--------------
REAL ESTATE INVESTMENT TRUSTS (REITS) 3.0%
Apartment Investment &
Management Co. -- Class
A....................... 246,885 6,656,020
AvalonBay Communities,
Inc. ................... 51,410 6,509,020
Boston Properties, Inc. ... 65,648 6,862,185
Equity Residential......... 110,704 6,611,243
HCP, Inc. ................. 161,411 6,395,104
Health Care REIT, Inc. .... 117,746 6,331,202
Host Hotels & Resorts,
Inc. ................... 347,328 6,178,965
Kimco Realty Corp. ........ 343,607 6,714,081
Plum Creek Timber Co.,
Inc. ................... 142,417 6,136,748
ProLogis................... 407,002 6,630,063
Public Storage, Inc. ...... 55,734 6,538,156
Simon Property Group,
Inc. ................... 58,243 6,671,153
Ventas, Inc. .............. 115,735 6,473,059
Vornado Realty Trust....... 69,888 6,756,772
Weyerhaeuser Co. .......... 247,340 5,691,293
--------------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 97,155,064
--------------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.2%
CB Richard Ellis Group,
Inc. -- Class A*........ 228,876 6,113,278
--------------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 6,113,278
--------------
ROAD & RAIL 0.8%
CSX Corp. ................. 79,383 6,246,648
Norfolk Southern Corp. .... 91,274 6,816,342
Ryder System, Inc. ........ 127,008 6,794,928
Union Pacific Corp. ....... 63,914 6,613,182
--------------
TOTAL ROAD & RAIL 26,471,100
--------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.8%
Advanced Micro Devices,
Inc.*................... 717,734 6,531,379
Altera Corp. .............. 149,612 7,286,104
Analog Devices, Inc. ...... 160,537 6,471,247
Applied Materials, Inc. ... 405,606 6,363,958
Broadcom Corp. -- Class
A*...................... 152,529 5,365,970
First Solar, Inc.*......... 40,367 5,634,022
Intel Corp. ............... 301,856 7,000,041
KLA-Tencor Corp. .......... 133,264 5,850,290
Linear Technology Corp. ... 186,759 6,499,213
LSI Corp.*................. 955,553 7,004,204
MEMC Electronic Materials,
Inc.*................... 487,907 5,771,940
Microchip Technology,
Inc. ................... 168,609 6,919,713
Micron Technology, Inc.*... 589,504 6,655,500
National Semiconductor
Corp. .................. 430,604 10,386,169
Novellus Systems, Inc.*.... 169,289 5,434,177
NVIDIA Corp.*.............. 336,955 6,739,100
Teradyne, Inc.*............ 354,094 5,700,913
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 13
RYDEX S&P 500 EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
--------------------------------------------------------
COMMON STOCKS (CONCLUDED)
Texas Instruments, Inc. ... 181,568 $6,451,111
Xilinx, Inc. .............. 190,158 6,628,908
--------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 124,693,959
--------------
SOFTWARE 2.7%
Adobe Systems, Inc.*....... 188,881 6,336,958
Autodesk, Inc.*............ 155,079 6,975,453
BMC Software, Inc.*........ 126,853 6,371,826
CA, Inc. .................. 263,122 6,470,170
Citrix Systems, Inc.*...... 88,850 7,493,609
Compuware Corp.*........... 552,568 6,260,595
Electronic Arts, Inc.*..... 322,239 6,502,783
Intuit, Inc.*.............. 123,092 6,838,991
Microsoft Corp. ........... 242,183 6,301,602
Oracle Corp. .............. 196,726 7,091,972
Red Hat, Inc.*............. 153,112 7,268,227
Salesforce.com, Inc.*...... 49,190 6,817,734
Symantec Corp.*............ 348,681 6,851,582
--------------
TOTAL SOFTWARE 87,581,502
--------------
SPECIALTY RETAIL 3.7%
Abercrombie & Fitch
Co. -- Class A.......... 112,926 7,995,161
AutoNation, Inc.*.......... 181,358 6,149,850
AutoZone, Inc.*............ 22,950 6,480,621
Bed Bath & Beyond, Inc.*... 131,268 7,366,760
Best Buy Co., Inc. ........ 193,739 6,048,532
CarMax, Inc.*.............. 182,859 6,345,207
GameStop Corp. -- Class
A*...................... 286,708 7,362,662
Gap, Inc.(The)............. 277,000 6,437,480
Home Depot, Inc. .......... 168,067 6,242,008
Limited Brands, Inc. ...... 197,842 8,143,177
Lowe's Cos., Inc. ......... 230,572 6,052,515
O'Reilly Automotive,
Inc.*................... 108,436 6,404,230
RadioShack Corp. .......... 430,594 6,807,691
Ross Stores, Inc. ......... 86,190 6,351,341
Staples, Inc. ............. 306,992 6,489,811
Tiffany & Co. ............. 105,905 7,354,043
TJX Cos., Inc. ............ 123,600 6,627,432
Urban Outfitters, Inc.*.... 193,070 6,073,982
--------------
TOTAL SPECIALTY RETAIL 120,732,503
--------------
TEXTILES, APPAREL & LUXURY GOODS 0.8%
Coach, Inc. ............... 118,396 7,081,265
NIKE, Inc. -- Class B...... 77,912 6,413,716
Polo Ralph Lauren Corp. ... 51,525 6,737,924
V.F. Corp. ................ 63,646 6,400,242
--------------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 26,633,147
--------------
THRIFTS & MORTGAGE FINANCE 0.4%
Hudson City Bancorp,
Inc. ................... 617,316 5,883,022
People's United Financial,
Inc. ................... 486,451 6,659,514
--------------
TOTAL THRIFTS & MORTGAGE FINANCE 12,542,536
--------------
TOBACCO 0.8%
Altria Group, Inc. ........ 245,257 6,582,698
Lorillard, Inc. ........... 69,427 7,393,975
Philip Morris
International, Inc. .... 97,270 6,754,429
Reynolds American, Inc. ... 182,116 6,758,325
--------------
TOTAL TOBACCO 27,489,427
--------------
TRADING COMPANIES & DISTRIBUTORS 0.4%
Fastenal Co. .............. 99,353 6,665,593
W.W. Grainger, Inc. ....... 44,654 6,769,546
--------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 13,435,139
--------------
WIRELESS TELECOMMUNICATION SERVICES 0.6%
American Tower
Corp. -- Class A*....... 117,598 6,151,551
MetroPCS Communications,
Inc.*................... 405,599 6,826,231
Sprint Nextel Corp.*....... 1,188,907 6,158,539
--------------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 19,136,321
--------------
TOTAL COMMON STOCKS
(Cost $2,893,446,286) 3,237,108,772
--------------
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money
Market Fund............. 4,768,362 4,768,362
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $4,768,362) 4,768,362
--------------
TOTAL INVESTMENTS 100.0%(A)
(Cost $2,898,214,648) 3,241,877,134
--------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(B) 1,386,964
--------------
NET ASSETS--100.0% $3,243,264,098
--------------------------------------------------------
</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.
14
RYDEX RUSSELL TOP 50 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-------------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 2.4%
Boeing Co.(The)............. 48,920 $3,902,838
United Technologies Corp. .. 60,140 5,387,341
------------
TOTAL AEROSPACE & DEFENSE 9,290,179
------------
AIR FREIGHT & LOGISTICS 0.9%
United Parcel Service,
Inc. -- Class B.......... 46,030 3,450,869
------------
TOTAL AIR FREIGHT & LOGISTICS 3,450,869
------------
BEVERAGES 4.3%
Coca-Cola Co.(The).......... 135,770 9,159,044
PepsiCo, Inc. .............. 103,950 7,161,116
------------
TOTAL BEVERAGES 16,320,160
------------
BIOTECHNOLOGY 0.9%
Amgen, Inc.*................ 61,740 3,509,919
------------
TOTAL BIOTECHNOLOGY 3,509,919
------------
CAPITAL MARKETS 1.3%
Goldman Sachs Group,
Inc.(The)................ 33,180 5,010,512
------------
TOTAL CAPITAL MARKETS 5,010,512
------------
COMMERCIAL BANKS 3.2%
U.S. Bancorp................ 123,550 3,190,061
Wells Fargo & Co. .......... 313,660 9,130,643
------------
TOTAL COMMERCIAL BANKS 12,320,704
------------
COMMUNICATIONS EQUIPMENT 3.2%
Cisco Systems, Inc. ........ 368,120 6,464,187
QUALCOMM, Inc. ............. 105,730 6,009,693
------------
TOTAL COMMUNICATIONS EQUIPMENT 12,473,880
------------
COMPUTERS & PERIPHERALS 6.8%
Apple, Inc.*................ 58,650 20,423,690
Hewlett-Packard Co. ........ 141,190 5,699,840
------------
TOTAL COMPUTERS & PERIPHERALS 26,123,530
------------
CONSUMER FINANCE 0.9%
American Express Co. ....... 67,590 3,317,317
------------
TOTAL CONSUMER FINANCE 3,317,317
------------
DIVERSIFIED FINANCIAL SERVICES 6.7%
Bank of America Corp. ...... 646,680 7,941,230
Citigroup, Inc.*............ 1,363,580 6,258,832
JPMorgan Chase & Co. ....... 256,450 11,701,814
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES 25,901,876
------------
DIVERSIFIED TELECOMMUNICATION SERVICES 4.9%
AT&T, Inc. ................. 380,870 11,852,674
Verizon Communications,
Inc. .................... 182,200 6,883,516
------------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 18,736,190
------------
ENERGY EQUIPMENT & SERVICES 2.1%
Schlumberger, Ltd. ......... 88,040 7,901,590
------------
TOTAL ENERGY EQUIPMENT & SERVICES 7,901,590
------------
FOOD & STAPLES RETAILING 2.6%
CVS Caremark Corp. ......... 87,720 3,178,973
Wal-Mart Stores, Inc. ...... 124,900 6,867,002
------------
TOTAL FOOD & STAPLES RETAILING 10,045,975
------------
FOOD PRODUCTS 0.9%
Kraft Foods, Inc. -- Class
A........................ 103,390 3,471,836
------------
TOTAL FOOD PRODUCTS 3,471,836
------------
HEALTH CARE EQUIPMENT & SUPPLIES 0.8%
Medtronic, Inc. ............ 71,000 2,964,250
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 2,964,250
------------
HOTELS, RESTAURANTS & LEISURE 1.4%
McDonald's Corp. ........... 69,340 5,430,015
------------
TOTAL HOTELS, RESTAURANTS & LEISURE 5,430,015
------------
HOUSEHOLD PRODUCTS 3.1%
Procter & Gamble Co. ....... 185,630 12,047,387
------------
TOTAL HOUSEHOLD PRODUCTS 12,047,387
------------
INDUSTRIAL CONGLOMERATES 4.8%
3M Co. ..................... 45,960 4,467,771
General Electric Co. ....... 688,160 14,072,872
------------
TOTAL INDUSTRIAL CONGLOMERATES 18,540,643
------------
INSURANCE 2.4%
Berkshire Hathaway,
Inc. -- Class B*......... 111,480 9,286,284
------------
TOTAL INSURANCE 9,286,284
------------
INTERNET & CATALOG RETAIL 1.2%
Amazon.com, Inc.*........... 22,550 4,431,075
------------
TOTAL INTERNET & CATALOG RETAIL 4,431,075
------------
INTERNET SOFTWARE & SERVICES 2.2%
Google, Inc. -- Class A*.... 15,700 8,542,370
------------
TOTAL INTERNET SOFTWARE & SERVICES 8,542,370
------------
IT SERVICES 4.3%
International Business
Machines Corp. .......... 82,650 14,098,437
Visa, Inc. -- Class A....... 30,090 2,350,631
------------
TOTAL IT SERVICES 16,449,068
------------
MEDIA 2.7%
Comcast Corp. -- Class A.... 181,320 4,757,837
Walt Disney Co.(The)........ 126,240 5,440,944
------------
TOTAL MEDIA 10,198,781
------------
OIL, GAS & CONSUMABLE FUELS 14.7%
Chevron Corp. .............. 129,470 14,169,197
ConocoPhillips.............. 95,930 7,571,755
Exxon Mobil Corp. .......... 328,500 28,908,000
Occidental Petroleum
Corp. ................... 52,350 5,983,081
------------
TOTAL OIL, GAS & CONSUMABLE FUELS 56,632,033
------------
PHARMACEUTICALS 9.1%
Abbott Laboratories......... 99,490 5,177,460
Johnson & Johnson, Inc. .... 177,770 11,683,044
Merck & Co., Inc. .......... 200,990 7,225,590
Pfizer, Inc. ............... 519,910 10,897,314
------------
TOTAL PHARMACEUTICALS 34,983,408
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.2%
Intel Corp. ................ 358,630 8,316,630
------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 8,316,630
------------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 15
RYDEX RUSSELL TOP 50 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-------------------------------------------------------
COMMON STOCKS (CONCLUDED)
SOFTWARE 5.7%
Microsoft Corp. ............ 493,700 $12,846,074
Oracle Corp. ............... 245,540 8,851,717
------------
TOTAL SOFTWARE 21,697,791
------------
SPECIALTY RETAIL 1.0%
Home Depot, Inc. ........... 103,000 3,825,420
------------
TOTAL SPECIALTY RETAIL 3,825,420
------------
TOBACCO 3.1%
Altria Group, Inc. ......... 134,230 3,602,733
Philip Morris International,
Inc. .................... 119,360 8,288,359
------------
TOTAL TOBACCO 11,891,092
------------
TOTAL COMMON STOCKS
(Cost $386,028,712) 383,110,784
------------
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market
Fund..................... 889,670 889,670
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $889,670) 889,670
------------
TOTAL INVESTMENTS 100.0%(A)
(Cost $386,918,382) 384,000,454
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(b) 40,808
------------
NET ASSETS--100.0% $384,041,262
-------------------------------------------------------
</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.
16
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 RYDEX RUSSELL
EQUAL WEIGHT ETF TOP 50 ETF
---------------- -------------
ASSETS
Investments at Market Value*............................. $3,241,877,134 $384,000,454
Receivables:
Investments Sold....................................... 6,226,840 225,405
Fund Shares Sold....................................... 46,728,082 --
Dividends.............................................. 2,355,144 498,314
-------------- ------------
TOTAL ASSETS........................................ 3,297,187,200 384,724,173
-------------- ------------
LIABILITIES
Payables:
Investments Purchased.................................. 52,911,882 621,258
Accrued Management Fees................................ 1,011,220 61,653
-------------- ------------
TOTAL LIABILITIES................................... 53,923,102 682,911
-------------- ------------
NET ASSETS............................................... $3,243,264,098 $384,041,262
============== ============
NET ASSETS CONSIST OF:
Paid-in Capital.......................................... $3,156,521,999 $482,525,132
Undistributed Net Investment Income...................... 1,597,696 610,062
Accumulated Net Realized Loss on Investment Securities... (258,518,083) (96,176,004)
Net Unrealized Appreciation (Depreciation) on Investment
Securities............................................. 343,662,486 (2,917,928)
-------------- ------------
NET ASSETS............................................... $3,243,264,098 $384,041,262
============== ============
Shares Outstanding (Unlimited Shares Authorized), No Par
Value.................................................. 62,358,863 4,000,785
============== ============
Net Asset Value, Offering Price and Repurchase Price Per
Share.................................................. $ 52.01 $ 95.99
============== ============
*Total Cost of Investments............................... $2,898,214,648 $386,918,382
============== ============
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 17
STATEMENT OF OPERATIONS (Unaudited) For the Six Months Ended April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 RYDEX RUSSELL
EQUAL WEIGHT ETF TOP 50 ETF
---------------- -------------
INVESTMENT INCOME
Dividends, Net of Foreign Taxes Withheld............... $ 27,705,411 $ 3,822,619
------------ -----------
EXPENSES
Management Fee......................................... 5,924,353 350,992
------------ -----------
Net Investment Income.................................... 21,781,058 3,471,627
------------ -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) From:
Investments............................................ (14,025,444) (21,537)
In-kind Redemptions.................................... 230,380,931 120,632
------------ -----------
Net Realized Gain................................... 216,355,487 99,095
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities.................................. 266,685,601 41,385,901
------------ -----------
Net Realized and Unrealized Gain on Investments.......... 483,041,088 41,484,996
------------ -----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS........................................ $504,822,146 $44,956,623
============ ===========
Foreign Taxes Withheld................................... $ 1,781 --
</Table>
See Notes to Financial Statements.
18
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT ETF RYDEX RUSSELL TOP 50 ETF
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED APRIL 30, 2011 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 (UNAUDITED) OCTOBER 31, 2010
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income.......... $ 21,781,058 $ 28,665,485 $ 3,471,627 $ 6,900,519
Net Realized Gain (Loss)....... 216,355,487 149,473,587 99,095 (7,489,617)
Net Change in Unrealized
Appreciation (Depreciation)
on Investments.............. 266,685,601 138,369,551 41,385,901 32,212,043
--------------- --------------- ------------ ------------
Net Increase in Net Assets
Resulting From Operations... 504,822,146 316,508,623 44,956,623 31,622,945
--------------- --------------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income.......... (20,661,956) (27,968,738) (3,380,614) (6,973,425)
--------------- --------------- ------------ ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares
Purchased................... 1,643,283,470 1,634,617,920 27,507,655 45,555,770
Value of Shares Purchased
through Dividend
Reinvestments............... -- 10,909 -- 9,726
Value of Shares Redeemed....... (1,038,438,835) (1,268,259,958) (8,711,607) (62,207,870)
--------------- --------------- ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions................ 604,844,635 366,368,871 18,796,048 (16,642,374)
--------------- --------------- ------------ ------------
Increase in Net Assets...... 1,089,004,825 654,908,756 60,372,057 8,007,146
NET ASSETS--BEGINNING OF PERIOD.. 2,154,259,273 1,499,350,517 323,669,205 315,662,059
--------------- --------------- ------------ ------------
NET ASSETS--END OF PERIOD(1)..... $ 3,243,264,098 $ 2,154,259,273 $384,041,262 $323,669,205
=============== =============== ============ ============
(1) Including Undistributed Net
Investment Income.............. $ 1,597,696 $ 478,594 $ 610,062 $ 519,049
=============== =============== ============ ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased............... 34,350,000 39,600,000 300,000 550,000
Shares Purchased through
Dividend Reinvestments...... -- 267 -- 115
Shares Redeemed................ (21,100,000) (32,150,000) (100,000) (750,000)
Shares Outstanding, Beginning
of Period................... 49,108,863 41,658,596 3,800,785 4,000,670
--------------- --------------- ------------ ------------
Shares Outstanding, End of
Period...................... 62,358,863 49,108,863 4,000,785 3,800,785
=============== =============== ============ ============
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 19
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009
---------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING OF PERIOD... $ 43.87 $ 35.99 $ 30.01
---------- ---------- ----------
Net Investment Income*.. 0.35 0.60 0.54
Net Realized and
Unrealized Gain (Loss)
on Investments........ 8.12 7.87 5.98
---------- ---------- ----------
TOTAL FROM INVESTMENT
OPERATIONS............ 8.47 8.47 6.52
---------- ---------- ----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income... (0.33) (0.59) (0.54)
---------- ---------- ----------
NET ASSET VALUE AT END
OF PERIOD............. $ 52.01 $ 43.87 $ 35.99
========== ========== ==========
TOTAL RETURN**.......... 19.36% 23.67% 22.21%
RATIOS/SUPPLEMENTAL
DATA:
Net Assets at End of
Period (000's
Omitted).............. $3,243,264 $2,154,259 $1,499,351
RATIO TO AVERAGE NET
ASSETS OF:
Total Expenses.......... 0.40%*** 0.40% 0.40%
Net Investment Income... 1.47%*** 1.48% 1.75%
Portfolio Turnover
Rate+................. 10% 20% 37%
<Caption>
RYDEX S&P 500 EQUAL WEIGHT ETF
-------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006(1)
---------------- ---------------- -------------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING OF PERIOD... $ 50.63 $ 46.06 $ 39.68
-------- ---------- ----------
Net Investment Income*.. 0.72 0.59 0.52
Net Realized and
Unrealized Gain (Loss)
on Investments........ (20.64) 4.56 6.36
-------- ---------- ----------
TOTAL FROM INVESTMENT
OPERATIONS............ (19.92) 5.15 6.88
-------- ---------- ----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income... (0.70) (0.58) (0.50)
-------- ---------- ----------
NET ASSET VALUE AT END
OF PERIOD............. $ 30.01 $ 50.63 $ 46.06
======== ========== ==========
TOTAL RETURN**.......... (39.75)% 11.23% 17.42%
RATIOS/SUPPLEMENTAL
DATA:
Net Assets at End of
Period (000's
Omitted).............. $843,417 $2,177,693 $1,759,797
RATIO TO AVERAGE NET
ASSETS OF:
Total Expenses.......... 0.40% 0.40% 0.40%
Net Investment Income... 1.65% 1.22% 1.21%
Portfolio Turnover
Rate+................. 32% 25% 16%
</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.
20
FINANCIAL HIGHLIGHTS (concluded)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RUSSELL TOP 50 ETF
-----------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009
---------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING OF PERIOD.... $ 85.16 $ 78.90 $ 76.29
-------- -------- --------
Net Investment Income*... 0.89 1.72 1.95
Net Realized and
Unrealized Gain (Loss)
on Investments......... 10.81 6.26 2.61
-------- -------- --------
TOTAL FROM INVESTMENT
OPERATIONS............. 11.70 7.98 4.56
-------- -------- --------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income.... (0.87) (1.72) (1.95)
-------- -------- --------
NET ASSET VALUE AT END OF
PERIOD................. $ 95.99 $ 85.16 $ 78.90
======== ======== ========
TOTAL RETURN**........... 13.80% 10.22% 6.35%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of
Period (000's
Omitted)............... $384,041 $323,669 $315,662
RATIO TO AVERAGE NET
ASSETS OF:
Total Expenses........... 0.20%*** 0.20% 0.20%
Net Investment Income.... 1.98%*** 2.09% 2.79%
Portfolio Turnover
Rate+.................. 1% 9% 12%
<Caption>
RYDEX RUSSELL TOP 50 ETF
----------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006
---------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING OF PERIOD.... $ 116.47 $ 104.15 $ 91.39
-------- -------- --------
Net Investment Income*... 2.34 2.15 1.92
Net Realized and
Unrealized Gain (Loss)
on Investments......... (40.20) 12.25 12.71
-------- -------- --------
TOTAL FROM INVESTMENT
OPERATIONS............. (37.86) 14.40 14.63
-------- -------- --------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income.... (2.32) (2.08) (1.87)
-------- -------- --------
NET ASSET VALUE AT END OF
PERIOD................. $ 76.29 $ 116.47 $ 104.15
======== ======== ========
TOTAL RETURN**........... (32.92)% 13.96% 16.18%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of
Period (000's
Omitted)............... $434,878 $681,355 $364,541
RATIO TO AVERAGE NET
ASSETS OF:
Total Expenses........... 0.20% 0.20% 0.20%
Net Investment Income.... 2.37% 1.96% 1.98%
Portfolio Turnover
Rate+.................. 10% 8% 7%
</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.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 21
NOTES TO FINANCIAL STATEMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
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, 2011, the Trust offers twenty-five 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 Equal Weight ETF and Rydex Russell Top 50 ETF.
Rydex S&P 500 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 500 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 per
share ("NAV"), only in aggregation 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 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 Security Global Investors, an affiliated
entity, which acts as the Funds' investment advisor (the "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 real estate
investment trusts ("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
22
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
large, well-capitalized and well-established financial institutions whose
condition will be continually monitored by Security Global Investors. 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
Security Global Investors, liquidity or other considerations so warrant. For the
six months ended April 30, 2011, 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 -- 2010), 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 REITs and losses deferred due to
wash sales.
For the six months ended April 30, 2011, the Funds realized net capital gains
resulting from in-kind redemptions and other transactions. Because gains from
in-kind redemptions are non-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 NAV. The in-kind net capital
gains for the period ended April 30, 2011 are disclosed in the Fund's Statement
of Operations.
At April 30, 2011, 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 500 Equal Weight ETF..... $2,898,214,648 $389,823,993 $(46,161,507) $343,662,486
Rydex Russell Top 50 ETF........... 386,918,382 41,609,604 (44,527,532) (2,917,928)
</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. Various inputs are used in determining the value of the
Funds' investments. The inputs are summarized in the three broad levels listed
below:
Level 1 -- quoted prices in active markets for identical securities. The
types of assets and liabilities carried at Level 1 fair value generally are
government and agency securities, equities listed in active markets and
stock index futures.
SEMI-ANNUAL REPORT 23
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
Level 2 -- other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.).
The types of assets and liabilities carried at Level 2 fair value generally
are domestic equity index swaps and short term securities with maturities
of 60 days or less, including repurchase agreements.
Level 3 -- significant unobservable inputs (including the fund's own
assumptions used to determine the fair value of investments).
Transfers between investment Levels may occur as the markets fluctuate and/or
the availability of data used in an investment's valuation changes. 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, 2011:
<Table>
<Caption>
LEVEL 1 LEVEL 2 LEVEL 3
INVESTMENTS INVESTMENTS INVESTMENTS
FUND IN SECURITIES IN SECURITIES IN SECURITIES TOTAL
---- -------------- ------------- ------------- --------------
ASSETS
Rydex S&P 500 Equal Weight ETF.......... $3,241,877,134 $-- $-- $3,241,877,134
Rydex Russell Top 50 ETF................ 384,000,454 -- -- 384,000,454
</Table>
For the six months ended April 30, 2011, there were no Level 3 Investments.
The Funds disclose information about transfers in and out of all Levels of the
fair value hierarchy on a gross basis and the reasons for the transfers as well
as to disclosures about the valuation techniques and inputs used to measure fair
value for investments that fall in either Level 2 or Level 3 fair value
hierarchy. Purchases, sales, issuances and settlements are shown on a gross
basis in a Level 3 roll forward rather than as one net number.
For the six months ended April 30, 2011, there were no securities transferred
between any levels.
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 Funds invest 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 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.
3. ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES
The Advisor determines the composition of the portfolio of securities that must
be delivered in exchange for the issuance of Creation Units and periodically
adjusts the composition of the portfolio of the Funds to conform to changes in
the composition of the relevant index. For these services, the Advisor receives
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 Equal Weight ETF...................................... 0.40%
Rydex Russell Top 50 ETF............................................ 0.20%
</Table>
24
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
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 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, LLC, 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, 2011, 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 NAV of the Fund on the transaction date.
Transaction fees are not charged to or paid by the Funds. The minimum
transaction fees are:
<Table>
<Caption>
MINIMUM
TRANSACTION FEE
---------------
Rydex S&P 500 Equal Weight ETF.................................... $2,000
Rydex Russell Top 50 ETF.......................................... 500
</Table>
5. INVESTMENT TRANSACTIONS
For the six months ended April 30, 2011, the Funds had investment transactions
in-kind associated with subscriptions and redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
-------------- --------------
Rydex S&P 500 Equal Weight ETF........................... $1,630,302,866 $1,026,446,458
Rydex Russell Top 50 ETF................................. 27,478,550 8,697,805
</Table>
Purchases and sales of investment securities (excluding short-term investments,
U.S. government and government agency obligations) for the Funds were as
follows:
<Table>
<Caption>
PURCHASES SALES
------------ ------------
Rydex S&P 500 Equal Weight ETF............................. $288,579,841 $311,756,569
Rydex Russell Top 50 ETF................................... 2,401,668 1,989,131
</Table>
There were no purchases or sales of U.S. government or government agency
obligations for the six months ended April 30, 2011.
6. NEW ACCOUNTING PRONOUNCEMENT
In May 2011, the Financial Accounting Standards Board issued an Accounting
Standards Update (ASU 2011-4), Amendments to Achieve Common Fair Value
Measurement and Disclosure Requirements in U.S. GAAP and IFRSs, which introduces
new disclosure requirements and clarifies certain existing disclosure
requirements around fair value measurements currently presented in Note E. The
new disclosures and clarifications of existing disclosures are generally
effective during interim and annual periods beginning after December 15, 2011.
Management is evaluating the impact of this update on its current disclosures.
SEMI-ANNUAL REPORT 25
NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
7. NAME CHANGE
Effective March 1, 2011, the Rydex S&P Equal Weight ETF changed its Fund name to
Rydex S&P 500 Equal Weight ETF. The name change did not have any impact on the
Funds' investment objectives, tickers or CUSIPS.
26
SUPPLEMENTAL INFORMATION (Unaudited)
--------------------------------------------------------------------------------
PROXY VOTING INFORMATION
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to securities held in the Funds' portfolios is
available, without charge and upon request, by calling 1-800-820-0888. This
information is also available from the EDGAR database on the SEC's website at
http://www.sec.gov. Information regarding how the Funds voted proxies for
portfolio securities, if applicable, during the most recent 12-month period
ended June 30, 2010 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.
OFFICE LOCATIONS
The offices of Security Global Investors, LLC can be found in the following
locations:
40 East 52nd Street
16th Floor
New York, NY 10022
(Headquarters)
Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850
9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210
SEMI-ANNUAL REPORT 27
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)
--------------------------------------------------------------------------------
A Board of Trustees oversees all Rydex Investments, in which its members have no
stated term of service, and continue to serve after election until resignation.
The Statement of Additional Information includes further information about Fund
Trustees and Officers, and can be obtained without charge by calling 1-800-820-
0888.
All Trustees and Officers may be reached c/o Rydex Investments, 805 King Farm
Blvd., Suite 600, 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 148
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 148
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 148
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 148
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 148
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 148
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 148
Trustee (1944) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine
------------------------------------------------------------------------------------
</Table>
28
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
--------------------------------------------------------------------------------
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)
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)
NIKOLAOS 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 29
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)
</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)
805 KING FARM BLVD.
SUITE 600
ROCKVILLE, MD 20850
800.820.0888
www.rydex-sgi.com
ETF-SEMI-0411X1011
April 30, 2011
RYDEX ETF TRUST SEMI-ANNUAL REPORT
RYDEX S&P PURE STYLE ETFS
Rydex S&P 500 Pure Value ETF (NYSE Arca, Inc. RPV)
Rydex S&P 500 Pure Growth ETF (NYSE Arca, Inc. RPG)
Rydex S&P MidCap 400 Pure Value ETF (NYSE Arca, Inc. RFV)
Rydex S&P MidCap 400 Pure Growth ETF (NYSE Arca, Inc. RFG)
Rydex S&P SmallCap 600 Pure Value ETF (NYSE Arca, Inc. RZV)
Rydex S&P SmallCap 600 Pure Growth ETF (NYSE Arca, Inc. RZG)
RYDEX S&P 500 EQUAL WEIGHT SECTOR ETFS
Rydex S&P 500 Equal Weight Consumer Discretionary ETF (NYSE Arca, Inc. RCD)
(formerly, Rydex S&P Equal Weight Consumer Discretionary ETF)
Rydex S&P 500 Equal Weight Consumer Staples ETF (NYSE Arca, Inc. RHS)
(formerly, Rydex S&P Equal Weight Consumer Staples ETF)
Rydex S&P 500 Equal Weight Energy ETF (NYSE Arca, Inc. RYE)
(formerly, Rydex S&P Equal Weight Energy ETF)
Rydex S&P 500 Equal Weight Financials ETF (NYSE Arca, Inc. RYF)
(formerly, Rydex S&P Equal Weight Financials ETF)
Rydex S&P 500 Equal Weight Health Care ETF (NYSE Arca, Inc. RYH)
(formerly, Rydex S&P Equal Weight Health Care ETF)
Rydex S&P 500 Equal Weight Industrials ETF (NYSE Arca, Inc. RGI)
(formerly, Rydex S&P Equal Weight Industrials ETF)
Rydex S&P 500 Equal Weight Materials ETF (NYSE Arca, Inc. RTM)
(formerly, Rydex S&P Equal Weight Materials ETF)
Rydex S&P 500 Equal Weight Technology ETF (NYSE Arca, Inc. RYT)
(formerly, Rydex S&P Equal Weight Technology ETF)
Rydex S&P 500 Equal Weight Utilities ETF (NYSE Arca, Inc. RYU)
(formerly, Rydex S&P Equal Weight Utilities ETF)
<Table>
(RYDEX SGI LOGO) (RYDEX SGI LOGO)
</Table>
SEMI-ANNUAL REPORT 1
TABLE OF CONTENTS
--------------------------------------------------------------------------------
<Table>
LETTER TO OUR SHAREHOLDERS............................................... 2
FEES AND EXPENSES........................................................ 4
PREMIUM AND DISCOUNT INFORMATION......................................... 5
PORTFOLIO SUMMARY........................................................ 7
SCHEDULES OF INVESTMENTS................................................. 22
STATEMENT OF ASSETS AND LIABILITIES...................................... 46
STATEMENT OF OPERATIONS.................................................. 50
STATEMENTS OF CHANGES IN NET ASSETS...................................... 54
FINANCIAL HIGHLIGHTS..................................................... 62
NOTES TO FINANCIAL STATEMENTS............................................ 77
SUPPLEMENTAL INFORMATION................................................. 84
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS............................ 85
</Table>
2
LETTER TO OUR SHAREHOLDERS
--------------------------------------------------------------------------------
DEAR SHAREHOLDER:
The equity market rise that began shortly after the depths of the financial
crisis in 2008 continued through the six months ending April 30, 2011. Investors
appeared hopeful the economic recovery was becoming self-sustaining, in spite of
an assortment of first quarter 2011 shocks that ranged from higher oil prices to
turmoil in the Mid East to the effects of the natural disaster in Japan.
Assurance from the Fed that it was not going to immediately reverse its loose
monetary policy, and that inflation was transitory, helped drive stocks at
April's end to their highest level since just before the Lehman Brothers
collapse in September 2008.
Clouding the picture, however, were reports of a slower rate of U.S. output and
uncertainty over the expected conclusion of the Fed's quantitative easing
program in June. The infusion of liquidity helped stocks rise 30% since last
August and 20% over six months ending in April. As investors searching for
higher yields increasingly took on credit risk over the past year, many bond
sectors also benefited, particularly investment grade corporate bonds and high-
yield bonds. Yields on the benchmark 10-year Treasury, meanwhile, have been
sliding since December, reflecting increasingly weaker economic data and the
potential for Treasuries to benefit from the end of the Fed's bond buying. In
April, Standard & Poor's cut its outlook for U.S. sovereign debt for the first
time since it started rating it 70 years ago, highlighting the hit to U.S.
creditworthiness brought about by unfunded government tax cuts and spending
programs, along with fiscal stimulus during the recession that have added
significantly to the nation's debt.
April meeting minutes revealed that the Fed's next moves to maintain the economy
would be to reduce its balance sheet and then consider whether to begin raising
rates. But it also indicated it was in no hurry to make a move, particularly
since it believed the recent run-up in commodity prices would not lead to a
sustained increase in inflation. It has held short-term rates near zero since
December 2008.
Some analysts believe the end of quantitative easing could lead to more caution
in the markets, a view supported by weaker-than-expected U.S. GDP figures in
late April that showed the economy grew at an annual rate of 1.8% in the first
quarter of 2011, compared with estimates of around 2%. The rate was 3.1% for the
fourth quarter of 2010. Although some corners of the economy are showing
strength, such as job creation and export growth, stronger gains may be needed
to help encourage households to spend freely. Unemployment remains stubbornly
high at around 9%, while the prices of houses keep falling and sales are down,
keeping consumers on edge.
Investors in global markets, meanwhile, are increasingly concerned about the
potential for soaring food and energy prices to derail global economic recovery.
The International Monetary Fund said global economic growth would slow to 4.5%
this year, down from 5% last year. Through the first four months of 2011, stocks
in overseas developed markets have risen less than counterparts in the U.S.,
while emerging markets stocks have also underperformed. Central banks throughout
the emerging world have begun hiking rates in an effort to slow inflation, while
China has been tapping the brakes on too-fast growth in its economy. Such moves
contributed to a slowing in commodity price rises at the beginning of May, after
a rapid rise over the prior 12 months.
The price of a barrel of oil rose above $100 in the first quarter of 2011 for
the first time since 2008. The higher price of oil as a production cost caused
the prices of many metals to slip in early 2011, aided by a pullback in demand
due to the Japanese earthquake or China's efforts to slow lending. Gold spent
much of the first quarter of 2011 in negative territory, but has turned in a
spectacular climb over the past 12 months, rising above $1,500 an ounce in mid-
April for the first time. Gold traders said bullion bets have increased as
investors question central banks' ability to successfully manage the withdrawal
of stimulus policies put in place during the financial crisis.
Helped largely by the Fed's liberal monetary policy, the dollar has lost value
against most every other global currency over the past few months, as the value
of the dollar against a basket of other currencies fell to a four-decade low.
Some strategists believe the dollar may be poised to rally, benefiting from
hints at possible Fed tightening.
U.S. economic growth, while not robust, has proven strong enough to overcome
some major shocks in the past year. Many market observers, citing recent data on
unemployment, housing and inflation, say the economy remains fragile. Others
believe the economy is moving into a more mature phase and will continue to
expand, although at a lower level than is customary after a major recession.
Despite indicators of slowing in the U.S. and Europe, a new recession in Japan
and renewed worries about sovereign debt in the eurozone, equity markets are
still being buoyed by solid earnings, reasonable valuations and accommodative
monetary policy.
SEMI-ANNUAL REPORT 3
--------------------------------------------------------------------------------
At Rydex|SGI, our products are designed to help investors navigate uncertain
markets, including hedging or augmenting exposures to the equity or fixed-income
markets, or introducing alternative assets and strategies to portfolios for
overall diversification(1). Thank you for the trust you place in us.
Sincerely,
-s- Michael Byrum
Michael Byrum
President & Chief Investment Officer
Performance displayed represents past performance which is no guarantee of
future results. Of course, 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 us at 800.820.0888 or visit www.rydex-sgi.com.
READ EACH FUND'S PROSPECTUS AND SUMMARY PROSPECTUS (IF AVAILABLE) CAREFULLY
BEFORE INVESTING. IT CONTAINS THE FUND'S INVESTMENT OBJECTIVES, RISKS, CHARGES,
EXPENSES AND OTHER INFORMATION, WHICH SHOULD BE CONSIDERED CAREFULLY BEFORE
INVESTING. OBTAIN A PROSPECTUS AND SUMMARY PROSPECTUS (IF AVAILABLE) AT
WWW.RYDEX-SGI.COM OR CALL 800.820.0888
RYDEX|SGI FUNDS ARE DISTRIBUTED BY RYDEX DISTRIBUTORS, LLC (RDL). Security
Investors, LLC (SI) is a registered investment advisor, and does business as
Security Global Investors(R) and Rydex Investments. SI and RDL are affiliates
and are subsidiaries of Security Benefit Corporation, which is wholly owned by
Guggenheim SBC Holdings, LLC, a special purpose entity managed by an affiliate
of Guggenheim Partners, LLC, a diversified financial services firm with more
than $100 billion in assets under supervision.
--------
(1) Diversification neither assures a profit not eliminates the risk of
experiencing investment losses.
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, 2010 and held for the six months ended April 30, 2011.
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 10/31/10 4/30/11 10/31/10 TO 4/30/11
------- --------- --------- -------------------
ACTUAL
Rydex S&P 500 Pure Value ETF............... 0.35% $1,000.00 $1,249.30 $1.95
Rydex S&P 500 Pure Growth ETF.............. 0.35% $1,000.00 $1,193.80 $1.90
Rydex S&P MidCap 400 Pure Value ETF........ 0.35% $1,000.00 $1,191.00 $1.90
Rydex S&P MidCap 400 Pure Growth ETF....... 0.35% $1,000.00 $1,270.00 $1.97
Rydex S&P SmallCap 600 Pure Value ETF...... 0.35% $1,000.00 $1,199.30 $1.91
Rydex S&P SmallCap 600 Pure Growth ETF..... 0.35% $1,000.00 $1,252.00 $1.95
Rydex S&P 500 Equal Weight Consumer
Discretionary ETF....................... 0.50% $1,000.00 $1,192.60 $2.72
Rydex S&P 500 Equal Weight Consumer Staples
ETF..................................... 0.50% $1,000.00 $1,149.90 $2.67
Rydex S&P 500 Equal Weight Energy ETF...... 0.50% $1,000.00 $1,401.70 $2.92
Rydex S&P 500 Equal Weight Financials ETF.. 0.50% $1,000.00 $1,168.00 $2.69
Rydex S&P 500 Equal Weight Health Care
ETF..................................... 0.50% $1,000.00 $1,210.10 $2.74
Rydex S&P 500 Equal Weight Industrials
ETF..................................... 0.50% $1,000.00 $1,202.80 $2.73
Rydex S&P 500 Equal Weight Materials ETF... 0.50% $1,000.00 $1,191.20 $2.72
Rydex S&P 500 Equal Weight Technology ETF.. 0.50% $1,000.00 $1,164.80 $2.68
Rydex S&P 500 Equal Weight Utilities ETF... 0.50% $1,000.00 $1,102.20 $2.61
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 500 Equal Weight Consumer
Discretionary ETF....................... 0.50% $1,000.00 $1,022.32 $2.51
Rydex S&P 500 Equal Weight Consumer Staples
ETF..................................... 0.50% $1,000.00 $1,022.32 $2.51
Rydex S&P 500 Equal Weight Energy ETF...... 0.50% $1,000.00 $1,022.36 $2.46
Rydex S&P 500 Equal Weight Financials ETF.. 0.50% $1,000.00 $1,022.32 $2.51
Rydex S&P 500 Equal Weight Health Care
ETF..................................... 0.50% $1,000.00 $1,022.32 $2.51
Rydex S&P 500 Equal Weight Industrials
ETF..................................... 0.50% $1,000.00 $1,022.32 $2.51
Rydex S&P 500 Equal Weight Materials ETF... 0.50% $1,000.00 $1,022.32 $2.51
Rydex S&P 500 Equal Weight Technology ETF.. 0.50% $1,000.00 $1,022.32 $2.51
Rydex S&P 500 Equal Weight Utilities ETF... 0.50% $1,000.00 $1,022.32 $2.51
</Table>
--------
* Expenses are equal to the Fund's annualized expense ratio multiplied by the
average account value over the period, multiplied by 181/365 (to reflect
one-half year period).
SEMI-ANNUAL REPORT 5
PREMIUM AND DISCOUNT INFORMATION (Unaudited)
--------------------------------------------------------------------------------
The tables that follow present information about the differences between the
daily market price on secondary markets for shares of the Funds and each Fund's
NAV. Net Asset Value, or "NAV," is the price per share at which a Fund issues
and redeems shares. It is calculated in accordance with the standard formula for
valuing mutual fund shares. The "Market Price" of a Fund generally is determined
using the midpoint between the highest bid and the lowest offer on the Exchange
on which the Fund is listed for trading, as of the time the Fund's NAV is
calculated. A Fund's Market Price may be at, above or below its NAV. The NAV of
a Fund will fluctuate with changes in the market value of its portfolio
holdings. The Market Price of a Fund will fluctuate in accordance with changes
in its NAV, as well as market supply of and demand for shares of the Funds.
Premiums or discounts are the differences (generally expressed as a percentage)
between the NAV and Market Price of a Fund on a given day, generally at the time
NAV is calculated. A premium is the amount that a Fund is trading above the
reported NAV, expressed as a positive percentage of the NAV. A discount is the
amount that a Fund is trading below the reported NAV, expressed as a negative
percentage of the NAV.
The following information shows the frequency distribution of premiums and
discounts for the Funds. The information shown for each Fund is for the period
from inception to April 30, 2011.
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 RYDEX RYDEX
RYDEX S&P 500 S&P S&P S&P S&P
S&P 500 PURE MIDCAP 400 MIDCAP 400 SMALLCAP 600 SMALLCAP 600
PURE VALUE GROWTH PURE VALUE PURE GROWTH PURE VALUE PURE GROWTH
PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF
-------------------------------------------------------------------------------------------------------------
Greater Than 3% 3 2 6 0 4 4
Between 1.01% and 3% 32 17 28 11 21 45
Between .51% and 1% 46 32 40 24 42 50
Between .26% and .5% 67 62 70 35 85 105
Between 0% and .25% 639 716 569 712 548 490
Between -0.01% and -0.25% 597 573 622 605 640 569
Between -0.26% and -0.5% 71 64 80 84 88 127
Between -0.51% and -1% 40 29 44 36 54 83
Between -1.01% and -3% 30 29 56 20 40 50
Less Than -3% 3 4 13 1 6 5
-------------------------------------------------------------------------------------------------------------
Total 1,528 1,528 1,528 1,528 1,528 1,528
</Table>
<Table>
<Caption>
PERCENTAGE OF TOTAL DAYS
------------------------------------------------------------------------
RYDEX RYDEX RYDEX RYDEX RYDEX
RYDEX S&P 500 S&P S&P S&P S&P
S&P 500 PURE MIDCAP 400 MIDCAP 400 SMALLCAP 600 SMALLCAP 600
PURE VALUE GROWTH PURE VALUE PURE GROWTH PURE VALUE PURE GROWTH
PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF
-------------------------------------------------------------------------------------------------------------
Greater Than 3% 0.20% 0.13% 0.39% 0.00% 0.26% 0.26%
Between 1.01% and 3% 2.09% 1.11% 1.83% 0.72% 1.37% 2.95%
Between .51% and 1% 3.01% 2.09% 2.62% 1.57% 2.75% 3.27%
Between .26% and .5% 4.38% 4.06% 4.58% 2.29% 5.56% 6.87%
Between 0% and .25% 41.82% 46.85% 37.24% 46.59% 35.87% 32.07%
Between -0.01% and -0.25% 39.07% 37.50% 40.71% 39.59% 41.89% 37.24%
Between -0.26% and -0.5% 4.65% 4.19% 5.24% 5.50% 5.76% 8.31%
Between -0.51% and -1% 2.62% 1.90% 2.88% 2.36% 3.53% 5.43%
Between -1.01% and -3% 1.96% 1.90% 3.66% 1.31% 2.62% 3.27%
Less Than -3% 0.20% 0.27% 0.85% 0.07% 0.39% 0.33%
-------------------------------------------------------------------------------------------------------------
Total 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 S&P 500 RYDEX RYDEX RYDEX RYDEX RYDEX RYDEX
S&P 500 EQUAL EQUAL S&P 500 S&P 500 S&P 500 S&P 500 S&P 500 S&P 500
WEIGHT WEIGHT EQUAL EQUAL EQUAL EQUAL EQUAL EQUAL
CONSUMER CONSUMER WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT
DISCRETIONARY STAPLES ENERGY FINANCIALS HEALTH CARE INDUSTRIALS MATERIALS TECHNOLOGY
PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF ETF ETF
--------------------------------------------------------------------------------------------------------------------------
Greater Than 30% 0 0 0 1 0 0 0 0
Between 10.01% and 30% 0 0 0 1 0 0 0 0
Between 8.01% and 10% 1 0 0 0 0 0 0 0
Between 3.01% and 8% 7 0 7 12 0 6 3 6
Between 1.01% and 3% 24 25 33 58 7 48 36 26
Between .51% and 1% 37 48 64 59 31 52 46 39
Between .26% and .5% 45 73 78 75 69 79 59 57
Between 0% and .25% 532 507 444 426 555 468 529 582
Between -0.01% and -0.25% 545 505 475 472 567 483 512 483
Between -0.26% and -0.5% 91 107 106 91 81 97 76 73
Between -0.51% and -1% 49 71 85 77 39 79 51 54
Between -1.01% and -3% 19 21 51 67 8 42 39 35
Between -3.01% and -8% 6 0 13 16 0 3 6 2
Between -8.01% and -10% 1 0 0 1 0 0 0 0
Between -10.01% and -30% 0 0 0 1 0 0 0 0
Less Than -30% 0 0 1 0 0 0 0 0
--------------------------------------------------------------------------------------------------------------------------
Total 1,357 1,357 1,357 1,357 1,357 1,357 1,357 1,357
<Caption>
NUMBER OF
DAYS
---------
RYDEX
S&P 500
EQUAL
WEIGHT
UTILITIES
PREMIUM/DISCOUNT RANGE ETF
--------------------------------------
Greater Than 30% 0
Between 10.01% and 30% 0
Between 8.01% and 10% 0
Between 3.01% and 8% 2
Between 1.01% and 3% 39
Between .51% and 1% 45
Between .26% and .5% 80
Between 0% and .25% 485
Between -0.01% and -0.25% 498
Between -0.26% and -0.5% 96
Between -0.51% and -1% 78
Between -1.01% and -3% 28
Between -3.01% and -8% 5
Between -8.01% and -10% 0
Between -10.01% and -30% 0
Less Than -30% 1
--------------------------------------
Total 1,357
</Table>
<Table>
<Caption>
PERCENTAGE OF TOTAL DAYS
---------------------------------------------------------------------------------------------
RYDEX
RYDEX S&P 500 RYDEX RYDEX RYDEX RYDEX RYDEX RYDEX
S&P 500 EQUAL EQUAL S&P 500 S&P 500 S&P 500 S&P 500 S&P 500 S&P 500
WEIGHT WEIGHT EQUAL EQUAL EQUAL EQUAL EQUAL EQUAL
CONSUMER CONSUMER WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT WEIGHT
DISCRETIONARY STAPLES ENERGY FINANCIALS HEALTH CARE INDUSTRIALS MATERIALS TECHNOLOGY
PREMIUM/DISCOUNT RANGE ETF ETF ETF ETF ETF ETF ETF ETF
--------------------------------------------------------------------------------------------------------------------------
Greater Than 30% 0.00% 0.00% 0.00% 0.07% 0.00% 0.00% 0.00% 0.00%
Between 10.01% and 30% 0.00% 0.00% 0.00% 0.07% 0.00% 0.00% 0.00% 0.00%
Between 8.01% and 10% 0.07% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Between 3.01% and 8% 0.52% 0.00% 0.52% 0.88% 0.00% 0.44% 0.22% 0.44%
Between 1.01% and 3% 1.77% 1.84% 2.43% 4.27% 0.52% 3.54% 2.65% 1.92%
Between .51% and 1% 2.73% 3.54% 4.72% 4.35% 2.28% 3.83% 3.39% 2.87%
Between .26% and .5% 3.32% 5.38% 5.75% 5.53% 5.08% 5.82% 4.35% 4.20%
Between 0% and .25% 39.20% 37.36% 32.72% 31.40% 40.90% 34.49% 38.99% 42.89%
Between -0.01% and -0.25% 40.16% 37.21% 35.00% 34.79% 41.79% 35.59% 37.73% 35.59%
Between -0.26% and -0.5% 6.71% 7.89% 7.81% 6.71% 5.97% 7.15% 5.60% 5.38%
Between -0.51% and -1% 3.61% 5.23% 6.26% 5.67% 2.87% 5.82% 3.76% 3.98%
Between -1.01% and -3% 1.40% 1.55% 3.76% 4.94% 0.59% 3.10% 2.87% 2.58%
Between -3.01% and -8% 0.44% 0.00% 0.96% 1.18% 0.00% 0.22% 0.44% 0.15%
Between -8.01% and -10% 0.07% 0.00% 0.00% 0.07% 0.00% 0.00% 0.00% 0.00%
Between -10.01% and -30% 0.00% 0.00% 0.00% 0.07% 0.00% 0.00% 0.00% 0.00%
Less Than -30% 0.00% 0.00% 0.07% 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 500
EQUAL
WEIGHT
UTILITIES
PREMIUM/DISCOUNT 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% 0.15%
Between 1.01% and 3% 2.87%
Between .51% and 1% 3.32%
Between .26% and .5% 5.90%
Between 0% and .25% 35.74%
Between -0.01% and -0.25% 36.70%
Between -0.26% and -0.5% 7.07%
Between -0.51% and -1% 5.75%
Between -1.01% and -3% 2.06%
Between -3.01% and -8% 0.37%
Between -8.01% and -10% 0.00%
Between -10.01% and -30% 0.00%
Less Than -30% 0.07%
--------------------------------------
Total 100.00%
</Table>
SEMI-ANNUAL REPORT 7
RYDEX S&P 500 PURE VALUE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
SUPERVALU, INC. 2.68%
DEAN FOODS CO. 2.48%
TESORO CORP. 2.40%
CONSTELLATION ENERGY GROUP, INC. 2.39%
VALERO ENERGY CORP. 2.12%
SEARS HOLDINGS CORP. 2.08%
COVENTRY HEALTH CARE, INC. 1.97%
NRG ENERGY, INC. 1.96%
TYSON FOODS, INC. -- CLASS A 1.75%
ARCHER-DANIELS-MIDLAND CO. 1.73%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Financials 24.58
Utilities 16.19
Consumer Staples 14.02
Health Care 11.21
Consumer Discretionary 10.91
Energy 9.08
Industrials 5.61
Materials 3.72
Information Technology 3.36
Telecommunication Services 1.32
</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 500 PURE GROWTH ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
PRICELINE.COM, INC. 1.91%
NETFLIX, INC. 1.74%
COGNIZANT TECHNOLOGY SOLUTIONS CORP. -- CLASS A 1.67%
APPLE, INC. 1.58%
AMAZON.COM, INC. 1.58%
WESTERN DIGITAL CORP. 1.56%
CHIPOTLE MEXICAN GRILL, INC. -- CLASS A 1.55%
TENET HEALTHCARE CORP. 1.54%
JOY GLOBAL, INC. 1.43%
COACH, INC. 1.40%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 29.98
Information Technology 28.62
Health Care 16.28
Energy 6.95
Industrials 6.81
Materials 4.15
Consumer Staples 3.42
Financials 2.62
Telecommunication Services 1.17
</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 VALUE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
KINDRED HEALTHCARE, INC. 3.83%
CORELOGIC, INC. 2.54%
OMNICARE, INC. 2.36%
TECH DATA CORP. 2.16%
FIRST AMERICAN FINANCIAL CORP. 2.15%
ARROW ELECTRONICS, INC. 2.04%
URS CORP. 1.97%
SMITHFIELD FOODS, INC. 1.94%
INGRAM MICRO, INC. -- CLASS A 1.92%
UNITRIN, INC. 1.91%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Financials 22.87
Industrials 13.44
Consumer Discretionary 12.57
Health Care 12.48
Information Technology 12.49
Utilities 8.21
Consumer Staples 6.58
Materials 5.83
Energy 4.76
Telecommunication Services 0.77
</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.
10
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
GREEN MOUNTAIN COFFEE ROASTERS, INC. 3.07%
RACKSPACE HOSTING, INC. 2.58%
NEWMARKET CORP. 2.20%
DECKERS OUTDOOR CORP. 1.88%
BUCYRUS INTERNATIONAL, INC. -- CLASS A 1.83%
TIBCO SOFTWARE, INC. 1.74%
RIVERBED TECHNOLOGY, INC. 1.70%
INFORMATICA CORP. 1.69%
MEDICIS PHARMACEUTICAL CORP. -- CLASS A 1.69%
FOSSIL, INC. 1.67%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 29.04
Information Technology 27.56
Health Care 17.06
Energy 6.51
Materials 5.43
Industrials 4.69
Financials 4.44
Consumer Staples 4.31
Telecommunication Services 0.96
</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 VALUE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
CIBER, INC. 2.15%
STARTEK, INC. 1.73%
SCHOOL SPECIALTY, INC. 1.69%
SWS GROUP, INC. 1.56%
KENDLE INTERNATIONAL, INC. 1.56%
MOLINA HEALTHCARE, INC. 1.54%
CORINTHIAN COLLEGES, INC. 1.42%
AUDIOVOX CORP. -- CLASS A 1.40%
SENECA FOODS CORP. -- CLASS A 1.38%
AGILYSYS, INC. 1.36%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 25.10
Industrials 17.28
Financials 15.38
Information Technology 14.72
Health Care 12.75
Consumer Staples 5.57
Materials 3.36
Energy 3.06
Utilities 2.38
Telecommunication Services 0.40
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's investments
market value. These percentages may change over time.
12
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
STURM RUGER & CO., INC. 1.44%
HI-TECH PHARMACAL CO., INC. 1.35%
INTERACTIVE INTELLIGENCE, INC. 1.24%
BJ'S RESTAURANTS, INC. 1.18%
AIR METHODS CORP. 1.15%
SYNCHRONOSS TECHNOLOGIES, INC. 1.14%
RIGHTNOW TECHNOLOGIES, INC. 1.14%
LIVEPERSON, INC. 1.12%
JOS A BANK CLOTHIERS, INC. 1.10%
REGENERON PHARMACEUTICALS, INC. 1.09%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Information Technology 32.53
Consumer Discretionary 26.36
Health Care 21.96
Financials 5.07
Materials 4.44
Industrials 3.86
Consumer Staples 3.28
Energy 1.43
Telecommunication Services 1.07
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's investments
market value. These percentages may change over time.
SEMI-ANNUAL REPORT 13
RYDEX S&P EQUAL WEIGHT CONSUMER DISCRETIONARY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
LIMITED BRANDS, INC. 1.56%
ABERCROMBIE & FITCH CO. -- CLASS A 1.55%
WYNN RESORTS LTD. 1.45%
BED BATH & BEYOND, INC. 1.43%
GOODYEAR TIRE & RUBBER CO.(THE) 1.42%
GAMESTOP CORP. -- CLASS A 1.42%
PRICELINE.COM, INC. 1.42%
AMAZON.COM, INC. 1.41%
TIFFANY & CO. 1.40%
COACH, INC. 1.38%
------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Specialty Retail 23.21
Media 19.82
Hotels, Restaurants & Leisure 13.52
Household Durables 11.01
Multiline Retail 9.66
Internet & Catalog Retail 5.46
Textiles, Apparel & Luxury Goods 5.15
Diversified Consumer Services 3.60
Auto Components 2.63
Leisure Equipment & Products 2.43
Automobiles 2.31
Distributors 1.20
</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 CONSUMER STAPLES ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
SUPERVALU, INC. 3.09%
LORILLARD, INC. 2.73%
CONSTELLATION BRANDS, INC. -- CLASS A 2.71%
MEAD JOHNSON NUTRITION CO. 2.67%
COSTCO WHOLESALE CORP. 2.55%
SARA LEE CORP. 2.53%
PHILIP MORRIS INTERNATIONAL, INC. 2.51%
MOLSON COORS BREWING CO. -- CLASS B 2.51%
REYNOLDS AMERICAN, INC. 2.48%
COCA-COLA ENTERPRISES, INC. 2.47%
------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Food Products 36.02
Food & Staples Retailing 22.16
Beverages 17.30
Tobacco 10.18
Household Products 9.44
Personal Products 4.90
</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 ENERGY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
OCCIDENTAL PETROLEUM CORP. 2.68%
CABOT OIL & GAS CORP. 2.67%
NABORS INDUSTRIES, LTD. 2.64%
HALLIBURTON CO. 2.63%
BAKER HUGHES, INC. 2.60%
EL PASO CORP. 2.59%
EQT CORP. 2.59%
WILLIAMS COS., INC.(THE) 2.57%
SPECTRA ENERGY CORP. 2.57%
MURPHY OIL CORP. 2.56%
------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Oil, Gas & Consumable Fuels 73.53
Energy Equipment & Services 26.47
</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.
16
RYDEX S&P EQUAL WEIGHT FINANCIALS ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
MOODY'S CORP. 1.42%
NYSE EURONEXT 1.35%
BOSTON PROPERTIES, INC. 1.33%
HARTFORD FINANCIAL SERVICES GROUP, INC.(THE) 1.33%
DISCOVER FINANCIAL SERVICES 1.32%
SLM CORP. 1.32%
CHUBB CORP.(THE) 1.32%
VORNADO REALTY TRUST 1.31%
LEUCADIA NATIONAL CORP. 1.31%
XL GROUP PLC 1.30%
------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Insurance 27.01
Real Estate Investment Trusts (REITs) 18.82
Capital Markets 18.00
Commercial Banks 16.30
Diversified Financial Services 11.10
Consumer Finance 5.18
Thrifts & Mortgage Finance 2.42
Real Estate Management & Development 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 17
RYDEX S&P EQUAL WEIGHT HEALTH CARE ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
BIOGEN IDEC, INC. 2.43%
CEPHALON, INC. 2.38%
AETNA, INC. 2.04%
WATERS CORP. 2.03%
HUMANA, INC. 2.03%
CERNER CORP. 2.02%
AGILENT TECHNOLOGIES, INC. 2.02%
UNITEDHEALTH GROUP, INC. 2.00%
WELLPOINT, INC. 2.00%
MYLAN, INC. 2.00%
------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Health Care Providers & Services 30.64
Health Care Equipment & Supplies 26.10
Pharmaceuticals 21.09
Biotechnology 10.29
Life Sciences Tools & Services 9.86
Health Care Technology 2.02
</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 INDUSTRIALS ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
CUMMINS, INC. 1.90%
BOEING CO.(THE) 1.84%
EXPEDITORS INTERNATIONAL OF WASHINGTON, INC. 1.82%
NORFOLK SOUTHERN CORP. 1.79%
RYDER SYSTEM, INC. 1.79%
CINTAS CORP. 1.79%
UNITED TECHNOLOGIES CORP. 1.78%
W.W. GRAINGER, INC. 1.78%
HONEYWELL INTERNATIONAL, INC. 1.77%
IRON MOUNTAIN, INC. 1.76%
------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Machinery 24.18
Aerospace & Defense 20.09
Commercial Services & Supplies 13.66
Road & Rail 6.97
Air Freight & Logistics 6.96
Industrial Conglomerates 6.80
Professional Services 4.98
Electrical Equipment 4.92
Construction & Engineering 4.82
Trading Companies & Distributors 3.54
Airlines 1.54
Building Products 1.54
</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 MATERIALS ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
ALLEGHENY TECHNOLOGIES, INC. 3.61%
MEADWESTVACO CORP. 3.60%
FMC CORP. 3.54%
INTERNATIONAL PAPER CO. 3.54%
NEWMONT MINING CORP. 3.53%
TITANIUM METALS CORP. 3.52%
SIGMA-ALDRICH CORP. 3.52%
DOW CHEMICAL CO.(THE) 3.51%
EASTMAN CHEMICAL CO. 3.48%
AIRGAS, INC. 3.44%
------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Chemicals 47.24
Metals & Mining 29.70
Containers & Packaging 12.65
Paper & Forest Products 7.16
Construction Materials 3.25
</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 TECHNOLOGY ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
NATIONAL SEMICONDUCTOR CORP. 2.17%
CITRIX SYSTEMS, INC. 1.58%
ALTERA CORP. 1.53%
RED HAT, INC. 1.52%
WESTERN DIGITAL CORP. 1.47%
ORACLE CORP. 1.47%
INTEL CORP. 1.46%
SALESFORCE.COM, INC. 1.45%
MICROCHIP TECHNOLOGY, INC. 1.44%
LSI CORP. 1.44%
------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Semiconductors & Semiconductor Equipment 25.97
Software 18.23
IT Services 17.55
Communications Equipment 11.84
Computers & Peripherals 10.63
Internet Software & Services 7.89
Electronic Equipment, Instruments &
Components 6.64
Office Electronics 1.25
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's
investments market value. These percentages may change over time.
SEMI-ANNUAL REPORT 21
RYDEX S&P EQUAL WEIGHT UTILITIES ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
CONSTELLATION ENERGY GROUP, INC. 2.69%
NRG ENERGY, INC. 2.65%
METROPCS COMMUNICATIONS, INC. 2.56%
CENTERPOINT ENERGY, INC. 2.53%
PPL CORP. 2.53%
AT&T, INC. 2.53%
EDISON INTERNATIONAL 2.49%
FIRSTENERGY CORP. 2.48%
ONEOK, INC. 2.48%
TECO ENERGY, INC. 2.46%
------------------------------------------------------------------------------------
</Table>
INDUSTRY ALLOCATIONS*
(PIE CHART)
<Table>
Multi-Utilities 36.49
Electric Utilities 31.78
Diversified Telecommunication Services 11.75
Independent Power Producers & Energy
Traders 7.83
Wireless Telecommunication Services 7.27
Gas Utilities 4.88
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Industry Allocations are expressed as a percentage of the Fund's
investments market value. These percentages may change over time.
22
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 1.7%
L-3 Communications Holdings,
Inc. ..................... 14,158 $1,135,330
Northrop Grumman Corp. ...... 13,228 841,433
------------
TOTAL AEROSPACE & DEFENSE 1,976,763
------------
AUTO COMPONENTS 0.6%
Goodyear Tire & Rubber
Co.(The)*................. 35,906 651,694
------------
TOTAL AUTO COMPONENTS 651,694
------------
BUILDING PRODUCTS 0.5%
Masco Corp. ................. 42,100 564,982
------------
TOTAL BUILDING PRODUCTS 564,982
------------
CAPITAL MARKETS 1.3%
Goldman Sachs Group,
Inc.(The)................. 2,732 412,559
Legg Mason, Inc. ............ 16,392 608,963
Morgan Stanley............... 20,170 527,446
------------
TOTAL CAPITAL MARKETS 1,548,968
------------
COMMERCIAL BANKS 2.7%
BB&T Corp. .................. 23,278 626,644
Fifth Third Bancorp.......... 53,250 706,628
PNC Financial Services Group,
Inc. ..................... 9,330 581,632
Regions Financial Corp. ..... 89,980 660,453
SunTrust Banks, Inc. ........ 19,228 542,037
------------
TOTAL COMMERCIAL BANKS 3,117,394
------------
COMMERCIAL SERVICES & SUPPLIES 1.0%
R.R. Donnelley & Sons Co. ... 61,722 1,164,077
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,164,077
------------
COMPUTERS & PERIPHERALS 0.4%
Dell, Inc.*.................. 27,542 427,176
------------
TOTAL COMPUTERS & PERIPHERALS 427,176
------------
CONSTRUCTION & ENGINEERING 1.2%
Jacobs Engineering Group,
Inc.*..................... 18,138 899,826
Quanta Services, Inc.*....... 25,328 549,111
------------
TOTAL CONSTRUCTION & ENGINEERING 1,448,937
------------
CONSUMER FINANCE 2.4%
Capital One Financial
Corp. .................... 28,598 1,565,169
Discover Financial Services.. 21,240 527,602
SLM Corp.*................... 39,570 656,466
------------
TOTAL CONSUMER FINANCE 2,749,237
------------
CONTAINERS & PACKAGING 0.4%
Sealed Air Corp. ............ 16,964 437,162
------------
TOTAL CONTAINERS & PACKAGING 437,162
------------
DIVERSIFIED FINANCIAL SERVICES 3.8%
Bank of America Corp. ....... 111,032 1,363,473
Citigroup, Inc.*............. 158,542 727,708
JPMorgan Chase & Co. ........ 17,640 804,913
Nasdaq OMX Group (The)*...... 31,764 860,805
NYSE Euronext................ 15,342 614,447
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES 4,371,346
------------
ELECTRIC UTILITIES 4.4%
American Electric Power Co.,
Inc. ..................... 14,124 515,244
Duke Energy Corp. ........... 25,274 471,360
Edison International......... 15,386 604,208
Entergy Corp. ............... 5,158 359,616
FirstEnergy Corp. ........... 19,696 787,052
Northeast Utilities.......... 12,422 442,223
Pepco Holdings, Inc. ........ 73,484 1,416,037
Progress Energy, Inc. ....... 10,100 479,245
------------
TOTAL ELECTRIC UTILITIES 5,074,985
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 1.3%
Jabil Circuit, Inc. ......... 74,308 1,474,271
------------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 1,474,271
------------
ENERGY EQUIPMENT & SERVICES 0.6%
Rowan Cos., Inc.*............ 16,190 675,123
------------
TOTAL ENERGY EQUIPMENT & SERVICES 675,123
------------
FOOD & STAPLES RETAILING 7.6%
Costco Wholesale Corp. ...... 10,854 878,306
CVS Caremark Corp. .......... 35,142 1,273,546
Kroger Co.(The).............. 44,222 1,075,037
Safeway, Inc. ............... 35,674 867,235
SUPERVALU, Inc. ............. 276,710 3,115,754
Sysco Corp. ................. 16,264 470,192
Wal-Mart Stores, Inc. ....... 9,266 509,445
Walgreen Co. ................ 16,146 689,757
------------
TOTAL FOOD & STAPLES RETAILING 8,879,272
------------
FOOD PRODUCTS 6.3%
Archer-Daniels-Midland Co. .. 54,266 2,008,927
ConAgra Foods, Inc. ......... 18,616 455,161
Dean Foods Co.*.............. 257,270 2,878,851
Tyson Foods, Inc. -- Class
A......................... 102,136 2,032,507
------------
TOTAL FOOD PRODUCTS 7,375,446
------------
GAS UTILITIES 1.1%
Nicor, Inc. ................. 8,778 486,565
Oneok, Inc. ................. 10,800 755,352
------------
TOTAL GAS UTILITIES 1,241,917
------------
HEALTH CARE EQUIPMENT & SUPPLIES 0.9%
Boston Scientific Corp.*..... 59,952 449,041
CareFusion Corp.*............ 19,790 581,232
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,030,273
------------
HEALTH CARE PROVIDERS & SERVICES 10.3%
Aetna, Inc. ................. 43,136 1,784,968
Cardinal Health, Inc. ....... 31,310 1,367,934
Coventry Health Care, Inc.*.. 71,038 2,292,396
Humana, Inc.*................ 25,422 1,935,123
McKesson Corp. .............. 18,942 1,572,375
UnitedHealth Group, Inc. .... 22,690 1,117,029
WellPoint, Inc. ............. 24,608 1,889,648
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 11,959,473
------------
HOUSEHOLD DURABLES 1.9%
D.R. Horton, Inc. ........... 68,104 847,214
Whirlpool Corp. ............. 15,998 1,378,707
------------
TOTAL HOUSEHOLD DURABLES 2,225,921
------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 5.2%
AES Corp.(The)*.............. 77,962 1,032,217
Constellation Energy Group,
Inc. ..................... 76,132 2,772,727
NRG Energy, Inc.*............ 94,058 2,276,204
------------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 6,081,148
------------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 23
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONCLUDED)
INDUSTRIAL CONGLOMERATES 0.4%
General Electric Co. ........ 23,592 $482,456
------------
TOTAL INDUSTRIAL CONGLOMERATES 482,456
------------
INSURANCE 13.9%
ACE Ltd. .................... 12,082 812,514
Allstate Corp. .............. 40,788 1,380,266
Assurant, Inc. .............. 39,008 1,548,618
Chubb Corp.(The)............. 8,344 543,945
Cincinnati Financial Corp. .. 22,616 716,475
Genworth Financial,
Inc. -- Class A*.......... 86,118 1,049,778
Hartford Financial Services
Group, Inc.(The).......... 65,648 $1,901,823
Lincoln National Corp. ...... 35,388 1,105,167
Loews Corp. ................. 17,132 758,262
MetLife, Inc. ............... 11,382 532,564
Principal Financial Group,
Inc. ..................... 23,050 777,938
Prudential Financial, Inc. .. 19,874 1,260,409
Torchmark Corp. ............. 6,066 405,937
Travelers Cos., Inc.(The).... 12,940 818,843
Unum Group................... 51,746 1,370,234
XL Group PLC................. 48,910 1,194,382
------------
TOTAL INSURANCE 16,177,155
------------
IT SERVICES 1.3%
Computer Sciences Corp. ..... 28,752 1,465,777
------------
TOTAL IT SERVICES 1,465,777
------------
MEDIA 2.3%
CBS Corp. -- Class B......... 25,318 638,520
Gannett Co., Inc. ........... 43,994 662,550
Time Warner, Inc. ........... 18,794 711,541
Washington Post
Co.(The) -- Class B....... 1,494 651,234
------------
TOTAL MEDIA 2,663,845
------------
METALS & MINING 1.2%
AK Steel Holding Corp. ...... 54,424 884,390
Alcoa, Inc. ................. 32,686 555,662
------------
TOTAL METALS & MINING 1,440,052
------------
MULTI-UTILITIES 5.5%
Ameren Corp. ................ 36,394 1,066,708
CenterPoint Energy, Inc. .... 23,316 433,678
CMS Energy Corp. ............ 29,628 586,635
Consolidated Edison, Inc. ... 10,070 524,848
DTE Energy Co. .............. 14,632 739,355
Integrys Energy Group,
Inc. ..................... 14,124 739,533
NiSource, Inc. .............. 55,494 1,079,358
SCANA Corp. ................. 9,266 384,724
Sempra Energy................ 7,836 431,764
Xcel Energy, Inc. ........... 15,682 381,543
------------
TOTAL MULTI-UTILITIES 6,368,146
------------
MULTILINE RETAIL 2.8%
J.C. Penney Co., Inc. ....... 23,568 906,189
Sears Holdings Corp.*........ 28,040 2,410,599
------------
TOTAL MULTILINE RETAIL 3,316,788
------------
OFFICE ELECTRONICS 0.5%
Xerox Corp. ................. 52,466 529,382
------------
TOTAL OFFICE ELECTRONICS 529,382
------------
OIL, GAS & CONSUMABLE FUELS 8.5%
ConocoPhillips............... 9,784 772,251
Hess Corp. .................. 4,700 404,012
Marathon Oil Corp. .......... 30,718 1,660,001
QEP Resources, Inc. ......... 18,804 803,495
Sunoco, Inc. ................ 22,448 957,632
Tesoro Corp.*................ 102,654 2,783,976
Valero Energy Corp. ......... 87,154 2,466,458
------------
TOTAL OIL, GAS & CONSUMABLE FUELS 9,847,825
------------
PAPER & FOREST PRODUCTS 1.6%
International Paper Co. ..... 30,708 948,263
MeadWestvaco Corp. .......... 26,896 906,126
------------
TOTAL PAPER & FOREST PRODUCTS 1,854,389
------------
REAL ESTATE INVESTMENT TRUSTS (REITS) 0.5%
Weyerhaeuser Co. ............ 25,234 580,634
------------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 580,634
------------
ROAD & RAIL 0.7%
Ryder System, Inc. .......... 16,116 862,206
------------
TOTAL ROAD & RAIL 862,206
------------
SPECIALTY RETAIL 3.3%
AutoNation, Inc.*............ 30,092 1,020,420
GameStop Corp. -- Class A*... 68,582 1,761,186
Lowe's Cos., Inc. ........... 17,960 471,450
RadioShack Corp. ............ 33,830 534,852
------------
TOTAL SPECIALTY RETAIL 3,787,908
------------
THRIFTS & MORTGAGE FINANCE 0.4%
People's United Financial,
Inc. ..................... 38,628 528,817
------------
TOTAL THRIFTS & MORTGAGE FINANCE 528,817
------------
WIRELESS TELECOMMUNICATION SERVICES 1.3%
Sprint Nextel Corp.*......... 296,012 1,533,342
------------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 1,533,342
------------
TOTAL COMMON STOCKS
(Cost $104,164,689) 115,914,287
------------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund...................... 166,522 166,522
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $166,522) 166,522
------------
TOTAL INVESTMENTS 99.9%(A)
(Cost $104,331,211) 116,080,809
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 70,563
------------
NET ASSETS--100.0% $116,151,372
------------------------------------------------------
</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.
24
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 0.8%
Goodrich Corp. .............. 16,581 $1,465,263
Precision Castparts Corp. ... 4,844 748,495
------------
TOTAL AEROSPACE & DEFENSE 2,213,758
------------
BEVERAGES 1.6%
Coca-Cola Co.(The)........... 10,748 725,060
Coca-Cola Enterprises,
Inc. ..................... 73,882 2,098,988
Dr Pepper Snapple Group,
Inc. ..................... 32,476 1,273,059
------------
TOTAL BEVERAGES 4,097,107
------------
BIOTECHNOLOGY 2.3%
Biogen Idec, Inc.*........... 29,529 2,874,648
Celgene Corp.*............... 26,219 1,543,775
Gilead Sciences, Inc.*....... 43,819 1,701,930
------------
TOTAL BIOTECHNOLOGY 6,120,353
------------
CAPITAL MARKETS 0.5%
Ameriprise Financial, Inc. .. 22,676 1,407,273
------------
TOTAL CAPITAL MARKETS 1,407,273
------------
CHEMICALS 2.3%
CF Industries Holdings,
Inc. ..................... 21,142 2,992,650
FMC Corp. ................... 13,695 1,208,995
International Flavors &
Fragrances, Inc. ......... 16,722 1,062,181
Sigma-Aldrich Corp. ......... 12,332 870,393
------------
TOTAL CHEMICALS 6,134,219
------------
COMMERCIAL SERVICES & SUPPLIES 0.6%
Stericycle, Inc.*............ 17,217 1,571,568
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,571,568
------------
COMMUNICATIONS EQUIPMENT 3.0%
F5 Networks, Inc.*........... 27,187 2,755,674
JDS Uniphase Corp.*.......... 125,896 2,623,673
Juniper Networks, Inc.*...... 67,091 2,571,598
------------
TOTAL COMMUNICATIONS EQUIPMENT 7,950,945
------------
COMPUTERS & PERIPHERALS 5.9%
Apple, Inc.*................. 11,989 4,174,929
EMC Corp.*................... 71,460 2,025,176
NetApp, Inc.*................ 62,539 3,250,777
SanDisk Corp.*............... 39,227 1,927,615
Western Digital Corp.*....... 103,522 4,120,176
------------
TOTAL COMPUTERS & PERIPHERALS 15,498,673
------------
CONTAINERS & PACKAGING 0.4%
Ball Corp. .................. 27,924 1,041,844
------------
TOTAL CONTAINERS & PACKAGING 1,041,844
------------
DIVERSIFIED CONSUMER SERVICES 1.1%
Apollo Group, Inc. -- Class
A*........................ 28,691 1,148,501
DeVry, Inc. ................. 30,558 1,616,518
------------
TOTAL DIVERSIFIED CONSUMER SERVICES 2,765,019
------------
DIVERSIFIED FINANCIAL SERVICES 0.7%
IntercontinentalExchange,
Inc.*..................... 15,531 1,869,156
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES 1,869,156
------------
ELECTRICAL EQUIPMENT 0.4%
Rockwell Automation, Inc. ... 10,556 919,744
------------
TOTAL ELECTRICAL EQUIPMENT 919,744
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 1.1%
Amphenol Corp. -- Class A.... 22,162 1,239,077
FLIR Systems, Inc. .......... 44,475 1,566,410
------------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 2,805,487
------------
ENERGY EQUIPMENT & SERVICES 3.5%
Cameron International
Corp.*.................... 41,528 $2,189,356
Diamond Offshore Drilling,
Inc. ..................... 22,989 1,744,175
FMC Technologies, Inc.*...... 55,253 2,568,159
National-Oilwell Varco,
Inc. ..................... 36,421 2,793,127
------------
TOTAL ENERGY EQUIPMENT & SERVICES 9,294,817
------------
FOOD & STAPLES RETAILING 1.1%
Whole Foods Market, Inc. .... 47,664 2,991,393
------------
TOTAL FOOD & STAPLES RETAILING 2,991,393
------------
HEALTH CARE EQUIPMENT & SUPPLIES 3.1%
Edwards Lifesciences Corp.*.. 25,270 2,182,065
Intuitive Surgical, Inc.*.... 8,760 3,063,372
St Jude Medical, Inc. ....... 32,435 1,733,326
Varian Medical Systems,
Inc.*..................... 18,539 1,301,438
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 8,280,201
------------
HEALTH CARE PROVIDERS & SERVICES 5.1%
CIGNA Corp. ................. 72,762 3,407,445
Express Scripts, Inc.*....... 31,224 1,771,650
Laboratory Corp. of America
Holdings*................. 15,208 1,467,116
Medco Health Solutions,
Inc.*..................... 28,610 1,697,431
Patterson Cos., Inc. ........ 33,616 1,166,811
Tenet Healthcare Corp.*...... 589,686 4,086,524
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 13,596,977
------------
HEALTH CARE TECHNOLOGY 0.7%
Cerner Corp.*................ 15,208 1,827,697
------------
TOTAL HEALTH CARE TECHNOLOGY 1,827,697
------------
HOTELS, RESTAURANTS & LEISURE 6.4%
Chipotle Mexican Grill,
Inc.*..................... 15,432 4,117,103
Darden Restaurants, Inc. .... 41,235 1,936,808
Starbucks Corp. ............. 72,863 2,636,912
Starwood Hotels & Resorts
Worldwide, Inc. .......... 17,126 1,020,196
Wyndham Worldwide Corp. ..... 69,331 2,399,546
Wynn Resorts Ltd. ........... 23,383 3,440,809
Yum! Brands, Inc. ........... 25,310 1,357,628
------------
TOTAL HOTELS, RESTAURANTS & LEISURE 16,909,002
------------
INTERNET & CATALOG RETAIL 6.4%
Amazon.com, Inc.*............ 21,223 4,170,320
Expedia, Inc. ............... 119,427 2,989,258
Netflix, Inc.*............... 19,770 4,599,886
Priceline.com, Inc.*......... 9,234 5,051,090
------------
TOTAL INTERNET & CATALOG RETAIL 16,810,554
------------
INTERNET SOFTWARE & SERVICES 2.8%
Akamai Technologies, Inc.*... 69,149 2,381,492
eBay, Inc.*.................. 84,388 2,902,947
Google, Inc. -- Class A*..... 3,774 2,053,433
------------
TOTAL INTERNET SOFTWARE & SERVICES 7,337,872
------------
IT SERVICES 4.7%
Cognizant Technology
Solutions Corp. -- Class
A*........................ 53,467 4,432,414
International Business
Machines Corp. ........... 6,297 1,074,142
Mastercard, Inc. -- Class A.. 8,134 2,244,089
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 25
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONCLUDED)
Teradata Corp.*.............. 47,210 $2,639,983
Visa, Inc. -- Class A........ 26,521 2,071,821
------------
TOTAL IT SERVICES 12,462,449
------------
LEISURE EQUIPMENT & PRODUCTS 0.7%
Hasbro, Inc. ................ 38,864 1,820,390
------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 1,820,390
------------
LIFE SCIENCES TOOLS & SERVICES 1.7%
Agilent Technologies, Inc.*.. 18,589 927,777
Life Technologies Corp.*..... 40,842 2,254,478
Waters Corp.*................ 14,189 1,390,522
------------
TOTAL LIFE SCIENCES TOOLS & SERVICES 4,572,777
------------
MACHINERY 4.0%
Cummins, Inc. ............... 14,623 1,757,392
Deere & Co. ................. 13,170 1,284,075
Flowserve Corp. ............. 18,357 2,324,363
Ingersoll-Rand PLC........... 26,955 1,361,228
Joy Global, Inc. ............ 37,501 3,785,726
------------
TOTAL MACHINERY 10,512,784
------------
MEDIA 4.2%
Cablevision Systems
Corp. -- Class A.......... 49,803 1,754,560
Comcast Corp. -- Class A..... 65,617 1,721,790
DIRECTV -- Class A*.......... 51,660 2,510,159
Discovery Communications,
Inc. -- Class A*.......... 75,225 3,329,459
Interpublic Group of Cos.,
Inc. ..................... 87,870 1,032,473
Scripps Networks
Interactive -- Class A.... 13,301 683,937
------------
TOTAL MEDIA 11,032,378
------------
METALS & MINING 1.4%
Freeport-McMoRan Copper &
Gold, Inc. ............... 43,486 2,393,034
Newmont Mining Corp. ........ 24,029 1,408,340
------------
TOTAL METALS & MINING 3,801,374
------------
MULTILINE RETAIL 1.4%
Family Dollar Stores, Inc. .. 21,738 1,178,417
Nordstrom, Inc. ............. 55,061 2,618,150
------------
TOTAL MULTILINE RETAIL 3,796,567
------------
OIL, GAS & CONSUMABLE FUELS 3.4%
CONSOL Energy, Inc. ......... 17,560 949,820
Massey Energy Co. ........... 43,183 2,946,808
Peabody Energy Corp. ........ 20,618 1,377,695
Pioneer Natural Resources
Co. ...................... 23,696 2,422,442
Southwestern Energy Co.*..... 31,254 1,370,801
------------
TOTAL OIL, GAS & CONSUMABLE FUELS 9,067,566
------------
PERSONAL PRODUCTS 0.7%
Estee Lauder Cos.,
Inc. -- Class A........... 20,083 1,948,051
------------
TOTAL PERSONAL PRODUCTS 1,948,051
------------
PHARMACEUTICALS 3.6%
Allergan, Inc. .............. 23,564 1,874,752
Eli Lilly & Co. ............. 21,243 786,203
Hospira, Inc.*............... 28,590 1,621,911
Mylan, Inc.*................. 102,685 2,558,910
Watson Pharmaceuticals,
Inc.*..................... 43,688 2,709,530
------------
TOTAL PHARMACEUTICALS 9,551,306
------------
REAL ESTATE INVESTMENT TRUSTS (REITS) 0.9%
Ventas, Inc. ................ 41,155 2,301,799
------------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 2,301,799
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.5%
CB Richard Ellis Group,
Inc. -- Class A*.......... 50,197 1,340,762
------------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 1,340,762
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 5.0%
Advanced Micro Devices,
Inc.*..................... 161,147 1,466,438
Altera Corp. ................ 31,527 1,535,365
Analog Devices, Inc. ........ 31,487 1,269,241
Broadcom Corp. -- Class A*... 49,016 1,724,383
First Solar, Inc.*........... 11,767 1,642,320
Linear Technology Corp. ..... 33,222 1,156,126
Micron Technology, Inc.*..... 318,579 3,596,757
Xilinx, Inc. ................ 25,775 898,516
------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 13,289,146
------------
SOFTWARE 6.4%
BMC Software, Inc.*.......... 28,792 1,446,222
Citrix Systems, Inc.*........ 30,013 2,531,296
Intuit, Inc.*................ 34,464 1,914,820
Microsoft Corp. ............. 30,054 782,005
Oracle Corp. ................ 58,432 2,106,474
Red Hat, Inc.*............... 77,142 3,661,931
Salesforce.com, Inc.*........ 24,644 3,415,658
Symantec Corp.*.............. 59,320 1,165,638
------------
TOTAL SOFTWARE 17,024,044
------------
SPECIALTY RETAIL 7.5%
AutoZone, Inc.*.............. 10,526 2,972,332
Bed Bath & Beyond, Inc.*..... 30,669 1,721,144
CarMax, Inc.*................ 54,375 1,886,813
Limited Brands, Inc. ........ 57,917 2,383,864
O'Reilly Automotive, Inc.*... 42,608 2,516,428
Ross Stores, Inc. ........... 37,057 2,730,730
Tiffany & Co. ............... 32,042 2,224,996
TJX Cos., Inc. .............. 29,993 1,608,225
Urban Outfitters, Inc.*...... 56,565 1,779,535
------------
TOTAL SPECIALTY RETAIL 19,824,067
------------
TEXTILES, APPAREL & LUXURY GOODS 2.4%
Coach, Inc. ................. 62,055 3,711,509
NIKE, Inc. -- Class B........ 7,841 645,471
Polo Ralph Lauren Corp. ..... 14,714 1,924,150
------------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 6,281,130
------------
TRADING COMPANIES & DISTRIBUTORS 0.4%
W.W. Grainger, Inc. ......... 7,438 1,127,601
------------
TOTAL TRADING COMPANIES & DISTRIBUTORS 1,127,601
------------
WIRELESS TELECOMMUNICATION SERVICES 1.2%
American Tower Corp. -- Class
A*........................ 28,560 1,493,974
MetroPCS Communications,
Inc.*..................... 94,904 1,597,234
------------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 3,091,208
------------
TOTAL COMMON STOCKS
(Cost $222,968,895) 264,289,058
------------
</Table>
See Notes to Financial Statements.
26
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund...................... 302,195 $302,195
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $302,195) 302,195
------------
TOTAL INVESTMENTS 100.0%(A)
(Cost $223,271,090) 264,591,253
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(b) 56,473
------------
NET ASSETS--100.0% $264,647,726
------------------------------------------------------
</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 27
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 0.5%
Alliant Techsystems, Inc. ... 4,248 $300,121
-----------
TOTAL AEROSPACE & DEFENSE 300,121
-----------
AIRLINES 1.7%
Airtran Holdings, Inc.*...... 81,577 612,643
JetBlue Airways Corp.*....... 70,931 401,470
-----------
TOTAL AIRLINES 1,014,113
-----------
CAPITAL MARKETS 0.4%
Apollo Investment Corp. ..... 21,348 252,974
-----------
TOTAL CAPITAL MARKETS 252,974
-----------
CHEMICALS 2.6%
Ashland, Inc. ............... 15,692 974,159
Cabot Corp. ................. 6,408 287,399
Olin Corp. .................. 11,828 304,453
-----------
TOTAL CHEMICALS 1,566,011
-----------
COMMERCIAL BANKS 3.6%
Associated Banc-Corp. ....... 20,430 298,278
BancorpSouth, Inc. .......... 37,612 509,643
Fulton Financial Corp. ...... 31,574 368,784
International Bancshares
Corp. .................... 21,228 374,037
Synovus Financial Corp. ..... 141,203 353,008
Webster Financial Corp. ..... 12,754 274,466
-----------
TOTAL COMMERCIAL BANKS 2,178,216
-----------
COMMERCIAL SERVICES & SUPPLIES 1.3%
Brink's Co.(The)............. 23,420 773,094
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 773,094
-----------
CONSTRUCTION & ENGINEERING 6.5%
Aecom Technology Corp.*...... 22,836 622,509
Granite Construction, Inc. .. 23,836 647,862
KBR, Inc. ................... 21,888 839,843
Shaw Group, Inc.(The)*....... 16,234 631,503
URS Corp.*................... 26,486 1,185,248
-----------
TOTAL CONSTRUCTION & ENGINEERING 3,926,965
-----------
CONTAINERS & PACKAGING 0.4%
Temple-Inland, Inc. ......... 11,220 264,007
-----------
TOTAL CONTAINERS & PACKAGING 264,007
-----------
DIVERSIFIED CONSUMER SERVICES 1.7%
Career Education Corp.*...... 14,788 322,526
Regis Corp. ................. 41,806 710,702
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 1,033,228
-----------
ELECTRIC UTILITIES 4.4%
Great Plains Energy, Inc. ... 23,718 488,117
Hawaiian Electric Industries,
Inc. ..................... 11,402 290,637
IDACORP, Inc. ............... 5,994 235,025
NV Energy, Inc. ............. 33,906 515,032
PNM Resources, Inc. ......... 73,507 1,126,862
-----------
TOTAL ELECTRIC UTILITIES 2,655,673
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 7.8%
Arrow Electronics, Inc.*..... 26,902 1,226,462
Avnet, Inc.*................. 28,466 1,033,885
Ingram Micro, Inc. -- Class
A*........................ 61,723 1,156,072
Tech Data Corp.*............. 24,486 1,300,941
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 4,717,360
-----------
ENERGY EQUIPMENT & SERVICES 2.1%
Exterran Holdings, Inc.*..... 13,190 286,355
Helix Energy Solutions Group,
Inc.*..................... 31,670 599,513
Tidewater, Inc. ............. 6,344 377,531
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 1,263,399
-----------
FOOD & STAPLES RETAILING 2.3%
BJ's Wholesale Club, Inc.*... 15,510 795,973
Ruddick Corp. ............... 13,966 579,869
-----------
TOTAL FOOD & STAPLES RETAILING 1,375,842
-----------
FOOD PRODUCTS 2.7%
Ralcorp Holdings, Inc.*...... 5,898 458,864
Smithfield Foods, Inc.*...... 49,662 1,170,037
-----------
TOTAL FOOD PRODUCTS 1,628,901
-----------
GAS UTILITIES 3.4%
Atmos Energy Corp. .......... 17,554 612,459
Questar Corp. ............... 36,238 636,702
UGI Corp. ................... 12,296 409,457
WGL Holdings, Inc. .......... 9,154 361,766
-----------
TOTAL GAS UTILITIES 2,020,384
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 0.6%
Teleflex, Inc. .............. 6,036 380,328
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 380,328
-----------
HEALTH CARE PROVIDERS & SERVICES 11.8%
Community Health Systems,
Inc.*..................... 29,690 912,374
Health Net, Inc.*............ 26,348 877,388
Kindred Healthcare, Inc.*.... 91,307 2,302,763
LifePoint Hospitals, Inc.*... 15,904 661,765
Omnicare, Inc. .............. 45,158 1,418,864
Owens & Minor, Inc. ......... 27,424 944,757
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 7,117,911
-----------
HOTELS, RESTAURANTS & LEISURE 3.1%
Bob Evans Farms, Inc. ....... 14,234 446,378
Boyd Gaming Corp.*........... 95,683 855,406
Wendy's/Arby's Group,
Inc. -- Class A........... 112,757 543,489
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 1,845,273
-----------
HOUSEHOLD DURABLES 2.7%
American Greetings
Corp. -- Class A.......... 30,020 738,492
KB Home...................... 20,418 241,137
MDC Holdings, Inc. .......... 8,942 261,017
Mohawk Industries, Inc.*..... 6,600 396,264
-----------
TOTAL HOUSEHOLD DURABLES 1,636,910
-----------
INSURANCE 16.6%
American Financial Group,
Inc. ..................... 18,822 673,263
Everest Re Group Ltd. ....... 7,218 657,704
Fidelity National Financial,
Inc. -- Class A........... 56,155 867,033
First American Financial
Corp. .................... 83,077 1,296,001
Hanover Insurance Group,
Inc.(The)................. 13,020 549,704
HCC Insurance Holdings,
Inc. ..................... 13,648 444,106
Mercury General Corp. ....... 9,644 383,253
Old Republic International
Corp. .................... 38,740 490,836
Protective Life Corp. ....... 31,022 834,802
Reinsurance Group of America,
Inc. ..................... 15,320 969,756
</Table>
See Notes to Financial Statements.
28
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONCLUDED)
StanCorp Financial Group,
Inc. ..................... 11,646 $501,943
Transatlantic Holdings,
Inc. ..................... 13,796 680,005
Unitrin, Inc. ............... 37,994 1,148,938
W.R. Berkley Corp. .......... 14,500 472,845
-----------
TOTAL INSURANCE 9,970,189
-----------
INTERNET SOFTWARE & SERVICES 0.9%
AOL, Inc.*................... 27,828 567,135
-----------
TOTAL INTERNET SOFTWARE & SERVICES 567,135
-----------
IT SERVICES 3.7%
Convergys Corp.*............. 18,790 272,455
CoreLogic, Inc.*............. 82,865 1,525,545
SRA International,
Inc. -- Class A*.......... 13,456 417,001
-----------
TOTAL IT SERVICES 2,215,001
-----------
MACHINERY 1.7%
Harsco Corp. ................ 17,150 610,540
Trinity Industries, Inc. .... 11,476 415,431
-----------
TOTAL MACHINERY 1,025,971
-----------
MEDIA 0.8%
Scholastic Corp. ............ 18,162 477,297
-----------
TOTAL MEDIA 477,297
-----------
METALS & MINING 2.4%
Commercial Metals Co. ....... 36,620 613,751
Reliance Steel & Aluminum
Co. ...................... 9,220 521,944
Worthington Industries,
Inc. ..................... 14,138 304,957
-----------
TOTAL METALS & MINING 1,440,652
-----------
MULTI-UTILITIES 0.4%
Vectren Corp. ............... 8,846 252,819
-----------
TOTAL MULTI-UTILITIES 252,819
-----------
OIL, GAS & CONSUMABLE FUELS 2.7%
Frontier Oil Corp. .......... 23,378 653,181
Overseas Shipholding Group,
Inc. ..................... 23,644 658,722
Southern Union Co. .......... 9,506 284,230
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 1,596,133
-----------
PAPER & FOREST PRODUCTS 0.4%
Louisiana-Pacific Corp.*..... 25,124 233,653
-----------
TOTAL PAPER & FOREST PRODUCTS 233,653
-----------
PROFESSIONAL SERVICES 1.3%
Manpower, Inc. .............. 11,518 763,067
-----------
TOTAL PROFESSIONAL SERVICES 763,067
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 0.5%
Hospitality Properties
Trust..................... 12,668 305,933
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 305,933
-----------
ROAD & RAIL 0.4%
Con-way, Inc. ............... 6,898 268,470
-----------
TOTAL ROAD & RAIL 268,470
-----------
SPECIALTY RETAIL 4.3%
Barnes & Noble, Inc. ........ 79,309 871,606
Collective Brands, Inc.*..... 43,020 903,420
Foot Locker, Inc. ........... 15,766 339,285
Rent-A-Center, Inc. ......... 14,574 443,778
-----------
TOTAL SPECIALTY RETAIL 2,558,089
-----------
THRIFTS & MORTGAGE FINANCE 1.7%
Astoria Financial Corp. ..... 28,732 415,752
First Niagara Financial
Group, Inc. .............. 16,852 242,669
Washington Federal, Inc. .... 23,102 371,711
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 1,030,132
-----------
TOBACCO 1.6%
Universal Corp. ............. 21,824 946,725
-----------
TOTAL TOBACCO 946,725
-----------
WIRELESS TELECOMMUNICATION SERVICES 0.8%
Telephone & Data Systems,
Inc. ..................... 13,702 459,839
-----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 459,839
-----------
TOTAL COMMON STOCKS
(Cost $55,290,950) 60,061,815
-----------
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market
Fund...................... 83,719 83,719
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $83,719) 83,719
-----------
TOTAL INVESTMENTS 100.0%(A)
(Cost $55,374,669) 60,145,534
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(B) 16,103
-----------
NET ASSETS--100.0% $60,161,637
-----------------------------------------------------
</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 29
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 1.3%
BE Aerospace, Inc.*.......... 232,508 $8,972,484
------------
TOTAL AEROSPACE & DEFENSE 8,972,484
------------
AUTO COMPONENTS 0.4%
Gentex Corp. ................ 76,899 2,410,784
------------
TOTAL AUTO COMPONENTS 2,410,784
------------
BEVERAGES 1.2%
Hansen Natural Corp.*........ 126,406 8,361,757
------------
TOTAL BEVERAGES 8,361,757
------------
BIOTECHNOLOGY 1.2%
United Therapeutics Corp.*... 116,682 7,813,027
------------
TOTAL BIOTECHNOLOGY 7,813,027
------------
CAPITAL MARKETS 0.6%
Waddell & Reed Financial,
Inc. -- Class A........... 99,146 4,065,977
------------
TOTAL CAPITAL MARKETS 4,065,977
------------
CHEMICALS 4.7%
Albemarle Corp. ............. 40,589 2,863,554
Intrepid Potash, Inc.*....... 178,379 6,111,264
Lubrizol Corp. .............. 59,594 8,016,585
NewMarket Corp. ............. 80,100 14,764,032
------------
TOTAL CHEMICALS 31,755,435
------------
COMMERCIAL SERVICES & SUPPLIES 1.0%
Copart, Inc.*................ 100,807 4,573,614
Rollins, Inc. ............... 114,769 2,406,706
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES 6,980,320
------------
COMMUNICATIONS EQUIPMENT 3.6%
ADTRAN, Inc. ................ 105,115 4,338,096
Polycom, Inc.*............... 135,184 8,088,059
Riverbed Technology, Inc.*... 325,010 11,420,851
------------
TOTAL COMMUNICATIONS EQUIPMENT 23,847,006
------------
COMPUTERS & PERIPHERALS 0.4%
QLogic Corp.*................ 147,244 2,647,447
------------
TOTAL COMPUTERS & PERIPHERALS 2,647,447
------------
DISTRIBUTORS 1.2%
LKQ Corp.*................... 326,510 8,234,582
------------
TOTAL DISTRIBUTORS 8,234,582
------------
DIVERSIFIED CONSUMER SERVICES 1.1%
ITT Educational Services,
Inc.*..................... 66,509 4,770,690
Strayer Education, Inc. ..... 20,677 2,561,467
------------
TOTAL DIVERSIFIED CONSUMER SERVICES 7,332,157
------------
DIVERSIFIED FINANCIAL SERVICES 0.4%
MSCI, Inc. -- Class A*....... 85,072 3,017,504
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES 3,017,504
------------
DIVERSIFIED TELECOMMUNICATION SERVICES 1.0%
tw telecom, Inc.*............ 297,538 6,408,969
------------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 6,408,969
------------
ELECTRICAL EQUIPMENT 0.5%
Woodward, Inc. .............. 87,347 3,236,206
------------
TOTAL ELECTRICAL EQUIPMENT 3,236,206
------------
ENERGY EQUIPMENT & SERVICES 5.0%
Atwood Oceanics, Inc.*....... 192,101 8,631,098
CARBO Ceramics, Inc. ........ 24,977 4,019,798
Dril-Quip, Inc.*............. 95,905 7,342,487
Oceaneering International,
Inc.*..................... 97,435 8,517,768
Oil States International,
Inc.*..................... 58,329 4,841,890
------------
TOTAL ENERGY EQUIPMENT & SERVICES 33,353,041
------------
FOOD PRODUCTS 3.1%
Green Mountain Coffee
Roasters, Inc.*........... 307,001 20,556,787
------------
TOTAL FOOD PRODUCTS 20,556,787
------------
HEALTH CARE EQUIPMENT & SUPPLIES 5.9%
Cooper Cos., Inc.(The)....... 132,386 9,915,711
Gen-Probe, Inc.*............. 64,215 5,324,708
Idexx Laboratories, Inc.*.... 87,176 7,098,742
Kinetic Concepts, Inc.*...... 119,602 7,060,106
ResMed, Inc.*................ 171,776 5,477,937
Thoratec Corp.*.............. 147,053 4,514,527
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 39,391,731
------------
HEALTH CARE PROVIDERS & SERVICES 4.1%
Health Management Associates,
Inc. -- Class A*.......... 680,170 7,672,317
Lincare Holdings, Inc. ...... 167,659 5,267,846
MEDNAX, Inc.*................ 109,092 7,736,805
Universal Health Services,
Inc. -- Class B........... 129,044 7,069,030
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES 27,745,998
------------
HEALTH CARE TECHNOLOGY 1.4%
Allscripts Healthcare
Solutions, Inc.*.......... 440,132 9,480,443
------------
TOTAL HEALTH CARE TECHNOLOGY 9,480,443
------------
HOTELS, RESTAURANTS & LEISURE 4.6%
Bally Technologies, Inc.*.... 75,218 2,932,750
Cheesecake Factory,
Inc.(The)*................ 323,913 9,529,520
Life Time Fitness, Inc.*..... 197,979 7,744,939
Panera Bread Co. -- Class
A*........................ 73,224 8,868,159
WMS Industries, Inc.*........ 58,789 1,928,279
------------
TOTAL HOTELS, RESTAURANTS & LEISURE 31,003,647
------------
HOUSEHOLD DURABLES 0.9%
Tupperware Brands Corp. ..... 90,499 5,762,071
------------
TOTAL HOUSEHOLD DURABLES 5,762,071
------------
INTERNET SOFTWARE & SERVICES 4.1%
Digital River, Inc.*......... 89,582 2,914,999
Equinix, Inc.*............... 74,714 7,520,711
Rackspace Hosting, Inc.*..... 373,833 17,267,346
------------
TOTAL INTERNET SOFTWARE & SERVICES 27,703,056
------------
IT SERVICES 3.7%
Alliance Data Systems
Corp.*.................... 46,186 4,387,670
Gartner, Inc.*............... 124,282 5,332,941
Global Payments, Inc. ....... 78,630 4,186,261
Jack Henry & Associates,
Inc. ..................... 87,549 2,974,039
Lender Processing Services,
Inc. ..................... 178,772 5,261,260
NeuStar, Inc. -- Class A*.... 107,974 2,903,421
------------
TOTAL IT SERVICES 25,045,592
------------
LEISURE EQUIPMENT & PRODUCTS 1.0%
Polaris Industries, Inc. .... 62,987 6,640,719
------------
TOTAL LEISURE EQUIPMENT & PRODUCTS 6,640,719
------------
</Table>
See Notes to Financial Statements.
30
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONCLUDED)
LIFE SCIENCES TOOLS & SERVICES 0.5%
Mettler Toledo International,
Inc.*..................... 19,751 $3,701,337
------------
TOTAL LIFE SCIENCES TOOLS & SERVICES 3,701,337
------------
MACHINERY 1.8%
Bucyrus International,
Inc. -- Class A........... 134,077 12,261,342
------------
TOTAL MACHINERY 12,261,342
------------
MEDIA 1.0%
DreamWorks Animation SKG,
Inc. -- Class A*.......... 184,631 4,890,875
Lamar Advertising
Co. -- Class A*........... 63,913 2,078,451
------------
TOTAL MEDIA 6,969,326
------------
METALS & MINING 0.7%
Compass Minerals
International, Inc. ...... 47,524 4,638,818
------------
TOTAL METALS & MINING 4,638,818
------------
MULTILINE RETAIL 0.9%
Dollar Tree, Inc.*........... 104,380 6,001,850
------------
TOTAL MULTILINE RETAIL 6,001,850
------------
OFFICE ELECTRONICS 0.4%
Zebra Technologies
Corp. -- Class A*......... 60,420 2,373,902
------------
TOTAL OFFICE ELECTRONICS 2,373,902
------------
OIL, GAS & CONSUMABLE FUELS 1.5%
Bill Barrett Corp.*.......... 124,231 5,184,159
Northern Oil and Gas, Inc.*.. 215,405 5,118,023
------------
TOTAL OIL, GAS & CONSUMABLE FUELS 10,302,182
------------
PHARMACEUTICALS 3.9%
Endo Pharmaceuticals
Holdings, Inc.*........... 172,008 6,735,833
Medicis Pharmaceutical
Corp. -- Class A.......... 319,332 11,323,513
Perrigo Co. ................. 90,770 8,201,977
------------
TOTAL PHARMACEUTICALS 26,261,323
------------
REAL ESTATE INVESTMENT TRUSTS (REITS) 2.6%
Corporate Office Properties
Trust..................... 108,427 3,817,715
Macerich Co.(The)............ 101,341 5,352,832
SL Green Realty Corp. ....... 100,193 8,268,928
------------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 17,439,475
------------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.8%
Jones Lang LaSalle, Inc. .... 50,876 5,208,685
------------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 5,208,685
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 4.7%
Atmel Corp.*................. 311,249 4,762,109
Cree, Inc.*.................. 167,800 6,836,172
RF Micro Devices, Inc.*...... 306,145 2,038,926
Semtech Corp.*............... 166,974 4,686,960
Silicon Laboratories, Inc.*.. 67,053 2,922,170
Skyworks Solutions, Inc.*.... 322,191 10,136,129
------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 31,382,466
------------
SOFTWARE 10.7%
ACI Worldwide, Inc.*......... 79,416 2,623,905
Advent Software, Inc.*....... 247,105 6,728,669
Ansys, Inc.*................. 115,937 6,410,157
Concur Technologies, Inc.*... 116,299 6,730,223
Factset Research Systems,
Inc. ..................... 59,544 6,514,709
Informatica Corp.*........... 202,650 11,350,426
MICROS Systems, Inc.*........ 102,076 5,309,994
Quest Software, Inc.*........ 149,771 3,858,101
Rovi Corp.*.................. 93,388 4,534,921
Solera Holdings, Inc. ....... 110,289 6,065,895
TIBCO Software, Inc.*........ 389,315 11,675,557
------------
TOTAL SOFTWARE 71,802,557
------------
SPECIALTY RETAIL 10.9%
Advance Auto Parts, Inc. .... 68,302 4,471,049
Aeropostale, Inc.*........... 403,862 10,310,597
ANN, Inc.*................... 139,946 4,367,715
Ascena Retail Group, Inc.*... 344,751 10,787,259
Chico's FAS, Inc. ........... 409,660 5,993,326
Dick's Sporting Goods,
Inc.*..................... 165,112 6,758,034
Guess?, Inc. ................ 252,209 10,842,465
PetSmart, Inc. .............. 134,097 5,654,870
Tractor Supply Co. .......... 139,513 8,631,669
Williams-Sonoma, Inc. ....... 118,373 5,138,572
------------
TOTAL SPECIALTY RETAIL 72,955,556
------------
TEXTILES, APPAREL & LUXURY GOODS 7.1%
Deckers Outdoor Corp.*....... 148,905 12,636,078
Fossil, Inc.*................ 116,853 11,192,180
Phillips-Van Heusen Corp. ... 104,340 7,346,580
Under Armour, Inc. -- Class
A*........................ 142,120 9,729,535
Warnaco Group, Inc.(The)*.... 100,878 6,492,508
------------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 47,396,881
------------
TOTAL COMMON STOCKS
(Cost $568,755,432) 670,462,440
------------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund...................... 428,551 428,551
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $428,551) 428,551
------------
TOTAL INVESTMENTS 100.0%(A)
(Cost $569,183,983) 670,890,991
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS--0.0%(B) (264,663)
------------
NET ASSETS--100.0% $670,626,328
------------------------------------------------------
</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 31
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 1.0%
AAR Corp. ................... 10,460 $272,379
Curtiss-Wright Corp. ........ 7,705 256,191
GenCorp, Inc.*............... 57,525 375,638
-----------
TOTAL AEROSPACE & DEFENSE 904,208
-----------
AIRLINES 1.3%
SkyWest, Inc. ............... 69,520 1,149,166
-----------
TOTAL AIRLINES 1,149,166
-----------
AUTO COMPONENTS 1.7%
Spartan Motors, Inc. ........ 127,090 859,128
Standard Motor Products,
Inc. ..................... 44,195 629,779
-----------
TOTAL AUTO COMPONENTS 1,488,907
-----------
BUILDING PRODUCTS 2.9%
Apogee Enterprises, Inc. .... 59,340 847,375
Gibraltar Industries, Inc.*.. 59,215 691,631
Griffon Corp.*............... 35,835 456,538
Universal Forest Products,
Inc. ..................... 17,715 572,018
-----------
TOTAL BUILDING PRODUCTS 2,567,562
-----------
CAPITAL MARKETS 3.2%
Investment Technology Group,
Inc.*..................... 34,530 590,808
Piper Jaffray Cos., Inc.*.... 18,585 666,272
Prospect Capital Corp. ...... 19,842 240,287
SWS Group, Inc. ............. 231,130 1,409,893
-----------
TOTAL CAPITAL MARKETS 2,907,260
-----------
CHEMICALS 1.1%
A. Schulman, Inc. ........... 30,105 762,259
Stepan Co. .................. 3,195 229,944
-----------
TOTAL CHEMICALS 992,203
-----------
COMMERCIAL BANKS 6.1%
Boston Private Financial
Holdings, Inc. ........... 35,960 251,360
First BanCorp/Puerto Rico*... 99,070 494,359
First Midwest Bancorp,
Inc. ..................... 30,915 404,986
Hanmi Financial Corp.*....... 469,320 619,502
Pinnacle Financial Partners,
Inc.*..................... 19,270 309,669
PrivateBancorp, Inc. ........ 15,155 238,540
Susquehanna Bancshares,
Inc. ..................... 65,435 603,311
United Community Banks,
Inc.*..................... 233,405 560,172
Whitney Holding Corp. ....... 28,140 381,016
Wilmington Trust Corp. ...... 205,010 924,595
Wilshire Bancorp, Inc.*...... 43,760 175,040
Wintrust Financial Corp. .... 16,375 551,674
-----------
TOTAL COMMERCIAL BANKS 5,514,224
-----------
COMMERCIAL SERVICES & SUPPLIES 2.2%
ABM Industries, Inc. ........ 22,545 548,294
G&K Services, Inc. -- Class
A......................... 14,525 480,778
Standard Register Co.(The)... 84,345 290,147
United Stationers, Inc. ..... 8,855 638,091
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 1,957,310
-----------
COMMUNICATIONS EQUIPMENT 1.3%
Arris Group, Inc.*........... 18,820 225,840
Black Box Corp. ............. 13,170 460,160
Comtech Telecommunications
Corp. .................... 7,445 210,694
Digi International, Inc.*.... 21,835 257,871
-----------
TOTAL COMMUNICATIONS EQUIPMENT 1,154,565
-----------
COMPUTERS & PERIPHERALS 0.4%
Hutchinson Technology,
Inc.*..................... 148,110 395,454
-----------
TOTAL COMPUTERS & PERIPHERALS 395,454
-----------
CONSTRUCTION & ENGINEERING 2.0%
Comfort Systems USA, Inc. ... 50,440 615,872
Dycom Industries, Inc.*...... 24,215 359,835
EMCOR Group, Inc.*........... 25,660 794,690
-----------
TOTAL CONSTRUCTION & ENGINEERING 1,770,397
-----------
CONSTRUCTION MATERIALS 0.5%
Headwaters, Inc.*............ 88,960 485,722
-----------
TOTAL CONSTRUCTION MATERIALS 485,722
-----------
CONTAINERS & PACKAGING 0.4%
Myers Industries, Inc. ...... 36,400 388,388
-----------
TOTAL CONTAINERS & PACKAGING 388,388
-----------
DISTRIBUTORS 1.4%
Audiovox Corp. -- Class A*... 171,275 1,264,009
-----------
TOTAL DISTRIBUTORS 1,264,009
-----------
DIVERSIFIED CONSUMER SERVICES 1.4%
Corinthian Colleges, Inc.*... 287,250 1,278,262
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 1,278,262
-----------
DIVERSIFIED FINANCIAL SERVICES 0.3%
Interactive Brokers Group,
Inc. -- Class A........... 17,740 311,160
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 311,160
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 0.4%
Cincinnati Bell, Inc.*....... 119,800 358,202
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 358,202
-----------
ELECTRIC UTILITIES 0.6%
Central Vermont Public
Service Corp. ............ 22,860 535,153
-----------
TOTAL ELECTRIC UTILITIES 535,153
-----------
ELECTRICAL EQUIPMENT 0.4%
Powell Industries, Inc.*..... 9,660 381,763
-----------
TOTAL ELECTRICAL EQUIPMENT 381,763
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 6.7%
Agilysys, Inc.*.............. 234,340 1,223,255
Anixter International,
Inc. ..................... 5,180 389,225
Benchmark Electronics,
Inc.*..................... 34,695 586,346
Brightpoint, Inc.*........... 66,110 669,033
Gerber Scientific, Inc.*..... 59,455 568,390
Insight Enterprises, Inc.*... 59,125 1,014,585
Scansource, Inc.*............ 17,060 610,236
SYNNEX Corp.*................ 29,280 981,758
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 6,042,828
-----------
ENERGY EQUIPMENT & SERVICES 1.8%
Bristow Group, Inc.*......... 4,760 220,864
Hornbeck Offshore Services,
Inc.*..................... 23,130 676,090
Matrix Service Co.*.......... 31,225 451,513
TETRA Technologies, Inc.*.... 18,575 274,353
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 1,622,820
-----------
</Table>
See Notes to Financial Statements.
32
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD & STAPLES RETAILING 1.8%
Casey's General Stores,
Inc. ..................... 5,945 $232,033
Nash Finch Co. .............. 18,120 674,426
Spartan Stores, Inc. ........ 46,770 730,080
-----------
TOTAL FOOD & STAPLES RETAILING 1,636,539
-----------
FOOD PRODUCTS 1.8%
Sanderson Farms, Inc. ....... 7,755 369,138
Seneca Foods Corp. -- Class
A*........................ 44,425 1,242,123
-----------
TOTAL FOOD PRODUCTS 1,611,261
-----------
GAS UTILITIES 0.8%
Laclede Group, Inc.(The)..... 12,875 494,014
Southwest Gas Corp. ......... 5,495 218,536
-----------
TOTAL GAS UTILITIES 712,550
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 1.3%
CONMED Corp.*................ 9,385 263,531
Invacare Corp. .............. 14,925 491,032
Symmetry Medical, Inc.*...... 44,425 442,029
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,196,592
-----------
HEALTH CARE PROVIDERS & SERVICES 9.2%
Amedisys, Inc.*.............. 21,190 706,051
Amsurg Corp.*................ 19,060 511,951
Centene Corp.*............... 30,005 1,087,081
Cross Country Healthcare,
Inc.*..................... 84,165 624,504
Gentiva Health Services,
Inc.*..................... 21,710 607,880
Healthways, Inc.*............ 64,225 1,086,687
Molina Healthcare, Inc.*..... 32,385 1,392,555
PharMerica Corp.*............ 92,150 1,212,694
RehabCare Group, Inc.*....... 29,245 1,098,735
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 8,328,138
-----------
HOTELS, RESTAURANTS & LEISURE 3.6%
Jack in the Box, Inc.*....... 14,510 299,632
Marcus Corp. ................ 14,925 165,518
Multimedia Games, Inc.*...... 49,535 290,770
O'Charleys, Inc.*............ 134,995 882,867
Red Robin Gourmet Burgers,
Inc.*..................... 39,495 1,073,869
Ruby Tuesday, Inc.*.......... 18,290 192,228
Ruth's Hospitality Group
Inc*...................... 76,145 373,872
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 3,278,756
-----------
HOUSEHOLD DURABLES 3.2%
Blyth, Inc. ................. 12,150 572,751
Helen of Troy, Ltd.*......... 10,360 322,403
La-Z-Boy, Inc.*.............. 94,525 1,111,614
Standard Pacific Corp.*...... 228,845 883,342
-----------
TOTAL HOUSEHOLD DURABLES 2,890,110
-----------
HOUSEHOLD PRODUCTS 0.8%
Central Garden & Pet
Co. -- Class A*........... 73,435 735,819
-----------
TOTAL HOUSEHOLD PRODUCTS 735,819
-----------
INDUSTRIAL CONGLOMERATES 0.3%
Standex International
Corp. .................... 7,140 261,038
-----------
TOTAL INDUSTRIAL CONGLOMERATES 261,038
-----------
INSURANCE 4.7%
AMERISAFE, Inc.*............. 13,655 304,916
Delphi Financial Group,
Inc. -- Class A........... 13,880 443,466
Horace Mann Educators
Corp. .................... 32,700 584,676
Infinity Property & Casualty
Corp. .................... 4,675 276,293
Navigators Group,
Inc.(The)*................ 6,015 311,757
Presidential Life Corp. ..... 51,625 575,103
Safety Insurance Group,
Inc. ..................... 5,010 234,568
Selective Insurance Group,
Inc. ..................... 32,580 574,711
Stewart Information Services
Corp. .................... 58,710 595,319
United Fire & Casualty Co. .. 14,670 290,466
-----------
TOTAL INSURANCE 4,191,275
-----------
INTERNET SOFTWARE & SERVICES 0.8%
InfoSpace, Inc.*............. 29,010 261,090
United Online, Inc. ......... 70,490 465,234
-----------
TOTAL INTERNET SOFTWARE & SERVICES 726,324
-----------
IT SERVICES 4.5%
CACI International,
Inc. -- Class A*.......... 8,950 546,935
Ciber, Inc.*................. 338,520 1,936,334
StarTek, Inc.*............... 287,145 1,562,069
-----------
TOTAL IT SERVICES 4,045,338
-----------
LEISURE EQUIPMENT & PRODUCTS 0.6%
Callaway Golf Co. ........... 81,590 577,657
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 577,657
-----------
LIFE SCIENCES TOOLS & SERVICES 2.2%
Cambrex Corp.*............... 106,030 557,718
Kendle International, Inc.*.. 139,715 1,404,136
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 1,961,854
-----------
MACHINERY 2.1%
Briggs & Stratton Corp. ..... 24,655 581,612
Federal Signal Corp. ........ 108,020 729,135
Lydall, Inc.*................ 56,555 551,411
-----------
TOTAL MACHINERY 1,862,158
-----------
MEDIA 0.4%
Live Nation Entertainment,
Inc.*..................... 32,485 360,259
-----------
TOTAL MEDIA 360,259
-----------
METALS & MINING 0.8%
AM Castle & Co.*............. 21,260 401,389
Kaiser Aluminum Corp. ....... 6,740 337,741
-----------
TOTAL METALS & MINING 739,130
-----------
MULTI-UTILITIES 1.0%
Avista Corp. ................ 16,770 408,349
CH Energy Group, Inc. ....... 4,300 230,566
NorthWestern Corp. .......... 8,010 260,726
-----------
TOTAL MULTI-UTILITIES 899,641
-----------
MULTILINE RETAIL 1.9%
Fred's, Inc. -- Class A...... 56,600 790,136
Tuesday Morning Corp.*....... 176,565 882,825
-----------
TOTAL MULTILINE RETAIL 1,672,961
-----------
OIL, GAS & CONSUMABLE FUELS 1.3%
Holly Corp. ................. 6,780 392,562
World Fuel Services Corp. ... 18,740 741,729
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 1,134,291
-----------
PAPER & FOREST PRODUCTS 0.5%
Wausau Paper Corp. .......... 62,590 422,483
-----------
TOTAL PAPER & FOREST PRODUCTS 422,483
-----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 33
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONCLUDED)
PROFESSIONAL SERVICES 4.8%
CDI Corp. ................... 23,615 $349,974
Kelly Services, Inc. -- Class
A*........................ 22,880 437,237
Navigant Consulting, Inc.*... 67,170 782,530
On Assignment, Inc.*......... 47,310 518,991
School Specialty, Inc.*...... 102,985 1,525,208
SFN Group, Inc.*............. 69,530 732,151
-----------
TOTAL PROFESSIONAL SERVICES 4,346,091
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 0.5%
Cedar Shopping Centers,
Inc. ..................... 38,600 227,740
Kite Realty Group Trust...... 40,600 211,120
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 438,860
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.6%
Brooks Automation, Inc.*..... 41,275 504,793
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 504,793
-----------
SOFTWARE 0.4%
THQ, Inc.*................... 96,190 388,608
-----------
TOTAL SOFTWARE 388,608
-----------
SPECIALTY RETAIL 10.2%
Brown Shoe Co., Inc. ........ 45,585 576,650
Christopher & Banks Corp. ... 107,940 663,831
Coldwater Creek, Inc.*....... 119,810 365,421
Group 1 Automotive, Inc. .... 18,830 810,443
Haverty Furniture Cos.,
Inc. ..................... 37,695 493,805
Hot Topic, Inc. ............. 118,555 795,504
Lithia Motors, Inc. -- Class
A......................... 61,905 1,126,052
MarineMax, Inc.*............. 92,750 886,690
OfficeMax, Inc.*............. 23,325 232,317
PEP Boys-Manny Moe & Jack.... 42,810 586,497
Sonic Automotive,
Inc. -- Class A........... 55,005 775,570
Stage Stores, Inc. .......... 35,590 685,463
Stein Mart, Inc. ............ 57,095 621,194
Zale Corp.*.................. 146,175 537,924
-----------
TOTAL SPECIALTY RETAIL 9,157,361
-----------
TEXTILES, APPAREL & LUXURY GOODS 0.7%
Quiksilver, Inc.*............ 101,280 440,568
Skechers U.S.A.,
Inc. -- Class A*.......... 10,190 194,120
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 634,688
-----------
THRIFTS & MORTGAGE FINANCE 0.5%
Bank Mutual Corp. ........... 118,735 485,626
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 485,626
-----------
TOBACCO 1.1%
Alliance One International,
Inc.*..................... 258,450 1,031,215
-----------
TOTAL TOBACCO 1,031,215
-----------
TRADING COMPANIES & DISTRIBUTORS 0.4%
Lawson Products, Inc. ....... 16,375 360,741
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 360,741
-----------
TOTAL COMMON STOCKS
(Cost $88,844,412) 90,061,720
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund...................... 100,710 100,710
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $100,710) 100,710
-----------
TOTAL INVESTMENTS 100.0%(A)
(Cost $88,945,122) 90,162,430
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(B) 12,924
-----------
NET ASSETS--100.0% $90,175,354
-----------------------------------------------------
</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.
34
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 1.5%
American Science &
Engineering, Inc. ......... 1,610 $141,841
National Presto Industries,
Inc. ...................... 1,640 182,089
Triumph Group, Inc. .......... 2,240 192,909
-----------
TOTAL AEROSPACE & DEFENSE 516,839
-----------
AIRLINES 0.4%
Allegiant Travel Co. ......... 3,220 144,481
-----------
TOTAL AIRLINES 144,481
-----------
BEVERAGES 0.7%
Boston Beer Co., Inc. -- Class
A*......................... 2,680 252,617
-----------
TOTAL BEVERAGES 252,617
-----------
BIOTECHNOLOGY 2.6%
ArQule, Inc.*................. 42,525 300,227
Cubist Pharmaceuticals,
Inc.*...................... 6,991 236,645
Regeneron Pharmaceuticals,
Inc.*...................... 7,501 383,376
-----------
TOTAL BIOTECHNOLOGY 920,248
-----------
CAPITAL MARKETS 0.4%
Stifel Financial Corp.*....... 2,930 133,842
-----------
TOTAL CAPITAL MARKETS 133,842
-----------
CHEMICALS 2.2%
Balchem Corp. ................ 6,481 257,231
Hawkins, Inc. ................ 7,910 372,086
Quaker Chemical Corp. ........ 2,910 131,474
-----------
TOTAL CHEMICALS 760,791
-----------
COMMERCIAL BANKS 0.2%
Signature Bank*............... 1,420 82,658
-----------
TOTAL COMMERCIAL BANKS 82,658
-----------
COMMERCIAL SERVICES & SUPPLIES 0.9%
Consolidated Graphics, Inc.*.. 3,931 220,726
Healthcare Services Group,
Inc. ...................... 4,831 85,798
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 306,524
-----------
COMMUNICATIONS EQUIPMENT 2.6%
Blue Coat Systems, Inc.*...... 12,111 348,797
DG Fastchannel, Inc.*......... 3,691 135,054
Netgear, Inc.*................ 4,010 167,417
Oplink Communications, Inc.*.. 9,691 191,882
ViaSat, Inc.*................. 1,900 75,848
-----------
TOTAL COMMUNICATIONS EQUIPMENT 918,998
-----------
COMPUTERS & PERIPHERALS 1.5%
Novatel Wireless, Inc.*....... 25,693 159,297
Stratasys, Inc.*.............. 3,890 209,476
Synaptics, Inc.*.............. 5,671 161,170
-----------
TOTAL COMPUTERS & PERIPHERALS 529,943
-----------
CONSTRUCTION & ENGINEERING 0.3%
Orion Marine Group, Inc.*..... 10,691 110,438
-----------
TOTAL CONSTRUCTION & ENGINEERING 110,438
-----------
CONSUMER FINANCE 2.9%
Cash America International,
Inc. ...................... 4,561 216,419
EZCORP, Inc. -- Class A*...... 7,201 226,760
First Cash Financial Services,
Inc.*...................... 5,341 209,581
World Acceptance Corp.*....... 5,421 368,357
-----------
TOTAL CONSUMER FINANCE 1,021,117
-----------
DIVERSIFIED CONSUMER SERVICES 2.2%
American Public Education,
Inc.*...................... 3,541 149,607
Capella Education Co.*........ 2,230 110,608
Coinstar, Inc.*............... 5,561 300,183
Pre-Paid Legal Services,
Inc.*...................... 2,080 137,176
Universal Technical Institute,
Inc. ...................... 4,001 72,298
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 769,872
-----------
DIVERSIFIED FINANCIAL SERVICES 0.7%
Portfolio Recovery Associates,
Inc.*...................... 2,650 239,189
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 239,189
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 1.1%
Atlantic Tele-Network, Inc. .. 3,521 129,326
Cbeyond, Inc.*................ 6,551 83,591
Neutral Tandem, Inc.*......... 10,621 162,395
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 375,312
-----------
ELECTRICAL EQUIPMENT 1.0%
II-VI, Inc.*.................. 2,900 167,765
Vicor Corp. .................. 9,951 166,281
-----------
TOTAL ELECTRICAL EQUIPMENT 334,046
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 2.6%
DTS, Inc.*.................... 2,900 127,774
Littelfuse, Inc. ............. 2,130 132,507
Mercury Computer Systems,
Inc.*...................... 10,541 203,547
OSI Systems, Inc.*............ 4,401 168,954
TTM Technologies, Inc.*....... 15,032 287,412
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 920,194
-----------
FOOD PRODUCTS 1.8%
Calavo Growers, Inc. ......... 6,671 140,091
Darling International, Inc.*.. 14,992 242,420
TreeHouse Foods, Inc.*........ 4,331 262,762
-----------
TOTAL FOOD PRODUCTS 645,273
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 4.9%
Abaxis, Inc.*................. 5,341 155,156
Align Technology, Inc.*....... 11,321 273,289
American Medical Systems
Holdings, Inc.*............ 11,431 337,214
Cyberonics, Inc.*............. 5,541 197,093
Haemonetics Corp.*............ 1,570 110,214
Integra LifeSciences Holdings
Corp.*..................... 3,551 185,753
Kensey Nash Corp.*............ 3,871 95,730
Neogen Corp.*................. 6,091 255,213
Zoll Medical Corp.*........... 2,220 125,830
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,735,492
-----------
HEALTH CARE PROVIDERS & SERVICES 8.1%
Air Methods Corp.*............ 5,991 405,111
Almost Family, Inc.*.......... 4,271 148,076
Bio-Reference Labs, Inc.*..... 7,831 197,420
Catalyst Health Solutions,
Inc.*...................... 4,731 281,778
Chemed Corp. ................. 1,730 120,460
CorVel Corp.*................. 3,641 188,604
Ensign Group, Inc.(The)....... 6,651 183,967
Healthspring, Inc.*........... 7,861 326,153
HMS Holdings Corp.*........... 3,630 285,717
IPC The Hospitalist Co.,
Inc.*...................... 6,401 331,956
MWI Veterinary Supply, Inc.*.. 4,501 374,348
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 2,843,590
-----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 35
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE TECHNOLOGY 0.9%
Quality Systems, Inc. ........ 3,541 $317,699
-----------
TOTAL HEALTH CARE TECHNOLOGY 317,699
-----------
HOTELS, RESTAURANTS & LEISURE 7.7%
Biglari Holdings, Inc.*....... 400 174,896
BJ's Restaurants, Inc.*....... 8,811 413,676
Buffalo Wild Wings, Inc.*..... 5,311 324,502
California Pizza Kitchen,
Inc.*...................... 9,691 155,056
CEC Entertainment, Inc. ...... 5,371 203,185
Cracker Barrel Old Country
Store, Inc. ............... 3,501 179,356
DineEquity, Inc.*............. 6,051 302,369
Interval Leisure Group,
Inc.*...................... 15,232 244,778
P.F. Chang's China Bistro,
Inc. ...................... 4,821 193,322
Peet's Coffee & Tea, Inc.*.... 4,441 206,418
Texas Roadhouse, Inc. ........ 18,282 297,448
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 2,695,006
-----------
HOUSEHOLD DURABLES 0.8%
Kid Brands, Inc.*............. 22,472 164,270
Universal Electronics, Inc.*.. 4,061 112,449
-----------
TOTAL HOUSEHOLD DURABLES 276,719
-----------
INSURANCE 0.2%
eHealth, Inc.*................ 5,851 79,574
-----------
TOTAL INSURANCE 79,574
-----------
INTERNET & CATALOG RETAIL 1.3%
Blue Nile, Inc.*.............. 2,870 163,590
HSN, Inc.*.................... 6,111 202,763
PetMed Express, Inc. ......... 6,801 102,627
-----------
TOTAL INTERNET & CATALOG RETAIL 468,980
-----------
INTERNET SOFTWARE & SERVICES 5.0%
comScore, Inc.*............... 10,721 319,593
j2 Global Communications,
Inc.*...................... 4,561 134,367
Liquidity Services, Inc.*..... 12,251 238,282
LivePerson, Inc.*............. 29,523 394,427
Perficient, Inc.*............. 15,962 199,366
RightNow Technologies, Inc.*.. 11,061 400,187
Stamps.com, Inc. ............. 6,591 89,110
-----------
TOTAL INTERNET SOFTWARE & SERVICES 1,775,332
-----------
IT SERVICES 3.1%
Cardtronics, Inc.*............ 10,571 224,634
CSG Systems International,
Inc.*...................... 6,711 142,541
Forrester Research, Inc. ..... 2,280 90,083
iGate Corp. .................. 4,851 82,273
MAXIMUS, Inc. ................ 3,010 240,770
Wright Express Corp.*......... 5,721 322,264
-----------
TOTAL IT SERVICES 1,102,565
-----------
LEISURE EQUIPMENT & PRODUCTS 1.4%
Sturm Ruger & Co., Inc. ...... 21,362 507,988
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 507,988
-----------
LIFE SCIENCES TOOLS & SERVICES 1.4%
Dionex Corp.*................. 1,430 169,241
Enzo Biochem, Inc.*........... 16,612 66,282
PAREXEL International Corp.*.. 8,741 242,650
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 478,173
-----------
MEDIA 0.5%
Arbitron, Inc. ............... 4,531 175,259
-----------
TOTAL MEDIA 175,259
-----------
OIL, GAS & CONSUMABLE FUELS 1.4%
Contango Oil & Gas Co.*....... 2,810 173,995
Gulfport Energy Corp.*........ 9,651 328,520
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 502,515
-----------
PAPER & FOREST PRODUCTS 2.3%
Buckeye Technologies, Inc. ... 11,081 312,041
KapStone Paper and Packaging
Corp.*..................... 15,862 275,682
Schweitzer-Mauduit
International, Inc. ....... 4,091 212,077
-----------
TOTAL PAPER & FOREST PRODUCTS 799,800
-----------
PERSONAL PRODUCTS 0.7%
Medifast, Inc.*............... 13,002 256,790
-----------
TOTAL PERSONAL PRODUCTS 256,790
-----------
PHARMACEUTICALS 4.0%
Hi-Tech Pharmacal Co., Inc.*.. 17,132 473,871
Par Pharmaceutical Cos.,
Inc.*...................... 9,381 323,082
Questcor Pharmaceuticals,
Inc.*...................... 16,212 332,346
Salix Pharmaceuticals Ltd.*... 4,131 162,307
ViroPharma, Inc.*............. 6,901 133,120
-----------
TOTAL PHARMACEUTICALS 1,424,726
-----------
PROFESSIONAL SERVICES 1.3%
Dolan Co.(The)*............... 26,923 316,884
Exponent, Inc.*............... 3,000 128,730
-----------
TOTAL PROFESSIONAL SERVICES 445,614
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 6.7%
CEVA, Inc.*................... 9,141 279,532
Diodes, Inc.*................. 7,361 251,893
Hittite Microwave Corp.*...... 1,960 126,204
Kopin Corp.*.................. 63,617 305,998
Kulicke & Soffa Industries,
Inc.*...................... 28,493 258,147
Monolithic Power Systems,
Inc.*...................... 7,831 132,970
Power Integrations, Inc. ..... 4,931 198,917
TriQuint Semiconductor,
Inc.*...................... 26,523 365,222
Veeco Instruments, Inc.*...... 2,650 135,494
Volterra Semiconductor
Corp.*..................... 11,311 297,366
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 2,351,743
-----------
SOFTWARE 11.8%
Blackbaud, Inc. .............. 8,121 224,627
Bottomline Technologies,
Inc.*...................... 10,061 279,495
CommVault Systems, Inc.*...... 8,821 347,459
Ebix, Inc.*................... 13,322 304,408
Interactive Intelligence,
Inc.*...................... 11,701 437,852
JDA Software Group, Inc.*..... 4,121 135,045
MicroStrategy, Inc. -- Class
A*......................... 1,950 275,535
Netscout Systems, Inc.*....... 13,292 340,142
Radiant Systems, Inc.*........ 11,171 222,526
Smith Micro Software, Inc.*... 16,362 126,315
Sourcefire, Inc.*............. 14,302 380,719
Synchronoss Technologies,
Inc.*...................... 12,481 402,637
Taleo Corp. -- Class A*....... 8,501 308,331
Tyler Technologies, Inc.*..... 9,031 223,879
Websense, Inc.*............... 5,661 145,997
-----------
TOTAL SOFTWARE 4,154,967
-----------
</Table>
See Notes to Financial Statements.
36
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONCLUDED)
SPECIALTY RETAIL 6.0%
Buckle, Inc.(The)............. 6,371 $289,817
Cabela's, Inc.*............... 10,561 269,728
Hibbett Sports, Inc.*......... 4,781 180,626
JOS A Bank Clothiers, Inc.*... 7,391 387,436
Kirkland's, Inc.*............. 16,462 248,412
Lumber Liquidators Holdings,
Inc.*...................... 11,481 297,932
Monro Muffler, Inc. .......... 6,101 185,348
Zumiez, Inc.*................. 8,441 237,277
-----------
TOTAL SPECIALTY RETAIL 2,096,576
-----------
TEXTILES, APPAREL & LUXURY GOODS 4.8%
Carter's, Inc.*............... 2,680 82,866
CROCS, Inc.*.................. 17,402 349,954
Iconix Brand Group, Inc.*..... 13,112 321,113
Maidenform Brands, Inc.*...... 7,081 224,184
Steven Madden, Ltd.*.......... 5,431 288,658
True Religion Apparel, Inc.*.. 10,091 304,950
Volcom, Inc. ................. 6,041 119,189
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 1,690,914
-----------
TOTAL COMMON STOCKS
(Cost $28,435,522) 35,162,404
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund....................... 40,417 40,417
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $40,417) 40,417
-----------
TOTAL INVESTMENTS 100.0%(A)
(Cost $28,475,939) 35,202,821
-----------
LIABILITIES IN EXCESS OF OTHER
ASSETS--0.0%(B) (14,555)
-----------
NET ASSETS--100.0% $35,188,266
-----------------------------------------------------
</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 37
RYDEX S&P 500 EQUAL WEIGHT CONSUMER DISCRETIONARY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 99.9%
AUTO COMPONENTS 2.6%
Goodyear Tire & Rubber
Co.(The)*.................. 19,632 $356,321
Johnson Controls, Inc. ....... 7,361 301,801
-----------
TOTAL AUTO COMPONENTS 658,122
-----------
AUTOMOBILES 2.3%
Ford Motor Co.*............... 20,071 310,498
Harley-Davidson, Inc. ........ 7,213 268,757
-----------
TOTAL AUTOMOBILES 579,255
-----------
DISTRIBUTORS 1.2%
Genuine Parts Co. ............ 5,615 301,526
-----------
TOTAL DISTRIBUTORS 301,526
-----------
DIVERSIFIED CONSUMER SERVICES 3.6%
Apollo Group, Inc. -- Class
A*......................... 7,212 288,696
DeVry, Inc. .................. 5,686 300,789
H&R Block, Inc. .............. 18,095 312,863
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 902,348
-----------
HOTELS, RESTAURANTS & LEISURE 13.5%
Carnival Corp. ............... 7,337 279,320
Chipotle Mexican Grill,
Inc.*...................... 1,150 306,809
Darden Restaurants, Inc. ..... 6,293 295,582
International Game
Technology................. 18,259 323,002
Marriott International,
Inc. -- Class A............ 7,654 270,186
McDonald's Corp. ............. 3,981 311,752
Starbucks Corp. .............. 8,312 300,811
Starwood Hotels & Resorts
Worldwide, Inc. ........... 5,034 299,875
Wyndham Worldwide Corp. ...... 9,549 330,491
Wynn Resorts Ltd. ............ 2,480 364,932
Yum! Brands, Inc. ............ 5,702 305,855
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 3,388,615
-----------
HOUSEHOLD DURABLES 11.0%
D.R. Horton, Inc. ............ 24,431 303,922
Fortune Brands, Inc. ......... 4,834 314,597
Harman International
Industries, Inc. .......... 6,258 303,701
Leggett & Platt, Inc. ........ 12,731 334,698
Lennar Corp. -- Class A....... 14,788 280,824
Newell Rubbermaid, Inc. ...... 15,408 293,676
Pulte Homes, Inc.*............ 40,830 331,948
Stanley Black & Decker,
Inc. ...................... 3,904 283,625
Whirlpool Corp. .............. 3,632 313,006
-----------
TOTAL HOUSEHOLD DURABLES 2,759,997
-----------
INTERNET & CATALOG RETAIL 5.5%
Amazon.com, Inc.*............. 1,801 353,896
Expedia, Inc. ................ 13,617 340,834
Netflix, Inc.*................ 1,370 318,758
Priceline.com, Inc.*.......... 650 355,556
-----------
TOTAL INTERNET & CATALOG RETAIL 1,369,044
-----------
LEISURE EQUIPMENT & PRODUCTS 2.4%
Hasbro, Inc. ................. 6,285 294,389
Mattel, Inc. ................. 11,797 315,216
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 609,605
-----------
MEDIA 19.8%
Cablevision Systems
Corp. -- Class A........... 8,314 292,902
CBS Corp. -- Class B.......... 12,514 315,603
Comcast Corp. -- Class A...... 12,180 319,603
DIRECTV -- Class A*........... 6,492 315,446
Discovery Communications,
Inc. -- Class A*........... 7,416 328,232
Gannett Co., Inc. ............ 19,088 287,465
Interpublic Group of Cos.,
Inc. ...................... 24,381 286,477
McGraw-Hill Cos., Inc. ....... 7,669 310,365
News Corp. -- Class A......... 17,799 317,178
Omnicom Group, Inc. .......... 6,131 301,584
Scripps Networks
Interactive -- Class A..... 5,940 305,435
Time Warner Cable, Inc. ...... 4,283 334,631
Time Warner, Inc. ............ 8,360 316,510
Viacom, Inc. -- Class B....... 6,614 338,372
Walt Disney Co.(The).......... 7,056 304,114
Washington Post Co. -- Class
B.......................... 670 292,053
-----------
TOTAL MEDIA 4,965,970
-----------
MULTILINE RETAIL 9.7%
Big Lots, Inc.*............... 7,020 288,592
Family Dollar Stores, Inc. ... 5,675 307,642
J.C. Penney Co., Inc. ........ 8,026 308,600
Kohl's Corp. ................. 5,490 289,378
Macy's, Inc. ................. 12,642 302,270
Nordstrom, Inc. .............. 7,030 334,277
Sears Holdings Corp.*......... 3,554 305,537
Target Corp. ................. 5,810 285,271
-----------
TOTAL MULTILINE RETAIL 2,421,567
-----------
SPECIALTY RETAIL 23.2%
Abercrombie & Fitch
Co. -- Class A............. 5,490 388,692
AutoNation, Inc.*............. 8,734 296,170
AutoZone, Inc.*............... 1,110 313,442
Bed Bath & Beyond, Inc.*...... 6,381 358,102
Best Buy Co., Inc. ........... 9,231 288,192
CarMax, Inc.*................. 8,776 304,527
GameStop Corp. -- Class A*.... 13,865 356,053
Gap, Inc.(The)................ 13,300 309,092
Home Depot, Inc. ............. 8,075 299,905
Limited Brands, Inc. ......... 9,535 392,461
Lowe's Cos., Inc. ............ 11,097 291,296
O'Reilly Automotive, Inc.*.... 5,242 309,592
RadioShack Corp. ............. 20,628 326,129
Ross Stores, Inc. ............ 4,181 308,098
Staples, Inc. ................ 14,618 309,024
Tiffany & Co. ................ 5,074 352,339
TJX Cos., Inc. ............... 5,972 320,219
Urban Outfitters, Inc.*....... 9,305 292,735
-----------
TOTAL SPECIALTY RETAIL 5,816,068
-----------
TEXTILES, APPAREL & LUXURY GOODS 5.1%
Coach, Inc. .................. 5,769 345,044
NIKE, Inc. -- Class B......... 3,752 308,865
Polo Ralph Lauren Corp. ...... 2,481 324,440
V.F. Corp. ................... 3,100 311,736
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 1,290,085
-----------
TOTAL COMMON STOCKS
(Cost $20,277,809) 25,062,202
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund....................... 30,527 30,527
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $30,527) 30,527
-----------
TOTAL INVESTMENTS 100.0%(A)
(Cost $20,308,336) 25,092,729
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(B) 7,145
-----------
NET ASSETS--100.0% $25,099,874
-----------------------------------------------------
</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.
38
RYDEX S&P 500 EQUAL WEIGHT CONSUMER STAPLES ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 99.6%
BEVERAGES 17.2%
Brown-Forman Corp. -- Class
B.......................... 6,323 $454,371
Coca-Cola Co.(The)............ 6,713 452,859
Coca-Cola Enterprises, Inc. .. 16,473 467,998
Constellation Brands,
Inc. -- Class A*........... 22,918 513,134
Dr Pepper Snapple Group,
Inc. ...................... 11,170 437,864
Molson Coors Brewing
Co. -- Class B............. 9,721 473,898
PepsiCo, Inc. ................ 6,656 458,532
-----------
TOTAL BEVERAGES 3,258,656
-----------
FOOD & STAPLES RETAILING 22.1%
Costco Wholesale Corp. ....... 5,952 481,636
CVS Caremark Corp. ........... 12,619 457,313
Kroger Co.(The)............... 17,646 428,974
Safeway, Inc. ................ 18,840 458,000
SUPERVALU, Inc. .............. 51,980 585,295
Sysco Corp. .................. 15,201 439,461
Wal-Mart Stores, Inc. ........ 8,163 448,802
Walgreen Co. ................. 10,258 438,222
Whole Foods Market, Inc. ..... 6,953 436,370
-----------
TOTAL FOOD & STAPLES RETAILING 4,174,073
-----------
FOOD PRODUCTS 35.9%
Archer-Daniels-Midland Co. ... 12,051 446,128
Campbell Soup Co. ............ 12,555 421,722
ConAgra Foods, Inc. .......... 18,531 453,083
Dean Foods Co.*............... 41,760 467,294
General Mills, Inc. .......... 11,520 444,442
H.J. Heinz Co. ............... 8,602 440,681
Hershey Co.(The).............. 7,850 453,024
Hormel Foods Corp. ........... 15,390 452,620
J.M. Smucker Co.(The)......... 6,020 451,921
Kellogg Co. .................. 7,790 446,133
Kraft Foods, Inc. -- Class A.. 13,593 456,453
McCormick & Co., Inc. ........ 8,717 428,179
Mead Johnson Nutrition Co. ... 7,541 504,342
Sara Lee Corp. ............... 24,952 479,078
Tyson Foods, Inc. -- Class A.. 22,170 441,183
-----------
TOTAL FOOD PRODUCTS 6,786,283
-----------
HOUSEHOLD PRODUCTS 9.4%
Clorox Co. ................... 6,137 427,504
Colgate-Palmolive Co. ........ 5,472 461,563
Kimberly-Clark Corp. ......... 6,628 437,846
Procter & Gamble Co. ......... 6,946 450,795
-----------
TOTAL HOUSEHOLD PRODUCTS 1,777,708
-----------
PERSONAL PRODUCTS 4.9%
Avon Products, Inc. .......... 15,870 466,261
Estee Lauder Cos.,
Inc. -- Class A............ 4,720 457,840
-----------
TOTAL PERSONAL PRODUCTS 924,101
-----------
TOBACCO 10.1%
Altria Group, Inc. ........... 17,029 457,058
Lorillard, Inc. .............. 4,850 516,525
Philip Morris International,
Inc. ...................... 6,835 474,623
Reynolds American, Inc. ...... 12,630 468,699
-----------
TOTAL TOBACCO 1,916,905
-----------
TOTAL COMMON STOCKS
(Cost $15,065,325) 18,837,726
-----------
SHORT TERM INVESTMENTS 0.3%
SSgA Government Money Market
Fund....................... 62,205 62,205
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $62,205) 62,205
-----------
TOTAL INVESTMENTS 99.9%(A)
(Cost $15,127,530) 18,899,931
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 17,333
-----------
NET ASSETS--100.0% $18,917,264
-----------------------------------------------------
</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 500 EQUAL WEIGHT ENERGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS 99.9%
ENERGY EQUIPMENT & SERVICES 26.4%
Baker Hughes, Inc. .......... 41,699 $3,227,920
Cameron International
Corp.*.................... 48,323 2,547,589
Diamond Offshore Drilling,
Inc. ..................... 37,669 2,857,947
FMC Technologies, Inc.*...... 63,090 2,932,423
Halliburton Co. ............. 64,624 3,262,219
Helmerich & Payne, Inc. ..... 46,679 3,096,685
Nabors Industries, Ltd.*..... 106,881 3,274,834
National-Oilwell Varco,
Inc. ..................... 37,180 2,851,334
Noble Corp. ................. 65,988 2,838,144
Rowan Cos., Inc.*............ 70,635 2,945,479
Schlumberger, Ltd. .......... 33,229 2,982,303
------------
TOTAL ENERGY EQUIPMENT & SERVICES 32,816,877
------------
OIL, GAS & CONSUMABLE FUELS 73.5%
Anadarko Petroleum Corp. .... 36,953 2,917,070
Apache Corp. ................ 23,772 3,170,472
Cabot Oil & Gas Corp. ....... 58,913 3,315,624
Chesapeake Energy Corp. ..... 85,577 2,881,377
Chevron Corp. ............... 27,790 3,041,338
ConocoPhillips............... 37,897 2,991,210
CONSOL Energy, Inc. ......... 52,960 2,864,606
Denbury Resources, Inc.*..... 123,789 2,793,918
Devon Energy Corp. .......... 31,681 2,882,971
El Paso Corp. ............... 165,360 3,209,638
EOG Resources, Inc. ......... 26,462 2,987,824
EQT Corp. ................... 60,921 3,205,054
Exxon Mobil Corp. ........... 35,321 3,108,248
Hess Corp. .................. 35,879 3,084,159
Marathon Oil Corp. .......... 57,515 3,108,111
Massey Energy Co. ........... 45,964 3,136,583
Murphy Oil Corp. ............ 41,026 3,178,694
Newfield Exploration Co.*.... 39,625 2,805,450
Noble Energy, Inc. .......... 30,599 2,945,766
Occidental Petroleum Corp. .. 29,112 3,327,210
Peabody Energy Corp. ........ 40,683 2,718,438
Pioneer Natural Resources
Co. ...................... 28,930 2,957,514
QEP Resources, Inc. ......... 72,956 3,117,410
Range Resources Corp. ....... 54,575 3,080,759
Southwestern Energy Co.*..... 69,449 3,046,033
Spectra Energy Corp. ........ 109,794 3,188,418
Sunoco, Inc. ................ 65,706 2,803,018
Tesoro Corp.*................ 115,986 3,145,540
Valero Energy Corp. ......... 104,463 2,956,303
Williams Cos., Inc.(The)..... 96,184 3,190,423
------------
TOTAL OIL, GAS & CONSUMABLE FUELS 91,159,179
------------
TOTAL COMMON STOCKS
(Cost $110,292,476) 123,976,056
------------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund...................... 109,996 109,996
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $109,996) 109,996
------------
TOTAL INVESTMENTS 100.0%(A)
(Cost $110,402,472) 124,086,052
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS--0.0%(B) (12,127)
------------
NET ASSETS--100.0% $124,073,925
------------------------------------------------------
</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.
40
RYDEX S&P 500 EQUAL WEIGHT FINANCIALS ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 99.8%
CAPITAL MARKETS 17.9%
Ameriprise Financial, Inc. ... 3,653 $226,705
Bank of New York Mellon
Corp. ..................... 7,751 224,469
BlackRock, Inc. .............. 1,124 220,237
Charles Schwab Corp.(The)..... 12,737 233,214
E*TRADE Financial Corp.*...... 14,810 240,514
Federated Investors,
Inc. -- Class B............ 8,701 224,312
Franklin Resources, Inc. ..... 1,924 248,427
Goldman Sachs Group,
Inc.(The).................. 1,395 210,659
Invesco Ltd. ................. 9,001 223,855
Janus Capital Group, Inc. .... 18,838 229,258
Legg Mason, Inc. ............. 6,684 248,311
Morgan Stanley................ 8,155 213,253
Northern Trust Corp. ......... 4,480 223,955
State Street Corp. ........... 5,049 235,031
T. Rowe Price Group, Inc. .... 3,596 231,043
-----------
TOTAL CAPITAL MARKETS 3,433,243
-----------
COMMERCIAL BANKS 16.3%
BB&T Corp. ................... 8,279 222,871
Comerica, Inc. ............... 5,923 224,659
Fifth Third Bancorp........... 15,952 211,683
First Horizon National
Corp. ..................... 19,642 215,080
Huntington Bancshares, Inc. .. 33,442 227,071
KeyCorp....................... 25,078 217,426
M&T Bank Corp. ............... 2,554 225,697
Marshall & Ilsley Corp. ...... 28,974 236,718
PNC Financial Services Group,
Inc. ...................... 3,569 222,492
Regions Financial Corp. ...... 31,509 231,276
SunTrust Banks, Inc. ......... 7,564 213,229
U.S. Bancorp.................. 8,393 216,707
Wells Fargo & Co. ............ 7,026 204,527
Zions Bancorp................. 9,796 239,512
-----------
TOTAL COMMERCIAL BANKS 3,108,948
-----------
CONSUMER FINANCE 5.2%
American Express Co. ......... 5,066 248,639
Capital One Financial Corp. .. 4,303 235,503
Discover Financial Services... 10,159 252,350
SLM Corp.*.................... 15,169 251,654
-----------
TOTAL CONSUMER FINANCE 988,146
-----------
DIVERSIFIED FINANCIAL SERVICES 11.1%
Bank of America Corp. ........ 15,925 195,559
Citigroup, Inc.*.............. 49,734 228,279
CME Group, Inc. .............. 781 230,997
IntercontinentalExchange,
Inc.*...................... 1,792 215,667
JPMorgan Chase & Co. ......... 4,889 223,085
Leucadia National Corp. ...... 6,458 249,666
Moody's Corp. ................ 6,931 271,279
Nasdaq OMX Group (The)*....... 9,022 244,496
NYSE Euronext................. 6,467 259,004
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 2,118,032
-----------
INSURANCE 26.9%
ACE Ltd. ..................... 3,680 247,480
AFLAC, Inc. .................. 4,415 248,079
Allstate Corp. ............... 7,183 243,073
American International Group,
Inc.*...................... 6,402 199,422
Aon Corp. .................... 4,283 223,444
Assurant, Inc. ............... 5,725 227,283
Berkshire Hathaway,
Inc. -- Class B*........... 2,677 222,994
Chubb Corp.(The).............. 3,856 251,373
Cincinnati Financial Corp. ... 6,858 217,261
Genworth Financial,
Inc. -- Class A*........... 17,547 213,898
Hartford Financial Services
Group, Inc.(The)........... 8,775 254,212
Lincoln National Corp. ....... 7,560 236,099
Loews Corp. .................. 5,304 234,755
Marsh & McLennan Cos., Inc. .. 7,661 231,975
MetLife, Inc. ................ 5,086 237,974
Principal Financial Group,
Inc. ...................... 7,046 237,802
Progressive Corp. ............ 10,825 237,501
Prudential Financial, Inc. ... 3,688 233,893
Torchmark Corp. .............. 3,457 231,342
Travelers Cos., Inc.(The)..... 3,821 241,793
Unum Group.................... 8,715 230,773
XL Group PLC.................. 10,184 248,693
-----------
TOTAL INSURANCE 5,151,119
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 18.8%
Apartment Investment &
Management Co. -- Class A.. 9,099 245,309
AvalonBay Communities, Inc. .. 1,904 241,065
Boston Properties, Inc. ...... 2,432 254,217
Equity Residential............ 4,087 244,076
HCP, Inc. .................... 5,911 234,194
Health Care REIT, Inc. ....... 4,329 232,770
Host Hotels & Resorts, Inc. .. 12,799 227,694
Kimco Realty Corp. ........... 12,654 247,259
Plum Creek Timber Co., Inc. .. 5,229 225,318
ProLogis...................... 15,129 246,451
Public Storage, Inc. ......... 2,072 243,066
Simon Property Group, Inc. ... 2,155 246,834
Ventas, Inc. ................. 4,274 239,045
Vornado Realty Trust.......... 2,600 251,368
Weyerhaeuser Co. ............. 9,171 211,025
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 3,589,691
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 1.2%
CB Richard Ellis Group,
Inc. -- Class A*........... 8,326 222,387
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 222,387
-----------
THRIFTS & MORTGAGE FINANCE 2.4%
Hudson City Bancorp, Inc. .... 22,617 215,540
People's United Financial,
Inc. ...................... 17,962 245,900
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 461,440
-----------
TOTAL COMMON STOCKS
(Cost $17,201,080) 19,073,006
-----------
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market
Fund....................... 38,806 38,806
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $38,806) 38,806
-----------
TOTAL INVESTMENTS 100.0%(A)
(Cost $17,239,886) 19,111,812
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(B) 5,871
-----------
NET ASSETS--100.0% $19,117,683
-----------------------------------------------------
</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 41
RYDEX S&P 500 EQUAL WEIGHT HEALTH CARE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 99.8%
BIOTECHNOLOGY 10.3%
Amgen, Inc.*................. 17,720 $1,007,382
Biogen Idec, Inc.*........... 13,490 1,313,251
Celgene Corp.*............... 17,710 1,042,765
Cephalon, Inc.*.............. 16,780 1,288,704
Gilead Sciences, Inc.*....... 23,370 907,691
-----------
TOTAL BIOTECHNOLOGY 5,559,793
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 26.1%
Baxter International, Inc. .. 18,120 1,031,028
Becton, Dickinson & Co. ..... 12,200 1,048,468
Boston Scientific Corp.*..... 130,310 976,022
C.R. Bard, Inc. ............. 9,850 1,051,488
CareFusion Corp.*............ 34,690 1,018,845
Covidien PLC................. 18,170 1,011,887
Dentsply International,
Inc. ..................... 26,650 1,000,441
Edwards Lifesciences Corp.*.. 10,720 925,672
Intuitive Surgical, Inc.*.... 2,960 1,035,112
Medtronic, Inc. ............. 25,010 1,044,168
St Jude Medical, Inc. ....... 19,510 1,042,614
Stryker Corp. ............... 15,250 899,750
Varian Medical Systems,
Inc.*..................... 14,270 1,001,754
Zimmer Holdings, Inc.*....... 15,560 1,015,290
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 14,102,539
-----------
HEALTH CARE PROVIDERS & SERVICES 30.6%
Aetna, Inc. ................. 26,720 1,105,674
AmerisourceBergen Corp. ..... 25,150 1,022,096
Cardinal Health, Inc. ....... 23,190 1,013,171
CIGNA Corp. ................. 22,550 1,056,016
Coventry Health Care, Inc.*.. 31,180 1,006,179
DaVita, Inc.*................ 11,760 1,035,938
Express Scripts, Inc.*....... 18,000 1,021,320
Humana, Inc.*................ 14,450 1,099,934
Laboratory Corp. of America
Holdings*................. 10,780 1,039,947
McKesson Corp. .............. 12,040 999,440
Medco Health Solutions,
Inc.*..................... 17,640 1,046,581
Patterson Cos., Inc. ........ 29,720 1,031,581
Quest Diagnostics, Inc. ..... 17,460 984,395
Tenet Healthcare Corp.*...... 133,840 927,511
UnitedHealth Group, Inc. .... 22,020 1,084,045
WellPoint, Inc. ............. 14,080 1,081,203
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 16,555,031
-----------
HEALTH CARE TECHNOLOGY 2.0%
Cerner Corp.*................ 9,100 1,093,638
-----------
TOTAL HEALTH CARE TECHNOLOGY 1,093,638
-----------
LIFE SCIENCES TOOLS & SERVICES 9.8%
Agilent Technologies, Inc.*.. 21,850 1,090,533
Life Technologies Corp.*..... 18,670 1,030,584
PerkinElmer, Inc. ........... 36,650 1,036,096
Thermo Fisher Scientific,
Inc.*..................... 17,840 1,070,222
Waters Corp.*................ 11,230 1,100,540
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 5,327,975
-----------
PHARMACEUTICALS 21.0%
Abbott Laboratories.......... 19,580 1,018,943
Allergan, Inc. .............. 13,360 1,062,922
Bristol-Myers Squibb Co. .... 36,460 1,024,526
Eli Lilly & Co. ............. 27,210 1,007,042
Forest Laboratories, Inc.*... 30,660 1,016,686
Hospira, Inc.*............... 18,120 1,027,948
Johnson & Johnson, Inc. ..... 16,020 1,052,834
Merck & Co., Inc. ........... 29,400 1,056,930
Mylan, Inc.*................. 43,320 1,079,534
Pfizer, Inc. ................ 46,490 974,430
Watson Pharmaceuticals,
Inc.*..................... 17,280 1,071,706
-----------
TOTAL PHARMACEUTICALS 11,393,501
-----------
TOTAL COMMON STOCKS
(Cost $49,885,515) 54,032,477
-----------
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market
Fund...................... 78,175 78,175
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $78,175) 78,175
-----------
TOTAL INVESTMENTS 100.0%(A)
(Cost $49,963,690) 54,110,652
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(B) 8,067
-----------
NET ASSETS--100.0% $54,118,719
-----------------------------------------------------
</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.
42
RYDEX S&P 500 EQUAL WEIGHT INDUSTRIALS ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 20.1%
Boeing Co.(The)............... 11,624 $927,363
General Dynamics Corp. ....... 10,740 782,087
Goodrich Corp. ............... 9,714 858,426
Honeywell International,
Inc. ...................... 14,526 889,427
ITT Corp. .................... 14,130 816,573
L-3 Communications Holdings,
Inc. ...................... 10,237 820,905
Lockheed Martin Corp. ........ 9,880 782,990
Northrop Grumman Corp. ....... 13,340 848,557
Precision Castparts Corp. .... 5,710 882,309
Raytheon Co. ................. 15,910 772,431
Rockwell Collins, Inc. ....... 12,829 809,510
United Technologies Corp. .... 9,990 894,904
-----------
TOTAL AEROSPACE & DEFENSE 10,085,482
-----------
AIR FREIGHT & LOGISTICS 7.0%
C.H. Robinson Worldwide,
Inc. ...................... 11,051 886,069
Expeditors International of
Washington, Inc. .......... 16,852 914,558
FedEx Corp. .................. 9,021 863,039
United Parcel Service,
Inc. -- Class B............ 11,090 831,418
-----------
TOTAL AIR FREIGHT & LOGISTICS 3,495,084
-----------
AIRLINES 1.5%
Southwest Airlines Co. ....... 65,761 772,692
-----------
TOTAL AIRLINES 772,692
-----------
BUILDING PRODUCTS 1.5%
Masco Corp. .................. 57,506 771,730
-----------
TOTAL BUILDING PRODUCTS 771,730
-----------
COMMERCIAL SERVICES & SUPPLIES 13.6%
Avery Dennison Corp. ......... 19,698 822,195
Cintas Corp. ................. 28,929 898,245
Iron Mountain, Inc. .......... 27,870 887,660
Pitney Bowes, Inc. ........... 33,167 814,582
R.R. Donnelley & Sons Co. .... 45,361 855,508
Republic Services, Inc. ...... 27,423 867,115
Stericycle, Inc.*............. 9,290 847,991
Waste Management, Inc. ....... 21,919 864,924
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 6,858,220
-----------
CONSTRUCTION & ENGINEERING 4.8%
Fluor Corp. .................. 11,490 803,610
Jacobs Engineering Group,
Inc.*...................... 16,521 819,607
Quanta Services, Inc.*........ 36,860 799,125
-----------
TOTAL CONSTRUCTION & ENGINEERING 2,422,342
-----------
ELECTRICAL EQUIPMENT 4.9%
Emerson Electric Co. ......... 13,879 843,288
Rockwell Automation, Inc. .... 9,125 795,061
Roper Industries, Inc. ....... 9,602 830,477
-----------
TOTAL ELECTRICAL EQUIPMENT 2,468,826
-----------
INDUSTRIAL CONGLOMERATES 6.8%
3M Co. ....................... 8,960 871,002
General Electric Co. ......... 41,330 845,198
Textron, Inc. ................ 31,401 819,566
Tyco International Ltd. ...... 18,080 881,219
-----------
TOTAL INDUSTRIAL CONGLOMERATES 3,416,985
-----------
MACHINERY 24.1%
Caterpillar, Inc. ............ 7,684 886,810
Cummins, Inc. ................ 7,949 955,311
Danaher Corp. ................ 15,930 879,973
Deere & Co. .................. 8,890 866,775
Dover Corp. .................. 12,540 853,222
Eaton Corp. .................. 15,470 828,109
Flowserve Corp. .............. 6,565 831,260
Illinois Tool Works, Inc. .... 14,782 863,417
Ingersoll-Rand PLC............ 17,179 867,540
Joy Global, Inc. ............. 8,715 879,779
PACCAR, Inc. ................. 16,477 875,093
Pall Corp. ................... 14,209 830,374
Parker-Hannifin Corp. ........ 9,097 858,029
Snap-on, Inc. ................ 13,966 862,680
-----------
TOTAL MACHINERY 12,138,372
-----------
PROFESSIONAL SERVICES 5.0%
Dun & Bradstreet Corp. ....... 10,304 846,783
Equifax, Inc. ................ 22,373 839,658
Robert Half International,
Inc. ...................... 26,818 813,390
-----------
TOTAL PROFESSIONAL SERVICES 2,499,831
-----------
ROAD & RAIL 7.0%
CSX Corp. .................... 10,490 825,458
Norfolk Southern Corp. ....... 12,070 901,388
Ryder System, Inc. ........... 16,803 898,960
Union Pacific Corp. .......... 8,468 876,184
-----------
TOTAL ROAD & RAIL 3,501,990
-----------
TRADING COMPANIES & DISTRIBUTORS 3.5%
Fastenal Co. ................. 13,130 880,892
W.W. Grainger, Inc. .......... 5,900 894,440
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 1,775,332
-----------
TOTAL COMMON STOCKS
(Cost $37,849,450) 50,206,886
-----------
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market
Fund....................... 70,443 70,443
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $70,443) 70,443
-----------
TOTAL INVESTMENTS 100.0%(A)
(Cost $37,919,893) 50,277,329
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(B) 11,196
-----------
NET ASSETS--100.0% $50,288,525
-----------------------------------------------------
</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 500 EQUAL WEIGHT MATERIALS ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 99.8%
CHEMICALS 47.2%
Air Products & Chemicals,
Inc. ..................... 17,972 $1,716,685
Airgas, Inc. ................ 25,259 1,754,238
CF Industries Holdings,
Inc. ..................... 12,313 1,742,905
Dow Chemical Co.(The)........ 43,663 1,789,746
Du Pont (E.I.) de Nemours &
Co. ...................... 29,709 1,687,174
Eastman Chemical Co. ........ 16,510 1,770,698
Ecolab, Inc. ................ 32,560 1,717,866
FMC Corp. ................... 20,451 1,805,414
International Flavors &
Fragrances, Inc. ......... 26,249 1,667,337
Monsanto Co. ................ 23,147 1,574,922
PPG Industries, Inc. ........ 17,870 1,691,753
Praxair, Inc. ............... 16,146 1,718,257
Sherwin-Williams Co.(The).... 19,290 1,587,374
Sigma-Aldrich Corp. ......... 25,364 1,790,191
-----------
TOTAL CHEMICALS 24,014,560
-----------
CONSTRUCTION MATERIALS 3.3%
Vulcan Materials Co. ........ 36,592 1,653,959
-----------
TOTAL CONSTRUCTION MATERIALS 1,653,959
-----------
CONTAINERS & PACKAGING 12.6%
Ball Corp. .................. 45,959 1,714,730
Bemis Co., Inc. ............. 49,544 1,552,709
Owens-Illinois, Inc.*........ 53,253 1,580,016
Sealed Air Corp. ............ 61,402 1,582,330
-----------
TOTAL CONTAINERS & PACKAGING 6,429,785
-----------
METALS & MINING 29.6%
AK Steel Holding Corp. ...... 102,711 1,669,054
Alcoa, Inc. ................. 97,321 1,654,457
Allegheny Technologies,
Inc. ..................... 25,530 1,838,160
Cliffs Natural Resources,
Inc. ..................... 17,833 1,671,309
Freeport-McMoRan Copper &
Gold, Inc. ............... 29,950 1,648,148
Newmont Mining Corp. ........ 30,640 1,795,810
Nucor Corp. ................. 34,656 1,627,446
Titanium Metals Corp.*....... 89,447 1,791,623
United States Steel Corp. ... 29,349 1,400,241
-----------
TOTAL METALS & MINING 15,096,248
-----------
PAPER & FOREST PRODUCTS 7.1%
International Paper Co. ..... 58,369 1,802,435
MeadWestvaco Corp. .......... 54,492 1,835,835
-----------
TOTAL PAPER & FOREST PRODUCTS 3,638,270
-----------
TOTAL COMMON STOCKS
(Cost $37,948,664) 50,832,822
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund...................... 68,871 68,871
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $68,871) 68,871
-----------
TOTAL INVESTMENTS 99.9%(A)
(Cost $38,017,535) 50,901,693
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 26,077
-----------
NET ASSETS--100.0% $50,927,770
-----------------------------------------------------
</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
RYDEX S&P 500 EQUAL WEIGHT TECHNOLOGY ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS 99.9%
COMMUNICATIONS EQUIPMENT 11.8%
Cisco Systems, Inc. ......... 105,559 $1,853,616
F5 Networks, Inc.*........... 18,670 1,892,391
Harris Corp. ................ 38,890 2,066,226
JDS Uniphase Corp.*.......... 95,578 1,991,845
Juniper Networks, Inc.*...... 44,938 1,722,474
Motorola Mobility Holdings,
Inc.*..................... 68,869 1,794,726
Motorola Solutions, Inc.*.... 43,459 1,993,899
QUALCOMM, Inc. .............. 34,989 1,988,775
Tellabs, Inc. ............... 362,569 1,783,839
------------
TOTAL COMMUNICATIONS EQUIPMENT 17,087,791
------------
COMPUTERS & PERIPHERALS 10.6%
Apple, Inc.*................. 5,470 1,904,818
Dell, Inc.*.................. 124,700 1,934,097
EMC Corp.*................... 70,589 2,000,493
Hewlett-Packard Co. ......... 43,779 1,767,358
Lexmark International,
Inc. -- Class A*.......... 50,300 1,622,175
NetApp, Inc.*................ 37,159 1,931,525
SanDisk Corp.*............... 41,779 2,053,020
Western Digital Corp.*....... 53,379 2,124,484
------------
TOTAL COMPUTERS & PERIPHERALS 15,337,970
------------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 6.6%
Amphenol Corp. -- Class A.... 32,800 1,833,848
Corning, Inc. ............... 87,198 1,825,926
FLIR Systems, Inc. .......... 56,559 1,992,008
Jabil Circuit, Inc. ......... 97,317 1,930,769
Molex, Inc. ................. 74,328 2,006,856
------------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 9,589,407
------------
INTERNET SOFTWARE & SERVICES 7.9%
Akamai Technologies, Inc.*... 49,988 1,721,587
eBay, Inc.*.................. 59,380 2,042,672
Google, Inc. -- Class A*..... 3,220 1,752,002
Monster Worldwide, Inc.*..... 119,348 1,958,501
VeriSign, Inc. .............. 51,689 1,910,425
Yahoo!, Inc.*................ 112,869 2,003,425
------------
TOTAL INTERNET SOFTWARE & SERVICES 11,388,612
------------
IT SERVICES 17.5%
Automatic Data Processing,
Inc. ..................... 36,690 1,994,102
Cognizant Technology
Solutions Corp. -- Class
A*........................ 24,389 2,021,848
Computer Sciences Corp. ..... 38,260 1,950,495
Fidelity National Information
Services, Inc. ........... 58,550 1,938,005
Fiserv, Inc.*................ 30,140 1,847,883
International Business
Machines Corp. ........... 11,610 1,980,434
Mastercard, Inc. -- Class A.. 7,490 2,066,416
Paychex, Inc. ............... 57,249 1,872,615
SAIC, Inc.*.................. 107,889 1,877,269
Teradata Corp.*.............. 36,670 2,050,586
Total System Services,
Inc. ..................... 101,818 1,919,269
Visa, Inc. -- Class A........ 25,329 1,978,701
Western Union Co. ........... 85,790 1,823,038
------------
TOTAL IT SERVICES 25,320,661
------------
OFFICE ELECTRONICS 1.3%
Xerox Corp. ................. 178,776 1,803,850
------------
TOTAL OFFICE ELECTRONICS 1,803,850
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 26.0%
Advanced Micro Devices,
Inc.*..................... 211,784 1,927,234
Altera Corp. ................ 45,458 2,213,805
Analog Devices, Inc. ........ 47,839 1,928,390
Applied Materials, Inc. ..... 121,918 1,912,893
Broadcom Corp. -- Class A*... 45,609 1,604,525
First Solar, Inc.*........... 12,090 1,687,401
Intel Corp. ................. 90,778 2,105,142
KLA-Tencor Corp. ............ 40,399 1,773,516
Linear Technology Corp. ..... 55,739 1,939,717
LSI Corp.*................... 283,139 2,075,409
MEMC Electronic Materials,
Inc.*..................... 146,977 1,738,738
Microchip Technology, Inc. .. 50,718 2,081,467
Micron Technology, Inc.*..... 179,663 2,028,395
National Semiconductor
Corp. .................... 129,977 3,135,045
Novellus Systems, Inc.*...... 51,328 1,647,629
NVIDIA Corp.*................ 102,686 2,053,720
Teradyne, Inc.*.............. 106,797 1,719,432
Texas Instruments, Inc. ..... 54,229 1,926,756
Xilinx, Inc. ................ 56,949 1,985,242
------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 37,484,456
------------
SOFTWARE 18.2%
Adobe Systems, Inc.*......... 56,559 1,897,554
Autodesk, Inc.*.............. 45,920 2,065,482
BMC Software, Inc.*.......... 37,810 1,899,196
CA, Inc. .................... 79,108 1,945,266
Citrix Systems, Inc.*........ 27,149 2,289,747
Compuware Corp.*............. 164,778 1,866,935
Electronic Arts, Inc.*....... 97,317 1,963,857
Intuit, Inc.*................ 36,239 2,013,439
Microsoft Corp. ............. 72,958 1,898,367
Oracle Corp. ................ 58,819 2,120,425
Red Hat, Inc.*............... 46,259 2,195,915
Salesforce.com, Inc.*........ 15,079 2,089,949
Symantec Corp.*.............. 104,768 2,058,691
------------
TOTAL SOFTWARE 26,304,823
------------
TOTAL COMMON STOCKS
(Cost $122,801,712) 144,317,570
------------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund...................... 134,845 134,845
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $134,845) 134,845
------------
TOTAL INVESTMENTS 100.0%(A)
(Cost $122,936,557) 144,452,415
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS--0.0%(B) (38,835)
------------
NET ASSETS--100.0% $144,413,580
------------------------------------------------------
</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 45
RYDEX S&P 500 EQUAL WEIGHT UTILITIES ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 99.4%
DIVERSIFIED TELECOMMUNICATION SERVICES 11.7%
AT&T, Inc. .................. 19,890 $618,977
CenturyTel, Inc. ............ 13,280 541,558
Frontier Communications
Corp. .................... 68,340 565,172
Verizon Communications,
Inc. ..................... 15,500 585,590
Windstream Corp. ............ 42,970 550,446
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 2,861,743
-----------
ELECTRIC UTILITIES 31.6%
American Electric Power Co.,
Inc. ..................... 16,430 599,366
Duke Energy Corp. ........... 31,520 587,848
Edison International......... 15,560 611,041
Entergy Corp. ............... 8,470 590,528
Exelon Corp. ................ 13,880 585,042
FirstEnergy Corp. ........... 15,210 607,792
NextEra Energy, Inc. ........ 10,530 595,682
Northeast Utilities.......... 16,500 587,400
Pepco Holdings, Inc. ........ 30,750 592,553
Pinnacle West Capital
Corp. .................... 13,420 582,294
PPL Corp. ................... 22,600 619,918
Progress Energy, Inc. ....... 12,570 596,446
Southern Co. ................ 15,020 586,381
-----------
TOTAL ELECTRIC UTILITIES 7,742,291
-----------
GAS UTILITIES 4.8%
Nicor, Inc. ................. 10,520 583,124
Oneok, Inc. ................. 8,680 607,079
-----------
TOTAL GAS UTILITIES 1,190,203
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 7.8%
AES Corp.(The)*.............. 45,140 597,654
Constellation Energy Group,
Inc. ..................... 18,120 659,930
NRG Energy, Inc.*............ 26,820 649,044
-----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 1,906,628
-----------
MULTI-UTILITIES 36.3%
Ameren Corp. ................ 20,510 601,148
CenterPoint Energy, Inc. .... 33,330 619,938
CMS Energy Corp. ............ 29,380 581,724
Consolidated Edison, Inc. ... 11,220 584,786
Dominion Resources, Inc. .... 12,690 589,070
DTE Energy Co. .............. 11,820 597,265
Integrys Energy Group,
Inc. ..................... 11,310 592,192
NiSource, Inc. .............. 29,990 583,305
PG&E Corp. .................. 12,890 593,971
Public Service Enterprise
Group, Inc. .............. 18,260 587,424
SCANA Corp. ................. 14,430 599,134
Sempra Energy................ 10,810 595,631
TECO Energy, Inc. ........... 31,320 603,536
Wisconsin Energy Corp. ...... 18,760 585,500
Xcel Energy, Inc. ........... 23,700 576,621
-----------
TOTAL MULTI-UTILITIES 8,891,245
-----------
WIRELESS TELECOMMUNICATION SERVICES 7.2%
American Tower Corp. -- Class
A*........................ 10,980 574,364
MetroPCS Communications,
Inc.*..................... 37,220 626,413
Sprint Nextel Corp.*......... 110,030 569,955
-----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 1,770,732
-----------
TOTAL COMMON STOCKS
(Cost $21,008,512) 24,362,842
-----------
SHORT TERM INVESTMENTS 0.4%
SSgA Government Money Market
Fund...................... 90,434 90,434
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $90,434) 90,434
-----------
TOTAL INVESTMENTS 99.8%(A)
(Cost $21,098,946) 24,453,276
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.2% 49,331
-----------
NET ASSETS--100.0% $24,502,607
-----------------------------------------------------
</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.
46
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX
RYDEX RYDEX S&P MIDCAP S&P MIDCAP
S&P 500 PURE S&P 500 PURE 400 PURE 400 PURE
VALUE ETF GROWTH ETF VALUE ETF GROWTH ETF
------------ ------------ ----------- ------------
ASSETS
Investments at Market Value*.............. $116,080,809 $264,591,253 $60,145,534 $670,890,991
Receivables:
Investments Sold........................ -- 4,067,356 -- 12,497,188
Fund Shares Sold........................ 3,223,887 2,399,476 -- 4,455,213
Dividends............................... 98,480 82,366 32,623 95,798
------------ ------------ ----------- ------------
TOTAL ASSETS......................... 119,403,176 271,140,451 60,178,157 687,939,190
------------ ------------ ----------- ------------
LIABILITIES
Payables:
Investments Purchased................... 3,221,502 6,420,510 -- 17,134,151
Accrued Management Fees................. 30,302 72,215 16,520 178,711
------------ ------------ ----------- ------------
TOTAL LIABILITIES.................... 3,251,804 6,492,725 16,520 17,312,862
------------ ------------ ----------- ------------
NET ASSETS................................ $116,151,372 $264,647,726 $60,161,637 $670,626,328
============ ============ =========== ============
NET ASSETS CONSIST OF:
Paid-in Capital........................... $112,187,328 $222,744,222 $57,422,633 $536,369,551
Undistributed Net Investment Income....... 52,735 16,853 17,199 7,643
Accumulated Net Realized Gain (Loss) on
Investment Securities................... (7,838,289) 566,488 (2,049,060) 32,542,126
Net Unrealized Appreciation (Depreciation)
on Investment Securities................ 11,749,598 41,320,163 4,770,865 101,707,008
------------ ------------ ----------- ------------
NET ASSETS................................ $116,151,372 $264,647,726 $60,161,637 $670,626,328
============ ============ =========== ============
Shares Outstanding (Unlimited Shares
Authorized), No Par Value............... 3,602,836 5,500,299 1,650,499 7,500,021
============ ============ =========== ============
Net Asset Value, Offering Price and
Repurchase Price Per Share.............. $ 32.24 $ 48.12 $ 36.45 $ 89.42
============ ============ =========== ============
*Total Cost of Investments................ $104,331,211 $223,271,090 $55,374,669 $569,183,983
============ ============ =========== ============
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 47
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX RYDEX RYDEX
S&P SMALLCAP S&P SMALLCAP S&P 500 EQUAL S&P 500 EQUAL
600 PURE 600 PURE WEIGHT CONSUMER WEIGHT CONSUMER
VALUE ETF GROWTH ETF DISCRETIONARY ETF STAPLES ETF
------------ ------------ ----------------- ---------------
ASSETS
Investments at Market Value*........ $ 90,162,430 $35,202,821 $25,092,729 $18,899,931
Receivables:
Investments Sold.................. -- 357,043 306,516 --
Dividends......................... 39,509 1,914 13,104 24,864
------------ ----------- ----------- -----------
TOTAL ASSETS................... 90,201,939 35,561,778 25,412,349 18,924,795
------------ ----------- ----------- -----------
LIABILITIES
Payables:
Investments Purchased............. -- 363,781 302,450 --
Accrued Management Fees........... 26,585 9,731 10,025 7,531
------------ ----------- ----------- -----------
TOTAL LIABILITIES.............. 26,585 373,512 312,475 7,531
------------ ----------- ----------- -----------
NET ASSETS.......................... $ 90,175,354 $35,188,266 $25,099,874 $18,917,264
============ =========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital..................... $108,006,821 $29,404,294 $21,993,695 $15,458,743
Undistributed (Distributions in
Excess) of Net Investment Income.. (13,340) (27,850) 3,447 35,451
Accumulated Net Realized Loss on
Investment Securities............. (19,035,435) (915,060) (1,681,661) (349,331)
Net Unrealized Appreciation
(Depreciation) on Investment
Securities........................ 1,217,308 6,726,882 4,784,393 3,772,401
------------ ----------- ----------- -----------
NET ASSETS.......................... $ 90,175,354 $35,188,266 $25,099,874 $18,917,264
============ =========== =========== ===========
Shares Outstanding (Unlimited Shares
Authorized), No Par Value......... 2,200,040 650,004 500,000 300,000
============ =========== =========== ===========
Net Asset Value, Offering Price and
Repurchase Price Per Share........ $ 40.99 $ 54.14 $ 50.20 $ 63.06
============ =========== =========== ===========
*Total Cost of Investments.......... $ 88,945,122 $28,475,939 $20,308,336 $15,127,530
============ =========== =========== ===========
</Table>
See Notes to Financial Statements.
48
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX RYDEX RYDEX
S&P 500 S&P 500 S&P 500 EQUAL S&P 500
EQUAL WEIGHT EQUAL WEIGHT WEIGHT HEALTH EQUAL WEIGHT
ENERGY ETF FINANCIALS ETF CARE ETF INDUSTRIALS ETF
------------ -------------- ------------- ---------------
ASSETS
Investments at Market Value*............ $124,086,052 $19,111,812 $54,110,652 $50,277,329
Receivables:
Dividends............................. 36,526 13,838 29,481 31,489
------------ ----------- ----------- -----------
TOTAL ASSETS....................... 124,122,578 19,125,650 54,140,133 50,308,818
------------ ----------- ----------- -----------
LIABILITIES
Payables:
Accrued Management Fees............... 48,653 7,967 21,414 20,293
------------ ----------- ----------- -----------
TOTAL LIABILITIES.................. 48,653 7,967 21,414 20,293
------------ ----------- ----------- -----------
NET ASSETS.............................. $124,073,925 $19,117,683 $54,118,719 $50,288,525
============ =========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital......................... $113,037,167 $22,429,996 $51,000,914 $36,883,893
Undistributed (Distributions in Excess)
of Net Investment Income.............. (21,205) (24,861) 26,271 31,993
Accumulated Net Realized Gain (Loss) on
Investment Securities................. (2,625,617) (5,159,378) (1,055,428) 1,015,203
Net Unrealized Appreciation
(Depreciation) on Investment
Securities............................ 13,683,580 1,871,926 4,146,962 12,357,436
------------ ----------- ----------- -----------
NET ASSETS.............................. $124,073,925 $19,117,683 $54,118,719 $50,288,525
============ =========== =========== ===========
Shares Outstanding (Unlimited Shares
Authorized), No Par Value............. 1,650,005 650,000 750,000 850,000
============ =========== =========== ===========
Net Asset Value, Offering Price and
Repurchase Price Per Share............ $ 75.20 $ 29.41 $ 72.16 $ 59.16
============ =========== =========== ===========
*Total Cost of Investments.............. $110,402,472 $17,239,886 $49,963,690 $37,919,893
============ =========== =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 49
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX RYDEX
S&P 500 S&P 500 S&P 500
EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT
MATERIALS ETF TECHNOLOGY ETF UTILITIES ETF
------------- -------------- -------------
ASSETS
Investments at Market Value*..................... $50,901,693 $144,452,415 $24,453,276
Receivables:
Investments Sold............................... -- 1,872,966 --
Dividends...................................... 46,594 29,199 59,068
----------- ------------ -----------
TOTAL ASSETS................................ 50,948,287 146,354,580 24,512,344
----------- ------------ -----------
LIABILITIES
Payables:
Investments Purchased.......................... -- 1,885,049 --
Accrued Management Fees........................ 20,517 55,951 9,737
----------- ------------ -----------
TOTAL LIABILITIES........................... 20,517 1,941,000 9,737
----------- ------------ -----------
NET ASSETS....................................... $50,927,770 $144,413,580 $24,502,607
=========== ============ ===========
NET ASSETS CONSIST OF:
Paid-in Capital.................................. $38,996,198 $125,394,549 $22,206,927
Undistributed (Distributions in Excess) of Net
Investment Income.............................. 40,172 (26,652) 66,963
Accumulated Net Realized Loss on Investment
Securities..................................... (992,758) (2,470,175) (1,125,613)
Net Unrealized Appreciation (Depreciation) on
Investment Securities.......................... 12,884,158 21,515,858 3,354,330
----------- ------------ -----------
NET ASSETS....................................... $50,927,770 $144,413,580 $24,502,607
=========== ============ ===========
Shares Outstanding (Unlimited Shares Authorized),
No Par Value................................... 750,000 2,450,000 450,000
=========== ============ ===========
Net Asset Value, Offering Price and Repurchase
Price Per Share................................ $ 67.90 $ 58.94 $ 54.45
=========== ============ ===========
*Total Cost of Investments....................... $38,017,535 $122,936,557 $21,098,946
=========== ============ ===========
</Table>
See Notes to Financial Statements.
50
STATEMENT OF OPERATIONS (Unaudited) For the Six Months Ended April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX
RYDEX RYDEX S&P MIDCAP S&P MIDCAP
S&P 500 PURE S&P 500 PURE 400 PURE 400 PURE
VALUE ETF GROWTH ETF VALUE ETF GROWTH ETF
------------ ------------ ---------- ------------
INVESTMENT INCOME
Dividends............................... $ 644,909 $ 869,469 $ 373,854 $ 1,241,608
EXPENSES
Management Fee.......................... 133,747 365,640 88,546 850,098
----------- ----------- ---------- ------------
Net Investment Income..................... 511,162 503,829 285,308 391,510
----------- ----------- ---------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS.............................
Net Realized Gain From:
Investments............................. 926,879 4,613,557 1,932,847 26,703,350
In-kind Redemptions..................... 242,353 3,792,396 181,262 8,100,937
----------- ----------- ---------- ------------
Net Realized Gain.................... 1,169,232 8,405,953 2,114,109 34,804,287
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities................... 15,001,149 26,092,223 5,920,673 73,746,803
----------- ----------- ---------- ------------
Net Realized and Unrealized Gain on
Investments............................. 16,170,381 34,498,176 8,034,782 108,551,090
----------- ----------- ---------- ------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS.................... $16,681,543 $35,002,005 $8,320,090 $108,942,600
=========== =========== ========== ============
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 51
STATEMENT OF OPERATIONS (Unaudited) (continued) For the Six Months Ended April
30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX RYDEX RYDEX
S&P SMALLCAP S&P SMALLCAP S&P 500 EQUAL S&P 500 EQUAL
600 PURE 600 PURE WEIGHT CONSUMER WEIGHT CONSUMER
VALUE ETF GROWTH ETF DISCRETIONARY ETF STAPLES ETF
------------ ------------ ----------------- ---------------
INVESTMENT INCOME
Dividends......................... $ 419,520 $ 65,790 $ 237,472 $ 210,328
EXPENSES
Management Fee.................... 168,120 46,644 63,900 37,851
Other Fees........................ 34 -- -- --
----------- ---------- ---------- ----------
Total Expenses................. 168,154 46,644 63,900 37,851
----------- ---------- ---------- ----------
Net Investment Income............... 251,366 19,146 173,572 172,477
----------- ---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net Realized Gain (Loss) From:
Investments....................... 1,318,078 1,097,128 236,905 (52,697)
In-kind Redemptions............... 2,203,926 -- 1,301,304 --
----------- ---------- ---------- ----------
Net Realized Gain (Loss)....... 3,522,004 1,097,128 1,538,209 (52,697)
Net Change in Unrealized
Appreciation (Depreciation) on:
Investment Securities............. 12,583,009 4,468,104 2,914,120 2,177,788
----------- ---------- ---------- ----------
Net Realized and Unrealized Gain on
Investments....................... 16,105,013 5,565,232 4,452,329 2,125,091
----------- ---------- ---------- ----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.... $16,356,379 $5,584,378 $4,625,901 $2,297,568
=========== ========== ========== ==========
</Table>
See Notes to Financial Statements.
52
STATEMENT OF OPERATIONS (Unaudited) (continued) For the Six Months Ended April
30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX RYDEX RYDEX
S&P 500 S&P 500 S&P 500 EQUAL S&P 500
EQUAL WEIGHT EQUAL WEIGHT WEIGHT HEALTH EQUAL WEIGHT
ENERGY ETF FINANCIALS ETF CARE ETF INDUSTRIALS ETF
------------ -------------- ------------- ---------------
INVESTMENT INCOME
Dividends, Net of Foreign Tax
Withheld........................... $ 180,938 $ 222,982 $ 230,769 $ 481,529
EXPENSES
Management Fee........................ 123,178 47,969 125,472 120,004
----------- ---------- ---------- ----------
Net Investment Income................... 57,760 175,013 105,297 361,525
----------- ---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) From:
Investments........................... (15,464) (21,152) (202,920) 21,982
In-kind Redemptions................... -- 1,169,954 3,673,918 2,379,813
----------- ---------- ---------- ----------
Net Realized Gain (Loss)........... (15,464) 1,148,802 3,470,998 2,401,795
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities................. 12,234,125 1,357,132 5,939,116 5,832,582
----------- ---------- ---------- ----------
Net Realized and Unrealized Gain on
Investments........................... 12,218,661 2,505,934 9,410,114 8,234,377
----------- ---------- ---------- ----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS........ $12,276,421 $2,680,947 $9,515,411 $8,595,902
=========== ========== ========== ==========
Foreign Taxes Withheld................ $ -- $ -- $ -- $ 118
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 53
STATEMENT OF OPERATIONS (Unaudited) (concluded) For the Six Months Ended April
30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX RYDEX
S&P 500 S&P 500 S&P 500
EQUAL WEIGHT EQUAL WEIGHT EQUAL WEIGHT
MATERIALS ETF TECHNOLOGY ETF UTILITIES ETF
------------- -------------- -------------
INVESTMENT INCOME
Dividends...................................... $ 376,974 $ 537,843 $ 449,059
EXPENSES
Management Fee................................. 108,893 286,004 53,242
---------- ----------- ----------
Net Investment Income............................ 268,081 251,839 395,817
---------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain (Loss) From:
Investments.................................... 351,887 (121,675) 167,533
In-kind Redemptions............................ -- 949,995 --
---------- ----------- ----------
Net Realized Gain........................... 351,887 828,320 167,533
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities.......................... 6,870,565 15,164,614 1,662,927
---------- ----------- ----------
Net Realized and Unrealized Gain on Investments.. 7,222,452 15,992,934 1,830,460
---------- ----------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................ $7,490,533 $16,244,773 $2,226,277
========== =========== ==========
</Table>
See Notes to Financial Statements.
54
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 PURE VALUE ETF RYDEX S&P 500 PURE GROWTH ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED APRIL 30, 2011 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 (UNAUDITED) OCTOBER 31, 2010
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 511,162 $ 877,419 $ 503,829 $ 273,834
Net Realized Gain................ 1,169,232 10,140,255 8,405,953 4,220,567
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 15,001,149 (4,582,840) 26,092,223 14,201,445
------------ ------------ ------------ ------------
Net Increase in Net Assets
Resulting From Operations..... 16,681,543 6,434,834 35,002,005 18,695,846
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (464,715) (867,443) (486,976) (285,918)
------------ ------------ ------------ ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 45,584,247 85,657,155 98,013,227 117,266,926
Value of Shares Purchased through
Dividend Reinvestments........ -- 6,581 -- 1,529
Value of Shares Redeemed......... (1,525,268) (65,456,767) (15,350,935) (26,775,492)
------------ ------------ ------------ ------------
Net Increase in Net Assets
Resulting From Share
Transactions.................. 44,058,979 20,206,969 82,662,292 90,492,963
------------ ------------ ------------ ------------
Increase in Net Assets........ 60,275,807 25,774,360 117,177,321 108,902,891
NET ASSETS--BEGINNING OF PERIOD.... 55,875,565 30,101,205 147,470,405 38,567,514
------------ ------------ ------------ ------------
NET ASSETS--END OF PERIOD(1)....... $116,151,372 $ 55,875,565 $264,647,726 $147,470,405
============ ============ ============ ============
(1) Including Undistributed Net
Investment Income................ $ 52,735 $ 6,288 $ 16,853 $ --
============ ============ ============ ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 1,500,000 3,350,000 2,200,000 3,200,000
Shares Purchased through Dividend
Reinvestments................. -- 266 -- 44
Shares Redeemed.................. (50,000) (2,600,000) (350,000) (800,000)
Shares Outstanding, Beginning of
Period........................ 2,152,836 1,402,570 3,650,299 1,250,255
------------ ------------ ------------ ------------
Shares Outstanding, End of
Period........................ 3,602,836 2,152,836 5,500,299 3,650,299
============ ============ ============ ============
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 55
STATEMENTS OF CHANGES IN NET ASSETS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P MIDCAP 400 RYDEX S&P MIDCAP 400
PURE VALUE ETF PURE GROWTH ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED APRIL 30, 2011 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 (UNAUDITED) OCTOBER 31, 2010
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 285,308 $ 532,926 $ 391,510 $ 48,972
Net Realized Gain................ 2,114,109 6,476,646 34,804,287 14,290,972
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 5,920,673 (2,350,651) 73,746,803 25,139,989
----------- ------------ ------------ ------------
Net Increase in Net Assets
Resulting From Operations..... 8,320,090 4,658,921 108,942,600 39,479,933
----------- ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (274,273) (526,762) (383,867) (89,353)
----------- ------------ ------------ ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 10,618,563 43,241,178 301,600,953 229,792,522
Value of Shares Purchased through
Dividend Reinvestments........ -- 2,368 -- 122
Value of Shares Redeemed......... (1,591,488) (27,284,312) (31,962,619) (85,185,473)
----------- ------------ ------------ ------------
Net Increase in Net Assets
Resulting From Share
Transactions.................. 9,027,075 15,959,234 269,638,334 144,607,171
----------- ------------ ------------ ------------
Increase in Net Assets........ 17,072,892 20,091,393 378,197,067 183,997,751
NET ASSETS--BEGINNING OF PERIOD.... 43,088,745 22,997,352 292,429,261 108,431,510
----------- ------------ ------------ ------------
NET ASSETS--END OF PERIOD(1)....... $60,161,637 $ 43,088,745 $670,626,328 $292,429,261
=========== ============ ============ ============
(1) Including Undistributed Net
Investment Income................ $ 17,199 $ 6,164 $ 7,643 $ --
=========== ============ ============ ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 300,000 1,400,000 3,750,000 3,550,000
Shares Purchased through Dividend
Reinvestments................. -- 81 -- 2
Shares Redeemed.................. (50,000) (950,000) (400,000) (1,450,000)
Shares Outstanding, Beginning of
Period........................ 1,400,499 950,418 4,150,021 2,050,019
----------- ------------ ------------ ------------
Shares Outstanding, End of
Period........................ 1,650,499 1,400,499 7,500,021 4,150,021
=========== ============ ============ ============
</Table>
See Notes to Financial Statements.
56
STATEMENTS OF CHANGES IN NET ASSETS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P SMALLCAP 600 RYDEX S&P SMALLCAP 600
PURE VALUE ETF PURE GROWTH ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED APRIL 30, 2011 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 (UNAUDITED) OCTOBER 31, 2010
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 251,366 $ 671,866 $ 19,146 $ 23,587
Net Realized Gain................ 3,522,004 2,507,840 1,097,128 1,007,797
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 12,583,009 (1,095,620) 4,468,104 2,751,747
------------ ------------- ----------- -----------
Net Increase in Net Assets
Resulting From Operations..... 16,356,379 2,084,086 5,584,378 3,783,131
------------ ------------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (264,706) (707,768) (46,996) (25,566)
------------ ------------- ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 14,049,941 108,057,601 12,321,522 7,478,723
Value of Shares Redeemed......... (27,349,171) (130,334,749) -- (5,851,855)
------------ ------------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (13,299,230) (22,277,148) 12,321,522 1,626,868
------------ ------------- ----------- -----------
Increase (Decrease) in Net
Assets...................... 2,792,443 (20,900,830) 17,858,904 5,384,433
NET ASSETS--BEGINNING OF PERIOD.... 87,382,911 108,283,741 17,329,362 11,944,929
------------ ------------- ----------- -----------
NET ASSETS--END OF PERIOD(1)....... $ 90,175,354 $ 87,382,911 $35,188,266 $17,329,362
============ ============= =========== ===========
(1) Including Distributions in
Excess of Net Investment Income.. $ (13,340) $ -- $ (27,850) $ --
============ ============= =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 350,000 2,850,000 250,000 200,000
Shares Redeemed.................. (700,000) (4,100,000) -- (150,000)
Shares Outstanding, Beginning of
Period........................ 2,550,040 3,800,040 400,004 350,004
------------ ------------- ----------- -----------
Shares Outstanding, End of
Period........................ 2,200,040 2,550,040 650,004 400,004
============ ============= =========== ===========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 57
STATEMENTS OF CHANGES IN NET ASSETS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT RYDEX S&P 500 EQUAL WEIGHT
CONSUMER DISCRETIONARY ETF CONSUMER STAPLES ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED APRIL 30, 2011 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 (UNAUDITED) OCTOBER 31, 2010
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 173,572 $ 225,501 $ 172,477 $ 253,328
Net Realized Gain (Loss)......... 1,538,209 3,105,219 (52,697) 156,024
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 2,914,120 543,585 2,177,788 1,476,439
----------- ------------ ----------- -----------
Net Increase in Net Assets
Resulting From Operations..... 4,625,901 3,874,305 2,297,568 1,885,791
----------- ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (175,308) (221,575) (165,869) (244,303)
----------- ------------ ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... -- 23,320,514 2,930,059 2,529,276
Value of Shares Redeemed......... (4,775,593) (13,022,663) -- --
----------- ------------ ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (4,775,593) 10,297,851 2,930,059 2,529,276
----------- ------------ ----------- -----------
Increase (Decrease) in Net
Assets...................... (325,000) 13,950,581 5,061,758 4,170,764
NET ASSETS--BEGINNING OF PERIOD.... 25,424,874 11,474,293 13,855,506 9,684,742
----------- ------------ ----------- -----------
NET ASSETS--END OF PERIOD(1)....... $25,099,874 $ 25,424,874 $18,917,264 $13,855,506
=========== ============ =========== ===========
(1) Including Undistributed Net
Investment Income................ $ 3,447 $ 5,183 $ 35,451 $ 28,843
=========== ============ =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. -- 600,000 50,000 50,000
Shares Redeemed.................. (100,000) (350,000) -- --
Shares Outstanding, Beginning of
Period........................ 600,000 350,000 250,000 200,000
----------- ------------ ----------- -----------
Shares Outstanding, End of
Period........................ 500,000 600,000 300,000 250,000
=========== ============ =========== ===========
</Table>
See Notes to Financial Statements.
58
STATEMENTS OF CHANGES IN NET ASSETS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT RYDEX S&P 500 EQUAL WEIGHT
ENERGY ETF FINANCIALS ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED APRIL 30, 2011 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 (UNAUDITED) OCTOBER 31, 2010
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 57,760 $ 135,122 $ 175,013 $ 219,313
Net Realized Gain (Loss)......... (15,464) 640,273 1,148,802 2,421,086
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 12,234,125 1,516,371 1,357,132 (407,694)
------------ ----------- ----------- ------------
Net Increase in Net Assets
Resulting From Operations..... 12,276,421 2,291,766 2,680,947 2,232,705
------------ ----------- ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (82,539) (137,899) (199,874) (251,198)
------------ ----------- ----------- ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 95,758,167 7,318,377 5,687,719 12,509,461
Value of Shares Redeemed......... -- (5,272,130) (5,561,060) (11,975,988)
------------ ----------- ----------- ------------
Net Increase in Net Assets
Resulting From Share
Transactions.................. 95,758,167 2,046,247 126,659 533,473
------------ ----------- ----------- ------------
Increase in Net Assets........ 107,952,049 4,200,114 2,607,732 2,514,980
NET ASSETS--BEGINNING OF PERIOD.... 16,121,876 11,921,762 16,509,951 13,994,971
------------ ----------- ----------- ------------
NET ASSETS--END OF PERIOD(1)....... $124,073,925 $16,121,876 $19,117,683 $ 16,509,951
============ =========== =========== ============
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ (21,205) $ 3,574 $ (24,861) $ --
============ =========== =========== ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 1,350,000 150,000 200,000 500,000
Shares Redeemed.................. -- (100,000) (200,000) (500,000)
Shares Outstanding, Beginning of
Period........................ 300,005 250,005 650,000 650,000
------------ ----------- ----------- ------------
Shares Outstanding, End of
Period........................ 1,650,005 300,005 650,000 650,000
============ =========== =========== ============
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 59
STATEMENTS OF CHANGES IN NET ASSETS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT RYDEX S&P 500 EQUAL WEIGHT
HEALTH CARE ETF INDUSTRIALS ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED APRIL 30, 2011 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 (UNAUDITED) OCTOBER 31, 2010
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 105,297 $ 239,001 $ 361,525 $ 412,876
Net Realized Gain................ 3,470,998 11,816,424 2,401,795 993,608
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 5,939,116 (234,579) 5,832,582 4,470,909
------------ ------------- ----------- -----------
Net Increase in Net Assets
Resulting From Operations..... 9,515,411 11,820,846 8,595,902 5,877,393
------------ ------------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (95,609) (247,927) (344,159) (398,481)
------------ ------------- ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 26,155,766 78,908,687 5,519,888 21,282,423
Value of Shares Redeemed......... (35,226,828) (110,019,690) (5,588,059) (2,546,360)
------------ ------------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (9,071,062) (31,111,003) (68,171) 18,736,063
------------ ------------- ----------- -----------
Increase (Decrease) in Net
Assets...................... 348,740 (19,538,084) 8,183,572 24,214,975
NET ASSETS--BEGINNING OF PERIOD.... 53,769,979 73,308,063 42,104,953 17,889,978
------------ ------------- ----------- -----------
NET ASSETS--END OF PERIOD(1)....... $ 54,118,719 $ 53,769,979 $50,288,525 $42,104,953
============ ============= =========== ===========
(1) Including Undistributed Net
Investment Income................ $ 26,271 $ 16,583 $ 31,993 $ 14,627
============ ============= =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 400,000 1,400,000 100,000 450,000
Shares Redeemed.................. (550,000) (1,950,000) (100,000) (50,000)
Shares Outstanding, Beginning of
Period........................ 900,000 1,450,000 850,000 450,000
------------ ------------- ----------- -----------
Shares Outstanding, End of
Period........................ 750,000 900,000 850,000 850,000
============ ============= =========== ===========
</Table>
See Notes to Financial Statements.
60
STATEMENTS OF CHANGES IN NET ASSETS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT RYDEX S&P 500 EQUAL WEIGHT
MATERIALS ETF TECHNOLOGY ETF
---------------------------------- ----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED APRIL 30, 2011 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 (UNAUDITED) OCTOBER 31, 2010
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income............ $ 268,081 $ 1,012,652 $ 251,839 $ 216,054
Net Realized Gain................ 351,887 5,248,476 828,320 11,943,411
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 6,870,565 2,675,915 15,164,614 5,055,947
----------- ------------ ------------ ------------
Net Increase in Net Assets
Resulting From Operations..... 7,490,533 8,937,043 16,244,773 17,215,412
----------- ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (248,618) (1,001,234) (278,491) (230,398)
----------- ------------ ------------ ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... 9,291,044 10,346,920 42,692,557 86,546,014
Value of Shares Redeemed......... -- (25,086,993) (3,004,415) (68,740,444)
----------- ------------ ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. 9,291,044 (14,740,073) 39,688,142 17,805,570
----------- ------------ ------------ ------------
Increase (Decrease) in Net
Assets...................... 16,532,959 (6,804,264) 55,654,424 34,790,584
NET ASSETS--BEGINNING OF PERIOD.... 34,394,811 41,199,075 88,759,156 53,968,572
----------- ------------ ------------ ------------
NET ASSETS--END OF PERIOD(1)....... $50,927,770 $ 34,394,811 $144,413,580 $ 88,759,156
=========== ============ ============ ============
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ 40,172 $ 20,709 $ (26,652) $ --
=========== ============ ============ ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. 150,000 200,000 750,000 1,900,000
Shares Redeemed.................. -- (500,000) (50,000) (1,500,000)
Shares Outstanding, Beginning of
Period........................ 600,000 900,000 1,750,000 1,350,000
----------- ------------ ------------ ------------
Shares Outstanding, End of
Period........................ 750,000 600,000 2,450,000 1,750,000
=========== ============ ============ ============
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 61
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT
UTILITIES ETF
----------------------------------
SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010
---------------- ----------------
OPERATIONS
Net Investment Income................................. $ 395,817 $ 475,774
Net Realized Gain (Loss).............................. 167,533 (330,684)
Net Change in Unrealized Appreciation (Depreciation)
on Investments..................................... 1,662,927 2,266,186
----------- -----------
Net Increase in Net Assets Resulting From Operations.. 2,226,277 2,411,276
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................................. (381,853) (451,578)
----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased........................ 2,548,588 9,722,935
----------- -----------
Net Increase in Net Assets Resulting From Share
Transactions....................................... 2,548,588 9,722,935
----------- -----------
Increase in Net Assets............................. 4,393,012 11,682,633
NET ASSETS--BEGINNING OF PERIOD......................... 20,109,595 8,426,962
----------- -----------
NET ASSETS--END OF PERIOD(1)............................ $24,502,607 $20,109,595
=========== ===========
(1) Including Undistributed Net Investment Income....... $ 66,963 $ 52,999
=========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased...................................... 50,000 200,000
Shares Outstanding, Beginning of Period............... 400,000 200,000
----------- -----------
Shares Outstanding, End of Period..................... 450,000 400,000
=========== ===========
</Table>
See Notes to Financial Statements.
62
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 PURE VALUE ETF
--------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009
-------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD.................. $ 25.95 $ 21.46 $ 17.98
-------- ------- -------
Net Investment Income**...... 0.20 0.35 0.49
Net Realized and Unrealized
Gain (Loss) on
Investments................ 6.26 4.49 3.53
-------- ------- -------
TOTAL FROM INVESTMENT
OPERATIONS................. 6.46 4.84 4.02
-------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........ (0.17) (0.35) (0.54)
-------- ------- -------
NET ASSET VALUE AT END OF
PERIOD..................... $ 32.24 $ 25.95 $ 21.46
======== ======= =======
TOTAL RETURN***.............. 24.93% 22.67% 23.73%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)............ $116,151 $55,876 $30,101
RATIO TO AVERAGE NET ASSETS
OF:
Total Expenses............... 0.35%**** 0.35% 0.35%
Net Investment Income........ 1.34%**** 1.38% 2.92%
Portfolio Turnover Rate+..... 25% 27% 45%
<Caption>
RYDEX S&P 500 PURE VALUE ETF
-----------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006*
---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD.................. $ 34.46 $ 32.66 $ 29.87
------- ------- -------
Net Investment Income**...... 1.00 0.75 0.49
Net Realized and Unrealized
Gain (Loss) on
Investments................ (16.44) 1.80 2.58
------- ------- -------
TOTAL FROM INVESTMENT
OPERATIONS................. (15.44) 2.55 3.07
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........ (1.04) (0.75) (0.28)
------- ------- -------
NET ASSET VALUE AT END OF
PERIOD..................... $ 17.98 $ 34.46 $ 32.66
======= ======= =======
TOTAL RETURN***.............. (45.76)% 7.79% 10.27%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)............ $17,994 $39,635 $21,232
RATIO TO AVERAGE NET ASSETS
OF:
Total Expenses............... 0.35% 0.35% 0.35%****
Net Investment Income........ 3.63% 2.15% 2.37%****
Portfolio Turnover Rate+..... 53% 26% 4%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 63
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 PURE GROWTH ETF
--------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009
-------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD.................. $ 40.40 $ 30.85 $ 24.40
-------- -------- -------
Net Investment Income**...... 0.11 0.13 0.18
Net Realized and Unrealized
Gain (Loss) on
Investments................ 7.71 9.57 6.46
-------- -------- -------
TOTAL FROM INVESTMENT
OPERATIONS................. 7.82 9.70 6.64
-------- -------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........ (0.10) (0.15) (0.19)
-------- -------- -------
NET ASSET VALUE AT END OF
PERIOD..................... $ 48.12 $ 40.40 $ 30.85
======== ======== =======
TOTAL RETURN***.............. 19.38% 31.51% 27.41%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)............ $264,648 $147,470 $38,568
RATIO TO AVERAGE NET ASSETS
OF:
Total Expenses............... 0.35%**** 0.35% 0.35%
Net Investment Income........ 0.48%**** 0.37% 0.69%
Portfolio Turnover Rate+..... 23% 31% 27%
<Caption>
RYDEX S&P 500 PURE GROWTH ETF
-----------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006*
---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD.................. $ 39.59 $ 35.30 $ 34.42
------- ------- -------
Net Investment Income**...... 0.20 0.25 0.11
Net Realized and Unrealized
Gain (Loss) on
Investments................ (15.19) 4.26 0.84
------- ------- -------
TOTAL FROM INVESTMENT
OPERATIONS................. (14.99) 4.51 0.95
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........ (0.20) (0.22) (0.07)
------- ------- -------
NET ASSET VALUE AT END OF
PERIOD..................... $ 24.40 $ 39.59 $ 35.30
======= ======= =======
TOTAL RETURN***.............. (38.00)% 12.79% 2.77%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)............ $24,398 $63,340 $17,649
RATIO TO AVERAGE NET ASSETS
OF:
Total Expenses............... 0.35% 0.35% 0.35%****
Net Investment Income........ 0.57% 0.66% 0.48%****
Portfolio Turnover Rate+..... 30% 24% 7%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
64
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P MIDCAP 400 PURE VALUE ETF
--------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009
-------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD.................. $ 30.77 $ 24.20 $ 20.24
------- ------- -------
Net Investment Income**...... 0.19 0.36 0.59
Net Realized and Unrealized
Gain (Loss) on
Investments................ 5.68 6.57 3.92
------- ------- -------
TOTAL FROM INVESTMENT
OPERATIONS................. 5.87 6.93 4.51
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........ (0.19) (0.36) (0.55)
------- ------- -------
NET ASSET VALUE AT END OF
PERIOD..................... $ 36.45 $ 30.77 $ 24.20
======= ======= =======
TOTAL RETURN***.............. 19.10% 28.75% 23.32%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)............ $60,162 $43,089 $22,997
RATIO TO AVERAGE NET ASSETS
OF:
Total Expenses............... 0.35%**** 0.35% 0.35%
Net Investment Income........ 1.13%**** 1.20% 2.90%
Portfolio Turnover Rate+..... 40% 35% 57%
<Caption>
RYDEX S&P MIDCAP 400 PURE VALUE ETF
-----------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006*
---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD.................. $ 35.76 $ 33.27 $ 31.53
------- ------- -------
Net Investment Income**...... 0.87 0.82 0.44
Net Realized and Unrealized
Gain (Loss) on
Investments................ (15.54) 2.48 1.60
------- ------- -------
TOTAL FROM INVESTMENT
OPERATIONS................. (14.67) 3.30 2.04
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........ (0.84) (0.81) (0.30)
------- ------- -------
NET ASSET VALUE AT END OF
PERIOD..................... $ 20.24 $ 35.76 $ 33.27
======= ======= =======
TOTAL RETURN***.............. (41.75)% 9.94% 6.48%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)............ $10,126 $21,458 $14,973
RATIO TO AVERAGE NET ASSETS
OF:
Total Expenses............... 0.35% 0.35% 0.35%****
Net Investment Income........ 2.87% 2.28% 2.07%****
Portfolio Turnover Rate+..... 64% 46% 4%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 65
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
--------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009
-------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD.................. $ 70.46 $ 52.89 $ 39.10
-------- -------- --------
Net Investment Income**...... 0.06 0.02 0.09
Net Realized and Unrealized
Gain (Loss) on
Investments................ 18.97 17.59 13.79
-------- -------- --------
TOTAL FROM INVESTMENT
OPERATIONS................. 19.03 17.61 13.88
-------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........ (0.07) (0.04) (0.09)
Net Realized Gains........... -- -- --
-------- -------- --------
Total Distributions.......... (0.07) (0.04) (0.09)
-------- -------- --------
NET ASSET VALUE AT END OF
PERIOD..................... $ 89.42 $ 70.46 $ 52.89
======== ======== ========
TOTAL RETURN***.............. 27.00% 33.32% 35.59%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)............ $670,626 $292,429 $108,432
RATIO TO AVERAGE NET ASSETS
OF:
Total Expenses............... 0.35%**** 0.35% 0.35%
Net Investment Income........ 0.16%**** 0.03% 0.19%
Portfolio Turnover Rate+..... 37% 51% 29%
<Caption>
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
-----------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006*
---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD.................. $ 59.75 $ 50.10 $ 52.62
------- ------- -------
Net Investment Income**...... 0.02 0.33 0.02
Net Realized and Unrealized
Gain (Loss) on
Investments................ (20.63) 9.73 (2.53)
------- ------- -------
TOTAL FROM INVESTMENT
OPERATIONS................. (20.61) 10.06 (2.51)
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........ (0.04) (0.27) (0.01)
Net Realized Gains........... -- (0.14) --
------- ------- -------
Total Distributions.......... (0.04) (0.41) (0.01)
------- ------- -------
NET ASSET VALUE AT END OF
PERIOD..................... $ 39.10 $ 59.75 $ 50.10
======= ======= =======
TOTAL RETURN***.............. (34.52)% 20.17% (4.76)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)............ $17,596 $20,914 $22,547
RATIO TO AVERAGE NET ASSETS
OF:
Total Expenses............... 0.35% 0.35% 0.35%****
Net Investment Income........ 0.04% 0.60% 0.07%****
Portfolio Turnover Rate+..... 52% 53% 14%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
66
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
--------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009
-------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD.................. $ 34.27 $ 28.50 $ 23.21
------- ------- --------
Net Investment Income**...... 0.10 0.20 0.32
Net Realized and Unrealized
Gain (Loss) on
Investments................ 6.73 5.78 5.29
------- ------- --------
TOTAL FROM INVESTMENT
OPERATIONS................. 6.83 5.98 5.61
------- ------- --------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........ (0.11) (0.21) (0.32)
Capital...................... -- -- --
------- ------- --------
Total Distributions.......... (0.11) (0.21) (0.32)
------- ------- --------
NET ASSET VALUE AT END OF
PERIOD..................... $ 40.99 $ 34.27 $ 28.50
======= ======= ========
TOTAL RETURN***.............. 19.93% 21.07% 25.00%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)............ $90,175 $87,383 $108,284
RATIO TO AVERAGE NET ASSETS
OF:
Total Expenses............... 0.35%**** 0.35% 0.35%
Net Investment Income........ 0.52%**** 0.60% 1.18%
Portfolio Turnover Rate+..... 59% 62% 43%
<Caption>
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
-----------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006*
---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD.................. $ 37.38 $ 40.13 $38.45
------- ------- ------
Net Investment Income**...... 0.79 0.74 0.37
Net Realized and Unrealized
Gain (Loss) on
Investments................ (14.26) (2.85) 1.62
------- ------- ------
TOTAL FROM INVESTMENT
OPERATIONS................. (13.47) (2.11) 1.99
------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........ (0.70) (0.62) (0.31)
Capital...................... -- (0.02) --
------- ------- ------
Total Distributions.......... (0.70) (0.64) (0.31)
------- ------- ------
NET ASSET VALUE AT END OF
PERIOD..................... $ 23.21 $ 37.38 $40.13
======= ======= ======
TOTAL RETURN***.............. (36.48)% (5.38)% 5.19%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)............ $25,527 $22,426 $6,019
RATIO TO AVERAGE NET ASSETS
OF:
Total Expenses............... 0.35% 0.35% 0.35%****
Net Investment Income........ 2.57% 1.78% 1.46%****
Portfolio Turnover Rate+..... 50% 37% 7%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 67
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
--------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009
-------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD.................. $ 43.32 $ 34.13 $ 29.03
------- ------- -------
Net Investment Income
(Loss)**................... 0.04 0.06 0.06
Net Realized and Unrealized
Gain (Loss) on
Investments................ 10.87 9.18 5.13
------- ------- -------
TOTAL FROM INVESTMENT
OPERATIONS................. 10.91 9.24 5.19
------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........ (0.09) (0.05) (0.09)
------- ------- -------
NET ASSET VALUE AT END OF
PERIOD..................... $ 54.14 $ 43.32 $ 34.13
======= ======= =======
TOTAL RETURN***.............. 25.20% 27.11% 17.93%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)............ $35,188 $17,329 $11,945
RATIO TO AVERAGE NET ASSETS
OF:
Total Expenses............... 0.35%**** 0.35% 0.35%
Net Investment Income........ 0.14%**** 0.14% 0.21%
Portfolio Turnover Rate+..... 33% 55% 46%
<Caption>
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
-----------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED
OCTOBER 31, 2008 OCTOBER 31, 2007 OCTOBER 31, 2006*
---------------- ---------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD.................. $ 44.92 $ 39.10 $39.31
------- ------- ------
Net Investment Income
(Loss)**................... 0.17 -- (0.01)
Net Realized and Unrealized
Gain (Loss) on
Investments................ (15.87) 5.84 (0.20)
------- ------- ------
TOTAL FROM INVESTMENT
OPERATIONS................. (15.70) 5.84 (0.21)
------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income........ (0.19) (0.02) --
------- ------- ------
NET ASSET VALUE AT END OF
PERIOD..................... $ 29.03 $ 44.92 $39.10
======= ======= ======
TOTAL RETURN***.............. (35.05)% 14.93% (0.55)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's Omitted)............ $ 7,257 $11,229 $7,820
RATIO TO AVERAGE NET ASSETS
OF:
Total Expenses............... 0.35% 0.35% 0.35%****
Net Investment Income........ 0.44% 0.00% (0.04)%****
Portfolio Turnover Rate+..... 63% 51% 14%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment
made at the net asset value at the beginning of the period, reinvestment
of all dividends and distribution at net asset value during the period,
and redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total
investment return calculated for a period of less than one year is not
annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
68
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT CONSUMER DISCRETIONARY ETF
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
-------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 42.37 $ 32.78 $ 24.82 $ 44.50 $ 44.98
------- ------- ------- ------- -------
Net Investment Income**............. 0.31 0.35 0.40 0.53 0.32
Net Realized and Unrealized Gain
(Loss) on Investments............. 7.83 9.56 7.93 (19.59) (0.49)
------- ------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.... 8.14 9.91 8.33 (19.06) (0.17)
------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.31) (0.32) (0.37) (0.62) (0.31)
------- ------- ------- ------- -------
NET ASSET VALUE AT END OF PERIOD.... $ 50.20 $ 42.37 $ 32.78 $ 24.82 $ 44.50
======= ======= ======= ======= =======
TOTAL RETURN***..................... 19.26% 30.35% 34.20% (43.27)% (0.40)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $25,100 $25,425 $11,474 $ 3,722 $28,928
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses...................... 0.50%**** 0.50% 0.50% 0.50% 0.50%****
Net Investment Income............... 1.36%**** 0.89% 1.61% 1.44% 0.67%****
Portfolio Turnover Rate+............ 12% 28% 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 69
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT CONSUMER STAPLES ETF
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
-------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 55.42 $ 48.42 $41.47 $ 52.68 $48.16
------- ------- ------ ------- ------
Net Investment Income**............. 0.65 1.14 1.04 0.88 1.16
Net Realized and Unrealized Gain
(Loss) on Investments............. 7.61 6.95 6.91 (11.22) 4.32
------- ------- ------ ------- ------
TOTAL FROM INVESTMENT OPERATIONS.... 8.26 8.09 7.95 (10.34) 5.48
------- ------- ------ ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.62) (1.09) (1.00) (0.87) (0.96)
------- ------- ------ ------- ------
NET ASSET VALUE AT END OF PERIOD.... $ 63.06 $ 55.42 $48.42 $ 41.47 $52.68
======= ======= ====== ======= ======
TOTAL RETURN***..................... 14.99% 16.89% 19.60% (19.87)% 11.45%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $18,917 $13,856 $9,685 $10,368 $7,902
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses...................... 0.50%**** 0.50% 0.50% 0.50% 0.50%****
Net Investment Income............... 2.28%**** 2.20% 2.52% 1.78% 2.29%****
Portfolio Turnover Rate+............ 7% 18% 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.
70
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT ENERGY ETF
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
-------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 53.74 $ 47.69 $ 39.72 $ 67.48 $ 48.35
-------- ------- ------- ------- -------
Net Investment Income**............. 0.08 0.44 0.46 0.33 0.27
Net Realized and Unrealized Gain
(Loss) on Investments............. 21.50 6.07 7.93 (25.94) 19.14
-------- ------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.... 21.58 6.51 8.39 (25.61) 19.41
-------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.12) (0.46) (0.42) (0.35) (0.28)
Net Realized Gains.................. -- -- -- (1.80) --
-------- ------- ------- ------- -------
Total Distributions................. -- -- (0.42) (2.15) (0.28)
-------- ------- ------- ------- -------
NET ASSET VALUE AT END OF PERIOD.... $ 75.20 $ 53.74 $ 47.69 $ 39.72 $ 67.48
======== ======= ======= ======= =======
TOTAL RETURN***..................... 40.17% 13.74% 21.39% (39.28)% 40.28%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $124,074 $16,122 $11,922 $ 5,958 $10,122
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses...................... 0.50%**** 0.50% 0.50% 0.50% 0.50%****
Net Investment Income............... 0.23%**** 0.87% 1.16% 0.50% 0.47%****
Portfolio Turnover Rate+............ 11% 31% 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 71
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT FINANCIALS ETF
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
-------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 25.40 $ 21.53 $ 21.41 $ 46.67 $48.57
------- ------- ------- ------- ------
Net Investment Income**............. 0.25 0.31 0.36 1.02 0.92
Net Realized and Unrealized Gain
(Loss) on Investments............. 4.01 3.87 0.18 (25.40) (1.95)
------- ------- ------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS.... 4.26 4.18 0.54 (24.38) (1.03)
------- ------- ------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.25) (0.31) (0.42) (0.88) (0.87)
------- ------- ------- ------- ------
NET ASSET VALUE AT END OF PERIOD.... $ 29.41 $ 25.40 $ 21.53 $ 21.41 $46.67
======= ======= ======= ======= ======
TOTAL RETURN***..................... 16.80% 19.46% 3.15% (52.88)% (2.23)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $19,118 $16,510 $13,995 $10,705 $7,000
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses...................... 0.50%**** 0.50% 0.50% 0.50% 0.50%****
Net Investment Income............... 1.82%**** 1.26% 2.00% 3.09% 1.84%****
Portfolio Turnover Rate+............ 9% 19% 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.
72
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT HEALTH CARE ETF
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
-------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 59.74 $ 50.56 $ 42.21 $ 57.94 $ 49.46
------- ------- ------- ------- -------
Net Investment Income**............. 0.13 0.20 0.19 0.14 0.11
Net Realized and Unrealized Gain
(Loss) on Investments............. 12.41 9.20 8.35 (15.74) 8.48
------- ------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.... 12.54 9.40 8.54 (15.60) 8.59
------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.12) (0.22) (0.19) (0.13) (0.11)
------- ------- ------- ------- -------
NET ASSET VALUE AT END OF PERIOD.... $ 72.16 $ 59.74 $ 50.56 $ 42.21 $ 57.94
======= ======= ======= ======= =======
TOTAL RETURN***..................... 21.01% 18.64% 20.31% (26.98)% 17.37%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $54,119 $53,770 $73,308 $48,537 $17,383
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses...................... 0.50%**** 0.50% 0.50% 0.50% 0.50%****
Net Investment Income............... 0.42%**** 0.35% 0.42% 0.26% 0.20%****
Portfolio Turnover Rate+............ 13% 20% 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 73
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT INDUSTRIALS ETF
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
-------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 49.54 $ 39.76 $ 35.73 $ 59.37 $49.15
------- ------- ------- ------- ------
Net Investment Income**............. 0.41 0.61 0.67 0.61 0.56
Net Realized and Unrealized Gain
(Loss) on Investments............. 9.60 9.78 4.12 (21.82) 10.21
------- ------- ------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS.... 10.01 10.39 4.79 (21.21) 10.77
------- ------- ------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.39) (0.61) (0.76) (0.65) (0.55)
Net Realized Gains.................. -- -- -- (1.78) --
------- ------- ------- ------- ------
Total Distributions................. (0.39) (0.61) (0.76) (2.43) (0.55)
------- ------- ------- ------- ------
NET ASSET VALUE AT END OF PERIOD.... $ 59.16 $ 49.54 $ 39.76 $ 35.73 $59.37
======= ======= ======= ======= ======
TOTAL RETURN***..................... 20.28% 26.28% 13.84% (37.12)% 22.00%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $50,289 $42,105 $17,890 $ 7,146 $8,905
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses...................... 0.50%**** 0.50% 0.50% 0.50% 0.50%****
Net Investment Income............... 1.51%**** 1.34% 1.88% 1.17% 1.02%****
Portfolio Turnover Rate+............ 7% 18% 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.
74
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT MATERIALS ETF
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
-------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 57.32 $ 45.78 $ 34.37 $ 59.42 $48.43
------- ------- ------- ------- ------
Net Investment Income**............. 0.39 1.52 0.60 1.40 0.85
Net Realized and Unrealized Gain
(Loss) on Investments............. 10.55 11.65 11.49 (25.11) 10.74
------- ------- ------- ------- ------
TOTAL FROM INVESTMENT OPERATIONS.... 10.94 13.17 12.09 (23.71) 11.59
------- ------- ------- ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.36) (1.63) (0.68) (1.34) (0.60)
------- ------- ------- ------- ------
NET ASSET VALUE AT END OF PERIOD.... $ 67.90 $ 57.32 $ 45.78 $ 34.37 $59.42
======= ======= ======= ======= ======
TOTAL RETURN***..................... 19.12% 29.05% 35.82% (40.67)% 24.02%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $50,928 $34,395 $41,199 $ 5,155 $8,913
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses...................... 0.50%**** 0.50% 0.50% 0.50% 0.50%****
Net Investment Income............... 1.23%**** 2.88% 1.41% 2.69% 1.53%****
Portfolio Turnover Rate+............ 10% 27% 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 75
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT TECHNOLOGY ETF
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
-------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 50.72 $ 39.98 $ 29.98 $ 55.18 $ 47.80
-------- ------- ------- ------- -------
Net Investment Income (Loss)**...... 0.12 0.12 0.11 0.06 (0.05)
Net Realized and Unrealized Gain
(Loss) on Investments............. 8.23 10.75 10.03 (25.19) 7.43
-------- ------- ------- ------- -------
TOTAL FROM INVESTMENT OPERATIONS.... 8.35 10.87 10.14 (25.13) 7.38
-------- ------- ------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.13) (0.13) (0.14) (0.07) --
-------- ------- ------- ------- -------
NET ASSET VALUE AT END OF PERIOD.... $ 58.94 $ 50.72 $ 39.98 $ 29.98 $ 55.18
======== ======= ======= ======= =======
TOTAL RETURN***..................... 16.48% 27.23% 33.94% (45.58)% 15.44%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $144,414 $88,759 $53,969 $ 7,495 $19,312
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses...................... 0.50%**** 0.50% 0.50% 0.50% 0.50%****
Net Investment Income............... 0.44%**** 0.26% 0.30% 0.14% (0.10)%****
Portfolio Turnover Rate+............ 14% 25% 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.
76
FINANCIAL HIGHLIGHTS (concluded)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P 500 EQUAL WEIGHT UTILITIES ETF
---------------------------------------------------------------------------------------
SIX MONTHS
ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009 OCTOBER 31, 2008 OCTOBER 31, 2007*
-------------- ---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 50.27 $ 42.13 $41.18 $ 62.28 $54.91
------- ------- ------ ------- ------
Net Investment Income**............. 0.95 1.84 1.89 1.81 1.55
Net Realized and Unrealized Gain
(Loss) on Investments............. 4.14 8.13 0.88 (21.09) 7.38
------- ------- ------ ------- ------
TOTAL FROM INVESTMENT OPERATIONS.... 5.09 9.97 2.77 (19.28) 8.93
------- ------- ------ ------- ------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.91) (1.83) (1.82) (1.82) (1.56)
------- ------- ------ ------- ------
NET ASSET VALUE AT END OF PERIOD.... $ 54.45 $ 50.27 $42.13 $ 41.18 $62.28
======= ======= ====== ======= ======
TOTAL RETURN***..................... 10.22% 24.10% 6.97% (31.63)% 16.41%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $24,503 $20,110 $8,427 $ 4,118 $6,228
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses...................... 0.50%**** 0.50% 0.50% 0.50% 0.50%****
Net Investment Income............... 3.72%**** 3.95% 4.64% 3.30% 2.59%****
Portfolio Turnover Rate+............ 10% 16% 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 77
NOTES TO FINANCIAL STATEMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
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, 2011, the Trust offers twenty-five 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 400 Pure Growth ETF, Rydex S&P
SmallCap 600 Pure Value ETF, Rydex S&P SmallCap 600 Pure Growth ETF, Rydex S&P
500 Equal Weight Consumer Discretionary ETF, Rydex S&P 500 Equal Weight Consumer
Staples ETF, Rydex S&P 500 Equal Weight Energy ETF, Rydex S&P 500 Equal Weight
Financials ETF, Rydex S&P 500 Equal Weight Health Care ETF, Rydex S&P 500 Equal
Weight Industrials ETF, Rydex S&P 500 Equal Weight Materials ETF, Rydex S&P 500
Equal Weight Technology ETF and Rydex S&P 500 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 500 Equal Weight Consumer Discretionary ETF, Rydex S&P
500 Equal Weight Consumer Staples ETF, Rydex S&P 500 Equal Weight Energy ETF,
Rydex S&P 500 Equal Weight Financials ETF, Rydex S&P 500 Equal Weight Health
Care ETF, Rydex S&P 500 Equal Weight Industrials ETF, Rydex S&P 500 Equal Weight
Materials ETF, Rydex S&P 500 Equal Weight Technology ETF and Rydex S&P 500 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"). The Rydex S&P 500 Pure Value
ETF tracks the S&P 500 Pure Value Index, the Rydex S&P 500 Pure Growth ETF
tracks the S&P 500 Pure Growth Index, the Rydex S&P MidCap 400 Pure Value ETF
tracks the S&P MidCap 400 Pure Value Index, the Rydex S&P MidCap 400 Pure Growth
ETF tracks the S&P MidCap 400 Pure Growth Index, the Rydex S&P SmallCap 600 Pure
Value ETF tracks the S&P SmallCap 600 Pure Value Index, the Rydex S&P SmallCap
600 Pure Growth ETF tracks the S&P SmallCap 600 Pure Growth Index, the Rydex S&P
500 Equal Weight Consumer Discretionary ETF tracks the S&P 500 Equal Weight
Consumer Discretionary Index, the Rydex S&P 500 Equal Weight Consumer Staples
ETF tracks the S&P 500 Equal Weight Consumer Staples Index, the Rydex S&P 500
Equal Weight Energy ETF tracks the S&P 500 Equal Weight Energy Index, the Rydex
S&P 500 Equal Weight Financials ETF tracks the S&P 500 Equal Weight Financials
Index, the Rydex S&P 500 Equal Weight Health Care ETF tracks the S&P 500 Equal
Weight Health Care Index, the Rydex S&P 500 Equal Weight Industrials ETF tracks
the S&P 500 Equal Weight Industrials Index, the Rydex S&P 500 Equal Weight
Materials ETF tracks the S&P 500 Equal Weight Materials Index, the Rydex S&P 500
Equal Weight Technology ETF tracks the S&P 500 Equal Weight Information
Technology Index and the Rydex S&P 500 Equal Weight Utilities ETF tracks the S&P
500 Equal Weight Telecommunication Services & Utilities 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 per
share ("NAV"), only in aggregation 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 valued at the NASDAQ Official Closing Price. The Funds invest in
money market mutual funds, which are valued at their NAV.
78
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
Securities, for which market quotations are not readily available, including
investments that are subject to limitations as to their sale, are valued at fair
value as determined in good faith by Security Global Investors, an affiliated
entity, which acts as the Funds' investment advisor (the "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 real estate
investment trusts ("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 Security Global Investors. 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
Security Global Investors, liquidity or other considerations so warrant. For the
six months ended April 30, 2011, 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 -- 2010), 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, distributions in excess of current year earnings, excise taxes
paid, income reclassifications from REITs and losses deferred due to wash sales.
For the six months ended April 30, 2011, the Funds realized net capital gains
resulting from in-kind redemptions and other transactions. Because gains from
in-kind redemptions are non-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 NAV. The in-kind net capital
gains for the period ended April 30, 2011 are disclosed in the Fund's Statement
of Operations.
SEMI-ANNUAL REPORT 79
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
At April 30, 2011, the identified cost of investments in securities owned by
each Fund for Federal income tax purposes and the gross unrealized appreciation
and depreciation were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
IDENTIFIED COST APPRECIATION DEPRECIATION (DEPRECIATION)
--------------- ------------ ------------ --------------
Rydex S&P 500 Pure Value ETF............ $104,331,211 $ 13,098,495 $(1,348,897) $ 11,749,598
Rydex S&P 500 Pure Growth ETF........... 223,271,090 43,241,127 (1,920,964) 41,320,163
Rydex S&P MidCap 400 Pure Value ETF..... 55,374,669 6,689,474 (1,918,609) 4,770,865
Rydex S&P MidCap 400 Pure Growth ETF.... 569,183,983 110,544,259 (8,837,251) 101,707,008
Rydex S&P SmallCap 600 Pure Value ETF... 88,945,122 8,110,969 (6,893,661) 1,217,308
Rydex S&P SmallCap 600 Pure Growth ETF.. 28,475,939 7,307,609 (580,727) 6,726,882
Rydex S&P 500 Equal Weight Consumer
Discretionary ETF..................... 20,308,336 5,249,320 (464,927) 4,784,393
Rydex S&P 500 Equal Weight Consumer
Staples ETF........................... 15,127,530 3,792,820 (20,419) 3,772,401
Rydex S&P 500 Equal Weight Energy ETF... 110,402,472 13,824,386 (140,806) 13,683,580
Rydex S&P 500 Equal Weight Financials
ETF................................... 17,239,886 2,314,524 (442,598) 1,871,926
Rydex S&P 500 Equal Weight Health Care
ETF................................... 49,963,690 5,228,116 (1,081,154) 4,146,962
Rydex S&P 500 Equal Weight Industrials
ETF................................... 37,919,893 12,370,108 (12,672) 12,357,436
Rydex S&P 500 Equal Weight Materials
ETF................................... 38,017,535 12,884,158 -- 12,884,158
Rydex S&P 500 Equal Weight Technology
ETF................................... 122,936,557 23,877,383 (2,361,525) 21,515,858
Rydex S&P 500 Equal Weight Utilities
ETF................................... 21,098,946 3,494,758 (140,428) 3,354,330
</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. Various inputs are used in determining the value of the
Funds' investments. The inputs are summarized in the three broad levels listed
below:
Level 1 -- quoted prices in active markets for identical securities. The
types of assets and liabilities carried at Level 1 fair value generally are
government and agency securities, equities listed in active markets and
stock index futures.
Level 2 -- other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.).
The types of assets and liabilities carried at Level 2 fair value generally
are domestic equity index swaps and short term securities with maturities
of 60 days or less, including repurchase agreements.
Level 3 -- significant unobservable inputs (including the fund's own
assumptions used to determine the fair value of investments).
Transfers between investment Levels may occur as the markets fluctuate and/or
the availability of data used in an investment's valuation changes. The inputs
or methodologies used for valuing securities are not necessarily an indication
of the risk associated with investing in those securities.
80
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
The following table summarizes the inputs used to value the Funds' net assets as
of April 30, 2011:
<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.............. $116,080,809 $-- $-- $116,080,809
Rydex S&P 500 Pure Growth ETF............. 264,591,253 -- -- 264,591,253
Rydex S&P MidCap 400 Pure Value ETF....... 60,145,534 -- -- 60,145,534
Rydex S&P MidCap 400 Pure Growth ETF...... 670,890,991 -- -- 670,890,991
Rydex S&P SmallCap 600 Pure Value ETF..... 90,162,430 -- -- 90,162,430
Rydex S&P SmallCap 600 Pure Growth ETF.... 35,202,821 -- -- 35,202,821
Rydex S&P 500 Equal Weight Consumer
Discretionary ETF....................... 25,092,729 -- -- 25,092,729
Rydex S&P 500 Equal Weight Consumer
Staples ETF............................. 18,899,931 -- -- 18,899,931
Rydex S&P 500 Equal Weight Energy ETF..... 124,086,052 -- -- 124,086,052
Rydex S&P 500 Equal Weight Financial ETF.. 19,111,812 -- -- 19,111,812
Rydex S&P 500 Equal Weight Health Care
ETF..................................... 54,110,652 -- -- 54,110,652
Rydex S&P 500 Equal Weight Industrials
ETF..................................... 50,277,329 -- -- 50,277,329
Rydex S&P 500 Equal Weight Materials ETF.. 50,901,693 -- -- 50,901,693
Rydex S&P 500 Equal Weight Technology
ETF..................................... 144,452,415 -- -- 144,452,415
Rydex S&P 500 Equal Weight Utilities ETF.. 24,453,276 -- -- 24,453,276
</Table>
For the six months ended April 30, 2011, there were no Level 3 Investments.
The Funds disclose information about transfers in and out of all Levels of the
fair value hierarchy on a gross basis and the reasons for the transfers as well
as to disclosures about the valuation techniques and inputs used to measure fair
value for investments that fall in either Level 2 or Level 3 fair value
hierarchy. Purchases, sales, issuances and settlements are shown on a gross
basis in a Level 3 roll forward rather than as one net number.
For the six months ended April 30, 2011, there were no securities transferred
between any levels.
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 Funds invest 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 Rydex S&P 500 Equal Weight
Sector ETFs are non-diversified funds, subjecting them to a greater risk than
funds that are 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.
3. ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES
The Advisor 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
SEMI-ANNUAL REPORT 81
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
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 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 500 Equal Weight Consumer Discretionary ETF............... 0.50%
Rydex S&P 500 Equal Weight Consumer Staples ETF..................... 0.50%
Rydex S&P 500 Equal Weight Energy ETF............................... 0.50%
Rydex S&P 500 Equal Weight Financials ETF........................... 0.50%
Rydex S&P 500 Equal Weight Health Care ETF.......................... 0.50%
Rydex S&P 500 Equal Weight Industrials ETF.......................... 0.50%
Rydex S&P 500 Equal Weight Materials ETF............................ 0.50%
Rydex S&P 500 Equal Weight Technology ETF........................... 0.50%
Rydex S&P 500 Equal Weight Utilities ETF............................ 0.50%
</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 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, LLC, 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, 2011, there were an unlimited number of no par value shares of
beneficial interest authorized. There is a minimum transaction fee per
transaction to those persons purchasing or redeeming Creation Units. An
additional charge of up to three times the standard transaction fee may be
imposed for purchases and redemptions effected outside the National Securities
Clearing Corporation usual clearing process or for cash. Such transactions are
generally permitted on an in-kind basis, with a balancing cash component to
82
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
equate the transaction to the NAV of the Fund on the transaction date.
Transaction fees are not charged to or paid by the Funds. 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 500 Equal Weight Consumer Discretionary ETF............. 750
Rydex S&P 500 Equal Weight Consumer Staples ETF................... 500
Rydex S&P 500 Equal Weight Energy ETF............................. 500
Rydex S&P 500 Equal Weight Financials ETF......................... 750
Rydex S&P 500 Equal Weight Health Care ETF........................ 500
Rydex S&P 500 Equal Weight Industrials ETF........................ 500
Rydex S&P 500 Equal Weight Materials ETF.......................... 500
Rydex S&P 500 Equal Weight Technology ETF......................... 750
Rydex S&P 500 Equal Weight Utilities ETF.......................... 500
</Table>
5. INVESTMENT TRANSACTIONS
For the six months ended April 30, 2011, the Funds had investment transactions
in-kind associated with subscriptions and redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
------------- -----------
Rydex S&P 500 Pure Value ETF............................... $ 45,538,393 $ 1,525,299
Rydex S&P 500 Pure Growth ETF.............................. 97,939,360 15,343,717
Rydex S&P MidCap 400 Pure Value ETF........................ 10,606,700 1,589,326
Rydex S&P MidCap 400 Pure Growth ETF....................... 300,812,239 31,965,211
Rydex S&P SmallCap 600 Pure Value ETF...................... 14,034,153 27,267,649
Rydex S&P SmallCap 600 Pure Growth ETF..................... 12,326,290 --
Rydex S&P 500 Equal Weight Consumer Discretionary ETF...... -- 4,774,188
Rydex S&P 500 Equal Weight Consumer Staples ETF............ 2,919,726 --
Rydex S&P 500 Equal Weight Energy ETF...................... 95,685,765 --
Rydex S&P 500 Equal Weight Financials ETF.................. 5,658,200 5,557,886
Rydex S&P 500 Equal Weight Health Care ETF................. 26,151,516 35,220,583
Rydex S&P 500 Equal Weight Industrials ETF................. 5,508,736 5,570,045
Rydex S&P 500 Equal Weight Materials ETF................... 9,279,454 --
Rydex S&P 500 Equal Weight Technology ETF.................. 42,665,794 3,000,994
Rydex S&P 500 Equal Weight Utilities ETF................... 2,537,395 --
</Table>
Purchases and sales of investment securities (excluding short-term investments,
U.S. government and government agency obligations) for the Funds were as
follows:
<Table>
<Caption>
PURCHASES SALES
------------ ------------
Rydex S&P 500 Pure Value ETF............................... $ 24,379,053 $ 19,512,119
Rydex S&P 500 Pure Growth ETF.............................. 48,559,938 72,565,857
Rydex S&P MidCap 400 Pure Value ETF........................ 20,109,633 20,889,155
Rydex S&P MidCap 400 Pure Growth ETF....................... 226,476,702 180,065,598
Rydex S&P SmallCap 600 Pure Value ETF...................... 56,042,773 56,854,149
Rydex S&P SmallCap 600 Pure Growth ETF..................... 10,392,158 8,797,726
Rydex S&P 500 Equal Weight Consumer Discretionary ETF...... 2,959,565 3,679,183
Rydex S&P 500 Equal Weight Consumer Staples ETF............ 1,260,649 1,049,123
Rydex S&P 500 Equal Weight Energy ETF...................... 5,278,895 6,074,175
Rydex S&P 500 Equal Weight Financials ETF.................. 1,741,334 1,698,778
Rydex S&P 500 Equal Weight Health Care ETF................. 6,515,280 7,646,629
Rydex S&P 500 Equal Weight Industrials ETF................. 3,385,817 4,262,034
Rydex S&P 500 Equal Weight Materials ETF................... 4,267,182 4,422,942
Rydex S&P 500 Equal Weight Technology ETF.................. 16,414,196 16,186,063
Rydex S&P 500 Equal Weight Utilities ETF................... 2,506,327 2,457,839
</Table>
SEMI-ANNUAL REPORT 83
NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)
--------------------------------------------------------------------------------
There were no purchases or sales of U.S. government or government agency
obligations for the six months ended April 30, 2011.
6. NEW ACCOUNTING PRONOUNCEMENT
In May 2011, the Financial Accounting Standards Board issued an Accounting
Standards Update (ASU 2011-4), Amendments to Achieve Common Fair Value
Measurement and Disclosure Requirements in U.S. GAAP and IFRSs, which introduces
new disclosure requirements and clarifies certain existing disclosure
requirements around fair value measurements currently presented in Note E. The
new disclosures and clarifications of existing disclosures are generally
effective during interim and annual periods beginning after December 15, 2011.
Management is evaluating the impact of this update on its current disclosures.
7. NAME CHANGES
Effective March 1, 2011, the Rydex S&P Equal Weight Consumer Discretionary ETF,
the Rydex S&P Equal Weight Consumer Staples ETF, the Rydex S&P Equal Weight
Energy ETF, the Rydex S&P Equal Weight Financials ETF, the Rydex S&P Equal
Weight Health Care ETF, the Rydex S&P Equal Weight Industrials ETF, the Rydex
S&P Equal Weight Materials ETF, the Rydex S&P Equal Weight Technology ETF and
the Rydex S&P Equal Weight Utilities ETF, changed their Fund names to Rydex S&P
500 Equal Weight Consumer Discretionary ETF, Rydex S&P 500 Equal Weight Consumer
Staples ETF, Rydex S&P 500 Equal Weight Energy ETF, Rydex S&P 500 Equal Weight
Financials ETF, Rydex S&P 500 Equal Weight Health Care ETF, Rydex S&P 500 Equal
Weight Industrials ETF, Rydex S&P 500 Equal Weight Materials ETF, Rydex S&P 500
Equal Weight Technology ETF and Rydex S&P 500 Equal Weight Utilities ETF,
respectively. The name change did not have any impact on the Funds' investment
objectives, tickers or CUSIPS.
84
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, 2010 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.
OFFICE LOCATIONS
The offices of Security Global Investors, LLC can be found in the following
locations:
40 East 52nd Street
16th Floor
New York, NY 10022
(Headquarters)
Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850
9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210
SEMI-ANNUAL REPORT 85
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, 805 King Farm
Blvd., Suite 600, 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 148
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 148
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 148
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 148
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 148
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 148
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 148
Trustee (1944) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine
------------------------------------------------------------------------------------
</Table>
86
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
--------------------------------------------------------------------------------
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)
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)
</Table>
<Table>
NIKOLAOS 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 87
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,
Assistant Secretary (1960) Rydex Variable Trust, 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)
</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)
805 KING FARM BLVD
SUITE 600
ROCKVILLE, MD 20850
800.820.0888
www.rydex-sgi.com
ETF2-SEMI-0411X1011
April 30, 2011
RYDEX ETF TRUST SEMI-ANNUAL REPORT
RYDEX 2x S&P 500 ETF (NYSE Arca, Inc.: RSU)
RYDEX INVERSE 2x S&P 500 ETF (NYSE Arca, Inc.: RSW)
<Table>
(RYDEX SGI LOGO) (RYDEX SGI LOGO)
</Table>
SEMI-ANNUAL REPORT 1
TABLE OF CONTENTS
--------------------------------------------------------------------------------
<Table>
LETTER TO OUR SHAREHOLDERS............................................... 2
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS............................... 4
FEES & EXPENSES.......................................................... 5
PREMIUM AND DISCOUNT INFORMATION......................................... 6
PORTFOLIO SUMMARY........................................................ 7
SCHEDULE OF INVESTMENTS.................................................. 8
STATEMENT OF ASSETS AND LIABILITIES...................................... 15
STATEMENT OF OPERATIONS.................................................. 16
STATEMENTS OF CHANGES IN NET ASSETS...................................... 17
FINANCIAL HIGHLIGHTS..................................................... 18
NOTES TO FINANCIAL STATEMENTS............................................ 20
SUPPLEMENTAL INFORMATION................................................. 27
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS............................ 28
</Table>
2
LETTER TO OUR SHAREHOLDERS
--------------------------------------------------------------------------------
DEAR SHAREHOLDER:
The equity market rise that began shortly after the depths of the financial
crisis in 2008 continued through the six months ending April 30, 2011. Investors
appeared hopeful the economic recovery was becoming self-sustaining, in spite of
an assortment of first quarter 2011 shocks that ranged from higher oil prices to
turmoil in the Mid East to the effects of the natural disaster in Japan.
Assurance from the Fed that it was not going to immediately reverse its loose
monetary policy, and that inflation was transitory, helped drive stocks at
April's end to their highest level since just before the Lehman Brothers
collapse in September 2008.
Clouding the picture, however, were reports of a slower rate of U.S. output and
uncertainty over the expected conclusion of the Fed's quantitative easing
program in June. The infusion of liquidity helped stocks rise 30% since last
August and 20% over six months ending in April. As investors searching for
higher yields increasingly took on credit risk over the past year, many bond
sectors also benefited, particularly investment grade corporate bonds and high-
yield bonds. Yields on the benchmark 10-year Treasury, meanwhile, have been
sliding since December, reflecting increasingly weaker economic data and the
potential for Treasuries to benefit from the end of the Fed's bond buying. In
April, Standard & Poor's cut its outlook for U.S. sovereign debt for the first
time since it started rating it 70 years ago, highlighting the hit to U.S.
creditworthiness brought about by unfunded government tax cuts and spending
programs, along with fiscal stimulus during the recession that have added
significantly to the nation's debt.
April meeting minutes revealed that the Fed's next moves to maintain the economy
would be to reduce its balance sheet and then consider whether to begin raising
rates. But it also indicated it was in no hurry to make a move, particularly
since it believed the recent run-up in commodity prices would not lead to a
sustained increase in inflation. It has held short-term rates near zero since
December 2008.
Some analysts believe the end of quantitative easing could lead to more caution
in the markets, a view supported by weaker-than-expected U.S. GDP figures in
late April that showed the economy grew at an annual rate of 1.8% in the first
quarter of 2011, compared with estimates of around 2%. The rate was 3.1% for the
fourth quarter of 2010. Although some corners of the economy are showing
strength, such as job creation and export growth, stronger gains may be needed
to help encourage households to spend freely. Unemployment remains stubbornly
high at around 9%, while the prices of houses keep falling and sales are down,
keeping consumers on edge.
Investors in global markets, meanwhile, are increasingly concerned about the
potential for soaring food and energy prices to derail global economic recovery.
The International Monetary Fund said global economic growth would slow to 4.5%
this year, down from 5% last year. Through the first four months of 2011, stocks
in overseas developed markets have risen less than counterparts in the U.S.,
while emerging markets stocks have also underperformed. Central banks throughout
the emerging world have begun hiking rates in an effort to slow inflation, while
China has been tapping the brakes on too-fast growth in its economy. Such moves
contributed to a slowing in commodity price rises at the beginning of May, after
a rapid rise over the prior 12 months.
The price of a barrel of oil rose above $100 in the first quarter of 2011 for
the first time since 2008. The higher price of oil as a production cost caused
the prices of many metals to slip in early 2011, aided by a pullback in demand
due to the Japanese earthquake or China's efforts to slow lending. Gold spent
much of the first quarter of 2011 in negative territory, but has turned in a
spectacular climb over the past 12 months, rising above $1,500 an ounce in mid-
April for the first time. Gold traders said bullion bets have increased as
investors question central banks' ability to successfully manage the withdrawal
of stimulus policies put in place during the financial crisis.
Helped largely by the Fed's liberal monetary policy, the dollar has lost value
against most every other global currency over the past few months, as the value
of the dollar against a basket of other currencies fell to a four-decade low.
Some strategists believe the dollar may be poised to rally, benefiting from
hints at possible Fed tightening.
U.S. economic growth, while not robust, has proven strong enough to overcome
some major shocks in the past year. Many market observers, citing recent data on
unemployment, housing and inflation, say the economy remains fragile. Others
believe the economy is moving into a more mature phase and will continue to
expand, although at a lower level than is customary after a major recession.
Despite indicators of slowing in the U.S. and Europe, a new recession in Japan
and renewed worries about sovereign debt in the eurozone, equity markets are
still being buoyed by solid earnings, reasonable valuations and accommodative
monetary policy.
SEMI-ANNUAL REPORT 3
--------------------------------------------------------------------------------
At Rydex|SGI, our products are designed to help investors navigate uncertain
markets, including hedging or augmenting exposures to the equity or fixed-income
markets, or introducing alternative assets and strategies to portfolios for
overall diversification(1). Thank you for the trust you place in us.
Sincerely,
-s- Michael Byrum
Michael Byrum
President & Chief Investment Officer
Performance displayed represents past performance which is no guarantee of
future results. Of course, 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 us at 800.820.0888 or visit www.rydex-sgi.com.
READ EACH FUND'S PROSPECTUS AND SUMMARY PROSPECTUS (IF AVAILABLE) CAREFULLY
BEFORE INVESTING. IT CONTAINS THE FUND'S INVESTMENT OBJECTIVES, RISKS, CHARGES,
EXPENSES AND OTHER INFORMATION, WHICH SHOULD BE CONSIDERED CAREFULLY BEFORE
INVESTING. OBTAIN A PROSPECTUS AND SUMMARY PROSPECTUS (IF AVAILABLE) AT
WWW.RYDEX-SGI.COM OR CALL 800.820.0888
RYDEX|SGI FUNDS ARE DISTRIBUTED BY RYDEX DISTRIBUTORS, LLC (RDL). Security
Investors, LLC (SI) is a registered investment advisor, and does business as
Security Global Investors(R) and Rydex Investments. SI and RDL are affiliates
and are subsidiaries of Security Benefit Corporation, which is wholly owned by
Guggenheim SBC Holdings, LLC, a special purpose entity managed by an affiliate
of Guggenheim Partners, LLC, a diversified financial services firm with more
than $100 billion in assets under supervision.
----------
(1) Diversification neither assures a profit not eliminates the risk of
experiencing investment losses.
4
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited)
--------------------------------------------------------------------------------
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.
SEMI-ANNUAL REPORT 5
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, 2010 and held for the six months ended April 30, 2011.
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 10/31/10 4/30/11 10/31/10 TO 4/30/11
------- --------- --------- -------------------
ACTUAL
Rydex 2x S&P 500 ETF....................... 0.71% $1,000.00 $1,337.00 $4.11
Rydex Inverse 2x S&P 500 ETF............... 0.71% $1,000.00 $ 719.80 $3.03
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
</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).
6
PREMIUM AND DISCOUNT INFORMATION (Unaudited)
--------------------------------------------------------------------------------
The tables that follow present information about the differences between the
daily market price on secondary markets for shares of the Funds and each Fund's
NAV. 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, 2011.
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 INVERSE
2X S&P 500 2X S&P 500
PREMIUM/DISCOUNT RANGE ETF ETF
----------------------------------------------------------------------------------------
Greater than 30% 1 0
Between 10.01% and 30% 0 0
Between 8.01% and 10% 0 0
Between 3.01% and 8% 7 1
Between 1.01% and 3% 17 12
Between .51% and 1% 41 36
Between .26% and .5% 42 40
Between 0% and .25% 316 527
Between -0.01% and -0.25% 563 409
Between -0.26% and -0.5% 70 39
Between -0.51% and -1% 30 20
Between -1.01% and -3% 17 16
Between -3.01% and -8% 0 4
Between -8.01% and -10% 0 0
Between -10.01% and -30% 0 0
Less Than -30% 0 0
----------------------------------------------------------------------------------------
Total 1104 1104
</Table>
<Table>
<Caption>
PERCENTAGE OF TOTAL DAYS
--------------------------
RYDEX RYDEX INVERSE
2X S&P 500 2X S&P 500
PREMIUM/DISCOUNT RANGE ETF ETF
----------------------------------------------------------------------------------------
Greater than 30% 0.09% 0.00%
Between 10.01% and 30% 0.00% 0.00%
Between 8.01% and 10% 0.00% 0.00%
Between 3.01% and 8% 0.63% 0.09%
Between 1.01% and 3% 1.54% 1.09%
Between .51% and 1% 3.71% 3.26%
Between .26% and .5% 3.80% 3.62%
Between 0% and .25% 28.62% 47.74%
Between -0.01% and -0.25% 51.00% 37.05%
Between -0.26% and -0.5% 6.34% 3.53%
Between -0.51% and -1% 2.72% 1.81%
Between -1.01% and -3% 1.54% 1.45%
Between -3.01% and -8% 0.00% 0.36%
Between -8.01% and -10% 0.00% 0.00%
Between -10.01% and -30% 0.00% 0.00%
Less Than -30% 0.00% 0.00%
----------------------------------------------------------------------------------------
Total 100.00% 100.00%
</Table>
SEMI-ANNUAL REPORT 7
RYDEX 2X S&P 500 ETF
PORTFOLIO SUMMARY (Unaudited) As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
EXXON MOBIL CORP. 2.81%
APPLE, INC. 2.05%
CHEVRON CORP. 1.41%
GENERAL ELECTRIC CO. 1.39%
INTERNATIONAL BUSINESS MACHINES CORP. 1.33%
MICROSOFT CORP. 1.25%
AT&T, INC. 1.18%
PROCTER & GAMBLE CO. 1.17%
JOHNSON & JOHNSON, INC. 1.16%
JPMORGAN CHASE & CO. 1.14%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Industrials 17.75
Information Technology 16.83
Financials 14.19
Energy 12.07
Health Care 10.35
Consumer Discretionary 9.89
Consumer Staples 9.68
Materials 3.42
Utilities 3.05
Telecommunication Services 2.77
</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.
8
RYDEX 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-------------------------------------------------------
COMMON STOCKS 79.7%
AEROSPACE & DEFENSE 2.2%
Boeing Co.(The)............. 4,432 $353,585
General Dynamics Corp. ..... 2,250 163,845
Goodrich Corp. ............. 760 67,161
Honeywell International,
Inc. .................... 4,722 289,128
ITT Corp. .................. 1,108 64,031
L-3 Communications Holdings,
Inc. .................... 680 54,529
Lockheed Martin Corp. ...... 1,740 137,895
Northrop Grumman Corp. ..... 1,760 111,954
Precision Castparts Corp. .. 870 134,433
Raytheon Co. ............... 2,180 105,839
Rockwell Collins, Inc. ..... 940 59,314
United Technologies Corp. .. 5,576 499,498
-----------
TOTAL AEROSPACE & DEFENSE 2,041,212
-----------
AIR FREIGHT & LOGISTICS 0.8%
C.H. Robinson Worldwide,
Inc. .................... 1,000 80,180
Expeditors International of
Washington, Inc. ........ 1,282 69,574
FedEx Corp. ................ 1,910 182,730
United Parcel Service,
Inc. -- Class B.......... 5,970 447,571
-----------
TOTAL AIR FREIGHT & LOGISTICS 780,055
-----------
AIRLINES 0.1%
Southwest Airlines Co. ..... 4,520 53,110
-----------
TOTAL AIRLINES 53,110
-----------
AUTO COMPONENTS 0.2%
Goodyear Tire & Rubber
Co.(The)*................ 1,462 26,535
Johnson Controls, Inc. ..... 4,099 168,059
-----------
TOTAL AUTO COMPONENTS 194,594
-----------
AUTOMOBILES 0.4%
Ford Motor Co.*............. 22,873 353,846
Harley-Davidson, Inc. ...... 1,420 52,909
-----------
TOTAL AUTOMOBILES 406,755
-----------
BEVERAGES 1.9%
Brown-Forman Corp. -- Class
B........................ 626 44,985
Coca-Cola Co.(The).......... 14,013 945,317
Coca-Cola Enterprises,
Inc. .................... 2,042 58,013
Constellation Brands,
Inc. -- Class A*......... 1,072 24,002
Dr Pepper Snapple Group,
Inc. .................... 1,370 53,704
Molson Coors Brewing
Co. -- Class B........... 960 46,800
PepsiCo, Inc. .............. 9,599 661,275
-----------
TOTAL BEVERAGES 1,834,096
-----------
BIOTECHNOLOGY 0.9%
Amgen, Inc.*................ 5,704 324,272
Biogen Idec, Inc.*.......... 1,459 142,034
Celgene Corp.*.............. 2,842 167,337
Cephalon, Inc.*............. 460 35,328
Gilead Sciences, Inc.*...... 4,810 186,820
-----------
TOTAL BIOTECHNOLOGY 855,791
-----------
BUILDING PRODUCTS 0.0%(A)
Masco Corp. ................ 2,160 28,987
-----------
TOTAL BUILDING PRODUCTS 28,987
-----------
CAPITAL MARKETS 1.9%
Ameriprise Financial,
Inc. .................... 1,490 92,469
Bank of New York Mellon
Corp. ................... 7,509 217,461
BlackRock, Inc. ............ 580 113,645
Charles Schwab Corp.(The)... 6,039 110,574
E*TRADE Financial Corp.*.... 1,500 24,360
Federated Investors,
Inc. -- Class B.......... 560 14,437
Franklin Resources, Inc. ... 882 113,884
Goldman Sachs Group,
Inc.(The)................ 3,148 475,380
Invesco Ltd. ............... 2,780 69,139
Janus Capital Group, Inc. .. 1,129 13,740
Legg Mason, Inc. ........... 928 34,475
Morgan Stanley.............. 9,125 238,619
Northern Trust Corp. ....... 1,462 73,085
State Street Corp. ......... 3,040 141,512
T. Rowe Price Group, Inc. .. 1,569 100,808
-----------
TOTAL CAPITAL MARKETS 1,833,588
-----------
CHEMICALS 1.7%
Air Products & Chemicals,
Inc. .................... 1,300 124,176
Airgas, Inc. ............... 456 31,669
CF Industries Holdings,
Inc. .................... 426 60,300
Dow Chemical Co.(The)....... 7,001 286,971
Du Pont (E.I.) de Nemours &
Co. ..................... 5,514 313,140
Eastman Chemical Co. ....... 430 46,117
Ecolab, Inc. ............... 1,410 74,392
FMC Corp. .................. 436 38,490
International Flavors &
Fragrances, Inc. ........ 482 30,617
Monsanto Co. ............... 3,232 219,905
PPG Industries, Inc. ....... 970 91,830
Praxair, Inc. .............. 1,852 197,090
Sherwin-Williams Co.(The)... 544 44,766
Sigma-Aldrich Corp. ........ 740 52,229
-----------
TOTAL CHEMICALS 1,611,692
-----------
COMMERCIAL BANKS 2.1%
BB&T Corp. ................. 4,200 113,064
Comerica, Inc. ............. 1,070 40,585
Fifth Third Bancorp......... 5,550 73,648
First Horizon National
Corp. ................... 1,570 17,191
Huntington Bancshares,
Inc. .................... 5,212 35,389
KeyCorp..................... 5,750 49,852
M&T Bank Corp. ............. 718 63,450
Marshall & Ilsley Corp. .... 3,186 26,030
PNC Financial Services
Group, Inc. ............. 3,170 197,618
Regions Financial Corp. .... 7,581 55,645
SunTrust Banks, Inc. ....... 3,240 91,336
U.S. Bancorp................ 11,629 300,261
Wells Fargo & Co. .......... 31,674 922,030
Zions Bancorp............... 1,109 27,115
-----------
TOTAL COMMERCIAL BANKS 2,013,214
-----------
COMMERCIAL SERVICES & SUPPLIES 0.4%
Avery Dennison Corp. ....... 656 27,382
Cintas Corp. ............... 764 23,722
Iron Mountain, Inc. ........ 1,206 38,411
Pitney Bowes, Inc. ......... 1,230 30,209
R.R. Donnelley & Sons Co. .. 1,250 23,575
Republic Services, Inc. .... 1,860 58,813
Stericycle, Inc.*........... 518 47,283
Waste Management, Inc. ..... 2,880 113,645
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 363,040
-----------
COMMUNICATIONS EQUIPMENT 1.6%
Cisco Systems, Inc. ........ 33,457 587,505
F5 Networks, Inc.*.......... 492 49,869
Harris Corp. ............... 770 40,910
JDS Uniphase Corp.*......... 1,344 28,009
Juniper Networks, Inc.*..... 3,160 121,123
Motorola Mobility Holdings,
Inc.*.................... 1,780 46,387
Motorola Solutions, Inc.*... 2,026 92,953
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 9
RYDEX 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-------------------------------------------------------
COMMON STOCKS (CONTINUED)
QUALCOMM, Inc. ............. 9,761 $554,815
Tellabs, Inc. .............. 2,226 10,952
-----------
TOTAL COMMUNICATIONS EQUIPMENT 1,532,523
-----------
COMPUTERS & PERIPHERALS 3.4%
Apple, Inc.*................ 5,540 1,929,194
Dell, Inc.*................. 10,135 157,194
EMC Corp.*.................. 12,433 352,351
Hewlett-Packard Co. ........ 13,685 552,464
Lexmark International,
Inc. -- Class A*......... 480 15,480
NetApp, Inc.*............... 2,229 115,863
SanDisk Corp.*.............. 1,430 70,270
Western Digital Corp.*...... 1,400 55,720
-----------
TOTAL COMPUTERS & PERIPHERALS 3,248,536
-----------
CONSTRUCTION & ENGINEERING
0.2%
Fluor Corp. ................ 1,070 74,836
Jacobs Engineering Group,
Inc.*.................... 760 37,703
Quanta Services, Inc.*...... 1,298 28,141
-----------
TOTAL CONSTRUCTION & ENGINEERING 140,680
-----------
CONSTRUCTION MATERIALS 0.0%(A)
Vulcan Materials Co. ....... 780 35,256
-----------
TOTAL CONSTRUCTION MATERIALS 35,256
-----------
CONSUMER FINANCE 0.6%
American Express Co. ....... 6,330 310,676
Capital One Financial
Corp. ................... 2,760 151,055
Discover Financial
Services................. 3,288 81,674
SLM Corp.*.................. 3,180 52,756
-----------
TOTAL CONSUMER FINANCE 596,161
-----------
CONTAINERS & PACKAGING 0.1%
Ball Corp. ................. 1,076 40,146
Bemis Co., Inc. ............ 652 20,434
Owens-Illinois, Inc.*....... 990 29,373
Sealed Air Corp. ........... 964 24,842
-----------
TOTAL CONTAINERS & PACKAGING 114,795
-----------
DISTRIBUTORS 0.1%
Genuine Parts Co. .......... 954 51,230
-----------
TOTAL DISTRIBUTORS 51,230
-----------
DIVERSIFIED CONSUMER SERVICES 0.1%
Apollo Group, Inc. -- Class
A*....................... 740 29,622
DeVry, Inc. ................ 370 19,573
H&R Block, Inc. ............ 1,850 31,987
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 81,182
-----------
DIVERSIFIED FINANCIAL SERVICES 3.2%
Bank of America Corp. ...... 60,863 747,398
Citigroup, Inc.*............ 175,739 806,642
CME Group, Inc. ............ 410 121,266
IntercontinentalExchange,
Inc.*.................... 440 52,954
JPMorgan Chase & Co. ....... 23,594 1,076,594
Leucadia National Corp. .... 1,190 46,005
Moody's Corp. .............. 1,210 47,359
Nasdaq OMX Group (The)*..... 898 24,336
NYSE Euronext............... 1,570 62,879
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 2,985,433
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 2.1%
AT&T, Inc. ................. 35,758 1,112,789
CenturyTel, Inc. ........... 3,603 146,930
Frontier Communications
Corp. ................... 6,010 49,703
Verizon Communications,
Inc. .................... 17,106 646,265
Windstream Corp. ........... 3,046 39,019
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 1,994,706
-----------
ELECTRIC UTILITIES 1.4%
American Electric Power Co.,
Inc. .................... 2,910 106,157
Duke Energy Corp. .......... 8,039 149,927
Edison International........ 1,970 77,362
Entergy Corp. .............. 1,088 75,855
Exelon Corp. ............... 4,000 168,600
FirstEnergy Corp. .......... 2,530 101,099
NextEra Energy, Inc. ....... 2,527 142,953
Northeast Utilities......... 1,062 37,807
Pepco Holdings, Inc. ....... 1,360 26,207
Pinnacle West Capital
Corp. ................... 660 28,638
PPL Corp. .................. 3,410 93,536
Progress Energy, Inc. ...... 1,780 84,461
Southern Co. ............... 5,109 199,455
-----------
TOTAL ELECTRIC UTILITIES 1,292,057
-----------
ELECTRICAL EQUIPMENT 0.4%
Emerson Electric Co. ....... 4,559 277,005
Rockwell Automation, Inc. .. 852 74,235
Roper Industries, Inc. ..... 574 49,645
-----------
TOTAL ELECTRICAL EQUIPMENT 400,885
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 0.4%
Amphenol Corp. -- Class A... 1,054 58,929
Corning, Inc. .............. 9,437 197,611
FLIR Systems, Inc. ......... 954 33,600
Jabil Circuit, Inc. ........ 1,180 23,411
Molex, Inc. ................ 836 22,572
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS 336,123
-----------
ENERGY EQUIPMENT & SERVICES 1.9%
Baker Hughes, Inc. ......... 2,606 201,731
Cameron International
Corp.*................... 1,462 77,077
Diamond Offshore Drilling,
Inc. .................... 416 31,562
FMC Technologies, Inc.*..... 1,460 67,861
Halliburton Co. ............ 5,484 276,832
Helmerich & Payne, Inc. .... 636 42,192
Nabors Industries, Ltd.*.... 1,724 52,823
National-Oilwell Varco,
Inc. .................... 2,534 194,332
Noble Corp. ................ 1,530 65,805
Rowan Cos., Inc.*........... 760 31,692
Schlumberger, Ltd. ......... 8,237 739,271
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 1,781,178
-----------
FOOD & STAPLES RETAILING 1.8%
Costco Wholesale Corp. ..... 2,639 213,548
CVS Caremark Corp. ......... 8,278 299,995
Kroger Co.(The)............. 3,850 93,594
Safeway, Inc. .............. 2,252 54,746
SUPERVALU, Inc. ............ 1,282 14,435
Sysco Corp. ................ 3,534 102,168
Wal-Mart Stores, Inc. ...... 11,849 651,458
Walgreen Co. ............... 5,580 238,378
Whole Foods Market, Inc. ... 890 55,856
-----------
TOTAL FOOD & STAPLES RETAILING 1,724,178
-----------
</Table>
See Notes to Financial Statements.
10
RYDEX 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS 1.4%
Archer-Daniels-Midland
Co. ..................... 3,850 $142,527
Campbell Soup Co. .......... 1,154 38,763
ConAgra Foods, Inc. ........ 2,470 60,392
Dean Foods Co.*............. 1,098 12,287
General Mills, Inc. ........ 3,868 149,227
H.J. Heinz Co. ............. 1,950 99,898
Hershey Co.(The)............ 930 53,670
Hormel Foods Corp. ......... 836 24,587
J.M. Smucker Co.(The)....... 718 53,900
Kellogg Co. ................ 1,520 87,050
Kraft Foods, Inc. -- Class
A........................ 10,579 355,243
McCormick & Co., Inc. ...... 800 39,296
Mead Johnson Nutrition
Co. ..................... 1,240 82,931
Sara Lee Corp. ............. 3,858 74,074
Tyson Foods, Inc. -- Class
A........................ 1,800 35,820
-----------
TOTAL FOOD PRODUCTS 1,309,665
-----------
GAS UTILITIES 0.1%
Nicor, Inc. ................ 272 15,077
Oneok, Inc. ................ 646 45,181
-----------
TOTAL GAS UTILITIES 60,258
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 1.5%
Baxter International,
Inc. .................... 3,514 199,947
Becton, Dickinson & Co. .... 1,390 119,457
Boston Scientific Corp.*.... 9,209 68,975
C.R. Bard, Inc. ............ 510 54,443
CareFusion Corp.*........... 1,344 39,473
Covidien PLC................ 2,990 166,513
Dentsply International,
Inc. .................... 860 32,284
Edwards Lifesciences
Corp.*................... 690 59,582
Intuitive Surgical, Inc.*... 236 82,529
Medtronic, Inc. ............ 6,519 272,168
St Jude Medical, Inc. ...... 1,970 105,277
Stryker Corp. .............. 2,040 120,360
Varian Medical Systems,
Inc.*.................... 730 51,246
Zimmer Holdings, Inc.*...... 1,160 75,690
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 1,447,944
-----------
HEALTH CARE PROVIDERS & SERVICES 1.7%
Aetna, Inc. ................ 2,330 96,415
AmerisourceBergen Corp. .... 1,660 67,462
Cardinal Health, Inc. ...... 2,108 92,099
CIGNA Corp. ................ 1,636 76,614
Coventry Health Care,
Inc.*.................... 898 28,978
DaVita, Inc.*............... 580 51,092
Express Scripts, Inc.*...... 3,199 181,511
Humana, Inc.*............... 1,016 77,338
Laboratory Corp. of America
Holdings*................ 616 59,426
McKesson Corp. ............. 1,524 126,507
Medco Health Solutions,
Inc.*.................... 2,560 151,885
Patterson Cos., Inc. ....... 580 20,132
Quest Diagnostics, Inc. .... 940 52,997
Tenet Healthcare Corp.*..... 2,934 20,333
UnitedHealth Group, Inc. ... 6,620 325,903
WellPoint, Inc. ............ 2,270 174,313
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 1,603,005
-----------
HEALTH CARE TECHNOLOGY 0.1%
Cerner Corp.*............... 426 51,197
-----------
TOTAL HEALTH CARE TECHNOLOGY 51,197
-----------
HOTELS, RESTAURANTS & LEISURE 1.3%
Carnival Corp. ............. 2,610 99,363
Chipotle Mexican Grill,
Inc. -- Class A*......... 190 50,690
Darden Restaurants, Inc. ... 840 39,455
International Game
Technology............... 1,810 32,019
Marriott International,
Inc. -- Class A.......... 1,759 62,093
McDonald's Corp. ........... 6,376 499,304
Starbucks Corp. ............ 4,478 162,059
Starwood Hotels & Resorts
Worldwide, Inc. ......... 1,160 69,101
Wyndham Worldwide Corp. .... 1,052 36,410
Wynn Resorts Ltd. .......... 452 66,512
Yum! Brands, Inc. .......... 2,830 151,801
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 1,268,807
-----------
HOUSEHOLD DURABLES 0.3%
D.R. Horton, Inc. .......... 1,688 20,999
Fortune Brands, Inc. ....... 930 60,524
Harman International
Industries, Inc. ........ 420 20,383
Leggett & Platt, Inc. ...... 890 23,398
Lennar Corp. -- Class A..... 964 18,306
Newell Rubbermaid, Inc. .... 1,754 33,431
Pulte Homes, Inc.*.......... 2,036 16,553
Stanley Black & Decker,
Inc. .................... 1,000 72,650
Whirlpool Corp. ............ 462 39,815
-----------
TOTAL HOUSEHOLD DURABLES 306,059
-----------
HOUSEHOLD PRODUCTS 1.7%
Clorox Co. ................. 830 57,818
Colgate-Palmolive Co. ...... 2,988 252,038
Kimberly-Clark Corp. ....... 2,462 162,639
Procter & Gamble Co. ....... 16,939 1,099,341
-----------
TOTAL HOUSEHOLD PRODUCTS 1,571,836
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.1%
AES Corp.(The)*............. 3,996 52,907
Constellation Energy Group,
Inc. .................... 1,210 44,068
NRG Energy, Inc.*........... 1,488 36,010
-----------
TOTAL INDEPENDENT POWER PRODUCERS & ENERGY
TRADERS 132,985
-----------
INDUSTRIAL CONGLOMERATES 2.0%
3M Co. ..................... 4,314 419,364
General Electric Co. ....... 64,230 1,313,503
Textron, Inc. .............. 1,662 43,378
Tyco International Ltd. .... 2,870 139,884
-----------
TOTAL INDUSTRIAL CONGLOMERATES 1,916,129
-----------
INSURANCE 3.1%
ACE Ltd. ................... 2,052 137,997
AFLAC, Inc. ................ 2,842 159,692
Allstate Corp. ............. 3,252 110,048
American International
Group, Inc.*............. 870 27,101
Aon Corp. .................. 1,990 103,818
Assurant, Inc. ............. 646 25,646
Berkshire Hathaway,
Inc. -- Class B*......... 10,466 871,818
Chubb Corp.(The)............ 1,842 120,080
Cincinnati Financial
Corp. ................... 990 31,363
Genworth Financial,
Inc. -- Class A*......... 2,960 36,082
Hartford Financial Services
Group, Inc.(The)......... 2,690 77,929
Lincoln National Corp. ..... 1,911 59,681
Loews Corp. ................ 1,900 84,094
Marsh & McLennan Cos.,
Inc. .................... 3,278 99,258
MetLife, Inc. .............. 6,379 298,473
Principal Financial Group,
Inc. .................... 1,940 65,475
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 11
RYDEX 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-------------------------------------------------------
COMMON STOCKS (CONTINUED)
Progressive Corp. .......... 3,990 $87,541
Prudential Financial,
Inc. .................... 2,934 186,074
Torchmark Corp. ............ 470 31,452
Travelers Cos., Inc.(The)... 2,610 165,161
Unum Group.................. 1,870 49,518
XL Group PLC................ 1,954 47,717
-----------
TOTAL INSURANCE 2,876,018
-----------
INTERNET & CATALOG RETAIL 0.7%
Amazon.com, Inc.*........... 2,160 424,440
Expedia, Inc. .............. 1,216 30,436
Netflix, Inc.*.............. 262 60,960
Priceline.com, Inc.*........ 300 164,103
-----------
TOTAL INTERNET & CATALOG RETAIL 679,939
-----------
INTERNET SOFTWARE & SERVICES 1.4%
Akamai Technologies, Inc.*.. 1,129 38,883
eBay, Inc.*................. 6,919 238,014
Google, Inc. -- Class A*.... 1,520 827,032
Monster Worldwide, Inc.*.... 790 12,964
VeriSign, Inc. ............. 1,047 38,697
Yahoo!, Inc.*............... 7,918 140,544
-----------
TOTAL INTERNET SOFTWARE & SERVICES 1,296,134
-----------
IT SERVICES 2.5%
Automatic Data Processing,
Inc. .................... 2,980 161,963
Cognizant Technology
Solutions Corp. -- Class
A*....................... 1,836 152,204
Computer Sciences Corp. .... 940 47,921
Fidelity National
Information Services,
Inc. .................... 1,600 52,960
Fiserv, Inc.*............... 898 55,056
International Business
Machines Corp. .......... 7,380 1,258,880
Mastercard, Inc. -- Class
A........................ 580 160,016
Paychex, Inc. .............. 1,950 63,785
SAIC, Inc.*................. 1,770 30,798
Teradata Corp.*............. 1,006 56,256
Total System Services,
Inc. .................... 980 18,473
Visa, Inc. -- Class A....... 2,930 228,892
Western Union Co. .......... 3,910 83,088
-----------
TOTAL IT SERVICES 2,370,292
-----------
LEISURE EQUIPMENT & PRODUCTS 0.1%
Hasbro, Inc. ............... 830 38,877
Mattel, Inc. ............... 2,160 57,715
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 96,592
-----------
LIFE SCIENCES TOOLS & SERVICES 0.4%
Agilent Technologies,
Inc.*.................... 2,088 104,212
Life Technologies Corp.*.... 1,128 62,266
PerkinElmer, Inc. .......... 708 20,015
Thermo Fisher Scientific,
Inc.*.................... 2,396 143,736
Waters Corp.*............... 554 54,292
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 384,521
-----------
MACHINERY 2.0%
Caterpillar, Inc. .......... 3,832 442,251
Cummins, Inc. .............. 1,200 144,216
Danaher Corp. .............. 3,232 178,536
Deere & Co. ................ 2,550 248,625
Dover Corp. ................ 1,128 76,749
Eaton Corp. ................ 2,059 110,218
Flowserve Corp. ............ 334 42,291
Illinois Tool Works, Inc. .. 2,996 174,996
Ingersoll-Rand PLC.......... 1,989 100,445
Joy Global, Inc. ........... 620 62,589
PACCAR, Inc. ............... 2,210 117,373
Pall Corp. ................. 698 40,791
Parker-Hannifin Corp. ...... 978 92,245
Snap-on, Inc. .............. 354 21,867
-----------
TOTAL MACHINERY 1,853,192
-----------
MEDIA 2.7%
Cablevision Systems
Corp. -- Class A......... 1,452 51,154
CBS Corp. -- Class B........ 4,070 102,645
Comcast Corp. -- Class A.... 16,790 440,570
DIRECTV -- Class A*......... 4,800 233,232
Discovery Communications,
Inc. -- Class A*......... 1,718 76,039
Gannett Co., Inc. .......... 1,450 21,837
Interpublic Group of Cos.,
Inc. .................... 2,950 34,663
McGraw-Hill Cos., Inc. ..... 1,852 74,950
News Corp. -- Class A....... 13,787 245,684
Omnicom Group, Inc. ........ 1,710 84,115
Scripps Networks
Interactive -- Class A... 550 28,281
Time Warner Cable, Inc. .... 2,080 162,510
Time Warner, Inc. .......... 6,610 250,255
Viacom, Inc. -- Class B..... 3,610 184,688
Walt Disney Co.(The)........ 11,423 492,331
Washington Post
Co.(The) -- Class B...... 36 15,692
-----------
TOTAL MEDIA 2,498,646
-----------
METALS & MINING 0.9%
AK Steel Holding Corp. ..... 670 10,887
Alcoa, Inc. ................ 6,166 104,822
Allegheny Technologies,
Inc. .................... 600 43,200
Cliffs Natural Resources,
Inc. .................... 816 76,475
Freeport-McMoRan Copper &
Gold, Inc. .............. 5,729 315,267
Newmont Mining Corp. ....... 2,980 174,658
Nucor Corp. ................ 1,910 89,694
Titanium Metals Corp.*...... 544 10,896
United States Steel Corp. .. 870 41,508
-----------
TOTAL METALS & MINING 867,407
-----------
MULTI-UTILITIES 1.0%
Ameren Corp. ............... 1,450 42,500
CenterPoint Energy, Inc. ... 2,569 47,783
CMS Energy Corp. ........... 1,529 30,274
Consolidated Edison, Inc. .. 1,770 92,253
Dominion Resources, Inc. ... 3,508 162,841
DTE Energy Co. ............. 1,016 51,339
Integrys Energy Group,
Inc. .................... 472 24,714
NiSource, Inc. ............. 1,682 32,715
PG&E Corp. ................. 2,399 110,546
Public Service Enterprise
Group, Inc. ............. 3,060 98,440
SCANA Corp. ................ 690 28,649
Sempra Energy............... 1,452 80,005
TECO Energy, Inc. .......... 1,300 25,051
Wisconsin Energy Corp. ..... 1,416 44,193
Xcel Energy, Inc. .......... 2,916 70,946
-----------
TOTAL MULTI-UTILITIES 942,249
-----------
MULTILINE RETAIL 0.6%
Big Lots, Inc.*............. 452 18,582
Family Dollar Stores,
Inc. .................... 764 41,416
J.C. Penney Co., Inc. ...... 1,426 54,830
Kohl's Corp. ............... 1,770 93,297
Macy's, Inc. ............... 2,560 61,209
Nordstrom, Inc. ............ 1,020 48,501
</Table>
See Notes to Financial Statements.
12
RYDEX 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-------------------------------------------------------
COMMON STOCKS (CONTINUED)
Sears Holdings Corp.*....... 260 $22,352
Target Corp. ............... 4,280 210,148
-----------
TOTAL MULTILINE RETAIL 550,335
-----------
OFFICE ELECTRONICS 0.1%
Xerox Corp. ................ 8,458 85,341
-----------
TOTAL OFFICE ELECTRONICS 85,341
-----------
OIL, GAS & CONSUMABLE FUELS 8.5%
Anadarko Petroleum Corp. ... 2,986 235,715
Apache Corp. ............... 2,320 309,418
Cabot Oil & Gas Corp. ...... 626 35,231
Chesapeake Energy Corp. .... 3,950 132,996
Chevron Corp. .............. 12,140 1,328,602
ConocoPhillips.............. 8,652 682,902
CONSOL Energy, Inc. ........ 1,364 73,779
Denbury Resources, Inc.*.... 2,416 54,529
Devon Energy Corp. ......... 2,580 234,780
El Paso Corp. .............. 4,630 89,868
EOG Resources, Inc. ........ 1,620 182,914
EQT Corp. .................. 900 47,349
Exxon Mobil Corp. .......... 30,089 2,647,832
Hess Corp. ................. 1,806 155,244
Marathon Oil Corp. ......... 4,288 231,723
Massey Energy Co. .......... 616 42,036
Murphy Oil Corp. ........... 1,170 90,652
Newfield Exploration Co.*... 810 57,348
Noble Energy, Inc. ......... 1,052 101,276
Occidental Petroleum
Corp. ................... 4,920 562,307
Peabody Energy Corp. ....... 1,626 108,649
Pioneer Natural Resources
Co. ..................... 698 71,357
QEP Resources, Inc. ........ 1,067 45,593
Range Resources Corp. ...... 964 54,418
Southwestern Energy Co.*.... 2,088 91,580
Spectra Energy Corp. ....... 3,917 113,750
Sunoco, Inc. ............... 728 31,056
Tesoro Corp.*............... 862 23,377
Valero Energy Corp. ........ 3,416 96,673
Williams Cos., Inc.(The).... 3,534 117,223
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 8,050,177
-----------
PAPER & FOREST PRODUCTS 0.1%
International Paper Co. .... 2,642 81,585
MeadWestvaco Corp. ......... 1,016 34,229
-----------
TOTAL PAPER & FOREST PRODUCTS 115,814
-----------
PERSONAL PRODUCTS 0.2%
Avon Products, Inc. ........ 2,600 76,388
Estee Lauder Cos.,
Inc. -- Class A.......... 682 66,154
-----------
TOTAL PERSONAL PRODUCTS 142,542
-----------
PHARMACEUTICALS 4.4%
Abbott Laboratories......... 9,359 487,042
Allergan, Inc. ............. 1,852 147,345
Bristol-Myers Squibb Co. ... 10,335 290,413
Eli Lilly & Co. ............ 6,159 227,945
Forest Laboratories, Inc.*.. 1,730 57,367
Hospira, Inc.*.............. 1,010 57,297
Johnson & Johnson, Inc. .... 16,573 1,089,178
Merck & Co., Inc. .......... 18,648 670,396
Mylan, Inc.*................ 2,640 65,789
Pfizer, Inc. ............... 48,338 1,013,164
Watson Pharmaceuticals,
Inc.*.................... 754 46,763
-----------
TOTAL PHARMACEUTICALS 4,152,699
-----------
PROFESSIONAL SERVICES 0.1%
Dun & Bradstreet Corp. ..... 300 24,654
Equifax, Inc. .............. 744 27,922
Robert Half International,
Inc. .................... 892 27,055
-----------
TOTAL PROFESSIONAL SERVICES 79,631
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 1.2%
Apartment Investment &
Management Co. -- Class
A........................ 710 19,142
AvalonBay Communities,
Inc. .................... 518 65,584
Boston Properties, Inc. .... 846 88,432
Equity Residential.......... 1,718 102,599
HCP, Inc. .................. 2,420 95,881
Health Care REIT, Inc. ..... 1,030 55,383
Host Hotels & Resorts,
Inc. .................... 4,117 73,242
Kimco Realty Corp. ......... 2,452 47,912
Plum Creek Timber Co.,
Inc. .................... 970 41,797
ProLogis.................... 3,432 55,907
Public Storage, Inc. ....... 846 99,244
Simon Property Group,
Inc. .................... 1,770 202,736
Ventas, Inc. ............... 944 52,798
Vornado Realty Trust........ 980 94,746
Weyerhaeuser Co. ........... 3,232 74,368
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 1,169,771
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.1%
CB Richard Ellis Group,
Inc. -- Class A*......... 1,754 46,849
-----------
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT 46,849
-----------
ROAD & RAIL 0.7%
CSX Corp. .................. 2,240 176,266
Norfolk Southern Corp. ..... 2,150 160,562
Ryder System, Inc. ......... 310 16,585
Union Pacific Corp. ........ 2,980 308,340
-----------
TOTAL ROAD & RAIL 661,753
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.1%
Advanced Micro Devices,
Inc.*.................... 3,462 31,504
Altera Corp. ............... 1,888 91,946
Analog Devices, Inc. ....... 1,810 72,961
Applied Materials, Inc. .... 7,980 125,206
Broadcom Corp. -- Class A*.. 2,877 101,213
First Solar, Inc.*.......... 328 45,779
Intel Corp. ................ 33,663 780,645
KLA-Tencor Corp. ........... 1,010 44,339
Linear Technology Corp. .... 1,370 47,676
LSI Corp.*.................. 3,724 27,297
MEMC Electronic Materials,
Inc.*.................... 1,370 16,207
Microchip Technology,
Inc. .................... 1,131 46,416
Micron Technology, Inc.*.... 5,166 58,324
National Semiconductor
Corp. ................... 1,460 35,215
Novellus Systems, Inc.*..... 544 17,462
NVIDIA Corp.*............... 3,504 70,080
Teradyne, Inc.*............. 1,098 17,678
Texas Instruments, Inc. .... 7,090 251,908
Xilinx, Inc. ............... 1,560 54,382
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 1,936,238
-----------
SOFTWARE 3.0%
Adobe Systems, Inc.*........ 3,060 102,663
Autodesk, Inc.*............. 1,380 62,073
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 13
RYDEX 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-------------------------------------------------------
COMMON STOCKS (CONCLUDED)
BMC Software, Inc.*......... 1,080 $54,248
CA, Inc. ................... 2,314 56,901
Citrix Systems, Inc.*....... 1,134 95,642
Compuware Corp.*............ 1,328 15,046
Electronic Arts, Inc.*...... 2,006 40,481
Intuit, Inc.*............... 1,688 93,785
Microsoft Corp. ............ 45,434 1,182,193
Oracle Corp. ............... 23,525 848,076
Red Hat, Inc.*.............. 1,170 55,540
Salesforce.com, Inc.*....... 720 99,792
Symantec Corp.*............. 4,688 92,119
-----------
TOTAL SOFTWARE 2,798,559
-----------
SPECIALTY RETAIL 1.5%
Abercrombie & Fitch
Co. -- Class A........... 530 37,524
AutoNation, Inc.*........... 380 12,886
AutoZone, Inc.*............. 164 46,310
Bed Bath & Beyond, Inc.*.... 1,560 87,547
Best Buy Co., Inc. ......... 1,990 62,128
CarMax, Inc.*............... 1,360 47,192
GameStop Corp. -- Class A*.. 850 21,828
Gap, Inc.(The).............. 2,500 58,100
Home Depot, Inc. ........... 9,909 368,020
Limited Brands, Inc. ....... 1,600 65,856
Lowe's Cos., Inc. .......... 8,349 219,161
O'Reilly Automotive, Inc.*.. 850 50,201
RadioShack Corp. ........... 692 10,941
Ross Stores, Inc. .......... 720 53,057
Staples, Inc. .............. 4,370 92,382
Tiffany & Co. .............. 764 53,052
TJX Cos., Inc. ............. 2,390 128,152
Urban Outfitters, Inc.*..... 780 24,539
-----------
TOTAL SPECIALTY RETAIL 1,438,876
-----------
TEXTILES, APPAREL & LUXURY GOODS 0.4%
Coach, Inc. ................ 1,790 107,060
NIKE, Inc. -- Class B....... 2,320 190,983
Polo Ralph Lauren Corp. .... 390 51,000
V.F. Corp. ................. 520 52,291
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 401,334
-----------
THRIFTS & MORTGAGE FINANCE 0.1%
Hudson City Bancorp, Inc. .. 3,190 30,401
People's United Financial,
Inc. .................... 2,226 30,474
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 60,875
-----------
TOBACCO 1.3%
Altria Group, Inc. ......... 12,649 339,499
Lorillard, Inc. ............ 898 95,637
Philip Morris International,
Inc. .................... 10,899 756,827
Reynolds American, Inc. .... 2,050 76,075
-----------
TOTAL TOBACCO 1,268,038
-----------
TRADING COMPANIES & DISTRIBUTORS 0.1%
Fastenal Co. ............... 892 59,844
W.W. Grainger, Inc. ........ 354 53,667
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 113,511
-----------
WIRELESS TELECOMMUNICATION SERVICES 0.3%
American Tower
Corp. -- Class A*........ 2,410 126,067
MetroPCS Communications,
Inc.*.................... 1,580 26,591
Sprint Nextel Corp.*........ 18,025 93,370
-----------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 246,028
-----------
TOTAL COMMON STOCKS
(Cost $55,976,314) 75,182,303
-------------------------------------------------------
<Caption>
FACE
AMOUNT
-------------------------------------------------------
REPURCHASE AGREEMENTS 6.3%
State Street Bank & Trust
Co., 0.010%, dated
04/29/11, to be
repurchased at $5,902,005
on 05/02/11
collateralized by
$5,895,000 FNMA at 4.450%
due 06/16/22 with a value
of $6,020,269(b)......... $5,902,000 5,902,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $5,902,000) 5,902,000
-----------
TOTAL INVESTMENTS 86.0%(C)
(Cost $61,878,314) 81,084,303
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--14.0% 13,207,421
-----------
NET ASSETS--100.0% $94,291,724
-------------------------------------------------------
<Caption>
UNREALIZED
CONTRACTS GAIN
-------------------------------------------------------
FUTURES CONTRACTS PURCHASED
June 2011 S&P 500 Index E-
Mini Futures Contracts
(Aggregate Market Value
of Contracts
$31,552,000)(c).......... 464 $1,035,277
-------------------------------------------------------
<Caption>
UNITS
-------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS PURCHASED
Credit Suisse First Boston
May 2011 S&P 500 Index
Swap, Terminating
05/26/11 (Notional Market
Value $46,469,415)**(b).. 34,078 268,432
Goldman Sachs International
May 2011 S&P 500 Index
Swap, Terminating
05/27/11 (Notional Market
Value $35,269,882)**(b).. 25,865 411,773
-----------
(TOTAL NOTIONAL MARKET VALUE $81,739,297) $680,205
-----------
-------------------------------------------------------
</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) Values determined based on Level 2 inputs.
(c) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
FNMA--Federal National Mortgage Association
REIT--Real Estate Investment Trust
See Notes to Financial Statements.
14
RYDEX INVERSE 2X S&P 500 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
FACE MARKET
AMOUNT VALUE
-------------------------------------------------------
REPURCHASE AGREEMENTS 75.0%
State Street Bank & Trust
Co., 0.010%, dated
04/29/11, to be
repurchased at
$38,281,032 on 05/02/11
collateralized by
$38,235,000 FNMA at
4.450% due 06/16/22 with
a value of
$39,047,494(a).......... $38,281,000 $38,281,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost $38,281,000) 38,281,000
-----------
TOTAL INVESTMENTS 75.0%(B)
(Cost $38,281,000) 38,281,000
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--25.0% 12,766,788
-----------
NET ASSETS--100.0% $51,047,788
-------------------------------------------------------
<Caption>
UNREALIZED
CONTRACTS LOSS
-------------------------------------------------------
FUTURES CONTRACTS SOLD SHORT
June 2011 S&P 500 Index E-
Mini Futures Contracts
(Aggregate Market Value
of Contracts
$17,816,000)(b)......... 262 $(894,081)
-------------------------------------------------------
<Caption>
UNITS
-------------------------------------------------------
EQUITY INDEX SWAP AGREEMENTS SOLD SHORT
Credit Suisse First Boston
May 2011 S&P 500 Index
Swap,
Terminating 05/26/11
(Notional Market Value
$70,127,803)*(a)........ 51,428 (413,109)
Goldman Sachs International
May 2011 S&P 500 Index
Swap,
Terminating 05/27/11
(Notional Market Value
$14,186,535)*(a)........ 10,404 (190,522)
-----------
(TOTAL NOTIONAL MARKET VALUE $84,314,338) $(603,631)
-----------
-------------------------------------------------------
</Table>
* Price return based on S&P 500 Index +/- financing at a variable rate.
(a) Values determined based on Level 2 inputs.
(b) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
FNMA--Federal National Mortgage Association
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 15
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X RYDEX INVERSE 2X
S&P 500 ETF S&P 500 ETF
----------- ----------------
ASSETS
Investments at Market Value*.............................. $75,182,303 $ --
Repurchase Agreements..................................... 5,902,000 38,281,000
----------- -------------
Total Investments......................................... 81,084,303 38,281,000
----------- -------------
Cash...................................................... 887 53
Segregated Cash for Swaps................................. 10,320,972 12,299,862
Margin Deposit for Future Contracts....................... 2,088,000 1,179,000
Unrealized Appreciation on Swap Agreements................ 680,205 --
Receivables:
Investments Sold........................................ 12,955 --
Dividends............................................... 78,663 21
Variation Margin on Futures Contracts................... 118,320 --
Equity Index Swap Settlement............................ 11,647 --
----------- -------------
TOTAL ASSETS......................................... 94,395,952 51,759,936
----------- -------------
LIABILITIES
Unrealized Depreciation on Swap Agreements................ -- 603,631
Payables:
Investments Purchased................................... 52,642 --
Equity Index Swap Settlement............................ -- 10,347
Variation Margin on Futures Contracts................... -- 66,810
Accrued Management Fees................................. 51,586 31,360
----------- -------------
TOTAL LIABILITIES.................................... 104,228 712,148
----------- -------------
NET ASSETS................................................ $94,291,724 $ 51,047,788
=========== =============
NET ASSETS CONSIST OF:
Paid-in Capital........................................... $70,278,758 $ 169,580,567
Undistributed (Distributions in Excess) of Net Investment
Income.................................................. 38,876 (206,986)
Accumulated Net Realized Gain (Loss) on Investment
Securities, Futures and Swaps........................... 3,052,619 (116,828,081)
Net Unrealized Appreciation (Depreciation) on Investment
Securities, Futures and Swaps........................... 20,921,471 (1,497,712)
----------- -------------
NET ASSETS................................................ $94,291,724 $ 51,047,788
=========== =============
Shares Outstanding (Unlimited Shares Authorized), No Par
Value................................................... 1,950,002 1,600,000
=========== =============
Net Asset Value, Offering Price and Repurchase Price Per
Share................................................... $ 48.35 $ 31.90
=========== =============
*Total Cost of Investments................................ $61,878,314 $ 38,281,000
=========== =============
</Table>
See Notes to Financial Statements.
16
STATEMENT OF OPERATIONS (Unaudited) For the Six Months Ended April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX
RYDEX 2X INVERSE 2X
S&P 500 ETF S&P 500 ETF
----------- ------------
INVESTMENT INCOME
Dividends, Net of Foreign Taxes Withheld.................. $ 734,923 $ --
Interest.................................................. 939 15,401
----------- ------------
Total Income........................................... 735,862 15,401
----------- ------------
EXPENSES
Management Fee............................................ 308,786 219,501
Trustee Fees.............................................. 2,873 2,886
----------- ------------
Total Expenses......................................... 311,659 222,387
----------- ------------
Net Investment Income (Loss)................................ 424,203 (206,986)
----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) From:
Investments............................................... 102,809 --
In-kind Redemptions....................................... 3,030,632 --
Futures Contracts......................................... 4,606,751 (3,982,519)
Swap Contracts............................................ 10,533,424 (17,565,395)
----------- ------------
Net Realized Gain (Loss)............................... 18,273,616 (21,547,914)
Net Change in Unrealized Appreciation (Depreciation) on:
Investment Securities..................................... 7,181,821 --
Futures Contracts......................................... (458,950) 932,358
Swap Contracts............................................ 770,181 (726,973)
----------- ------------
Net Change in Unrealized Appreciation on Investments........ 7,493,052 205,385
----------- ------------
Net Realized and Unrealized Gain (Loss) on Investments,
Futures and Swap Contracts................................ 25,766,668 (21,342,529)
----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................... $26,190,871 $(21,549,515)
=========== ============
Foreign Taxes Withheld...................................... $ 13 $ --
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 17
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, 2011 YEAR ENDED APRIL 30, 2011 YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 (UNAUDITED) OCTOBER 31, 2010
---------------- ---------------- ---------------- ----------------
OPERATIONS
Net Investment Income (Loss)..... $ 424,203 $ 960,963 $ (206,986) $ (627,590)
Net Realized Gain (Loss)......... 18,273,616 24,687,608 (21,547,914) (37,604,265)
Net Change in Unrealized
Appreciation (Depreciation) on
Investments................... 7,493,052 3,068,601 205,385 (1,760,618)
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting From
Operations.................... 26,190,871 28,717,172 (21,549,515) (39,992,473)
------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............ (427,614) (964,096) -- --
------------ ------------ ------------ ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased... -- 16,758,573 5,686,023 83,801,968
Value of Shares Purchased through
Dividend Reinvestments........ -- 72 -- --
Value of Shares Redeemed......... (11,417,222) (81,692,319) (17,302,199) (63,069,991)
------------ ------------ ------------ ------------
Net Increase (Decrease) in Net
Assets Resulting From Share
Transactions.................. (11,417,222) (64,933,674) (11,616,176) 20,731,977
------------ ------------ ------------ ------------
Increase (Decrease) in Net
Assets...................... 14,346,035 (37,180,598) (33,165,691) (19,260,496)
NET ASSETS--BEGINNING OF PERIOD.... 79,945,689 117,126,287 84,213,479 103,473,975
------------ ------------ ------------ ------------
NET ASSETS--END OF PERIOD(1)....... $ 94,291,724 $ 79,945,689 $ 51,047,788 $ 84,213,479
============ ============ ============ ============
(1) Including Undistributed
(Distributions in Excess) of Net
Investment Income................ $ 38,876 $ 42,287 $ (206,986) $ --
============ ============ ============ ============
CHANGES IN SHARES OUTSTANDING:
Shares Purchased................. -- 550,000 150,000 1,500,000
Shares Purchased through Dividend
Reinvestments................. -- 2 -- --
Shares Redeemed.................. (250,000) (2,500,000) (450,000) (1,150,000)
Shares Outstanding, Beginning of
Period........................ 2,200,002 4,150,000 1,900,000 1,550,000
------------ ------------ ------------ ------------
Shares Outstanding, End of
Period........................ 1,950,002 2,200,002 1,600,000 1,900,000
============ ============ ============ ============
</Table>
See Notes to Financial Statements.
18
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX 2X S&P 500 ETF
-----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 36.34 $ 28.22 $ 27.65 $ 75.00
------- ------- -------- --------
Net Investment Income**............. 0.20 0.33 0.31 0.61
Net Realized and Unrealized Gain
(Loss) on Investments............. 12.02 8.13 0.57 (47.27)
------- ------- -------- --------
TOTAL FROM INVESTMENT OPERATIONS.... 12.22 8.46 0.88 (46.66)
------- ------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (0.21) (0.34) (0.31) (0.69)
------- ------- -------- --------
NET ASSET VALUE AT END OF PERIOD.... $ 48.35 $ 36.34 $ 28.22 $ 27.65
======= ======= ======== ========
TOTAL RETURN***..................... 33.70% 30.12% 3.51% (62.68)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $94,292 $79,946 $117,126 $113,364
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses...................... 0.71%**** 0.71% 0.70% 0.70%****
Net Investment Income............... 0.96%**** 1.01% 1.43% 1.35%****
Portfolio Turnover Rate+............ 2% 23% 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 19
FINANCIAL HIGHLIGHTS (concluded)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX INVERSE 2X S&P 500 ETF
-----------------------------------------------------------------------
SIX MONTHS ENDED
APRIL 30, 2011 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) OCTOBER 31, 2010 OCTOBER 31, 2009 OCTOBER 31, 2008*
---------------- ---------------- ---------------- -----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $ 44.32 $ 66.76 $ 132.21 $ 75.00
------- ------- -------- -------
Net Investment Income (Loss)**...... (0.12) (0.35) (0.61) 1.04
Net Realized and Unrealized Gain
(Loss) on Investments............. (12.30) (22.09) (46.79) 57.20
------- ------- -------- -------
TOTAL FROM INVESTMENT OPERATIONS.... (12.42) (22.44) (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.... $ 31.90 $ 44.32 $ 66.76 $132.21
======= ======= ======== =======
TOTAL RETURN***..................... (28.02)% (33.61)% (41.45)% 78.27%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
Omitted).......................... $51,048 $84,213 $103,474 $66,106
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses...................... 0.71%**** 0.71% 0.71% 0.71%****
Net Investment Income............... (0.66)%**** (0.65)% (0.64)% 1.09%****
Portfolio Turnover Rate+............ -- -- -- --
</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 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).
See Notes to Financial Statements.
20
NOTES TO FINANCIAL STATEMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
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, 2011, the Trust offers twenty-five 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 and Rydex Inverse 2x S&P 500 ETF. Rydex 2x
S&P 500 ETF and Rydex Inverse 2x S&P 500 ETF commenced operations on November 5,
2007.
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"). 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 (a "Leveraged Fund"), the 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 (a "Leveraged Inverse Fund"), the
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 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 per
share ("NAV"), only in aggregation 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 valued at the NASDAQ Official Closing Price. The Funds invest in
money market mutual funds, which are valued at their NAV.
Investments for which market quotations are not readily available are fair
valued as determine in good faith by Security Global Investors, an affiliated
entity, which acts as the Funds' investment advisor, 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 contracts 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 the NYSE. The swap's market value is then
adjusted to include dividends accrued, financing charges and/or interest
associated with the swap agreements.
SEMI-ANNUAL REPORT 21
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
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 real estate
investment trusts ("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 Security Global Investors. 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
Security Global Investors, liquidity or other considerations so warrant.
D. FUTURES CONTRACTS
The Funds utilized stock index futures contracts to gain exposure to the
Underlying Index. 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 utilized domestic equity index swap agreements to gain exposure to the
Underlying Index, 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
22
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
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 predetermined
thresholds and limit the amount of potential loss. Although the Trust will not
enter into any swap agreement unless Security Global Investors 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 -- 2010), 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, mark-to-market on futures contracts, income reclassifications
from REITs and losses deferred due to wash sales.
For the six months ended April 30, 2011, the Funds realized net capital gains
resulting from in-kind redemptions and other transactions. Because gains from
in-kind redemptions are non-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 NAV. The in-kind net capital
gains for the period ended April 30, 2011 are disclosed in the Fund's Statement
of Operations.
At April 30, 2011, the identified cost of investments in securities owned by
each Fund for Federal income tax purposes and the gross unrealized appreciation
and depreciation were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
IDENTIFIED COST APPRECIATION DEPRECIATION (DEPRECIATION)
--------------- ------------ ------------ --------------
Rydex 2x S&P 500 ETF.................... $61,878,314 $19,712,403 $(506,414) $19,205,989
Rydex Inverse 2x S&P 500 ETF............ 38,281,000 -- -- --
</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
SEMI-ANNUAL REPORT 23
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
purposes. Various inputs are used in determining the value of the Funds'
investments. The inputs are summarized in the three broad levels listed below:
Level 1 -- quoted prices in active markets for identical securities. The
types of assets and liabilities carried at Level 1 fair value generally are
government and agency securities, equities listed in active markets and
stock index futures.
Level 2 -- other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.).
The types of assets and liabilities carried at Level 2 fair value generally
are domestic equity index swaps and short term securities with maturities
of 60 days or less, including repurchase agreements.
Level 3 -- significant unobservable inputs (including the fund's own
assumptions used to determine the fair value of investments).
Transfers between investment Levels may occur as the markets fluctuate and/or
the availability of data used in an investment's valuation changes. 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, 2011:
<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....... $75,182,303 $1,035,277 $ 5,902,000 $680,205 $-- $82,799,785
Rydex Inverse 2x S&P 500
ETF...................... -- -- 38,281,000 -- -- 38,281,000
LIABILITIES
Rydex 2x S&P 500 ETF....... -- -- -- -- -- --
Rydex Inverse 2x S&P 500
ETF...................... -- 894,081 -- 603,631 -- 1,497,712
</Table>
For the six months ended April 30, 2011, there were no Level 3 Investments.
The Funds disclose information about transfers in and out of all Levels of the
fair value hierarchy on a gross basis and the reasons for the transfers as well
as to disclosures about the valuation techniques and inputs used to measure fair
value for investments that fall in either Level 2 or Level 3 fair value
hierarchy. Purchases, sales, issuances and settlements are shown on a gross
basis in a Level 3 roll forward rather than as one net number.
For the six months ended April 30, 2011, there were no securities transferred
between any levels.
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.
During the period ended April 30, 2011, the Funds sought to gain part, if not
all, exposure to their respective benchmarks by investing in financial-linked
derivative instruments, including swap agreements and futures. The following
table represents the notional amount of derivative instruments outstanding, as
an approximate percentage of the Funds' net assets on a daily basis, while the
risk to the Fund is limited to the profit earned on such derivatives.
<Table>
<Caption>
APPROXIMATELY PERCENTAGE OF FUNDS'
FUND NET ASSETS ON A DAILY BASIS
---- ----------------------------------
Rydex 2x S&P 500 ETF.................................... 120%
Rydex Inverse 2x S&P 500 ETF............................ 200%
</Table>
24
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
DERIVATIVE INVESTMENT HOLDINGS CATEGORIZED BY RISK EXPOSURE
The following is a summary of the location of derivative investments on the
Funds' Statements of Assets and Liabilities as of April 30, 2011:
<Table>
<Caption>
LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
---------------------------------------------------------------
DERIVATIVE INVESTMENT TYPE ASSET LIABILITY
-------------------------- ------------------------------ ------------------------------
Equity Index Swap Contracts Unrealized Appreciation on Unrealized Depreciation on
Swap Agreements Swap Agreements
Equity Index Futures Contracts Receivables: Variation Margin Payables: Variation Margin on
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, 2011:
<Table>
<Caption>
ASSET DERIVATIVE INVESTMENTS VALUE
--------------------------------------------
EQUITY INDEX EQUITY INDEX
TOTAL VALUE AT SWAP FUTURES
PORTFOLIO APRIL 30, 2011 CONTRACTS CONTRACTS*
--------- -------------- ------------ ------------
Rydex 2x S&P 500 ETF.............................. $1,715,482 $680,205 $1,035,277
Rydex Inverse 2x S&P 500 ETF...................... -- -- --
</Table>
<Table>
<Caption>
LIABILITY DERIVATIVE INVESTMENTS VALUE
--------------------------------------------
EQUITY INDEX EQUITY INDEX
TOTAL VALUE AT SWAP FUTURES
PORTFOLIO APRIL 30, 2011 CONTRACTS CONTRACTS*
--------- -------------- ------------ ------------
Rydex 2x S&P 500 ETF.............................. $ -- $ -- $ --
Rydex Inverse 2x S&P 500 ETF...................... 1,497,712 603,631 894,081
</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, 2011:
<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 for the year
ended April 30, 2011:
<Table>
<Caption>
REALIZED GAIN (LOSS) ON DERIVATIVE INVESTMENTS
RECOGNIZED IN THE STATEMENT OF OPERATIONS
---------------------------------------------------
TOTAL VALUE AT EQUITY INDEX EQUITY INDEX
PORTFOLIO APRIL 30, 2011 SWAP CONTRACTS FUTURES CONTRACTS
--------- -------------- -------------- -----------------
Rydex 2x S&P 500 ETF........................... $ 15,140,175 $ 10,533,424 $ 4,606,751
Rydex Inverse 2x S&P 500 ETF................... (21,547,914) (17,565,395) (3,982,519)
</Table>
<Table>
<Caption>
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON
DERIVATIVE INVESTMENTS RECOGNIZED IN
THE STATEMENT OF OPERATIONS
----------------------------------------------
EQUITY INDEX EQUITY INDEX
TOTAL VALUE AT SWAP FUTURES
PORTFOLIO APRIL 30, 2011 CONTRACTS CONTRACTS
--------- -------------- ------------ ------------
Rydex 2x S&P 500 ETF......................... $311,231 $ 770,181 $(458,950)
Rydex Inverse 2x S&P 500 ETF................. 205,385 (726,973) 932,358
</Table>
SEMI-ANNUAL REPORT 25
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
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 Funds invest 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 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.
3. ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES
The Advisor determines the composition of the portfolio of securities that must
be delivered in exchange for the issuance of Creation Units and periodically
adjusts the composition of the portfolio of the Funds to conform to changes in
the composition of the relevant index. For these services, the Advisor receives
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%
</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, LLC, 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, 2011, 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
26
NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)
--------------------------------------------------------------------------------
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 NAV 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
</Table>
5. INVESTMENT TRANSACTIONS
For the six months ended April 30, 2011, the Funds had investment transactions
in-kind associated with subscriptions and redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
------------- -----------
Rydex 2x S&P 500 ETF....................................... $-- $9,150,749
Rydex Inverse 2x S&P 500 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........................................ $11,135,972 $1,515,699
Rydex Inverse 2x S&P 500 ETF................................ -- --
</Table>
6. NEW ACCOUNTING PRONOUNCEMENT
In May 2011, the Financial Accounting Standards Board issued an Accounting
Standards Update (ASU 2011-4), Amendments to Achieve Common Fair Value
Measurement and Disclosure Requirements in U.S. GAAP and IFRSs, which introduces
new disclosure requirements and clarifies certain existing disclosure
requirements around fair value measurements currently presented in Note H. The
new disclosures and clarifications of existing disclosures are generally
effective during interim and annual periods beginning after December 15, 2011.
Management is evaluating the impact of this update on its current disclosures.
SEMI-ANNUAL REPORT 27
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, 2010 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.
OFFICE LOCATIONS
The offices of Security Global Investors, LLC can be found in the following
locations:
40 East 52nd Street
16th Floor
New York, NY 10022
(Headquarters)
Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850
9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210
28
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, 805 King Farm
Blvd., Suite 600, 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 148
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 148
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 148
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 148
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 148
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 148
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 148
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 29
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
--------------------------------------------------------------------------------
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)
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)
NIKOLAOS 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>
30
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)
</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)
805 KING FARM BLVD
SUITE 600
ROCKVILLE, MD 20850
800.820.0888
www.rydex-sgi.com
ETF3-SEMI-0411X1011
April 30, 2011
RYDEX ETF TRUST SEMI-ANNUAL REPORT
DOMESTIC EQUAL WEIGHT ETFS
Rydex Russell MidCap Equal Weight ETF (NYSE Arca, Inc.: EWRM)
Rydex Russell 1000(R) Equal Weight ETF (NYSE Arca, Inc.: EWRI)
Rydex Russell 2000(R) Equal Weight ETF (NYSE Arca, Inc.: EWRS)
INTERNATIONAL EQUAL WEIGHT ETFS
Rydex MSCI EAFE Equal Weight ETF (NYSE Arca, Inc.: EWEF)
Rydex MSCI Emerging Markets Equal Weight ETF (NYSE Arca, Inc.: EWEM)
Rydex MSCI ACWI Equal Weight ETF (NYSE Arca, Inc.: EWAC)
<Table>
(RYDEX SGI LOGO) (RYDEX SGI LOGO)
</Table>
SEMI-ANNUAL REPORT 1
TABLE OF CONTENTS
--------------------------------------------------------------------------------
<Table>
LETTER TO OUR SHAREHOLDERS............................................... 2
FEES & EXPENSES.......................................................... 4
PREMIUM AND DISCOUNT INFORMATION......................................... 5
PORTFOLIO SUMMARY........................................................ 6
SCHEDULE OF INVESTMENTS.................................................. 12
STATEMENT OF ASSETS AND LIABILITIES...................................... 73
STATEMENT OF OPERATIONS.................................................. 75
STATEMENTS OF CHANGES IN NET ASSETS...................................... 77
FINANCIAL HIGHLIGHTS..................................................... 79
NOTES TO FINANCIAL STATEMENTS............................................ 85
SUPPLEMENTAL INFORMATION................................................. 91
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS............................ 92
</Table>
2
LETTER TO OUR SHAREHOLDERS
--------------------------------------------------------------------------------
DEAR SHAREHOLDER:
The equity market rise that began shortly after the depths of the financial
crisis in 2008 continued through the six months ending April 30, 2011. Investors
appeared hopeful the economic recovery was becoming self-sustaining, in spite of
an assortment of first quarter 2011 shocks that ranged from higher oil prices to
turmoil in the Mid East to the effects of the natural disaster in Japan.
Assurance from the Fed that it was not going to immediately reverse its loose
monetary policy, and that inflation was transitory, helped drive stocks at
April's end to their highest level since just before the Lehman Brothers
collapse in September 2008.
Clouding the picture, however, were reports of a slower rate of U.S. output and
uncertainty over the expected conclusion of the Fed's quantitative easing
program in June. The infusion of liquidity helped stocks rise 30% since last
August and 20% over six months ending in April. As investors searching for
higher yields increasingly took on credit risk over the past year, many bond
sectors also benefited, particularly investment grade corporate bonds and high-
yield bonds. Yields on the benchmark 10-year Treasury, meanwhile, have been
sliding since December, reflecting increasingly weaker economic data and the
potential for Treasuries to benefit from the end of the Fed's bond buying. In
April, Standard & Poor's cut its outlook for U.S. sovereign debt for the first
time since it started rating it 70 years ago, highlighting the hit to U.S.
creditworthiness brought about by unfunded government tax cuts and spending
programs, along with fiscal stimulus during the recession that have added
significantly to the nation's debt.
April meeting minutes revealed that the Fed's next moves to maintain the economy
would be to reduce its balance sheet and then consider whether to begin raising
rates. But it also indicated it was in no hurry to make a move, particularly
since it believed the recent run-up in commodity prices would not lead to a
sustained increase in inflation. It has held short-term rates near zero since
December 2008.
Some analysts believe the end of quantitative easing could lead to more caution
in the markets, a view supported by weaker-than-expected U.S. GDP figures in
late April that showed the economy grew at an annual rate of 1.8% in the first
quarter of 2011, compared with estimates of around 2%. The rate was 3.1% for the
fourth quarter of 2010. Although some corners of the economy are showing
strength, such as job creation and export growth, stronger gains may be needed
to help encourage households to spend freely. Unemployment remains stubbornly
high at around 9%, while the prices of houses keep falling and sales are down,
keeping consumers on edge.
Investors in global markets, meanwhile, are increasingly concerned about the
potential for soaring food and energy prices to derail global economic recovery.
The International Monetary Fund said global economic growth would slow to 4.5%
this year, down from 5% last year. Through the first four months of 2011, stocks
in overseas developed markets have risen less than counterparts in the U.S.,
while emerging markets stocks have also underperformed. Central banks throughout
the emerging world have begun hiking rates in an effort to slow inflation, while
China has been tapping the brakes on too-fast growth in its economy. Such moves
contributed to a slowing in commodity price rises at the beginning of May, after
a rapid rise over the prior 12 months.
The price of a barrel of oil rose above $100 in the first quarter of 2011 for
the first time since 2008. The higher price of oil as a production cost caused
the prices of many metals to slip in early 2011, aided by a pullback in demand
due to the Japanese earthquake or China's efforts to slow lending. Gold spent
much of the first quarter of 2011 in negative territory, but has turned in a
spectacular climb over the past 12 months, rising above $1,500 an ounce in mid-
April for the first time. Gold traders said bullion bets have increased as
investors question central banks' ability to successfully manage the withdrawal
of stimulus policies put in place during the financial crisis.
Helped largely by the Fed's liberal monetary policy, the dollar has lost value
against most every other global currency over the past few months, as the value
of the dollar against a basket of other currencies fell to a four-decade low.
Some strategists believe the dollar may be poised to rally, benefiting from
hints at possible Fed tightening.
U.S. economic growth, while not robust, has proven strong enough to overcome
some major shocks in the past year. Many market observers, citing recent data on
unemployment, housing and inflation, say the economy remains fragile. Others
believe the economy is moving into a more mature phase and will continue to
expand, although at a lower level than is customary after a major recession.
Despite indicators of slowing in the U.S. and Europe, a new recession in Japan
and renewed worries about sovereign debt in the eurozone, equity markets are
still being buoyed by solid earnings, reasonable valuations and accommodative
monetary policy.
SEMI-ANNUAL REPORT 3
--------------------------------------------------------------------------------
At Rydex|SGI, our products are designed to help investors navigate uncertain
markets, including hedging or augmenting exposures to the equity or fixed-income
markets, or introducing alternative assets and strategies to portfolios for
overall diversification(1). Thank you for the trust you place in us.
Sincerely,
-s- Michael Byrum
Michael Byrum
President & Chief Investment Officer
Performance displayed represents past performance which is no guarantee of
future results. Of course, 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 us at 800.820.0888 or visit www.rydex-sgi.com.
READ EACH FUND'S PROSPECTUS AND SUMMARY PROSPECTUS (IF AVAILABLE) CAREFULLY
BEFORE INVESTING. IT CONTAINS THE FUND'S INVESTMENT OBJECTIVES, RISKS, CHARGES,
EXPENSES AND OTHER INFORMATION, WHICH SHOULD BE CONSIDERED CAREFULLY BEFORE
INVESTING. OBTAIN A PROSPECTUS AND SUMMARY PROSPECTUS (IF AVAILABLE) AT
WWW.RYDEX-SGI.COM OR CALL 800.820.0888
RYDEX|SGI FUNDS ARE DISTRIBUTED BY RYDEX DISTRIBUTORS, LLC (RDL). Security
Investors, LLC (SI) is a registered investment advisor, and does business as
Security Global Investors(R) and Rydex Investments. SI and RDL are affiliates
and are subsidiaries of Security Benefit Corporation, which is wholly owned by
Guggenheim SBC Holdings, LLC, a special purpose entity managed by an affiliate
of Guggenheim Partners, LLC, a diversified financial services firm with more
than $100 billion in assets under supervision.
----------
(1) Diversification neither assures a profit not eliminates the risk of
experiencing investment losses.
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 the
commencement date and held for the period ended April 30, 2011.
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 10/31/10 4/30/11 10/31/10 TO 4/30/11
------- --------- --------- -------------------
ACTUAL
Rydex Russell MidCap Equal Weight ETF**.... 0.41% $1,000.00 $1,157.00 $1.81
Rydex Russell 1000(R) Equal Weight ETF**... 0.40% $1,000.00 $1,150.00 $1.76
Rydex Russell 2000(R) Equal Weight ETF**... 0.40% $1,000.00 $1,145.50 $1.75
Rydex MSCI EAFE Equal Weight ETF**......... 0.56% $1,000.00 $1,102.10 $2.40
Rydex MSCI Emerging Markets Equal Weight
ETF**................................... 0.63% $1,000.00 $1,055.00 $2.64
Rydex MSCI ACWI Equal Weight ETF***........ 0.14% $1,000.00 $1,081.20 $0.46
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE
EXPENSES)
Rydex Russell MidCap Equal Weight ETF...... 0.41% $1,000.00 $1,022.76 $2.06
Rydex Russell 1000(R) Equal Weight ETF..... 0.40% $1,000.00 $1,022.81 $2.01
Rydex Russell 2000(R) Equal Weight ETF..... 0.40% $1,000.00 $1,022.81 $2.01
Rydex MSCI EAFE Equal Weight ETF........... 0.56% $1,000.00 $1,022.02 $2.81
Rydex MSCI Emerging Markets Equal Weight
ETF..................................... 0.63% $1,000.00 $1,021.67 $3.16
Rydex MSCI ACWI Equal Weight ETF........... 0.14% $1,000.00 $1,024.10 $0.70
</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).
** The Fund commenced operations on December 3, 2010. Expenses are equal to
the Fund's annualized expense ratio multiplied by the average account
value over the period, multiplied by 149/365 (to reflect the period from
inception to date).
*** The Fund commenced operations on January 7, 2011. Expenses are equal to
the Fund's annualized expense ratio multiplied by the average account
value over the period, multiplied by 114/365 (to reflect the period from
inception to date).
SEMI-ANNUAL REPORT 5
PREMIUM AND DISCOUNT INFORMATION (Unaudited)
--------------------------------------------------------------------------------
The tables that follow present information about the differences between the
daily market price on secondary markets for shares of the Funds and each Fund's
NAV. Net Asset Value, or "NAV," is the price per share at which a Fund issues
and redeems shares. It is calculated in accordance with the standard formula for
valuing mutual fund shares. The "Market Price" of a Fund generally is determined
using the midpoint between the highest bid and the lowest offer on the Exchange
on which the Fund is listed for trading, as of the time the Fund's NAV is
calculated. A Fund's Market Price may be at, above or below its NAV. The NAV of
a Fund will fluctuate with changes in the market value of its portfolio
holdings. The Market Price of a Fund will fluctuate in accordance with changes
in its NAV, as well as market supply of and demand for shares of the Funds.
Premiums or discounts are the differences (generally expressed as a percentage)
between the NAV and Market Price of a Fund on a given day, generally at the time
NAV is calculated. A premium is the amount that a Fund is trading above the
reported NAV, expressed as a positive percentage of the NAV. A discount is the
amount that a Fund is trading below the reported NAV, expressed as a negative
percentage of the NAV.
The following information shows the frequency distribution of premiums and
discounts for the Funds. The information shown for each Fund is for the period
from inception to April 30, 2011.
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 MSCI
RYDEX RUSSELL RYDEX RUSSELL RYDEX RUSSELL RYDEX MSCI EMERGING RYDEX MSCI
MIDCAP EQUAL 1000(R) EQUAL 2000(R) EQUAL EAFE EQUAL MARKETS EQUAL ACWI EQUAL
PREMIUM/DISCOUNT RANGE WEIGHT ETF WEIGHT ETF WEIGHT ETF WEIGHT ETF WEIGHT ETF WEIGHT ETF
-----------------------------------------------------------------------------------------------------------------
Greater Than 30% 0 0 0 0 0 0
Between 10.01% and 30% 0 0 0 0 0 0
Between 8.01% and 10% 0 0 0 0 0 0
Between 3.01% and 8% 0 0 0 1 1 0
Between 1.01% and 3% 1 2 0 10 24 24
Between .51% and 1% 5 2 6 13 29 34
Between .26% and .5% 8 11 13 10 15 3
Between 0% and .25% 104 98 93 70 63 42
Between -0.01% and -0.25% 22 20 23 21 8 1
Between -0.26% and -0.5% 4 9 9 13 3 0
Between -0.51% and -1% 4 6 5 7 6 3
Between -1.01% and -3% 1 1 0 4 0 4
Between -3.01% and -8% 0 0 0 0 0 0
Between -8.01% and -10% 0 0 0 0 0 0
Between -10.01% and -30% 0 0 0 0 0 0
Less Than -30% 0 0 0 0 0 3
-----------------------------------------------------------------------------------------------------------------
Total 149 149 149 149 149 114
</Table>
<Table>
<Caption>
PERCENTAGE OF TOTAL DAYS
----------------------------------------------------------------------------------
RYDEX MSCI
RYDEX RUSSELL RYDEX RUSSELL RYDEX RUSSELL RYDEX MSCI EMERGING RYDEX MSCI
MIDCAP EQUAL 1000(R) EQUAL 2000(R) EQUAL EAFE EQUAL MARKETS EQUAL ACWI EQUAL
PREMIUM/DISCOUNT RANGE WEIGHT ETF WEIGHT ETF WEIGHT ETF WEIGHT ETF WEIGHT ETF WEIGHT ETF
-----------------------------------------------------------------------------------------------------------------
Greater Than 30% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Between 10.01% and 30% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Between 8.01% and 10% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Between 3.01% and 8% 0.00% 0.00% 0.00% 0.67% 0.67% 0.00%
Between 1.01% and 3% 0.67% 1.34% 0.00% 6.71% 16.11% 21.05%
Between .51% and 1% 3.36% 1.34% 4.03% 8.72% 19.46% 29.82%
Between .26% and .5% 5.37% 7.38% 8.72% 6.71% 10.07% 2.63%
Between 0% and .25% 69.80% 65.78% 62.41% 46.99% 42.28% 36.85%
Between -0.01% and -0.25% 14.77% 13.42% 15.44% 14.10% 5.37% 0.88%
Between -0.26% and -0.5% 2.68% 6.04% 6.04% 8.72% 2.01% 0.00%
Between -0.51% and -1% 2.68% 4.03% 3.36% 4.70% 4.03% 2.63%
Between -1.01% and -3% 0.67% 0.67% 0.00% 2.68% 0.00% 3.51%
Between -3.01% and -8% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Between -8.01% and -10% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Between -10.01% and -30% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Less Than -30% 0.00% 0.00% 0.00% 0.00% 0.00% 2.63%
-----------------------------------------------------------------------------------------------------------------
Total 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
</Table>
6
RYDEX RUSSELL MIDCAP EQUAL WEIGHT ETF
PORTFOLIO SUMMARY As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
SUPERVALU, INC. 0.41%
RALCORP HOLDINGS, INC. 0.38%
CONSTELLATION BRANDS, INC. -- CLASS A 0.37%
MEAD JOHNSON NUTRITION CO. 0.37%
FLOWERS FOODS, INC. 0.37%
CENTURYTEL, INC. 0.36%
HANSEN NATURAL CORP. 0.36%
LORILLARD, INC. 0.36%
CORN PRODUCTS INTERNATIONAL, INC. 0.36%
HERBALIFE LTD. 0.35%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Information Technology 13.24
Industrials 11.64
Health Care 11.55
Consumer Staples 11.27
Consumer Discretionary 10.91
Energy 10.61
Financials 9.94
Materials 9.47
Utilities 8.91
Telecommunication Services 2.46
</Table>
* The Fund's Top Ten Holdings are expressed as a percentage of net assets and
the Sector Allocations are expressed as a percentage of the Fund's investments
market value. These percentages may change over time.
SEMI-ANNUAL REPORT 7
RYDEX RUSSELL 1000(R) EQUAL WEIGHT ETF
PORTFOLIO SUMMARY As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
CENTURYTEL, INC. 0.30%
SUPERVALU, INC. 0.28%
RALCORP HOLDINGS, INC. 0.26%
CONSTELLATION BRANDS, INC. -- CLASS A 0.25%
MEAD JOHNSON NUTRITION CO. 0.25%
FLOWERS FOODS, INC. 0.25%
HANSEN NATURAL CORP. 0.24%
CORN PRODUCTS INTERNATIONAL, INC. 0.24%
HERBALIFE LTD. 0.24%
WALGREEN CO. 0.24%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Information Technology 13.13
Industrials 11.55
Consumer Staples 11.46
Health Care 11.34
Consumer Discretionary 10.77
Energy 10.75
Financials 9.96
Materials 9.59
Utilities 8.84
Telecommunication Services 2.61
</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 RUSSELL 2000(R) EQUAL WEIGHT ETF
PORTFOLIO SUMMARY As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
SSGA GOVERNMENT MONEY MARKET FUND 0.45%
GLOBAL CROSSING LTD. 0.35%
SPECTRUM BRANDS HOLDINGS, INC. 0.28%
DIAMOND FOODS, INC. 0.27%
FRESH MARKET, INC.(THE) 0.25%
VONAGE HOLDINGS CORP. 0.25%
TREEHOUSE FOODS, INC. 0.25%
J&J SNACK FOODS CORP. 0.25%
USANA HEALTH SCIENCES, INC. 0.25%
RUDDICK CORP. 0.25%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Industrials 14.03
Information Technology 12.80
Health Care 11.70
Consumer Discretionary 11.14
Financials 10.77
Energy 10.60
Consumer Staples 10.45
Materials 7.54
Utilities 6.89
Telecommunication Services 4.08
</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 MSCI EAFE EQUAL WEIGHT ETF
PORTFOLIO SUMMARY As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
SSGA GOVERNMENT MONEY MARKET FUND 0.75%
YASKAWA ELECTRIC CORP. 0.26%
KEPPEL CORP., LTD. 0.24%
AP MOLLER -- MAERSK A/S 0.23%
CHIYODA CORP. 0.22%
CITY DEVELOPMENTS LTD. 0.22%
KUBOTA CORP. 0.21%
SHIMAMURA CO., LTD. 0.21%
BANK OF KYOTO LTD.(THE) 0.21%
SHIZUOKA BANK LTD.(THE) 0.20%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Financials 21.53
Industrials 20.31
Consumer Discretionary 13.92
Materials 12.14
Information Technology 6.84
Consumer Staples 6.60
Health Care 5.97
Utilities 4.91
Energy 4.19
Telecommunication Services 3.59
</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 MSCI EMERGING MARKETS EQUAL WEIGHT ETF
PORTFOLIO SUMMARY As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
WISDOMTREE INDIA EARNINGS FUND 8.31%
SSGA GOVERNMENT MONEY MARKET FUND 1.09%
ANHUI CONCH CEMENT CO., LTD. -- CLASS H 0.33%
MEDIATEK, INC. 0.26%
SHANDONG WEIGAO GROUP MEDICAL POLYMER CO., LTD. -- CLASS H 0.26%
TSINGTAO BREWERY CO., LTD. -- CLASS H 0.25%
HIWIN TECHNOLOGIES CORP. 0.23%
FOXCONN TECHNOLOGY CO., LTD. 0.23%
OCI CO., LTD. 0.23%
EVERGRANDE REAL ESTATE GROUP LTD. 0.22%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Exchange Traded Funds 19.12
Financials 14.08
Consumer Discretionary 13.98
Information Technology 9.94
Industrials 9.82
Health Care 8.41
Energy 7.94
Materials 5.75
Consumer Staples 4.93
Utilities 4.27
Telecommunication Services 1.76
</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 MSCI ACWI EQUAL WEIGHT ETF
PORTFOLIO SUMMARY As of April 30, 2011
--------------------------------------------------------------------------------
TOP 10 HOLDINGS*
--------------------------------------------------------------------------------
<Table>
<Caption>
DESCRIPTION % OF NET ASSETS
------------------------------------------------------------------------------------
RYDEX MSCI EAFE EQUAL WEIGHT ETF 38.62%
RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF 34.15%
SSGA GOVERNMENT MONEY MARKET FUND 0.46%
NATIONAL SEMICONDUCTOR CORP. 0.06%
BIOGEN IDEC, INC. 0.06%
CEPHALON, INC. 0.06%
MOODY'S CORP. 0.05%
GOODYEAR TIRE & RUBBER CO.(THE) 0.05%
PETROHAWK ENERGY CORP. 0.05%
VALEANT PHARMACEUTICALS INTERNATIONAL, INC. 0.05%
------------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Exchange Traded Funds 73.12
Financials 4.54
Consumer Discretionary 4.13
Information Technology 3.57
Industrials 3.24
Health Care 2.80
Energy 2.50
Materials 1.94
Consumer Staples 1.93
Utilities 1.59
Telecommunication Services 0.64
</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 Russell Midcap Equal Weight ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 0.8%
Alliant Techsystems, Inc. .... 170 $12,010
BE Aerospace, Inc.*........... 340 13,121
Goodrich Corp. ............... 140 12,372
ITT Corp. .................... 200 11,558
L-3 Communications Holdings,
Inc. ...................... 150 12,028
Rockwell Collins, Inc. ....... 180 11,358
Spirit Aerosystems Holdings,
Inc. -- Class A*........... 460 11,316
TransDigm Group, Inc.*........ 140 11,662
-----------
TOTAL AEROSPACE & DEFENSE 95,425
-----------
AIR FREIGHT & LOGISTICS 0.3%
C.H. Robinson Worldwide,
Inc. ...................... 160 12,829
Expeditors International of
Washington, Inc. .......... 240 13,025
UTI Worldwide, Inc. .......... 601 13,468
-----------
TOTAL AIR FREIGHT & LOGISTICS 39,322
-----------
AIRLINES 0.5%
AMR Corp.*.................... 1,759 10,325
Copa Holdings SA -- Class A... 230 13,374
Delta Air Lines, Inc.*........ 1,179 12,238
Southwest Airlines Co. ....... 930 10,928
United Continental Holdings,
Inc.*...................... 500 11,410
-----------
TOTAL AIRLINES 58,275
-----------
AUTO COMPONENTS 0.6%
Autoliv, Inc. ................ 130 10,417
BorgWarner, Inc.*............. 120 9,269
Federal-Mogul Corp.*.......... 380 10,070
Gentex Corp. ................. 330 10,346
Goodyear Tire & Rubber
Co.(The)*.................. 650 11,797
Lear Corp. ................... 200 10,228
TRW Automotive Holdings
Corp.*..................... 180 10,271
-----------
TOTAL AUTO COMPONENTS 72,398
-----------
AUTOMOBILES 0.2%
Harley-Davidson, Inc. ........ 230 8,570
Tesla Motors, Inc.*........... 410 11,316
Thor Industries, Inc. ........ 290 8,993
-----------
TOTAL AUTOMOBILES 28,879
-----------
BEVERAGES 2.1%
Brown-Forman Corp. -- Class
B.......................... 580 41,679
Coca-Cola Enterprises, Inc. .. 1,460 41,479
Constellation Brands,
Inc. -- Class A*........... 2,029 45,429
Dr Pepper Snapple Group,
Inc. ...................... 1,050 41,160
Hansen Natural Corp.*......... 670 44,320
Molson Coors Brewing
Co. -- Class B............. 861 41,974
-----------
TOTAL BEVERAGES 256,041
-----------
BIOTECHNOLOGY 1.9%
Alexion Pharmaceuticals,
Inc.*...................... 200 19,378
Amylin Pharmaceuticals,
Inc.*...................... 1,731 23,022
BioMarin Pharmaceutical,
Inc.*...................... 770 20,705
Cephalon, Inc.*............... 320 24,576
Dendreon Corp.*............... 540 23,452
Human Genome Sciences, Inc.*.. 690 20,334
Myriad Genetics, Inc.*........ 929 19,918
Regeneron Pharmaceuticals,
Inc.*...................... 440 22,489
Talecris Biotherapeutics
Holdings Corp.*............ 700 19,544
United Therapeutics Corp.*.... 290 19,419
Vertex Pharmaceuticals,
Inc.*...................... 390 21,458
-----------
TOTAL BIOTECHNOLOGY 234,295
-----------
BUILDING PRODUCTS 0.9%
Armstrong World Industries,
Inc. ...................... 530 23,717
Lennox International, Inc. ... 450 21,875
Masco Corp. .................. 1,651 22,156
Owens Corning*................ 660 24,974
USG Corp.*.................... 1,380 21,280
-----------
TOTAL BUILDING PRODUCTS 114,002
-----------
CAPITAL MARKETS 1.1%
Affiliated Managers Group,
Inc.*...................... 70 7,636
Ameriprise Financial, Inc. ... 120 7,447
Ares Capital Corp. ........... 451 7,987
E*TRADE Financial Corp.*...... 480 7,795
Eaton Vance Corp. ............ 230 7,767
Federated Investors,
Inc. -- Class B............ 280 7,218
Greenhill & Co., Inc. ........ 110 6,490
Invesco Ltd. ................. 290 7,212
Janus Capital Group, Inc. .... 620 7,545
Jefferies Group, Inc. ........ 300 7,251
Lazard Ltd. -- Class A........ 170 6,970
Legg Mason, Inc. ............. 210 7,802
LPL Investment Holdings,
Inc.*...................... 210 7,703
Raymond James Financial,
Inc. ...................... 200 7,500
SEI Investments Co. .......... 320 7,146
T. Rowe Price Group, Inc. .... 120 7,710
TD Ameritrade Holding Corp. .. 360 7,755
Waddell & Reed Financial,
Inc. -- Class A............ 190 7,792
-----------
TOTAL CAPITAL MARKETS 134,726
-----------
CHEMICALS 4.1%
Airgas, Inc. ................. 340 23,613
Albemarle Corp. .............. 400 28,220
Ashland, Inc. ................ 400 24,832
Cabot Corp. .................. 500 22,425
Celanese Corp. -- Class A..... 531 26,508
CF Industries Holdings,
Inc. ...................... 180 25,479
Cytec Industries, Inc. ....... 430 25,232
Eastman Chemical Co. ......... 240 25,740
Ecolab, Inc. ................. 460 24,270
FMC Corp. .................... 280 24,718
Huntsman Corp. ............... 1,310 27,314
International Flavors &
Fragrances, Inc. .......... 380 24,138
Intrepid Potash, Inc.*........ 680 23,297
Lubrizol Corp. ............... 170 22,868
Nalco Holding Co. ............ 440 12,852
PPG Industries, Inc. ......... 260 24,614
RPM International, Inc. ...... 990 23,265
Scotts Miracle-Gro
Co.(The) -- Class A........ 400 22,588
Sherwin-Williams Co.(The)..... 271 22,301
Sigma-Aldrich Corp. .......... 361 25,479
Valspar Corp. ................ 600 23,586
-----------
TOTAL CHEMICALS 503,339
-----------
COMMERCIAL BANKS 1.7%
Associated Banc-Corp. ........ 510 7,446
BancorpSouth, Inc. ........... 490 6,640
Bank of Hawaii Corp. ......... 160 7,806
BOK Financial Corp. .......... 150 8,067
CapitalSource, Inc. .......... 1,060 7,081
CIT Group, Inc.*.............. 180 7,643
City National Corp. .......... 130 7,424
Comerica, Inc. ............... 200 7,586
Commerce Bancshares, Inc. .... 190 8,086
Cullen/Frost Bankers, Inc. ... 130 7,701
East West Bancorp, Inc. ...... 340 7,184
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 13
Rydex Russell Midcap Equal Weight ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Fifth Third Bancorp........... 540 $7,166
First Citizens BancShares
Inc. -- Class A............ 40 8,000
First Horizon National
Corp. ..................... 660 7,227
Fulton Financial Corp. ....... 681 7,954
Huntington Bancshares, Inc. .. 1,130 7,673
KeyCorp....................... 850 7,370
M&T Bank Corp. ............... 90 7,953
Marshall & Ilsley Corp. ...... 960 7,843
Popular, Inc.*................ 2,569 8,092
Regions Financial Corp. ...... 1,040 7,634
SunTrust Banks, Inc. ......... 260 7,329
Synovus Financial Corp. ...... 2,990 7,475
TCF Financial Corp. .......... 490 7,639
Valley National Bancorp....... 550 7,876
Wilmington Trust Corp. ....... 1,680 7,577
Zions Bancorp................. 330 8,069
-----------
TOTAL COMMERCIAL BANKS 205,541
-----------
COMMERCIAL SERVICES & SUPPLIES 1.2%
Avery Dennison Corp. ......... 290 12,105
Cintas Corp. ................. 400 12,420
Copart, Inc.*................. 280 12,703
Corrections Corp. of
America*................... 500 12,445
Covanta Holding Corp. ........ 700 12,019
Iron Mountain, Inc. .......... 380 12,103
KAR Auction Services, Inc.*... 630 12,285
Pitney Bowes, Inc. ........... 470 11,543
R.R. Donnelley & Sons Co. .... 631 11,901
Republic Services, Inc. ...... 390 12,332
Stericycle, Inc.*............. 130 11,866
Waste Connections, Inc. ...... 410 12,616
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 146,338
-----------
COMMUNICATIONS EQUIPMENT 1.0%
Brocade Communications
Systems, Inc.*............. 2,350 14,687
Ciena Corp.*.................. 630 17,791
EchoStar Corp. -- Class A*.... 400 14,832
F5 Networks, Inc.*............ 160 16,218
Harris Corp. ................. 300 15,939
JDS Uniphase Corp.*........... 760 15,838
Polycom, Inc.*................ 300 17,949
Tellabs, Inc. ................ 2,831 13,929
-----------
TOTAL COMMUNICATIONS EQUIPMENT 127,183
-----------
COMPUTERS & PERIPHERALS 1.0%
Diebold, Inc. ................ 420 14,196
Lexmark International,
Inc. -- Class A*........... 320 10,320
NCR Corp.*.................... 780 15,452
NetApp, Inc.*................. 310 16,114
QLogic Corp.*................. 820 14,743
SanDisk Corp.*................ 320 15,725
Seagate Technology PLC........ 1,020 17,972
Western Digital Corp.*........ 391 15,562
-----------
TOTAL COMPUTERS & PERIPHERALS 120,084
-----------
CONSTRUCTION & ENGINEERING 0.8%
Aecom Technology Corp.*....... 440 11,995
Chicago Bridge & Iron Co. NV.. 300 12,162
Fluor Corp. .................. 160 11,190
Jacobs Engineering Group,
Inc.*...................... 240 11,906
KBR, Inc. .................... 320 12,279
Quanta Services, Inc.*........ 530 11,490
Shaw Group, Inc.(The)*........ 340 13,226
URS Corp.*.................... 260 11,635
-----------
TOTAL CONSTRUCTION & ENGINEERING 95,883
-----------
CONSTRUCTION MATERIALS 0.6%
Eagle Materials, Inc. ........ 750 21,818
Martin Marietta Materials,
Inc. ...................... 260 23,709
Vulcan Materials Co. ......... 510 23,052
-----------
TOTAL CONSTRUCTION MATERIALS 68,579
-----------
CONSUMER FINANCE 0.2%
Discover Financial Services... 310 7,700
Green Dot Corp. -- Class A*... 180 7,769
SLM Corp.*.................... 490 8,129
-----------
TOTAL CONSUMER FINANCE 23,598
-----------
CONTAINERS & PACKAGING 1.9%
AptarGroup, Inc. ............. 470 24,651
Ball Corp. ................... 660 24,625
Bemis Co., Inc. .............. 720 22,565
Crown Holdings, Inc.*......... 600 22,440
Greif, Inc. -- Class A........ 360 22,356
Owens-Illinois, Inc.*......... 770 22,846
Packaging Corp. of America.... 830 23,680
Sealed Air Corp. ............. 880 22,678
Sonoco Products Co. .......... 650 22,464
Temple-Inland, Inc. .......... 1,040 24,471
-----------
TOTAL CONTAINERS & PACKAGING 232,776
-----------
DISTRIBUTORS 0.5%
Central European Distribution
Corp.*..................... 3,424 40,472
Genuine Parts Co. ............ 180 9,666
LKQ Corp.*.................... 410 10,340
-----------
TOTAL DISTRIBUTORS 60,478
-----------
DIVERSIFIED CONSUMER SERVICES 0.8%
Apollo Group, Inc. -- Class
A*......................... 220 8,807
Career Education Corp.*....... 430 9,378
DeVry, Inc. .................. 170 8,993
Education Management Corp.*... 500 9,270
H&R Block, Inc. .............. 570 9,855
Hillenbrand, Inc. ............ 440 10,085
ITT Educational Services,
Inc.*...................... 130 9,325
Service Corp. International... 880 10,358
Strayer Education, Inc. ...... 70 8,672
Weight Watchers International,
Inc. ...................... 150 11,662
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 96,405
-----------
DIVERSIFIED FINANCIAL SERVICES 0.5%
CBOE Holdings, Inc. .......... 260 6,973
Interactive Brokers Group,
Inc. -- Class A............ 470 8,244
IntercontinentalExchange,
Inc.*...................... 60 7,221
Leucadia National Corp. ...... 200 7,732
Moody's Corp. ................ 220 8,611
MSCI, Inc. -- Class A*........ 200 7,094
Nasdaq OMX Group (The)*....... 290 7,859
NYSE Euronext................. 210 8,410
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 62,144
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 1.1%
CenturyTel, Inc. ............. 1,090 44,450
Frontier Communications
Corp. ..................... 2,721 22,503
Level 3 Communications,
Inc.*...................... 15,112 23,575
</Table>
See Notes to Financial Statements.
14
Rydex Russell Midcap Equal Weight ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
tw telecom, Inc.*............. 1,160 $24,986
Windstream Corp. ............. 1,699 21,764
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 137,278
-----------
ELECTRIC UTILITIES 2.5%
DPL, Inc. .................... 830 25,141
Edison International.......... 611 23,994
FirstEnergy Corp. ............ 610 24,375
Great Plains Energy, Inc. .... 1,131 23,276
Hawaiian Electric Industries,
Inc. ...................... 920 23,451
ITC Holdings Corp. ........... 330 23,407
Northeast Utilities........... 660 23,496
NV Energy, Inc. .............. 1,530 23,241
Pepco Holdings, Inc. ......... 1,210 23,317
Pinnacle West Capital Corp. .. 530 22,997
PPL Corp. .................... 910 24,961
Progress Energy, Inc. ........ 490 23,250
Westar Energy, Inc. .......... 860 23,400
-----------
TOTAL ELECTRIC UTILITIES 308,306
-----------
ELECTRICAL EQUIPMENT 0.9%
AMETEK, Inc. ................. 280 12,891
Babcock & Wilcox Co.(The)*.... 360 11,308
Cooper Industries PLC......... 180 11,871
General Cable Corp.*.......... 280 13,580
Hubbell, Inc. -- Class B...... 170 11,898
Regal-Beloit Corp. ........... 160 12,126
Rockwell Automation, Inc. .... 130 11,327
Roper Industries, Inc. ....... 140 12,109
Thomas & Betts Corp.*......... 210 12,174
-----------
TOTAL ELECTRICAL EQUIPMENT 109,284
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 1.7%
Amphenol Corp. -- Class A..... 270 15,096
Arrow Electronics, Inc.*...... 360 16,412
Avnet, Inc.*.................. 440 15,981
AVX Corp. .................... 990 16,147
Dolby Laboratories,
Inc. -- Class A*........... 300 15,018
FLIR Systems, Inc. ........... 350 12,327
Ingram Micro, Inc. -- Class
A*......................... 710 13,298
Itron, Inc.*.................. 220 11,975
Jabil Circuit, Inc. .......... 681 13,511
Molex, Inc. .................. 590 15,930
National Instruments Corp. ... 360 10,922
Tech Data Corp.*.............. 290 15,408
Trimble Navigation, Ltd.*..... 240 11,242
Vishay Intertechnology,
Inc.*...................... 830 15,836
Vishay Precision Group,
Inc.*...................... 710 11,715
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 210,818
-----------
ENERGY EQUIPMENT & SERVICES 3.7%
Atwood Oceanics, Inc.*........ 520 23,364
Cameron International Corp.*.. 390 20,561
Core Laboratories NV.......... 230 22,075
Diamond Offshore Drilling,
Inc. ...................... 300 22,761
Dresser-Rand Group, Inc.*..... 440 23,118
Exterran Holdings, Inc.*...... 970 21,059
FMC Technologies, Inc.*....... 491 22,822
Helmerich & Payne, Inc. ...... 350 23,219
IHS, Inc. -- Class A*......... 80 7,059
McDermott International,
Inc.*...................... 470 10,852
Nabors Industries, Ltd.*...... 780 23,899
Oceaneering International,
Inc.*...................... 270 23,603
Oil States International,
Inc.*...................... 310 25,733
Patterson-UTI Energy, Inc. ... 820 25,510
Pride International, Inc.*.... 540 23,712
Rowan Cos., Inc.*............. 560 23,352
SEACOR Holdings, Inc. ........ 240 23,719
Superior Energy Services,
Inc.*...................... 590 22,668
Tidewater, Inc. .............. 190 11,307
Unit Corp.*................... 381 24,011
Weatherford International
Ltd.*...................... 1,080 23,306
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 447,710
-----------
FOOD & STAPLES RETAILING 1.2%
BJ's Wholesale Club, Inc.*.... 190 9,751
Safeway, Inc. ................ 1,750 42,542
SUPERVALU, Inc. .............. 4,479 50,434
Whole Foods Market, Inc. ..... 620 38,911
-----------
TOTAL FOOD & STAPLES RETAILING 141,638
-----------
FOOD PRODUCTS 5.8%
Bunge Ltd. ................... 550 41,492
Campbell Soup Co. ............ 1,170 39,300
ConAgra Foods, Inc. .......... 1,641 40,122
Corn Products International,
Inc. ...................... 790 43,529
Dean Foods Co.*............... 3,750 41,962
Flowers Foods, Inc. .......... 1,460 44,618
Green Mountain Coffee
Roasters, Inc.*............ 620 41,515
H.J. Heinz Co. ............... 800 40,984
Hershey Co.(The).............. 720 41,551
Hormel Foods Corp. ........... 1,400 41,174
J.M. Smucker Co.(The)......... 540 40,538
McCormick & Co., Inc. ........ 790 38,805
Mead Johnson Nutrition Co. ... 670 44,810
Ralcorp Holdings, Inc.*....... 600 46,680
Sara Lee Corp. ............... 2,181 41,875
Smithfield Foods, Inc.*....... 1,580 37,225
Tyson Foods, Inc. -- Class A.. 1,971 39,223
-----------
TOTAL FOOD PRODUCTS 705,403
-----------
GAS UTILITIES 1.3%
AGL Resources, Inc. .......... 570 23,661
Atmos Energy Corp. ........... 660 23,027
Energen Corp. ................ 360 23,404
National Fuel Gas Co. ........ 310 22,723
Oneok, Inc. .................. 340 23,779
Questar Corp. ................ 1,300 22,841
UGI Corp. .................... 700 23,310
-----------
TOTAL GAS UTILITIES 162,745
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 2.9%
Alere, Inc.*.................. 500 18,570
Beckman Coulter, Inc. ........ 220 18,227
Boston Scientific Corp.*...... 2,530 18,950
C.R. Bard, Inc. .............. 190 20,282
CareFusion Corp.*............. 660 19,384
Cooper Cos., Inc.(The)........ 270 20,223
Dentsply International,
Inc. ...................... 511 19,183
Edwards Lifesciences Corp.*... 210 18,134
Gen-Probe, Inc.*.............. 280 23,218
Hill-Rom Holdings, Inc. ...... 490 22,055
Hologic, Inc.*................ 840 18,497
Idexx Laboratories, Inc.*..... 240 19,543
Intuitive Surgical, Inc.*..... 60 20,982
Kinetic Concepts, Inc.*....... 350 20,660
ResMed, Inc.*................. 610 19,453
Teleflex, Inc. ............... 320 20,163
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 15
Rydex Russell Midcap Equal Weight ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Thoratec Corp.*............... 731 $22,442
Varian Medical Systems,
Inc.*...................... 271 19,024
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 358,990
-----------
HEALTH CARE PROVIDERS & SERVICES 3.3%
AmerisourceBergen Corp. ...... 470 19,101
Brookdale Senior Living,
Inc.*...................... 680 18,523
CIGNA Corp. .................. 430 20,137
Community Health Systems,
Inc.*...................... 470 14,443
Coventry Health Care, Inc.*... 600 19,362
DaVita, Inc.*................. 220 19,380
Emergency Medical Services
Corp. -- Class A*.......... 290 18,502
Health Management Associates,
Inc. -- Class A*........... 1,730 19,514
Health Net, Inc.*............. 580 19,314
Henry Schein, Inc.*........... 270 19,729
Humana, Inc.*................. 280 21,313
Laboratory Corp. of America
Holdings*.................. 210 20,259
LifePoint Hospitals, Inc.*.... 480 19,973
Lincare Holdings, Inc. ....... 630 19,795
MEDNAX, Inc.*................. 280 19,857
Omnicare, Inc. ............... 630 19,795
Patterson Cos., Inc. ......... 580 20,132
Quest Diagnostics, Inc. ...... 340 19,169
Tenet Healthcare Corp.*....... 2,530 17,533
Universal Health Services,
Inc. -- Class B............ 390 21,364
VCA Antech, Inc.*............. 760 18,696
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 405,891
-----------
HEALTH CARE TECHNOLOGY 0.6%
Allscripts Healthcare
Solutions, Inc.*........... 880 18,955
Cerner Corp.*................. 170 20,431
Emdeon, Inc. -- Class A*...... 1,180 18,479
SXC Health Solutions Corp.*... 350 19,306
-----------
TOTAL HEALTH CARE TECHNOLOGY 77,171
-----------
HOTELS, RESTAURANTS & LEISURE 1.5%
Bally Technologies, Inc.*..... 270 10,527
Brinker International, Inc. .. 390 9,395
Chipotle Mexican Grill,
Inc. -- Class A*........... 40 10,671
Choice Hotels International,
Inc. ...................... 250 9,345
Darden Restaurants, Inc. ..... 210 9,864
Hyatt Hotels Corp. -- Class
A*......................... 230 10,191
International Game
Technology................. 590 10,437
International Speedway
Corp. -- Class A........... 320 9,792
Marriott International,
Inc. -- Class A............ 270 9,531
MGM Resorts International*.... 731 9,254
Panera Bread Co. -- Class A*.. 80 9,689
Penn National Gaming, Inc.*... 270 10,803
Royal Caribbean Cruises
Ltd.*...................... 230 9,159
Starwood Hotels & Resorts
Worldwide, Inc. ........... 170 10,127
Wendy's/Arby's Group,
Inc. -- Class A............ 1,891 9,115
WMS Industries, Inc.*......... 270 8,856
Wyndham Worldwide Corp. ...... 310 10,729
Wynn Resorts Ltd. ............ 80 11,772
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 179,257
-----------
HOUSEHOLD DURABLES 1.5%
D.R. Horton, Inc. ............ 780 9,703
Fortune Brands, Inc. ......... 160 10,413
Garmin Ltd.*.................. 280 9,584
Harman International
Industries, Inc. .......... 210 10,191
Jarden Corp. ................. 280 10,189
KB Home....................... 720 8,503
Leggett & Platt, Inc. ........ 400 10,516
Lennar Corp. -- Class A....... 480 9,115
MDC Holdings, Inc. ........... 360 10,509
Mohawk Industries, Inc.*...... 160 9,607
Newell Rubbermaid, Inc. ...... 490 9,339
NVR, Inc.*.................... 10 7,393
Pulte Homes, Inc.*............ 1,240 10,081
Stanley Black & Decker,
Inc. ...................... 121 8,791
Tempur-Pedic International,
Inc.*...................... 190 11,928
Toll Brothers, Inc.*.......... 460 9,665
Tupperware Brands Corp. ...... 160 10,187
Whirlpool Corp. .............. 120 10,342
-----------
TOTAL HOUSEHOLD DURABLES 176,056
-----------
HOUSEHOLD PRODUCTS 1.0%
Church & Dwight Co., Inc. .... 490 40,415
Clorox Co. ................... 560 39,010
Energizer Holdings, Inc.*..... 570 43,052
-----------
TOTAL HOUSEHOLD PRODUCTS 122,477
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 1.2%
AES Corp.(The)*............... 1,761 23,316
Calpine Corp.*................ 1,430 23,952
Constellation Energy Group,
Inc. ...................... 720 26,222
GenOn Energy, Inc.*........... 6,021 23,663
NRG Energy, Inc.*............. 1,041 25,192
Ormat Technologies, Inc. ..... 901 22,435
-----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 144,780
-----------
INDUSTRIAL CONGLOMERATES 0.4%
Carlisle Cos., Inc. .......... 270 13,376
Textron, Inc. ................ 440 11,484
Walter Industries, Inc. ...... 180 24,879
-----------
TOTAL INDUSTRIAL CONGLOMERATES 49,739
-----------
INSURANCE 3.0%
Alleghany Corp.*.............. 20 6,705
Allied World Assurance Co.
Holdings Ltd. ............. 120 7,796
American Financial Group,
Inc. ...................... 211 7,548
American International Group,
Inc.*...................... 201 6,261
American National Insurance
Co. ....................... 100 7,910
Aon Corp. .................... 140 7,304
Arch Capital Group Ltd.*...... 80 8,320
Arthur J. Gallagher & Co. .... 240 7,147
Aspen Insurance Holdings,
Ltd. ...................... 280 8,000
Assurant, Inc. ............... 190 7,543
Assured Guaranty, Ltd. ....... 500 8,500
Axis Capital Holdings Ltd. ... 220 7,779
Brown & Brown, Inc. .......... 300 7,755
Cincinnati Financial Corp. ... 230 7,286
CNA Financial Corp. .......... 260 8,071
Endurance Specialty Holdings
Ltd. ...................... 160 7,094
Erie Indemnity Co. -- Class
A.......................... 110 7,967
Everest Re Group Ltd. ........ 90 8,201
Fidelity National Financial,
Inc. -- Class A............ 540 8,338
Genworth Financial,
Inc. -- Class A*........... 570 6,948
Hanover Insurance Group,
Inc.(The).................. 160 6,755
Hartford Financial Services
Group, Inc.(The)........... 280 8,112
HCC Insurance Holdings,
Inc. ...................... 240 7,810
Lincoln National Corp. ....... 250 7,808
Markel Corp.*................. 20 8,346
Marsh & McLennan Cos., Inc. .. 250 7,570
MBIA, Inc.*................... 720 7,430
Mercury General Corp. ........ 190 7,551
Old Republic International
Corp. ..................... 600 7,602
</Table>
See Notes to Financial Statements.
16
Rydex Russell Midcap Equal Weight ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
OneBeacon Insurance Group
Ltd. -- Class A............ 561 $7,882
PartnerRe Ltd. ............... 100 8,036
Principal Financial Group,
Inc. ...................... 240 8,100
Progressive Corp. ............ 360 7,898
Protective Life Corp. ........ 281 7,562
Reinsurance Group of America,
Inc. ...................... 120 7,596
RenaissanceRe Holdings Ltd. .. 120 8,434
StanCorp Financial Group,
Inc. ...................... 160 6,896
Symetra Financial Corp. ...... 560 7,773
Torchmark Corp. .............. 110 7,361
Transatlantic Holdings,
Inc. ...................... 160 7,886
Unitrin, Inc. ................ 250 7,560
Unum Group.................... 280 7,414
Validus Holdings, Ltd. ....... 240 7,810
W.R. Berkley Corp. ........... 240 7,826
Wesco Financial Corp. ........ 20 7,840
White Mountains Insurance
Group Ltd. ................ 20 7,150
XL Group PLC.................. 320 7,814
-----------
TOTAL INSURANCE 360,295
-----------
INTERNET & CATALOG RETAIL 0.3%
Expedia, Inc. ................ 440 11,013
Liberty Media
Corp. -- Interactive -- -
Class A -- Tracking
Stock*..................... 600 10,488
Netflix, Inc.*................ 40 9,307
Priceline.com, Inc.*.......... 20 10,940
-----------
TOTAL INTERNET & CATALOG RETAIL 41,748
-----------
INTERNET SOFTWARE & SERVICES 1.0%
Akamai Technologies, Inc.*.... 390 13,432
AOL, Inc.*.................... 741 15,102
Equinix, Inc.*................ 170 17,112
IAC/InterActiveCorp*.......... 481 17,369
Monster Worldwide, Inc.*...... 769 12,619
VeriSign, Inc. ............... 410 15,154
VistaPrint NV*................ 190 10,336
WebMD Health Corp.*........... 350 20,254
-----------
TOTAL INTERNET SOFTWARE & SERVICES 121,378
-----------
IT SERVICES 1.9%
Alliance Data Systems Corp.*.. 90 8,550
Amdocs Ltd.*.................. 500 15,375
Booz Allen Hamilton Holding
Corp.*..................... 640 12,378
Broadridge Financial
Solutions, Inc. ........... 350 8,134
Computer Sciences Corp. ...... 300 15,294
Convergys Corp.*.............. 821 11,904
CoreLogic, Inc.*.............. 410 7,548
DST Systems, Inc. ............ 280 13,807
Fidelity National Information
Services, Inc. ............ 230 7,613
Fiserv, Inc.*................. 120 7,357
FleetCor Technologies, Inc.*.. 219 8,215
Gartner, Inc.*................ 360 15,448
Genpact Ltd.*................. 830 13,355
Global Payments, Inc. ........ 160 8,518
Lender Processing Services,
Inc. ...................... 230 6,769
NeuStar, Inc. -- Class A*..... 580 15,596
Paychex, Inc. ................ 380 12,430
SAIC, Inc.*................... 870 15,138
Teradata Corp.*............... 290 16,217
Total System Services, Inc. .. 410 7,728
Western Union Co. ............ 340 7,225
-----------
TOTAL IT SERVICES 234,599
-----------
LEISURE EQUIPMENT & PRODUCTS 0.2%
Hasbro, Inc. ................. 200 9,368
Mattel, Inc. ................. 380 10,154
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 19,522
-----------
LIFE SCIENCES TOOLS & SERVICES 1.7%
Agilent Technologies, Inc.*... 270 13,476
Bio-Rad Laboratories,
Inc. -- Class A*........... 160 20,019
Charles River Laboratories
International, Inc.*....... 480 20,251
Covance, Inc.*................ 330 20,658
Illumina, Inc.*............... 280 19,874
Life Technologies Corp.*...... 370 20,424
Mettler Toledo International,
Inc.*...................... 70 13,118
PerkinElmer, Inc. ............ 710 20,072
Pharmaceutical Product
Development, Inc. ......... 660 20,361
Techne Corp. ................. 260 20,205
Waters Corp.*................. 140 13,720
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 202,178
-----------
MACHINERY 3.4%
AGCO Corp.*................... 220 12,668
Bucyrus International,
Inc. -- Class A............ 130 11,889
CNH Global NV*................ 250 12,075
Crane Co. .................... 240 11,978
Cummins, Inc. ................ 110 13,220
Donaldson Co., Inc. .......... 200 12,246
Dover Corp. .................. 180 12,247
Eaton Corp. .................. 220 11,777
Flowserve Corp. .............. 90 11,396
Gardner Denver, Inc. ......... 160 13,826
Graco, Inc. .................. 270 13,508
Harsco Corp. ................. 330 11,748
IDEX Corp. ................... 271 12,715
Ingersoll-Rand PLC............ 240 12,120
Joy Global, Inc. ............. 120 12,114
Kennametal, Inc. ............. 300 12,666
Lincoln Electric Holdings,
Inc. ...................... 160 12,573
Manitowoc Co., Inc. .......... 560 12,426
Navistar International
Corp.*..................... 170 11,818
Oshkosh Corp.*................ 330 10,448
Pall Corp. ................... 210 12,272
Parker-Hannifin Corp. ........ 130 12,262
Pentair, Inc. ................ 310 12,450
Snap-on, Inc. ................ 160 9,883
SPX Corp. .................... 150 12,967
Terex Corp.*.................. 320 11,130
Timken Co. ................... 460 25,939
Toro Co. ..................... 180 12,224
Trinity Industries, Inc. ..... 340 12,308
Valmont Industries, Inc. ..... 230 24,219
WABCO Holdings, Inc.*......... 160 11,816
Wabtec Corp. ................. 180 12,848
-----------
TOTAL MACHINERY 415,776
-----------
MARINE 0.2%
Alexander & Baldwin, Inc. .... 260 13,702
Kirby Corp.*.................. 210 11,924
-----------
TOTAL MARINE 25,626
-----------
MEDIA 1.9%
Cablevision Systems
Corp. -- Class A........... 280 9,864
CBS Corp. -- Class B.......... 390 9,836
Central European Media
Enterprises Ltd. -- Class
A*......................... 450 10,309
Clear Channel Outdoor
Holdings, Inc. -- Class
A*......................... 670 9,219
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 17
Rydex Russell Midcap Equal Weight ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Discovery Communications,
Inc. -- Class A*........... 240 $10,622
DISH Network Corp. Class A*... 390 9,766
DreamWorks Animation SKG,
Inc. -- Class A*........... 350 9,272
Gannett Co., Inc. ............ 621 9,352
Interpublic Group of Cos.,
Inc. ...................... 780 9,165
John Wiley & Sons,
Inc. -- Class A............ 190 9,677
Lamar Advertising Co. -- Class
A*......................... 260 8,455
Liberty Global, Inc. -- Class
A*......................... 221 10,276
Liberty Media
Corp. -- Capital -- Series
A -- Tracking Stock*....... 130 10,695
Liberty Media
Corp. -- Starz -- Series
A -- Tracking Stock*....... 120 9,222
Madison Square Garden,
Inc. -- Class A*........... 350 9,573
McGraw-Hill Cos., Inc. ....... 250 10,117
Meredith Corp. ............... 280 9,358
Morningstar, Inc. ............ 130 7,488
New York Times Co. -- Class
A*......................... 1,030 8,374
Regal Entertainment Group..... 700 9,646
Scripps Networks
Interactive -- Class A..... 190 9,770
Sirius XM Radio, Inc.*........ 5,510 10,965
Virgin Media, Inc. ........... 350 10,591
Washington Post
Co.(The) -- Class B........ 20 8,718
-----------
TOTAL MEDIA 230,330
-----------
METALS & MINING 2.4%
AK Steel Holding Corp. ....... 1,471 23,904
Allegheny Technologies,
Inc. ...................... 360 25,920
Carpenter Technology Corp. ... 540 27,680
Cliffs Natural Resources,
Inc. ...................... 240 22,493
Commercial Metals Co. ........ 1,370 22,961
Compass Minerals
International, Inc. ....... 251 24,500
Reliance Steel & Aluminum
Co. ....................... 410 23,210
Royal Gold, Inc. ............. 450 27,441
Schnitzer Steel Industries,
Inc. ...................... 350 21,725
Steel Dynamics, Inc. ......... 1,230 22,374
Titanium Metals Corp.*........ 1,280 25,638
United States Steel Corp. .... 420 20,038
-----------
TOTAL METALS & MINING 287,884
-----------
MULTI-UTILITIES 3.3%
Alliant Energy Corp. ......... 570 22,538
Ameren Corp. ................. 810 23,741
CenterPoint Energy, Inc. ..... 1,291 24,013
CMS Energy Corp. ............. 1,150 22,770
Consolidated Edison, Inc. .... 440 22,933
DTE Energy Co. ............... 470 23,749
Integrys Energy Group, Inc. .. 450 23,562
MDU Resources Group, Inc. .... 991 23,675
NiSource, Inc. ............... 1,190 23,146
NSTAR......................... 490 22,687
OGE Energy Corp. ............. 450 23,926
SCANA Corp. .................. 570 23,666
Sempra Energy................. 420 23,142
TECO Energy, Inc. ............ 1,220 23,509
Vectren Corp. ................ 830 23,721
Wisconsin Energy Corp. ....... 750 23,408
Xcel Energy, Inc. ............ 950 23,114
-----------
TOTAL MULTI-UTILITIES 397,300
-----------
MULTILINE RETAIL 0.7%
Big Lots, Inc.*............... 220 9,044
Dollar General Corp.*......... 300 9,777
Dollar Tree, Inc.*............ 170 9,775
Family Dollar Stores, Inc. ... 180 9,758
J.C. Penney Co., Inc. ........ 260 9,997
Macy's, Inc. ................. 410 9,803
Nordstrom, Inc. .............. 220 10,461
Sears Holdings Corp.*......... 120 10,317
-----------
TOTAL MULTILINE RETAIL 78,932
-----------
OFFICE ELECTRONICS 0.2%
Xerox Corp. .................. 1,099 11,089
Zebra Technologies
Corp. -- Class A*.......... 300 11,787
-----------
TOTAL OFFICE ELECTRONICS 22,876
-----------
OIL, GAS & CONSUMABLE FUELS 7.1%
Alpha Natural Resources,
Inc.*...................... 390 22,686
Arch Coal, Inc. .............. 660 22,638
Cabot Oil & Gas Corp. ........ 460 25,889
Cimarex Energy Co. ........... 210 23,224
Cobalt International Energy,
Inc.*...................... 1,510 21,140
Comstock Resources, Inc.*..... 760 24,366
Concho Resources, Inc.*....... 220 23,507
CONSOL Energy, Inc. .......... 430 23,259
Continental Resources ,Inc.*.. 330 22,664
Denbury Resources, Inc.*...... 970 21,893
El Paso Corp. ................ 1,300 25,233
EQT Corp. .................... 480 25,253
EXCO Resources, Inc. ......... 1,130 23,673
Forest Oil Corp.*............. 630 22,623
Frontier Oil Corp. ........... 810 22,631
Frontline Ltd. ............... 480 10,613
Holly Corp. .................. 390 22,581
Massey Energy Co. ............ 340 23,202
Murphy Oil Corp. ............. 320 24,794
Newfield Exploration Co.*..... 310 21,948
Noble Energy, Inc. ........... 240 23,105
Peabody Energy Corp. ......... 321 21,449
PetroHawk Energy Corp.*....... 1,020 27,550
Pioneer Natural Resources
Co. ....................... 230 23,513
Plains Exploration &
Production Co.*............ 650 24,726
QEP Resources, Inc. .......... 571 24,399
Quicksilver Resources, Inc.*.. 1,659 24,636
Range Resources Corp. ........ 420 23,709
SandRidge Energy, Inc.*....... 1,950 24,102
SM Energy Co. ................ 320 24,275
Southern Union Co. ........... 790 23,621
Spectra Energy Corp. ......... 860 24,974
Sunoco, Inc. ................. 501 21,373
Teekay Corp. ................. 320 10,877
Tesoro Corp.*................. 870 23,594
Ultra Petroleum Corp.*........ 480 24,379
Valero Energy Corp. .......... 780 22,074
Whiting Petroleum Corp.*...... 330 22,935
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 869,108
-----------
PAPER & FOREST PRODUCTS 0.6%
Domtar Corp. ................. 260 24,185
International Paper Co. ...... 830 25,631
MeadWestvaco Corp. ........... 761 25,638
-----------
TOTAL PAPER & FOREST PRODUCTS 75,454
-----------
PERSONAL PRODUCTS 0.8%
Alberto-Culver Co. ........... 1,050 39,207
Avon Products, Inc. .......... 350 10,283
</Table>
See Notes to Financial Statements.
18
Rydex Russell Midcap Equal Weight ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Estee Lauder Cos.,
Inc. -- Class A............ 100 $9,700
Herbalife Ltd. ............... 480 43,094
-----------
TOTAL PERSONAL PRODUCTS 102,284
-----------
PHARMACEUTICALS 1.2%
Endo Pharmaceuticals Holdings,
Inc.*...................... 530 20,755
Forest Laboratories, Inc.*.... 591 19,598
Hospira, Inc.*................ 340 19,288
Mylan, Inc.*.................. 830 20,684
Perrigo Co. .................. 240 21,686
Warner Chilcott PLC -- Class
A.......................... 790 18,209
Watson Pharmaceuticals,
Inc.*...................... 330 20,467
-----------
TOTAL PHARMACEUTICALS 140,687
-----------
PROFESSIONAL SERVICES 0.7%
Dun & Bradstreet Corp. ....... 90 7,396
Equifax, Inc. ................ 200 7,506
FTI Consulting, Inc.*......... 320 12,768
Manpower, Inc. ............... 190 12,588
Nielsen Holdings NV*.......... 341 10,192
Robert Half International,
Inc. ...................... 400 12,132
Towers Watson & Co. -- Class
A.......................... 210 12,046
Verisk Analytics,
Inc. -- Class A*........... 360 11,844
-----------
TOTAL PROFESSIONAL SERVICES 86,472
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 2.8%
Alexandria Real Estate
Equities, Inc. ............ 100 8,215
AMB Property Corp. ........... 211 7,680
Annaly Capital Management,
Inc. ...................... 410 7,314
Apartment Investment &
Management Co. -- Class A.. 300 8,088
AvalonBay Communities, Inc. .. 60 7,597
Boston Properties, Inc. ...... 80 8,362
Brandywine Realty Trust....... 630 8,001
BRE Properties, Inc. ......... 160 8,115
Camden Property Trust......... 130 8,158
Chimera Investment Corp. ..... 1,790 7,250
CommonWealth REIT............. 290 7,943
Corporate Office Properties
Trust...................... 210 7,394
Developers Diversified Realty
Corp. ..................... 540 7,960
Digital Realty Trust, Inc. ... 130 7,844
Douglas Emmett, Inc. ......... 390 8,116
Duke Realty Corp. ............ 550 8,388
Equity Residential............ 140 8,361
Essex Property Trust, Inc. ... 60 8,129
Federal Realty Investment
Trust...................... 90 7,880
General Growth Properties,
Inc. ...................... 490 8,183
HCP, Inc. .................... 200 7,924
Health Care REIT, Inc. ....... 140 7,528
Hospitality Properties Trust.. 330 7,970
Host Hotels & Resorts, Inc. .. 430 7,650
Kimco Realty Corp. ........... 420 8,207
Liberty Property Trust........ 230 8,089
Macerich Co.(The)............. 160 8,451
Mack-Cali Realty Corp. ....... 220 7,770
Nationwide Health Properties,
Inc. ...................... 180 7,884
Piedmont Office Realty Trust,
Inc. ...................... 390 7,761
Plum Creek Timber Co., Inc. .. 170 7,325
ProLogis...................... 481 7,835
Rayonier, Inc. ............... 120 7,963
Realty Income Corp. .......... 211 7,501
Regency Centers Corp. ........ 180 8,471
Senior Housing Properties
Trust...................... 330 7,828
SL Green Realty Corp. ........ 100 8,253
Taubman Centers, Inc. ........ 140 8,141
UDR, Inc. .................... 320 8,285
Ventas, Inc. ................. 140 7,830
Vornado Realty Trust.......... 90 8,701
Weingarten Realty Investors... 310 8,187
Weyerhaeuser Co. ............. 301 6,926
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 341,458
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.3%
CB Richard Ellis Group,
Inc. -- Class A*........... 280 7,479
Forest City Enterprises,
Inc. -- Class A*........... 390 7,492
Howard Hughes Corp.(The)*..... 110 7,125
Jones Lang LaSalle, Inc. ..... 70 7,166
St Joe Co.(The)*.............. 300 7,836
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 37,098
-----------
ROAD & RAIL 0.6%
Con-way, Inc. ................ 310 12,065
Hertz Global Holdings, Inc.*.. 580 9,982
J.B. Hunt Transport Services,
Inc. ...................... 270 12,874
Kansas City Southern*......... 220 12,784
Landstar System, Inc. ........ 261 12,371
Ryder System, Inc. ........... 240 12,840
-----------
TOTAL ROAD & RAIL 72,916
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 4.3%
Advanced Micro Devices,
Inc.*...................... 1,681 15,297
Altera Corp. ................. 340 16,558
Analog Devices, Inc. ......... 380 15,318
Atheros Communications,
Inc.*...................... 330 14,804
Atmel Corp.*.................. 1,120 17,136
Avago Technologies Ltd. ...... 470 15,726
Cree, Inc.*................... 320 13,037
Cypress Semiconductor Corp.*.. 740 16,102
Fairchild Semiconductor
International, Inc.*....... 810 16,986
First Solar, Inc.*............ 150 20,935
International Rectifier
Corp.*..................... 451 15,587
Intersil Corp. -- Class A..... 1,199 17,709
KLA-Tencor Corp. ............. 310 13,609
Lam Research Corp.*........... 270 13,044
Linear Technology Corp. ...... 440 15,312
LSI Corp.*.................... 2,120 15,540
Marvell Technology Group
Ltd.*...................... 909 14,026
Maxim Integrated Products,
Inc. ...................... 580 15,857
MEMC Electronic Materials,
Inc.*...................... 1,150 13,605
Microchip Technology, Inc. ... 390 16,006
Micron Technology, Inc.*...... 1,270 14,338
National Semiconductor
Corp. ..................... 1,020 24,602
Novellus Systems, Inc.*....... 400 12,840
NVIDIA Corp.*................. 760 15,200
ON Semiconductor Corp.*....... 1,470 15,450
PMC -- Sierra, Inc.*.......... 1,949 15,631
Rambus, Inc.*................. 750 14,925
Silicon Laboratories, Inc.*... 340 14,817
Skyworks Solutions, Inc.*..... 450 14,157
SunPower Corp. -- Class A*.... 1,390 30,260
Teradyne, Inc.*............... 820 13,202
Varian Semiconductor Equipment
Associates, Inc.*.......... 310 12,998
Xilinx, Inc. ................. 450 15,687
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 526,301
-----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 19
Rydex Russell Midcap Equal Weight ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONCLUDED)
SOFTWARE 2.2%
Ansys, Inc.*.................. 270 $14,928
Autodesk, Inc.*............... 340 15,293
BMC Software, Inc.*........... 300 15,069
CA, Inc. ..................... 620 15,246
Cadence Design Systems,
Inc.*...................... 1,490 15,466
Citrix Systems, Inc.*......... 210 17,711
Compuware Corp.*.............. 1,290 14,616
Electronic Arts, Inc.*........ 740 14,933
Factset Research Systems,
Inc. ...................... 70 7,659
Informatica Corp.*............ 290 16,243
Intuit, Inc.*................. 290 16,112
MICROS Systems, Inc.*......... 300 15,606
Nuance Communications, Inc.*.. 810 16,767
Red Hat, Inc.*................ 320 15,190
Rovi Corp.*................... 260 12,626
Salesforce.com, Inc.*......... 110 15,246
Solera Holdings, Inc. ........ 290 15,950
Synopsys, Inc.*............... 540 14,791
-----------
TOTAL SOFTWARE 269,452
-----------
SPECIALTY RETAIL 2.1%
Aaron's, Inc. ................ 390 11,228
Abercrombie & Fitch
Co. -- Class A............. 170 12,036
Advance Auto Parts, Inc. ..... 140 9,164
Aeropostale, Inc.*............ 400 10,212
American Eagle Outfitters,
Inc. ...................... 620 9,647
AutoNation, Inc.*............. 280 9,495
AutoZone, Inc.*............... 31 8,754
Bed Bath & Beyond, Inc.*...... 200 11,224
CarMax, Inc.*................. 290 10,063
Chico's FAS, Inc. ............ 670 9,802
Dick's Sporting Goods, Inc.*.. 240 9,823
Foot Locker, Inc. ............ 480 10,330
GameStop Corp. -- Class A*.... 430 11,042
Guess?, Inc. ................. 250 10,748
Limited Brands, Inc. ......... 300 12,348
O'Reilly Automotive, Inc.*.... 170 10,040
Office Depot, Inc.*........... 2,020 8,706
PetSmart, Inc. ............... 230 9,699
RadioShack Corp. ............. 630 9,960
Ross Stores, Inc. ............ 140 10,317
Signet Jewelers Ltd.*......... 220 9,625
Tiffany & Co. ................ 160 11,111
Tractor Supply Co. ........... 170 10,518
Urban Outfitters, Inc.*....... 320 10,067
Williams-Sonoma, Inc. ........ 240 10,418
-----------
TOTAL SPECIALTY RETAIL 256,377
-----------
TEXTILES, APPAREL & LUXURY GOODS 0.5%
Coach, Inc. .................. 181 10,826
Fossil, Inc.*................. 110 10,536
Hanesbrands, Inc.*............ 360 11,703
Phillips-Van Heusen Corp. .... 160 11,265
Polo Ralph Lauren Corp. ...... 80 10,462
V.F. Corp. ................... 100 10,056
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 64,848
-----------
THRIFTS & MORTGAGE FINANCE 0.4%
Capitol Federal Financial,
Inc. ...................... 660 7,471
First Niagara Financial Group,
Inc. ...................... 540 7,776
Hudson City Bancorp, Inc. .... 759 7,233
New York Community Bancorp,
Inc. ...................... 430 7,138
People's United Financial,
Inc. ...................... 590 8,077
TFS Financial Corp. .......... 700 7,616
Washington Federal, Inc. ..... 440 7,080
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 52,391
-----------
TOBACCO 0.4%
Lorillard, Inc. .............. 410 43,665
-----------
TOTAL TOBACCO 43,665
-----------
TRADING COMPANIES & DISTRIBUTORS 0.6%
Fastenal Co. ................. 360 24,152
GATX Corp. ................... 310 13,104
MSC Industrial Direct
Co. -- Class A............. 180 12,886
W.W. Grainger, Inc. .......... 90 13,644
WESCO International, Inc.*.... 160 9,912
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 73,698
-----------
WATER UTILITIES 0.4%
American Water Works Co,
Inc. ...................... 810 23,798
Aqua America, Inc. ........... 990 22,324
-----------
TOTAL WATER UTILITIES 46,122
-----------
WIRELESS TELECOMMUNICATION SERVICES 1.3%
Clearwire Corp. -- Class A*... 4,019 19,532
Crown Castle International
Corp.*..................... 360 15,430
Leap Wireless International,
Inc.*...................... 1,450 21,518
MetroPCS Communications,
Inc.*...................... 1,410 23,730
NII Holdings, Inc.*........... 550 22,869
SBA Communications
Corp. -- Class A*.......... 380 14,679
Telephone & Data Systems,
Inc. ...................... 670 22,485
United States Cellular
Corp.*..................... 440 21,666
-----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 161,909
-----------
TOTAL COMMON STOCKS
(Cost $10,955,898) 12,171,938
-----------
SHORT TERM INVESTMENTS 0.1%
SSgA Government Money Market
Fund....................... 12,241 12,241
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $12,241) 12,241
-----------
TOTAL INVESTMENTS 99.9%(A)
(Cost $10,968,139) 12,184,179
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.1% 16,863
-----------
NET ASSETS--100.0% $12,201,042
-----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
REIT--Real Estate Investment Trust
Tracking Stock--A security issued by a parent company that tracks the
performance of a particular division.
See Notes to Financial Statements.
20
RYDEX RUSSELL 1000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 99.7%
AEROSPACE & DEFENSE 1.4%
Alliant Techsystems, Inc. .... 120 $8,478
BE Aerospace, Inc.*........... 239 9,223
Boeing Co.(The)............... 109 8,696
General Dynamics Corp. ....... 108 7,865
Goodrich Corp. ............... 96 8,484
Honeywell International,
Inc. ...................... 143 8,756
Huntington Ingalls Industries,
Inc.*...................... 23 920
ITT Corp. .................... 143 8,264
L-3 Communications Holdings,
Inc. ...................... 107 8,580
Lockheed Martin Corp. ........ 107 8,480
Northrop Grumman Corp. ....... 120 7,633
Precision Castparts Corp. .... 108 16,688
Raytheon Co. ................. 157 7,622
Rockwell Collins, Inc. ....... 132 8,329
Spirit Aerosystems Holdings,
Inc. -- Class A*........... 323 7,946
TransDigm Group, Inc.*........ 97 8,080
United Technologies Corp. .... 96 8,600
-----------
TOTAL AEROSPACE & DEFENSE 142,644
-----------
AIR FREIGHT & LOGISTICS 0.4%
C.H. Robinson Worldwide,
Inc. ...................... 109 8,740
Expeditors International of
Washington, Inc. .......... 168 9,117
FedEx Corp. .................. 85 8,132
United Parcel Service,
Inc. -- Class B............ 109 8,172
UTI Worldwide, Inc. .......... 420 9,412
-----------
TOTAL AIR FREIGHT & LOGISTICS 43,573
-----------
AIRLINES 0.4%
AMR Corp.*.................... 1,225 7,191
Copa Holdings SA -- Class A... 156 9,071
Delta Air Lines, Inc.*........ 828 8,595
Southwest Airlines Co. ....... 648 7,614
United Continental Holdings,
Inc.*...................... 348 7,941
-----------
TOTAL AIRLINES 40,412
-----------
AUTO COMPONENTS 0.6%
Autoliv, Inc. ................ 95 7,612
BorgWarner, Inc.*............. 85 6,565
Federal-Mogul Corp.*.......... 275 7,288
Gentex Corp. ................. 228 7,148
Goodyear Tire & Rubber
Co.(The)*.................. 457 8,295
Johnson Controls, Inc. ....... 167 6,847
Lear Corp. ................... 143 7,313
TRW Automotive Holdings
Corp.*..................... 121 6,904
-----------
TOTAL AUTO COMPONENTS 57,972
-----------
AUTOMOBILES 0.3%
Ford Motor Co.*............... 455 7,039
Harley-Davidson, Inc. ........ 167 6,222
Tesla Motors, Inc.*........... 288 7,949
Thor Industries, Inc. ........ 204 6,326
-----------
TOTAL AUTOMOBILES 27,536
-----------
BEVERAGES 1.9%
Brown-Forman Corp. -- Class
B.......................... 335 24,073
Coca-Cola Co.(The)............ 347 23,409
Coca-Cola Enterprises, Inc. .. 839 23,836
Constellation Brands,
Inc. -- Class A*........... 1,164 26,062
Dr Pepper Snapple Group,
Inc. ...................... 600 23,520
Hansen Natural Corp.*......... 384 25,401
Molson Coors Brewing
Co. -- Class B............. 493 24,034
PepsiCo, Inc. ................ 348 23,974
-----------
TOTAL BEVERAGES 194,309
-----------
BIOTECHNOLOGY 1.9%
Alexion Pharmaceuticals,
Inc.*...................... 120 11,627
Amgen, Inc.*.................. 215 12,223
Amylin Pharmaceuticals,
Inc.*...................... 1,056 14,045
Biogen Idec, Inc.*............ 156 15,187
BioMarin Pharmaceutical,
Inc.*...................... 468 12,584
Celgene Corp.*................ 204 12,011
Cephalon, Inc.*............... 192 14,746
Dendreon Corp.*............... 335 14,549
Gilead Sciences, Inc.*........ 265 10,293
Human Genome Sciences, Inc.*.. 420 12,377
Myriad Genetics, Inc.*........ 564 12,092
Regeneron Pharmaceuticals,
Inc.*...................... 265 13,544
Talecris Biotherapeutics
Holdings Corp.*............ 431 12,033
United Therapeutics Corp.*.... 179 11,986
Vertex Pharmaceuticals,
Inc.*...................... 239 13,150
-----------
TOTAL BIOTECHNOLOGY 192,447
-----------
BUILDING PRODUCTS 0.8%
Armstrong World Industries,
Inc. ...................... 372 16,647
Lennox International, Inc. ... 323 15,701
Masco Corp. .................. 1,163 15,608
Owens Corning*................ 467 17,671
USG Corp.*.................... 971 14,973
-----------
TOTAL BUILDING PRODUCTS 80,600
-----------
CAPITAL MARKETS 1.3%
Affiliated Managers Group,
Inc.*...................... 48 5,236
Ameriprise Financial, Inc. ... 85 5,275
Ares Capital Corp. ........... 329 5,827
Bank of New York Mellon
Corp. ..................... 180 5,213
BlackRock, Inc. .............. 25 4,899
Charles Schwab Corp.(The)..... 300 5,493
E*TRADE Financial Corp.*...... 347 5,635
Eaton Vance Corp. ............ 168 5,673
Federated Investors,
Inc. -- Class B............ 204 5,259
Franklin Resources, Inc. ..... 47 6,069
Goldman Sachs Group,
Inc.(The).................. 36 5,436
Greenhill & Co., Inc. ........ 84 4,956
Invesco Ltd. ................. 215 5,347
Janus Capital Group, Inc. .... 444 5,403
Jefferies Group, Inc. ........ 216 5,221
Lazard Ltd. -- Class A........ 121 4,961
Legg Mason, Inc. ............. 155 5,758
LPL Investment Holdings,
Inc.*...................... 145 5,319
Morgan Stanley................ 193 5,047
Northern Trust Corp. ......... 108 5,399
Raymond James Financial,
Inc. ...................... 144 5,400
SEI Investments Co. .......... 228 5,091
State Street Corp. ........... 120 5,586
T. Rowe Price Group, Inc. .... 84 5,397
TD Ameritrade Holding Corp. .. 263 5,665
Waddell & Reed Financial,
Inc. -- Class A............ 133 5,454
-----------
TOTAL CAPITAL MARKETS 140,019
-----------
CHEMICALS 4.4%
Air Products & Chemicals,
Inc. ...................... 180 17,194
Airgas, Inc. ................. 240 16,668
Albemarle Corp. .............. 277 19,542
Ashland, Inc. ................ 277 17,196
Cabot Corp. .................. 349 15,653
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 21
RYDEX RUSSELL 1000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Celanese Corp. -- Class A..... 373 $18,620
CF Industries Holdings,
Inc. ...................... 131 18,543
Cytec Industries, Inc. ....... 301 17,663
Dow Chemical Co.(The)......... 433 17,749
Du Pont (E.I.) de Nemours &
Co. ....................... 300 17,037
Eastman Chemical Co. ......... 168 18,018
Ecolab, Inc. ................. 324 17,094
FMC Corp. .................... 192 16,950
Huntsman Corp. ............... 923 19,245
International Flavors &
Fragrances, Inc. .......... 264 16,769
Intrepid Potash, Inc.*........ 480 16,445
Lubrizol Corp. ............... 120 16,142
Monsanto Co. ................. 228 15,513
Mosaic Co.(The)............... 205 15,346
Nalco Holding Co. ............ 312 9,113
PPG Industries, Inc. ......... 180 17,041
Praxair, Inc. ................ 167 17,772
RPM International, Inc. ...... 695 16,332
Scotts Miracle-Gro
Co.(The) -- Class A........ 277 15,642
Sherwin-Williams Co.(The)..... 192 15,800
Sigma-Aldrich Corp. .......... 253 17,857
Valspar Corp. ................ 420 16,510
-----------
TOTAL CHEMICALS 453,454
-----------
COMMERCIAL BANKS 1.6%
Associated Banc-Corp. ........ 371 5,417
BancorpSouth, Inc. ........... 348 4,715
Bank of Hawaii Corp. ......... 109 5,318
BB&T Corp. ................... 193 5,196
BOK Financial Corp. .......... 108 5,808
CapitalSource, Inc. .......... 757 5,057
CIT Group, Inc.*.............. 131 5,562
City National Corp. .......... 96 5,483
Comerica, Inc. ............... 144 5,462
Commerce Bancshares, Inc. .... 133 5,660
Cullen/Frost Bankers, Inc. ... 95 5,628
East West Bancorp, Inc. ...... 251 5,304
Fifth Third Bancorp........... 385 5,109
First Citizens BancShares
Inc. -- Class A............ 25 5,000
First Horizon National
Corp. ..................... 469 5,136
Fulton Financial Corp. ....... 492 5,747
Huntington Bancshares, Inc. .. 816 5,541
KeyCorp....................... 612 5,306
M&T Bank Corp. ............... 60 5,302
Marshall & Ilsley Corp. ...... 684 5,588
PNC Financial Services Group,
Inc. ...................... 85 5,299
Popular, Inc.*................ 1,848 5,821
Regions Financial Corp. ...... 755 5,542
SunTrust Banks, Inc. ......... 181 5,102
Synovus Financial Corp. ...... 2,148 5,370
TCF Financial Corp. .......... 348 5,425
U.S. Bancorp.................. 203 5,241
Valley National Bancorp....... 396 5,671
Wells Fargo & Co. ............ 168 4,890
Wilmington Trust Corp. ....... 1,211 5,462
Zions Bancorp................. 239 5,843
-----------
TOTAL COMMERCIAL BANKS 167,005
-----------
COMMERCIAL SERVICES & SUPPLIES 1.1%
Avery Dennison Corp. ......... 203 8,473
Cintas Corp. ................. 276 8,570
Copart, Inc.*................. 193 8,756
Corrections Corp. of
America*................... 348 8,662
Covanta Holding Corp. ........ 492 8,448
Iron Mountain, Inc. .......... 264 8,408
KAR Auction Services, Inc.*... 444 8,658
Pitney Bowes, Inc. ........... 324 7,957
R.R. Donnelley & Sons Co. .... 444 8,374
Republic Services, Inc. ...... 276 8,727
Stericycle, Inc.*............. 96 8,763
Waste Connections, Inc. ...... 288 8,862
Waste Management, Inc. ....... 217 8,563
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 111,221
-----------
COMMUNICATIONS EQUIPMENT 1.3%
Brocade Communications
Systems, Inc.*............. 1,559 9,744
Ciena Corp.*.................. 419 11,833
Cisco Systems, Inc. .......... 564 9,904
EchoStar Corp. -- Class A*.... 264 9,789
F5 Networks, Inc.*............ 107 10,846
Harris Corp. ................. 203 10,785
JDS Uniphase Corp.*........... 504 10,503
Juniper Networks, Inc.*....... 240 9,199
Motorola Mobility Holdings,
Inc.*...................... 372 9,694
Motorola Solutions, Inc.*..... 217 9,956
Polycom, Inc.*................ 203 12,146
QUALCOMM, Inc. ............... 191 10,856
Tellabs, Inc. ................ 1,883 9,264
-----------
TOTAL COMMUNICATIONS EQUIPMENT 134,519
-----------
COMPUTERS & PERIPHERALS 1.1%
Apple, Inc.*.................. 25 8,706
Dell, Inc.*................... 659 10,221
Diebold, Inc. ................ 276 9,329
EMC Corp.*.................... 359 10,174
Hewlett-Packard Co. .......... 228 9,204
Lexmark International,
Inc. -- Class A*........... 227 7,321
NCR Corp.*.................... 516 10,222
NetApp, Inc.*................. 204 10,604
QLogic Corp.*................. 540 9,709
SanDisk Corp.*................ 216 10,614
Seagate Technology PLC........ 683 12,035
Western Digital Corp.*........ 264 10,507
-----------
TOTAL COMPUTERS & PERIPHERALS 118,646
-----------
CONSTRUCTION & ENGINEERING 0.6%
Aecom Technology Corp.*....... 311 8,478
Chicago Bridge & Iron Co. NV.. 205 8,311
Fluor Corp. .................. 109 7,623
Jacobs Engineering Group,
Inc.*...................... 168 8,335
KBR, Inc. .................... 228 8,748
Quanta Services, Inc.*........ 372 8,065
Shaw Group, Inc.(The)*........ 239 9,297
URS Corp.*.................... 180 8,055
-----------
TOTAL CONSTRUCTION & ENGINEERING 66,912
-----------
CONSTRUCTION MATERIALS 0.5%
Eagle Materials, Inc. ........ 527 15,331
Martin Marietta Materials,
Inc. ...................... 181 16,505
Vulcan Materials Co. ......... 360 16,272
-----------
TOTAL CONSTRUCTION MATERIALS 48,108
-----------
CONSUMER FINANCE 0.3%
American Express Co. ......... 120 5,890
Capital One Financial Corp. .. 107 5,856
Discover Financial Services... 217 5,390
</Table>
See Notes to Financial Statements.
22
RYDEX RUSSELL 1000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Green Dot Corp. -- Class A*... 131 $5,654
SLM Corp.*.................... 359 5,956
-----------
TOTAL CONSUMER FINANCE 28,746
-----------
CONTAINERS & PACKAGING 1.6%
AptarGroup, Inc. ............. 335 17,571
Ball Corp. ................... 457 17,051
Bemis Co., Inc. .............. 504 15,795
Crown Holdings, Inc.*......... 420 15,708
Greif, Inc. -- Class A........ 252 15,649
Owens-Illinois, Inc.*......... 540 16,022
Packaging Corp. of America.... 587 16,747
Sealed Air Corp. ............. 613 15,797
Sonoco Products Co. .......... 456 15,759
Temple-Inland, Inc. .......... 731 17,201
-----------
TOTAL CONTAINERS & PACKAGING 163,300
-----------
DISTRIBUTORS 0.4%
Central European Distribution
Corp.*..................... 1,968 23,262
Genuine Parts Co. ............ 131 7,035
LKQ Corp.*.................... 288 7,263
-----------
TOTAL DISTRIBUTORS 37,560
-----------
DIVERSIFIED CONSUMER SERVICES 0.7%
Apollo Group, Inc. -- Class
A*......................... 156 6,245
Career Education Corp.*....... 301 6,565
DeVry, Inc. .................. 120 6,348
Education Management Corp.*... 349 6,470
H&R Block, Inc. .............. 407 7,037
Hillenbrand, Inc. ............ 312 7,151
ITT Educational Services,
Inc.*...................... 96 6,886
Service Corp. International... 624 7,345
Strayer Education, Inc. ...... 48 5,946
Weight Watchers International,
Inc. ...................... 107 8,319
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 68,312
-----------
DIVERSIFIED FINANCIAL SERVICES 0.7%
Bank of America Corp. ........ 397 4,875
CBOE Holdings, Inc. .......... 191 5,123
Citigroup, Inc.*.............. 1,211 5,558
CME Group, Inc. .............. 23 6,803
Interactive Brokers Group,
Inc. -- Class A............ 336 5,893
IntercontinentalExchange,
Inc.*...................... 47 5,656
JPMorgan Chase & Co. ......... 119 5,430
Leucadia National Corp. ...... 144 5,567
Moody's Corp. ................ 157 6,145
MSCI, Inc. -- Class A*........ 144 5,108
Nasdaq OMX Group (The)*....... 215 5,827
NYSE Euronext................. 155 6,208
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 68,193
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 1.2%
AT&T, Inc. ................... 539 16,774
CenturyTel, Inc. ............. 768 31,319
Frontier Communications
Corp. ..................... 1,920 15,878
Level 3 Communications,
Inc.*...................... 10,667 16,640
tw telecom, Inc.*............. 816 17,577
Verizon Communications,
Inc. ...................... 419 15,830
Windstream Corp. ............. 1,200 15,372
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 129,390
-----------
ELECTRIC UTILITIES 3.0%
American Electric Power Co.,
Inc. ...................... 455 16,598
DPL, Inc. .................... 587 17,780
Duke Energy Corp. ............ 876 16,337
Edison International.......... 432 16,965
Entergy Corp. ................ 239 16,663
Exelon Corp. ................. 395 16,649
FirstEnergy Corp. ............ 432 17,263
Great Plains Energy, Inc. .... 803 16,526
Hawaiian Electric Industries,
Inc. ...................... 648 16,518
ITC Holdings Corp. ........... 228 16,172
NextEra Energy, Inc. ......... 289 16,349
Northeast Utilities........... 467 16,625
NV Energy, Inc. .............. 1,080 16,405
Pepco Holdings, Inc. ......... 852 16,418
Pinnacle West Capital Corp. .. 372 16,141
PPL Corp. .................... 637 17,473
Progress Energy, Inc. ........ 347 16,465
Southern Co. ................. 420 16,397
Westar Energy, Inc. .......... 601 16,353
-----------
TOTAL ELECTRIC UTILITIES 316,097
-----------
ELECTRICAL EQUIPMENT 0.8%
AMETEK, Inc. ................. 192 8,840
Babcock & Wilcox Co.(The)*.... 252 7,915
Cooper Industries PLC......... 131 8,639
Emerson Electric Co. ......... 144 8,749
General Cable Corp.*.......... 192 9,312
Hubbell, Inc. -- Class B...... 120 8,399
Regal-Beloit Corp. ........... 119 9,019
Rockwell Automation, Inc. .... 85 7,406
Roper Industries, Inc. ....... 96 8,303
Thomas & Betts Corp.*......... 144 8,348
-----------
TOTAL ELECTRICAL EQUIPMENT 84,930
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 1.5%
Amphenol Corp. -- Class A..... 180 10,064
Arrow Electronics, Inc.*...... 239 10,896
Avnet, Inc.*.................. 288 10,460
AVX Corp. .................... 659 10,748
Corning, Inc. ................ 455 9,528
Dolby Laboratories,
Inc. -- Class A*........... 203 10,162
FLIR Systems, Inc. ........... 240 8,453
Ingram Micro, Inc. -- Class
A*......................... 469 8,784
Itron, Inc.*.................. 156 8,491
Jabil Circuit, Inc. .......... 456 9,047
Molex, Inc. .................. 385 10,395
National Instruments Corp. ... 252 7,646
Tech Data Corp.*.............. 192 10,201
Trimble Navigation, Ltd.*..... 168 7,869
Vishay Intertechnology,
Inc.*...................... 552 10,532
Vishay Precision Group,
Inc.*...................... 503 8,300
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 151,576
-----------
ENERGY EQUIPMENT & SERVICES 3.4%
Atwood Oceanics, Inc.*........ 336 15,096
Baker Hughes, Inc. ........... 204 15,792
Cameron International Corp.*.. 253 13,338
Core Laboratories NV.......... 145 13,917
Diamond Offshore Drilling,
Inc. ...................... 192 14,567
Dresser-Rand Group, Inc.*..... 288 15,131
Exterran Holdings, Inc.*...... 636 13,808
FMC Technologies, Inc.*....... 314 14,595
Halliburton Co. .............. 312 15,750
Helmerich & Payne, Inc. ...... 228 15,125
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 23
RYDEX RUSSELL 1000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
IHS, Inc. -- Class A*......... 60 $5,294
McDermott International,
Inc.*...................... 335 7,735
Nabors Industries, Ltd.*...... 515 15,780
National-Oilwell Varco,
Inc. ...................... 191 14,648
Oceaneering International,
Inc.*...................... 169 14,774
Oil States International,
Inc.*...................... 204 16,934
Patterson-UTI Energy, Inc. ... 539 16,768
Pride International, Inc.*.... 349 15,325
Rowan Cos., Inc.*............. 361 15,054
Schlumberger, Ltd. ........... 168 15,078
SEACOR Holdings, Inc. ........ 156 15,417
Superior Energy Services,
Inc.*...................... 385 14,792
Tidewater, Inc. .............. 132 7,855
Unit Corp.*................... 252 15,881
Weatherford International
Ltd.*...................... 708 15,279
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 353,733
-----------
FOOD & STAPLES RETAILING 1.9%
BJ's Wholesale Club, Inc.*.... 133 6,826
Costco Wholesale Corp. ....... 96 7,768
CVS Caremark Corp. ........... 671 24,317
Kroger Co.(The)............... 948 23,046
Safeway, Inc. ................ 1,007 24,480
SUPERVALU, Inc. .............. 2,568 28,916
Sysco Corp. .................. 804 23,244
Wal-Mart Stores, Inc. ........ 131 7,202
Walgreen Co. ................. 575 24,564
Whole Foods Market, Inc. ..... 349 21,903
-----------
TOTAL FOOD & STAPLES RETAILING 192,266
-----------
FOOD PRODUCTS 4.8%
Archer-Daniels-Midland Co. ... 636 23,545
Bunge Ltd. ................... 313 23,613
Campbell Soup Co. ............ 672 22,572
ConAgra Foods, Inc. .......... 947 23,154
Corn Products International,
Inc. ...................... 456 25,126
Dean Foods Co.*............... 2,148 24,036
Flowers Foods, Inc. .......... 839 25,640
General Mills, Inc. .......... 612 23,611
Green Mountain Coffee
Roasters, Inc.*............ 360 24,106
H.J. Heinz Co. ............... 457 23,412
Hershey Co.(The).............. 409 23,603
Hormel Foods Corp. ........... 804 23,646
J.M. Smucker Co.(The)......... 312 23,422
Kellogg Co. .................. 419 23,996
Kraft Foods, Inc. -- Class A.. 709 23,808
McCormick & Co., Inc. ........ 455 22,350
Mead Johnson Nutrition Co. ... 384 25,682
Ralcorp Holdings, Inc.*....... 348 27,074
Sara Lee Corp. ............... 1,249 23,981
Smithfield Foods, Inc.*....... 901 21,227
Tyson Foods, Inc. -- Class A.. 1,129 22,467
-----------
TOTAL FOOD PRODUCTS 500,071
-----------
GAS UTILITIES 1.1%
AGL Resources, Inc. .......... 407 16,895
Atmos Energy Corp. ........... 468 16,328
Energen Corp. ................ 252 16,382
National Fuel Gas Co. ........ 216 15,833
Oneok, Inc. .................. 240 16,786
Questar Corp. ................ 913 16,041
UGI Corp. .................... 492 16,384
-----------
TOTAL GAS UTILITIES 114,649
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 2.9%
Alere, Inc.*.................. 300 11,142
Baxter International, Inc. ... 215 12,234
Beckman Coulter, Inc. ........ 133 11,019
Becton, Dickinson & Co. ...... 144 12,375
Boston Scientific Corp.*...... 1,536 11,505
C.R. Bard, Inc. .............. 119 12,703
CareFusion Corp.*............. 397 11,660
Cooper Cos., Inc.(The)........ 167 12,508
Covidien PLC.................. 216 12,029
Dentsply International,
Inc. ...................... 312 11,712
Edwards Lifesciences Corp.*... 131 11,312
Gen-Probe, Inc.*.............. 169 14,014
Hill-Rom Holdings, Inc. ...... 300 13,503
Hologic, Inc.*................ 515 11,340
Idexx Laboratories, Inc.*..... 144 11,726
Intuitive Surgical, Inc.*..... 36 12,589
Kinetic Concepts, Inc.*....... 215 12,691
Medtronic, Inc. .............. 288 12,024
ResMed, Inc.*................. 372 11,863
St Jude Medical, Inc. ........ 216 11,543
Stryker Corp. ................ 181 10,679
Teleflex, Inc. ............... 193 12,161
Thoratec Corp.*............... 444 13,631
Varian Medical Systems,
Inc.*...................... 168 11,794
Zimmer Holdings, Inc.*........ 181 11,810
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 301,567
-----------
HEALTH CARE PROVIDERS & SERVICES 3.2%
Aetna, Inc. .................. 301 12,455
AmerisourceBergen Corp. ...... 287 11,664
Brookdale Senior Living,
Inc.*...................... 409 11,141
Cardinal Health, Inc. ........ 275 12,015
CIGNA Corp. .................. 264 12,363
Community Health Systems,
Inc.*...................... 288 8,850
Coventry Health Care, Inc.*... 360 11,617
DaVita, Inc.*................. 132 11,628
Emergency Medical Services
Corp. -- Class A*.......... 179 11,420
Express Scripts, Inc.*........ 204 11,575
Health Management Associates,
Inc. -- Class A*........... 1,055 11,900
Health Net, Inc.*............. 349 11,622
Henry Schein, Inc.*........... 168 12,276
Humana, Inc.*................. 168 12,788
Laboratory Corp. of America
Holdings*.................. 121 11,673
LifePoint Hospitals, Inc.*.... 288 11,984
Lincare Holdings, Inc. ....... 384 12,065
McKesson Corp. ............... 143 11,871
Medco Health Solutions,
Inc.*...................... 204 12,103
MEDNAX, Inc.*................. 169 11,986
Omnicare, Inc. ............... 384 12,065
Patterson Cos., Inc. ......... 349 12,114
Quest Diagnostics, Inc. ...... 204 11,502
Tenet Healthcare Corp.*....... 1,537 10,651
UnitedHealth Group, Inc. ..... 253 12,455
Universal Health Services,
Inc. -- Class B............ 240 13,147
VCA Antech, Inc.*............. 467 11,488
WellPoint, Inc. .............. 167 12,824
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 331,242
-----------
HEALTH CARE TECHNOLOGY 0.5%
Allscripts Healthcare
Solutions, Inc.*........... 539 11,610
Cerner Corp.*................. 107 12,859
</Table>
See Notes to Financial Statements.
24
RYDEX RUSSELL 1000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Emdeon, Inc. -- Class A*...... 720 $11,275
SXC Health Solutions Corp.*... 215 11,860
-----------
TOTAL HEALTH CARE TECHNOLOGY 47,604
-----------
HOTELS, RESTAURANTS & LEISURE 1.5%
Bally Technologies, Inc.*..... 192 7,486
Brinker International, Inc. .. 276 6,649
Carnival Corp. ............... 179 6,815
Chipotle Mexican Grill,
Inc. -- Class A*........... 24 6,403
Choice Hotels International,
Inc. ...................... 179 6,691
Darden Restaurants, Inc. ..... 144 6,764
Hyatt Hotels Corp. -- Class
A*......................... 157 6,957
International Game
Technology................. 419 7,412
International Speedway
Corp. -- Class A........... 228 6,977
Las Vegas Sands Corp.*........ 157 7,381
Marriott International,
Inc. -- Class A............ 192 6,778
McDonald's Corp. ............. 85 6,656
MGM Resorts International*.... 516 6,533
Panera Bread Co. -- Class A*.. 59 7,145
Penn National Gaming, Inc.*... 192 7,682
Royal Caribbean Cruises
Ltd.*...................... 167 6,650
Starbucks Corp. .............. 180 6,514
Starwood Hotels & Resorts
Worldwide, Inc. ........... 120 7,148
Wendy's/Arby's Group,
Inc. -- Class A............ 1,343 6,473
WMS Industries, Inc.*......... 192 6,298
Wyndham Worldwide Corp. ...... 217 7,510
Wynn Resorts Ltd. ............ 49 7,210
Yum! Brands, Inc. ............ 132 7,080
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 159,212
-----------
HOUSEHOLD DURABLES 1.2%
D.R. Horton, Inc. ............ 552 6,867
Fortune Brands, Inc. ......... 109 7,094
Garmin Ltd.*.................. 193 6,606
Harman International
Industries, Inc. .......... 145 7,037
Jarden Corp. ................. 203 7,387
KB Home....................... 505 5,964
Leggett & Platt, Inc. ........ 287 7,545
Lennar Corp. -- Class A....... 336 6,381
MDC Holdings, Inc. ........... 252 7,356
Mohawk Industries, Inc.*...... 109 6,544
Newell Rubbermaid, Inc. ...... 348 6,633
NVR, Inc.*.................... 11 8,133
Pulte Homes, Inc.*............ 876 7,122
Stanley Black & Decker,
Inc. ...................... 85 6,175
Tempur-Pedic International,
Inc.*...................... 132 8,287
Toll Brothers, Inc.*.......... 324 6,807
Tupperware Brands Corp. ...... 119 7,577
Whirlpool Corp. .............. 84 7,239
-----------
TOTAL HOUSEHOLD DURABLES 126,754
-----------
HOUSEHOLD PRODUCTS 1.4%
Church & Dwight Co., Inc. .... 277 22,847
Clorox Co. ................... 324 22,570
Colgate-Palmolive Co. ........ 276 23,280
Energizer Holdings, Inc.*..... 325 24,547
Kimberly-Clark Corp. ......... 347 22,923
Procter & Gamble Co. ......... 372 24,143
-----------
TOTAL HOUSEHOLD PRODUCTS 140,310
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 1.0%
AES Corp.(The)*............... 1,247 16,510
Calpine Corp.*................ 1,008 16,884
Constellation Energy Group,
Inc. ...................... 515 18,756
GenOn Energy, Inc.*........... 4,248 16,695
NRG Energy, Inc.*............. 733 17,739
Ormat Technologies, Inc. ..... 636 15,836
-----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 102,420
-----------
INDUSTRIAL CONGLOMERATES 0.6%
3M Co. ....................... 85 8,263
Carlisle Cos., Inc. .......... 192 9,512
General Electric Co. ......... 419 8,568
Textron, Inc. ................ 301 7,856
Tyco International Ltd. ...... 181 8,822
Walter Industries, Inc. ...... 119 16,448
-----------
TOTAL INDUSTRIAL CONGLOMERATES 59,469
-----------
INSURANCE 2.9%
ACE Ltd. ..................... 84 5,649
AFLAC, Inc. .................. 97 5,450
Alleghany Corp.*.............. 13 4,343
Allied World Assurance Co.
Holdings Ltd. ............. 85 5,523
Allstate Corp. ............... 168 5,685
American Financial Group,
Inc. ...................... 156 5,580
American International Group,
Inc.*...................... 145 4,517
American National Insurance
Co. ....................... 72 5,695
Aon Corp. .................... 107 5,582
Arch Capital Group Ltd.*...... 59 6,136
Arthur J. Gallagher & Co. .... 179 5,331
Aspen Insurance Holdings,
Ltd. ...................... 204 5,828
Assurant, Inc. ............... 133 5,280
Assured Guaranty, Ltd. ....... 360 6,120
Axis Capital Holdings Ltd. ... 157 5,552
Berkshire Hathaway,
Inc. -- Class B*........... 61 5,081
Brown & Brown, Inc. .......... 216 5,584
Chubb Corp.(The).............. 85 5,541
Cincinnati Financial Corp. ... 168 5,322
CNA Financial Corp. .......... 191 5,929
Endurance Specialty Holdings
Ltd. ...................... 120 5,321
Erie Indemnity Co. -- Class
A.......................... 73 5,287
Everest Re Group Ltd. ........ 61 5,558
Fidelity National Financial,
Inc. -- Class A............ 385 5,944
Genworth Financial,
Inc. -- Class A*........... 409 4,986
Hanover Insurance Group,
Inc.(The).................. 120 5,066
Hartford Financial Services
Group, Inc.(The)........... 204 5,910
HCC Insurance Holdings,
Inc. ...................... 169 5,499
Lincoln National Corp. ....... 179 5,590
Loews Corp. .................. 121 5,356
Markel Corp.*................. 12 5,007
Marsh & McLennan Cos., Inc. .. 180 5,450
MBIA, Inc.*................... 516 5,325
Mercury General Corp. ........ 143 5,683
MetLife, Inc. ................ 120 5,615
Old Republic International
Corp. ..................... 432 5,474
OneBeacon Insurance Group
Ltd. -- Class A............ 408 5,732
PartnerRe Ltd. ............... 72 5,786
Principal Financial Group,
Inc. ...................... 168 5,670
Progressive Corp. ............ 253 5,551
Protective Life Corp. ........ 204 5,490
Prudential Financial, Inc. ... 85 5,391
Reinsurance Group of America,
Inc. ...................... 84 5,317
RenaissanceRe Holdings Ltd. .. 84 5,904
StanCorp Financial Group,
Inc. ...................... 120 5,172
Symetra Financial Corp. ...... 397 5,510
Torchmark Corp. .............. 84 5,621
Transatlantic Holdings,
Inc. ...................... 109 5,373
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 25
RYDEX RUSSELL 1000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Travelers Cos., Inc.(The)..... 95 $6,012
Unitrin, Inc. ................ 180 5,443
Unum Group.................... 204 5,402
Validus Holdings, Ltd. ....... 169 5,499
W.R. Berkley Corp. ........... 169 5,511
Wesco Financial Corp. ........ 12 4,704
White Mountains Insurance
Group Ltd. ................ 12 4,290
XL Group PLC.................. 228 5,568
-----------
TOTAL INSURANCE 305,745
-----------
INTERNET & CATALOG RETAIL 0.3%
Amazon.com, Inc.*............. 37 7,271
Expedia, Inc. ................ 312 7,809
Liberty Media
Corp. -- Interactive -- -
Class A -- Tracking
Stock*..................... 421 7,359
Netflix, Inc.*................ 25 5,817
Priceline.com, Inc.*.......... 12 6,564
-----------
TOTAL INTERNET & CATALOG RETAIL 34,820
-----------
INTERNET SOFTWARE & SERVICES 1.0%
Akamai Technologies, Inc.*.... 263 9,058
AOL, Inc.*.................... 492 10,027
eBay, Inc.*................... 217 7,465
Equinix, Inc.*................ 109 10,972
Google, Inc. -- Class A*...... 13 7,073
IAC/InterActiveCorp*.......... 324 11,700
Monster Worldwide, Inc.*...... 539 8,845
VeriSign, Inc. ............... 265 9,794
VistaPrint NV*................ 133 7,235
WebMD Health Corp.*........... 215 12,442
Yahoo!, Inc.*................. 588 10,437
-----------
TOTAL INTERNET SOFTWARE & SERVICES 105,048
-----------
IT SERVICES 2.0%
Accenture PLC -- Class A...... 155 8,855
Alliance Data Systems Corp.*.. 61 5,795
Amdocs Ltd.*.................. 335 10,301
Automatic Data Processing,
Inc. ...................... 167 9,077
Booz Allen Hamilton Holding
Corp.*..................... 455 8,800
Broadridge Financial
Solutions, Inc. ........... 252 5,857
Cognizant Technology Solutions
Corp. -- Class A*.......... 120 9,948
Computer Sciences Corp. ...... 203 10,349
Convergys Corp.*.............. 576 8,352
CoreLogic, Inc.*.............. 300 5,523
DST Systems, Inc. ............ 191 9,418
Fidelity National Information
Services, Inc. ............ 168 5,561
Fiserv, Inc.*................. 85 5,211
FleetCor Technologies, Inc.*.. 156 5,852
Gartner, Inc.*................ 240 10,298
Genpact Ltd.*................. 576 9,268
Global Payments, Inc. ........ 109 5,803
International Business
Machines Corp. ............ 60 10,235
Lender Processing Services,
Inc. ...................... 168 4,944
Mastercard, Inc. -- Class A... 24 6,621
NeuStar, Inc. -- Class A*..... 384 10,326
Paychex, Inc. ................ 264 8,635
SAIC, Inc.*................... 576 10,022
Teradata Corp.*............... 192 10,737
Total System Services, Inc. .. 299 5,636
Visa, Inc. -- Class A......... 72 5,625
Western Union Co. ............ 241 5,121
-----------
TOTAL IT SERVICES 212,170
-----------
LEISURE EQUIPMENT & PRODUCTS 0.1%
Hasbro, Inc. ................. 144 6,745
Mattel, Inc. ................. 265 7,081
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 13,826
-----------
LIFE SCIENCES TOOLS & SERVICES 1.3%
Agilent Technologies, Inc.*... 191 9,533
Bio-Rad Laboratories,
Inc. -- Class A*........... 96 12,011
Charles River Laboratories
International, Inc.*....... 288 12,151
Covance, Inc.*................ 204 12,770
Illumina, Inc.*............... 168 11,925
Life Technologies Corp.*...... 227 12,530
Mettler Toledo International,
Inc.*...................... 48 8,995
PerkinElmer, Inc. ............ 432 12,213
Pharmaceutical Product
Development, Inc. ......... 397 12,247
Techne Corp. ................. 156 12,123
Thermo Fisher Scientific,
Inc.*...................... 204 12,238
Waters Corp.*................. 96 9,408
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 138,144
-----------
MACHINERY 3.2%
AGCO Corp.*................... 155 8,925
Bucyrus International,
Inc. -- Class A............ 85 7,773
Caterpillar, Inc. ............ 72 8,310
CNH Global NV*................ 179 8,646
Crane Co. .................... 168 8,385
Cummins, Inc. ................ 83 9,975
Danaher Corp. ................ 156 8,617
Deere & Co. .................. 85 8,288
Donaldson Co., Inc. .......... 133 8,144
Dover Corp. .................. 131 8,913
Eaton Corp. .................. 155 8,297
Flowserve Corp. .............. 61 7,724
Gardner Denver, Inc. ......... 108 9,332
Graco, Inc. .................. 191 9,556
Harsco Corp. ................. 229 8,152
IDEX Corp. ................... 192 9,009
Illinois Tool Works, Inc. .... 155 9,054
Ingersoll-Rand PLC............ 168 8,484
Joy Global, Inc. ............. 84 8,480
Kennametal, Inc. ............. 215 9,077
Lincoln Electric Holdings,
Inc. ...................... 109 8,565
Manitowoc Co., Inc. .......... 396 8,787
Navistar International
Corp.*..................... 120 8,342
Oshkosh Corp.*................ 229 7,250
PACCAR, Inc. ................. 168 8,923
Pall Corp. ................... 144 8,415
Parker-Hannifin Corp. ........ 85 8,017
Pentair, Inc. ................ 217 8,715
Snap-on, Inc. ................ 109 6,733
SPX Corp. .................... 107 9,250
Terex Corp.*.................. 217 7,547
Timken Co. ................... 324 18,270
Toro Co. ..................... 131 8,896
Trinity Industries, Inc. ..... 240 8,688
Valmont Industries, Inc. ..... 167 17,585
WABCO Holdings, Inc.*......... 109 8,050
Wabtec Corp. ................. 121 8,637
-----------
TOTAL MACHINERY 333,811
-----------
MARINE 0.2%
Alexander & Baldwin, Inc. .... 181 9,539
Kirby Corp.*.................. 144 8,176
-----------
TOTAL MARINE 17,715
-----------
</Table>
See Notes to Financial Statements.
26
RYDEX RUSSELL 1000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA 2.2%
Cablevision Systems
Corp. -- Class A........... 192 $6,764
CBS Corp. -- Class B.......... 276 6,961
Central European Media
Enterprises Ltd. -- Class
A*......................... 313 7,171
Clear Channel Outdoor
Holdings, Inc. -- Class
A*......................... 479 6,591
Comcast Corp. -- Class A...... 276 7,242
DIRECTV -- Class A*........... 144 6,997
Discovery Communications,
Inc. -- Class A*........... 169 7,480
DISH Network Corp. Class A*... 276 6,911
DreamWorks Animation SKG,
Inc. -- Class A*........... 252 6,675
Gannett Co., Inc. ............ 444 6,687
Interpublic Group of Cos.,
Inc. ...................... 552 6,486
John Wiley & Sons,
Inc. -- Class A............ 132 6,723
Lamar Advertising Co. -- Class
A*......................... 180 5,854
Liberty Global, Inc. -- Class
A*......................... 156 7,254
Liberty Media
Corp. -- Capital -- Series
A -- Tracking Stock*....... 95 7,816
Liberty Media
Corp. -- Starz -- Series
A -- Tracking Stock*....... 85 6,532
Madison Square Garden,
Inc. -- Class A*........... 241 6,591
McGraw-Hill Cos., Inc. ....... 169 6,839
Meredith Corp. ............... 203 6,784
Morningstar, Inc. ............ 96 5,530
New York Times Co. -- Class
A*......................... 731 5,943
News Corp. -- Class A......... 395 7,039
Omnicom Group, Inc. .......... 143 7,034
Regal Entertainment Group..... 492 6,780
Scripps Networks
Interactive -- Class A..... 133 6,839
Sirius XM Radio, Inc.*........ 3,888 7,737
Thomson Reuters Corp. ........ 143 5,787
Time Warner Cable, Inc. ...... 96 7,500
Time Warner, Inc. ............ 192 7,269
Viacom, Inc. -- Class B....... 145 7,418
Virgin Media, Inc. ........... 251 7,595
Walt Disney Co.(The).......... 156 6,724
Washington Post
Co.(The) -- Class B........ 13 5,667
-----------
TOTAL MEDIA 225,220
-----------
METALS & MINING 2.7%
AK Steel Holding Corp. ....... 1,032 16,770
Alcoa, Inc. .................. 936 15,912
Allegheny Technologies,
Inc. ...................... 252 18,144
Carpenter Technology Corp. ... 384 19,684
Cliffs Natural Resources,
Inc. ...................... 168 15,745
Commercial Metals Co. ........ 960 16,089
Compass Minerals
International, Inc. ....... 180 17,570
Freeport-McMoRan Copper &
Gold, Inc. ................ 300 16,509
Newmont Mining Corp. ......... 300 17,583
Nucor Corp. .................. 348 16,342
Reliance Steel & Aluminum
Co. ....................... 287 16,247
Royal Gold, Inc. ............. 312 19,026
Schnitzer Steel Industries,
Inc. ...................... 251 15,579
Southern Copper Corp. ........ 397 14,872
Steel Dynamics, Inc. ......... 863 15,698
Titanium Metals Corp.*........ 900 18,027
United States Steel Corp. .... 289 13,788
-----------
TOTAL METALS & MINING 283,585
-----------
MULTI-UTILITIES 3.2%
Alliant Energy Corp. ......... 407 16,093
Ameren Corp. ................. 575 16,853
CenterPoint Energy, Inc. ..... 912 16,963
CMS Energy Corp. ............. 815 16,137
Consolidated Edison, Inc. .... 312 16,261
Dominion Resources, Inc. ..... 359 16,665
DTE Energy Co. ............... 335 16,927
Integrys Energy Group, Inc. .. 313 16,389
MDU Resources Group, Inc. .... 707 16,890
NiSource, Inc. ............... 839 16,319
NSTAR......................... 348 16,112
OGE Energy Corp. ............. 323 17,174
PG&E Corp. ................... 360 16,589
Public Service Enterprise
Group, Inc. ............... 504 16,214
SCANA Corp. .................. 407 16,899
Sempra Energy................. 300 16,530
TECO Energy, Inc. ............ 863 16,630
Vectren Corp. ................ 588 16,805
Wisconsin Energy Corp. ....... 528 16,479
Xcel Energy, Inc. ............ 672 16,350
-----------
TOTAL MULTI-UTILITIES 331,279
-----------
MULTILINE RETAIL 0.7%
Big Lots, Inc.*............... 156 6,413
Dollar General Corp.*......... 215 7,007
Dollar Tree, Inc.*............ 120 6,900
Family Dollar Stores, Inc. ... 132 7,156
J.C. Penney Co., Inc. ........ 191 7,344
Kohl's Corp. ................. 131 6,905
Macy's, Inc. ................. 288 6,886
Nordstrom, Inc. .............. 156 7,418
Sears Holdings Corp.*......... 84 7,221
Target Corp. ................. 132 6,481
-----------
TOTAL MULTILINE RETAIL 69,731
-----------
OFFICE ELECTRONICS 0.1%
Xerox Corp. .................. 768 7,749
Zebra Technologies
Corp. -- Class A*.......... 205 8,055
-----------
TOTAL OFFICE ELECTRONICS 15,804
-----------
OIL, GAS & CONSUMABLE FUELS 7.5%
Alpha Natural Resources,
Inc.*...................... 253 14,717
Anadarko Petroleum Corp. ..... 181 14,288
Apache Corp. ................. 120 16,004
Arch Coal, Inc. .............. 432 14,818
Cabot Oil & Gas Corp. ........ 300 16,884
Chesapeake Energy Corp. ...... 456 15,354
Chevron Corp. ................ 144 15,759
Cimarex Energy Co. ........... 133 14,708
Cobalt International Energy,
Inc.*...................... 984 13,776
Comstock Resources, Inc.*..... 492 15,774
Concho Resources, Inc.*....... 144 15,386
ConocoPhillips................ 191 15,076
CONSOL Energy, Inc. .......... 287 15,524
Continental Resources ,Inc.*.. 216 14,835
Denbury Resources, Inc.*...... 635 14,332
Devon Energy Corp. ........... 167 15,197
El Paso Corp. ................ 852 16,537
EOG Resources, Inc. .......... 131 14,791
EQT Corp. .................... 312 16,414
EXCO Resources, Inc. ......... 743 15,566
Exxon Mobil Corp. ............ 180 15,840
Forest Oil Corp.*............. 408 14,651
Frontier Oil Corp. ........... 528 14,752
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 27
RYDEX RUSSELL 1000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Frontline Ltd. ............... 336 $7,429
Hess Corp. ................... 180 15,473
Holly Corp. .................. 252 14,591
Marathon Oil Corp. ........... 299 16,158
Massey Energy Co. ............ 227 15,490
Murphy Oil Corp. ............. 205 15,883
Newfield Exploration Co.*..... 204 14,443
Noble Energy, Inc. ........... 156 15,018
Occidental Petroleum Corp. ... 145 16,572
Peabody Energy Corp. ......... 215 14,366
PetroHawk Energy Corp.*....... 671 18,124
Pioneer Natural Resources
Co. ....................... 155 15,846
Plains Exploration &
Production Co.*............ 431 16,395
QEP Resources, Inc. .......... 373 15,938
Quicksilver Resources, Inc.*.. 1,091 16,201
Range Resources Corp. ........ 275 15,524
SandRidge Energy, Inc.*....... 1,272 15,722
SM Energy Co. ................ 215 16,310
Southern Union Co. ........... 553 16,535
Southwestern Energy Co.*...... 349 15,307
Spectra Energy Corp. ......... 563 16,350
Sunoco, Inc. ................. 335 14,291
Teekay Corp. ................. 228 7,750
Tesoro Corp.*................. 564 15,296
Ultra Petroleum Corp.*........ 313 15,897
Valero Energy Corp. .......... 505 14,292
Whiting Petroleum Corp.*...... 216 15,012
Williams Cos., Inc.(The)...... 492 16,320
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 773,516
-----------
PAPER & FOREST PRODUCTS 0.5%
Domtar Corp. ................. 180 16,744
International Paper Co. ...... 587 18,126
MeadWestvaco Corp. ........... 539 18,159
-----------
TOTAL PAPER & FOREST PRODUCTS 53,029
-----------
PERSONAL PRODUCTS 0.6%
Alberto-Culver Co. ........... 600 22,404
Avon Products, Inc. .......... 251 7,375
Estee Lauder Cos.,
Inc. -- Class A............ 72 6,984
Herbalife Ltd. ............... 276 24,779
-----------
TOTAL PERSONAL PRODUCTS 61,542
-----------
PHARMACEUTICALS 1.6%
Abbott Laboratories........... 229 11,917
Allergan, Inc. ............... 157 12,491
Bristol-Myers Squibb Co. ..... 419 11,774
Eli Lilly & Co. .............. 324 11,991
Endo Pharmaceuticals Holdings,
Inc.*...................... 324 12,688
Forest Laboratories, Inc.*.... 360 11,937
Hospira, Inc.*................ 205 11,630
Johnson & Johnson, Inc. ...... 191 12,552
Merck & Co., Inc. ............ 347 12,475
Mylan, Inc.*.................. 504 12,560
Perrigo Co. .................. 145 13,102
Pfizer, Inc. ................. 552 11,570
Warner Chilcott PLC -- Class
A.......................... 480 11,064
Watson Pharmaceuticals,
Inc.*...................... 203 12,590
-----------
TOTAL PHARMACEUTICALS 170,341
-----------
PROFESSIONAL SERVICES 0.6%
Dun & Bradstreet Corp. ....... 71 5,835
Equifax, Inc. ................ 144 5,404
FTI Consulting, Inc.*......... 227 9,057
Manpower, Inc. ............... 133 8,811
Nielsen Holdings NV*.......... 241 7,204
Robert Half International,
Inc. ...................... 277 8,402
Towers Watson & Co. -- Class
A.......................... 145 8,317
Verisk Analytics,
Inc. -- Class A*........... 252 8,291
-----------
TOTAL PROFESSIONAL SERVICES 61,321
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 2.5%
Alexandria Real Estate
Equities, Inc. ............ 72 5,915
AMB Property Corp. ........... 156 5,678
Annaly Capital Management,
Inc. ...................... 299 5,334
Apartment Investment &
Management Co. -- Class A.. 216 5,823
AvalonBay Communities, Inc. .. 48 6,077
Boston Properties, Inc. ...... 60 6,272
Brandywine Realty Trust....... 456 5,791
BRE Properties, Inc. ......... 120 6,086
Camden Property Trust......... 96 6,024
Chimera Investment Corp. ..... 1,284 5,200
CommonWealth REIT............. 205 5,615
Corporate Office Properties
Trust...................... 155 5,458
Developers Diversified Realty
Corp. ..................... 384 5,660
Digital Realty Trust, Inc. ... 96 5,793
Douglas Emmett, Inc. ......... 287 5,972
Duke Realty Corp. ............ 396 6,039
Equity Residential............ 96 5,733
Essex Property Trust, Inc. ... 47 6,368
Federal Realty Investment
Trust...................... 71 6,217
General Growth Properties,
Inc. ...................... 349 5,828
HCP, Inc. .................... 144 5,705
Health Care REIT, Inc. ....... 107 5,753
Hospitality Properties Trust.. 239 5,772
Host Hotels & Resorts, Inc. .. 312 5,550
Kimco Realty Corp. ........... 300 5,862
Liberty Property Trust........ 168 5,909
Macerich Co.(The)............. 109 5,757
Mack-Cali Realty Corp. ....... 157 5,545
Nationwide Health Properties,
Inc. ...................... 132 5,782
Piedmont Office Realty Trust,
Inc. ...................... 287 5,711
Plum Creek Timber Co., Inc. .. 121 5,214
ProLogis...................... 348 5,669
Public Storage, Inc. ......... 48 5,631
Rayonier, Inc. ............... 85 5,641
Realty Income Corp. .......... 156 5,546
Regency Centers Corp. ........ 131 6,165
Senior Housing Properties
Trust...................... 240 5,693
Simon Property Group, Inc. ... 48 5,498
SL Green Realty Corp. ........ 72 5,942
Taubman Centers, Inc. ........ 107 6,222
UDR, Inc. .................... 228 5,903
Ventas, Inc. ................. 107 5,985
Vornado Realty Trust.......... 60 5,801
Weingarten Realty Investors... 227 5,995
Weyerhaeuser Co. ............. 217 4,993
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 260,127
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.3%
CB Richard Ellis Group,
Inc. -- Class A*........... 203 5,422
Forest City Enterprises,
Inc. -- Class A*........... 287 5,513
Howard Hughes Corp.(The)*..... 83 5,376
Jones Lang LaSalle, Inc. ..... 49 5,017
St Joe Co.(The)*.............. 216 5,642
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 26,970
-----------
</Table>
See Notes to Financial Statements.
28
RYDEX RUSSELL 1000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL 0.7%
Con-way, Inc. ................ 216 $8,407
CSX Corp. .................... 107 8,420
Hertz Global Holdings, Inc.*.. 409 7,039
J.B. Hunt Transport Services,
Inc. ...................... 191 9,107
Kansas City Southern*......... 155 9,007
Landstar System, Inc. ........ 181 8,579
Norfolk Southern Corp. ....... 120 8,962
Ryder System, Inc. ........... 168 8,988
Union Pacific Corp. .......... 84 8,691
-----------
TOTAL ROAD & RAIL 77,200
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.7%
Advanced Micro Devices,
Inc.*...................... 1,116 10,156
Altera Corp. ................. 228 11,103
Analog Devices, Inc. ......... 252 10,158
Applied Materials, Inc. ...... 625 9,806
Atheros Communications,
Inc.*...................... 216 9,690
Atmel Corp.*.................. 743 11,368
Avago Technologies Ltd. ...... 312 10,439
Broadcom Corp. -- Class A*.... 240 8,443
Cree, Inc.*................... 216 8,800
Cypress Semiconductor Corp.*.. 492 10,706
Fairchild Semiconductor
International, Inc.*....... 540 11,324
First Solar, Inc.*............ 96 13,399
Intel Corp. .................. 480 11,131
International Rectifier
Corp.*..................... 300 10,368
Intersil Corp. -- Class A..... 793 11,713
KLA-Tencor Corp. ............. 204 8,956
Lam Research Corp.*........... 179 8,647
Linear Technology Corp. ...... 289 10,057
LSI Corp.*.................... 1,404 10,291
Marvell Technology Group
Ltd.*...................... 600 9,258
Maxim Integrated Products,
Inc. ...................... 384 10,498
MEMC Electronic Materials,
Inc.*...................... 767 9,074
Microchip Technology, Inc. ... 253 10,383
Micron Technology, Inc.*...... 840 9,484
National Semiconductor
Corp. ..................... 673 16,233
Novellus Systems, Inc.*....... 264 8,474
NVIDIA Corp.*................. 504 10,080
ON Semiconductor Corp.*....... 972 10,216
PMC -- Sierra, Inc.*.......... 1,296 10,394
Rambus, Inc.*................. 493 9,811
Silicon Laboratories, Inc.*... 228 9,936
Skyworks Solutions, Inc.*..... 300 9,438
SunPower Corp. -- Class A*.... 912 19,854
Teradyne, Inc.*............... 540 8,694
Texas Instruments, Inc. ...... 277 9,842
Varian Semiconductor Equipment
Associates, Inc.*.......... 204 8,554
Xilinx, Inc. ................. 299 10,423
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 387,201
-----------
SOFTWARE 2.3%
Activision Blizzard, Inc. .... 887 10,103
Adobe Systems, Inc.*.......... 300 10,065
Ansys, Inc.*.................. 180 9,952
Autodesk, Inc.*............... 228 10,255
BMC Software, Inc.*........... 203 10,197
CA, Inc. ..................... 408 10,033
Cadence Design Systems,
Inc.*...................... 995 10,328
Citrix Systems, Inc.*......... 143 12,061
Compuware Corp.*.............. 852 9,653
Electronic Arts, Inc.*........ 492 9,929
Factset Research Systems,
Inc. ...................... 49 5,361
Informatica Corp.*............ 192 10,754
Intuit, Inc.*................. 192 10,667
MICROS Systems, Inc.*......... 203 10,560
Microsoft Corp. .............. 384 9,992
Nuance Communications, Inc.*.. 539 11,157
Oracle Corp. ................. 300 10,815
Red Hat, Inc.*................ 215 10,206
Rovi Corp.*................... 179 8,692
Salesforce.com, Inc.*......... 73 10,118
Solera Holdings, Inc. ........ 192 10,560
Symantec Corp.*............... 540 10,611
Synopsys, Inc.*............... 359 9,833
VMware, Inc. -- Class A*...... 121 11,547
-----------
TOTAL SOFTWARE 243,449
-----------
SPECIALTY RETAIL 2.2%
Aaron's, Inc. ................ 276 7,946
Abercrombie & Fitch
Co. -- Class A............. 120 8,496
Advance Auto Parts, Inc. ..... 107 7,004
Aeropostale, Inc.*............ 277 7,072
American Eagle Outfitters,
Inc. ...................... 433 6,738
AutoNation, Inc.*............. 193 6,545
AutoZone, Inc.*............... 24 6,777
Bed Bath & Beyond, Inc.*...... 144 8,081
Best Buy Co., Inc. ........... 228 7,118
CarMax, Inc.*................. 204 7,079
Chico's FAS, Inc. ............ 479 7,008
Dick's Sporting Goods, Inc.*.. 168 6,876
Foot Locker, Inc. ............ 337 7,252
GameStop Corp. -- Class A*.... 301 7,730
Gap, Inc.(The)................ 300 6,972
Guess?, Inc. ................. 179 7,695
Home Depot, Inc. ............. 180 6,685
Limited Brands, Inc. ......... 205 8,438
Lowe's Cos., Inc. ............ 252 6,615
O'Reilly Automotive, Inc.*.... 120 7,087
Office Depot, Inc.*........... 1,427 6,150
PetSmart, Inc. ............... 167 7,042
RadioShack Corp. ............. 444 7,020
Ross Stores, Inc. ............ 96 7,074
Signet Jewelers Ltd.*......... 155 6,781
Staples, Inc. ................ 336 7,103
Tiffany & Co. ................ 119 8,263
TJX Cos., Inc. ............... 133 7,132
Tractor Supply Co. ........... 120 7,425
Urban Outfitters, Inc.*....... 228 7,173
Williams-Sonoma, Inc. ........ 169 7,336
-----------
TOTAL SPECIALTY RETAIL 223,713
-----------
TEXTILES, APPAREL & LUXURY GOODS 0.5%
Coach, Inc. .................. 132 7,895
Fossil, Inc.*................. 73 6,992
Hanesbrands, Inc.*............ 252 8,193
NIKE, Inc. -- Class B......... 85 6,997
Phillips-Van Heusen Corp. .... 109 7,675
Polo Ralph Lauren Corp. ...... 59 7,715
V.F. Corp. ................... 72 7,240
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 52,707
-----------
THRIFTS & MORTGAGE FINANCE 0.4%
Capitol Federal Financial,
Inc. ...................... 479 5,422
First Niagara Financial Group,
Inc. ...................... 385 5,544
Hudson City Bancorp, Inc. .... 540 5,146
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 29
RYDEX RUSSELL 1000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONCLUDED)
New York Community Bancorp,
Inc. ...................... 311 $5,163
People's United Financial,
Inc. ...................... 431 5,900
TFS Financial Corp. .......... 504 5,484
Washington Federal, Inc. ..... 313 5,036
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 37,695
-----------
TOBACCO 0.9%
Altria Group, Inc. ........... 863 23,163
Lorillard, Inc. .............. 229 24,388
Philip Morris International,
Inc. ...................... 347 24,096
Reynolds American, Inc. ...... 635 23,565
-----------
TOTAL TOBACCO 95,212
-----------
TRADING COMPANIES & DISTRIBUTORS 0.5%
Fastenal Co. ................. 253 16,974
GATX Corp. ................... 216 9,130
MSC Industrial Direct
Co. -- Class A............. 131 9,378
W.W. Grainger, Inc. .......... 60 9,096
WESCO International, Inc.*.... 108 6,691
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 51,269
-----------
WATER UTILITIES 0.3%
American Water Works Co,
Inc. ...................... 575 16,894
Aqua America, Inc. ........... 697 15,717
-----------
TOTAL WATER UTILITIES 32,611
-----------
WIRELESS TELECOMMUNICATION SERVICES 1.4%
American Tower Corp. -- Class
A*......................... 192 10,044
Clearwire Corp. -- Class A*... 2,832 13,764
Crown Castle International
Corp.*..................... 240 10,286
Leap Wireless International,
Inc.*...................... 1,020 15,137
MetroPCS Communications,
Inc.*...................... 995 16,746
NII Holdings, Inc.*........... 395 16,424
SBA Communications
Corp. -- Class A*.......... 252 9,735
Sprint Nextel Corp.*.......... 3,286 17,021
Telephone & Data Systems,
Inc. ...................... 479 16,075
United States Cellular
Corp.*..................... 312 15,363
-----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 140,595
-----------
TOTAL COMMON STOCKS
(Cost $9,304,632) 10,332,174
-----------
SHORT TERM INVESTMENTS 0.2%
SSgA Government Money Market
Fund....................... 24,173 24,173
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $24,173) 24,173
-----------
TOTAL INVESTMENTS 99.9%(A)
(Cost $9,328,805) 10,356,347
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.1% 12,865
-----------
NET ASSETS -- 100.0% $10,369,212
-----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
REIT--Real Estate Investment Trust
Tracking Stock--A security issued by a parent company that tracks the
performance of a particular division.
See Notes to Financial Statements.
30
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS 99.5%
AEROSPACE & DEFENSE 1.0%
AAR Corp. ................... 236 $6,146
Aerovironment, Inc.*......... 180 5,157
American Science &
Engineering, Inc. ........ 57 5,022
Applied Energetics, Inc.*.... 9,342 6,353
Astronics Corp.*............. 259 6,734
Ceradyne, Inc.*.............. 146 6,842
Cubic Corp. ................. 113 6,111
Curtiss-Wright Corp. ........ 181 6,018
DigitalGlobe, Inc.*.......... 191 5,539
Ducommun, Inc. .............. 270 6,143
Esterline Technologies
Corp.*.................... 90 6,462
GenCorp, Inc.*............... 1,081 7,059
GeoEye, Inc.*................ 136 5,044
HEICO Corp. ................. 128 6,140
Hexcel Corp.*................ 721 15,523
Keyw Holding Corp.(The)*..... 439 4,912
Kratos Defense & Security
Solutions, Inc.*.......... 451 6,165
Ladish Co., Inc.*............ 113 6,407
LMI Aerospace, Inc.*......... 326 6,536
Moog, Inc. -- Class A*....... 136 6,000
National Presto Industries,
Inc. ..................... 45 4,996
Orbital Sciences Corp.*...... 338 6,365
Taser International, Inc.*... 1,576 7,029
Teledyne Technologies,
Inc.*..................... 124 6,261
Triumph Group, Inc. ......... 68 5,856
-----------
TOTAL AEROSPACE & DEFENSE 160,820
-----------
AIR FREIGHT & LOGISTICS 0.3%
Air Transport Services Group,
Inc.*..................... 777 6,356
Atlas Air Worldwide Holdings,
Inc.*..................... 90 6,202
Forward Air Corp. ........... 214 7,195
HUB Group, Inc. -- Class A*.. 180 7,250
Pacer International, Inc.*... 1,295 7,757
Park-Ohio Holdings Corp.*.... 315 6,716
-----------
TOTAL AIR FREIGHT & LOGISTICS 41,476
-----------
AIRLINES 0.4%
Airtran Holdings, Inc.*...... 844 6,338
Alaska Air Group, Inc.*...... 101 6,653
Allegiant Travel Co. ........ 146 6,551
Hawaiian Holdings, Inc.*..... 1,046 6,119
JetBlue Airways Corp.*....... 990 5,603
Pinnacle Airlines Corp.*..... 1,115 6,077
Republic Airways Holdings,
Inc.*..................... 1,024 5,524
SkyWest, Inc. ............... 371 6,133
US Airways Group, Inc.*...... 697 6,336
-----------
TOTAL AIRLINES 55,334
-----------
AUTO COMPONENTS 0.6%
American Axle & Manufacturing
Holdings, Inc.*........... 417 5,338
Amerigon, Inc.*.............. 371 6,326
Cooper Tire & Rubber Co. .... 214 5,774
Dana Holding Corp.*.......... 315 5,724
Dorman Products, Inc.*....... 135 5,265
Drew Industries, Inc. ....... 236 5,680
Exide Technologies*.......... 506 5,080
Fuel Systems Solutions,
Inc.*..................... 214 6,361
Modine Manufacturing Co.*.... 416 7,409
Spartan Motors, Inc. ........ 945 6,388
Standard Motor Products,
Inc. ..................... 405 5,771
Stoneridge, Inc.*............ 360 5,508
Superior Industries
International, Inc. ...... 214 5,408
Tenneco, Inc.*............... 134 $6,192
Tower International, Inc.*... 326 5,415
-----------
TOTAL AUTO COMPONENTS 87,639
-----------
AUTOMOBILES 0.0%(A)
Winnebago Industries, Inc.*.. 405 5,014
-----------
TOTAL AUTOMOBILES 5,014
-----------
BEVERAGES 0.7%
Boston Beer Co.,
Inc. -- Class A*.......... 394 37,139
Coca-Cola Bottling Co.
Consolidated.............. 540 38,043
Heckmann Corp.*.............. 5,458 34,385
-----------
TOTAL BEVERAGES 109,567
-----------
BIOTECHNOLOGY 3.7%
Acorda Therapeutics, Inc.*... 259 7,262
Affymax, Inc.*............... 946 6,187
Alkermes, Inc.*.............. 461 6,648
Allos Therapeutics, Inc.*.... 1,913 5,567
Alnylam Pharmaceuticals,
Inc.*..................... 608 6,238
AMAG Pharmaceuticals, Inc.*.. 338 6,422
Anacor Pharmaceuticals,
Inc.*..................... 810 5,362
Anthera Pharmaceuticals,
Inc.*..................... 845 6,152
Arena Pharmaceuticals,
Inc.*..................... 3,849 5,389
Ariad Pharmaceuticals,
Inc.*..................... 777 6,643
ArQule, Inc.*................ 855 6,036
Array BioPharma, Inc.*....... 1,869 5,775
AVEO Pharmaceuticals, Inc.*.. 416 6,473
AVI BioPharma, Inc.*......... 3,140 5,652
BioCryst Pharmaceuticals,
Inc.*..................... 1,588 6,169
Biosante Pharmaceuticals,
Inc.*..................... 3,005 7,002
Biospecifics Technologies
Corp.*.................... 225 5,456
Biotime, Inc.*............... 743 5,283
Celera Corp.*................ 675 5,339
Celldex Therapeutics, Inc.*.. 1,441 6,139
Cepheid, Inc.*............... 203 6,559
Chelsea Therapeutics
International Ltd.*....... 1,519 7,154
Codexis, Inc.*............... 517 5,423
Cubist Pharmaceuticals,
Inc.*..................... 225 7,616
Curis, Inc.*................. 1,745 7,250
Cytokinetics, Inc.*.......... 3,905 5,818
Cytori Therapeutics, Inc.*... 743 5,580
CytRx Corp.*................. 6,517 5,876
Dyax Corp.*.................. 3,725 7,450
Dynavax Technologies Corp.*.. 2,037 5,663
Emergent Biosolutions,
Inc.*..................... 237 5,501
Enzon Pharmaceuticals,
Inc.*..................... 540 6,199
Exact Sciences Corp.*........ 877 7,025
Exelixis, Inc.*.............. 495 6,069
Genomic Health, Inc.*........ 225 6,143
Geron Corp.*................. 1,148 5,510
Halozyme Therapeutics,
Inc.*..................... 856 5,675
Idenix Pharmaceuticals,
Inc.*..................... 1,733 8,804
Immunogen, Inc.*............. 653 8,724
Immunomedics, Inc.*.......... 1,610 6,810
Incyte Corp., Ltd.*.......... 383 7,078
Infinity Pharmaceuticals,
Inc.*..................... 1,013 6,058
Inhibitex, Inc.*............. 1,868 7,846
Inovio Pharmaceuticals,
Inc.*..................... 5,019 4,776
InterMune, Inc.*............. 124 5,535
Ironwood Pharmaceuticals,
Inc.*..................... 417 6,097
Isis Pharmaceuticals, Inc.*.. 653 6,125
Keryx Biopharmaceuticals,
Inc.*..................... 1,125 5,951
Lexicon Pharmaceuticals,
Inc.*..................... 3,230 5,426
Ligand Pharmaceuticals,
Inc. -- Class B*.......... 563 6,255
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 31
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
MannKind Corp.*.............. 1,530 $6,671
Maxygen, Inc. ............... 1,058 5,459
Medivation, Inc.*............ 327 8,077
Metabolix, Inc.*............. 597 4,824
Micromet, Inc.*.............. 1,058 7,152
Momenta Pharmaceuticals,
Inc.*..................... 383 7,227
Nabi Biopharmaceuticals*..... 979 5,659
Nanosphere, Inc.*............ 1,779 5,284
Neuralstem, Inc.*............ 3,140 5,621
Neurocrine Biosciences,
Inc.*..................... 822 6,321
NeurogesX, Inc.*............. 1,440 4,882
Novavax, Inc.*............... 2,218 5,689
NPS Pharmaceuticals, Inc.*... 698 7,238
Nymox Pharmaceutical Corp.*.. 777 5,897
Omeros Corp.*................ 765 4,085
Onyx Pharmaceuticals, Inc.*.. 158 5,936
Opko Health, Inc.*........... 1,497 5,958
Orexigen Therapeutics,
Inc.*..................... 1,981 6,201
Osiris Therapeutics, Inc.*... 821 5,821
PDL BioPharma, Inc. ......... 1,014 6,510
Peregrine Pharmaceuticals,
Inc.*..................... 2,330 5,778
Pharmacyclics, Inc.*......... 946 6,272
Pharmasset, Inc.*............ 79 8,016
Progenics Pharmaceuticals,
Inc.*..................... 911 6,751
Rigel Pharmaceuticals,
Inc.*..................... 776 7,069
Sangamo Biosciences, Inc.*... 732 5,256
Savient Pharmaceuticals,
Inc.*..................... 563 6,536
SciClone Pharmaceuticals,
Inc.*..................... 1,452 6,403
Seattle Genetics, Inc.*...... 383 6,362
Senomyx, Inc.*............... 2,240 13,619
SIGA Technologies, Inc.*..... 462 6,343
Spectrum Pharmaceuticals,
Inc.*..................... 664 5,976
StemCells, Inc.*............. 6,529 5,491
Synta Pharmaceuticals
Corp.*.................... 1,091 6,622
Targacept, Inc.*............. 214 5,175
Theravance, Inc.*............ 237 6,577
Transcept Pharmaceuticals,
Inc.*..................... 664 6,673
Vanda Pharmaceuticals,
Inc.*..................... 811 6,529
Vical, Inc.*................. 2,070 7,783
Zalicus, Inc.*............... 2,442 7,473
ZIOPHARM Oncology, Inc.*..... 934 7,061
-----------
TOTAL BIOTECHNOLOGY 577,467
-----------
BUILDING PRODUCTS 1.2%
AAON, Inc. .................. 450 14,783
Ameresco, Inc. -- Class A*... 1,215 19,574
American Woodmark Corp. ..... 270 5,484
Ameron International Corp. .. 180 12,661
Apogee Enterprises, Inc. .... 1,069 15,265
Builders FirstSource, Inc.*.. 5,245 13,899
Gibraltar Industries, Inc.*.. 1,250 14,600
Griffon Corp.*............... 1,092 13,912
Insteel Industries, Inc. .... 1,001 14,945
NCI Building Systems, Inc.*.. 1,070 13,247
Quanex Building Products
Corp. .................... 720 15,091
Simpson Manufacturing Co.,
Inc. ..................... 484 13,513
Trex Co., Inc.*.............. 439 14,083
Universal Forest Products,
Inc. ..................... 383 12,367
-----------
TOTAL BUILDING PRODUCTS 193,424
-----------
CAPITAL MARKETS 1.5%
American Capital Ltd.*....... 394 4,046
Apollo Investment Corp. ..... 318 3,768
Arlington Asset Investment
Corp. -- Class A.......... 124 3,782
Artio Global Investors,
Inc. ..................... 237 3,894
BGC Partners, Inc. -- Class
A......................... 405 3,908
BlackRock Kelso Capital
Corp. .................... 381 4,008
Calamos Asset Management,
Inc. -- Class A........... 237 3,856
Capital Southwest Corp. ..... 45 4,331
Cohen & Steers, Inc. ........ 135 4,247
Cowen Group, Inc. -- Class
A*........................ 923 3,840
Diamond Hill Investment
Group, Inc. .............. 45 3,690
Duff & Phelps Corp. -- Class
A......................... 236 3,632
Epoch Holding Corp. ......... 237 4,110
Evercore Partners,
Inc. -- Class A........... 112 3,908
FBR Capital Markets Corp.*... 1,069 3,848
Fifth Street Finance Corp. .. 282 3,759
Financial Engines, Inc.*..... 146 4,151
FXCM, Inc. -- Class A........ 326 4,339
GAMCO Investors,
Inc. -- Class A........... 90 4,630
GFI Group, Inc. ............. 777 3,970
Gladstone Capital Corp. ..... 337 3,828
Gladstone Investment Corp. .. 484 3,746
Gleacher & Co., Inc.*........ 2,093 3,956
Golub Capital BDC, Inc. ..... 239 3,834
Harris & Harris Group,
Inc.*..................... 720 3,758
Hercules Technology Growth
Capital, Inc. ............ 349 3,752
HFF, Inc. -- Class A*........ 259 3,877
INTL FCStone, Inc.*.......... 147 3,893
Investment Technology Group,
Inc.*..................... 213 3,644
JMP Group, Inc. ............. 461 3,965
Kayne Anderson Energy
Development Co. .......... 202 3,959
KBW, Inc. ................... 147 3,340
Knight Capital Group,
Inc. -- Class A*.......... 292 4,006
LaBranche & Co., Inc.*....... 935 3,768
Ladenburg Thalmann Financial
Services, Inc.*........... 3,275 3,832
Main Street Capital Corp. ... 204 3,837
MCG Capital Corp. ........... 586 3,868
Medley Capital Corp.*........ 315 3,685
MF Global Holdings Ltd.*..... 473 3,978
MVC Capital, Inc. ........... 282 3,900
NGP Capital Resources Co. ... 399 3,767
Oppenheimer Holdings,
Inc. -- Class A........... 113 3,470
optionsXpress Holdings,
Inc. ..................... 203 3,743
PennantPark Investment
Corp. .................... 328 4,048
Penson Worldwide, Inc.*...... 586 3,557
Piper Jaffray Cos., Inc.*.... 90 3,227
Prospect Capital Corp. ...... 305 3,694
Pzena Investment Management,
Inc. -- Class A........... 540 3,931
Rodman & Renshaw Capital
Group, Inc.*.............. 1,756 3,459
Safeguard Scientifics,
Inc.*..................... 281 5,494
Sanders Morris Harris Group,
Inc. ..................... 473 4,082
Solar Capital Ltd. .......... 159 4,035
Solar Senior Capital Ltd.*... 202 3,804
Stifel Financial Corp.*...... 84 3,837
SWS Group, Inc. ............. 653 3,983
THL Credit, Inc. ............ 281 4,024
TICC Capital Corp. .......... 367 4,162
TradeStation Group, Inc.*.... 540 5,211
Triangle Capital Corp. ...... 216 3,858
Virtus Investment Partners,
Inc.*..................... 67 3,538
Westwood Holdings Group,
Inc. ..................... 91 3,426
-----------
TOTAL CAPITAL MARKETS 238,493
-----------
CHEMICALS 3.3%
A. Schulman, Inc. ........... 596 15,091
American Vanguard Corp. ..... 1,688 15,057
Arch Chemicals, Inc. ........ 338 13,070
</Table>
See Notes to Financial Statements.
32
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
Balchem Corp. ............... 383 $15,201
Calgon Carbon Corp.*......... 901 15,461
Ferro Corp.*................. 878 13,170
Georgia Gulf Corp.*.......... 405 15,949
H.B. Fuller Co. ............. 675 14,749
Hawkins, Inc. ............... 349 16,417
Innophos Holdings, Inc. ..... 315 14,597
KMG Chemicals, Inc. ......... 743 15,298
Koppers Holdings, Inc. ...... 337 15,411
Kraton Performance Polymers,
Inc.*..................... 349 16,110
Landec Corp.*................ 2,273 14,729
LSB Industries, Inc.*........ 349 14,082
Minerals Technologies,
Inc. ..................... 203 13,804
NewMarket Corp. ............. 90 16,589
NL Industries, Inc. ......... 956 13,613
Olin Corp. .................. 653 16,808
OM Group, Inc.*.............. 394 14,279
Omnova Solutions, Inc.*...... 1,756 14,926
PolyOne Corp. ............... 1,024 14,828
Quaker Chemical Corp. ....... 360 16,265
Rockwood Holdings, Inc.*..... 292 16,568
Sensient Technologies
Corp. .................... 394 14,929
Solutia, Inc.*............... 563 14,835
Spartech Corp.*.............. 2,004 14,309
Stepan Co. .................. 192 13,818
STR Holdings, Inc.*.......... 946 15,581
TPC Group, Inc.*............. 484 19,089
Westlake Chemical Corp. ..... 259 17,003
WR Grace & Co.*.............. 382 17,327
Zep, Inc. ................... 822 15,618
Zoltek Cos., Inc.*........... 1,069 13,737
-----------
TOTAL CHEMICALS 518,318
-----------
COMMERCIAL BANKS 3.5%
1st Source Corp. ............ 202 4,286
1st United Bancorp Inc.*..... 551 3,840
Alliance Financial Corp. .... 113 3,643
American National Bankshares,
Inc. ..................... 169 3,911
Ameris Bancorp*.............. 372 3,698
Ames Natl Corp. ............. 203 3,747
Arrow Financial Corp. ....... 157 3,901
Bancfirst Corp. ............. 90 3,624
Banco Latinoamericano de
Comercio Exterior
SA -- Class E............. 225 3,906
Bancorp Rhode Island, Inc. .. 124 5,501
Bancorp, Inc.(The)*.......... 405 3,965
Bank of Marin
Bancorp -- Class A........ 102 3,839
Bank of the Ozarks, Inc. .... 90 4,008
Boston Private Financial
Holdings, Inc. ........... 552 3,858
Bridge Bancorp, Inc. ........ 169 3,617
Bryn Mawr Bank Corp. ........ 192 3,869
Camden National Corp. ....... 113 3,904
Capital City Bank Group,
Inc. ..................... 304 3,405
Cardinal Financial Corp. .... 338 3,799
Cathay General Bancorp....... 225 3,836
Center Financial Corp.*...... 529 3,856
Centerstate Banks, Inc. ..... 540 3,359
Century Bancorp,
Inc. -- Class A........... 146 4,027
Chemical Financial Corp. .... 192 3,865
Citizens & Northn Corp. ..... 236 4,052
Citizens Republic Bancorp,
Inc.*..................... 4,389 4,029
City Holding Co. ............ 112 3,819
CNB Financial Corp. ......... 270 3,745
CoBiz Financial, Inc. ....... 551 3,741
Columbia Banking System,
Inc. ..................... 202 3,810
Community Bank System,
Inc. ..................... 158 3,953
Community Trust Bancorp,
Inc. ..................... 135 3,821
CVB Financial Corp. ......... 462 4,500
Danvers Bancorp, Inc. ....... 180 4,059
Eagle Bancorp, Inc.*......... 270 3,748
Encore Bancshares, Inc.*..... 315 3,812
Enterprise Financial Services
Corp. .................... 282 4,202
F.N.B. Corp. ................ 371 4,062
Financial Institutions,
Inc. ..................... 214 3,638
First Bancorp................ 293 4,090
First Bancorp., Inc. ........ 248 3,683
First BanCorp/Puerto Rico*... 832 4,152
First Busey Corp. ........... 788 4,137
First Commonwealth Financial
Corp. .................... 596 3,695
First Community Bancshares,
Inc. ..................... 270 4,012
First Financial Bancorp...... 236 3,889
First Financial Bankshares,
Inc. ..................... 78 4,323
First Financial Corp. ....... 123 3,956
First Interstate Bancsystem,
Inc. ..................... 281 3,844
First Merchants Corp. ....... 451 4,181
First Midwest Bancorp,
Inc. ..................... 327 4,284
First of Long Island
Corp.(The)................ 136 3,679
First South Bancorp, Inc. ... 720 3,226
FirstMerit Corp. ............ 225 3,931
German American Bancorp,
Inc. ..................... 225 3,926
Glacier Bancorp, Inc. ....... 258 3,878
Great Southern Bancorp,
Inc. ..................... 181 3,747
Greene Bankshares, Inc.*..... 1,440 2,923
Hancock Holding Co. ......... 113 3,691
Hanmi Financial Corp.*....... 3,062 4,042
Heartland Financial USA,
Inc. ..................... 226 3,553
Heritage Financial Corp.*.... 259 3,818
Home Bancorp, Inc.*.......... 259 4,136
Home Bancshares, Inc. ....... 169 4,051
Hudson Valley Holding
Corp. .................... 180 4,070
Iberiabank Corp. ............ 67 4,021
Independent Bank Corp. ...... 146 4,279
International Bancshares
Corp. .................... 213 3,753
Investors Bancorp, Inc.*..... 259 3,895
Lakeland Bancorp, Inc. ...... 383 4,094
Lakeland Financial Corp. .... 169 3,703
MainSource Financial Group,
Inc. ..................... 394 3,794
MB Financial, Inc. .......... 191 3,952
Merchants Bancshares, Inc. .. 147 3,954
Metro Bancorp, Inc.*......... 304 3,800
Midsouth Bancorp, Inc. ...... 259 3,667
MidWestOne Financial Group,
Inc. ..................... 281 4,128
Nara Bancorp, Inc.*.......... 405 3,981
National Bankshares, Inc. ... 135 3,838
National Penn Bancshares,
Inc. ..................... 496 4,072
NBT Bancorp, Inc. ........... 169 3,819
Northfield Bancorp, Inc. .... 271 3,813
Old National Bancorp......... 361 3,736
OmniAmerican Bancorp, Inc.*.. 247 3,693
Oriental Financial Group,
Inc. ..................... 304 3,940
Orrstown Financial Services,
Inc. ..................... 136 3,705
Pacific Continental Corp. ... 382 3,648
PacWest Bancorp.............. 180 4,138
Park National Corp. ......... 57 3,938
Peapack Gladstone Financial
Corp. .................... 292 3,881
Penns Woods Bancorp, Inc. ... 101 3,817
Peoples Bancorp, Inc. ....... 316 4,307
Pinnacle Financial Partners,
Inc.*..................... 237 3,809
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 33
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
Porter Bancorp, Inc. ........ 473 $3,751
PrivateBancorp, Inc. ........ 248 3,904
Prosperity Bancshares,
Inc. ..................... 90 4,126
Renasant Corp. .............. 236 3,960
Republic Bancorp,
Inc. -- Class A........... 192 4,182
S&T Bancorp, Inc. ........... 180 3,674
S.Y. Bancorp, Inc. .......... 157 3,920
Sandy Spring Bancorp, Inc. .. 203 3,628
SCBT Financial Corp. ........ 113 3,643
Sierra Bancorp............... 348 3,880
Signature Bank*.............. 68 3,958
Simmons First National
Corp. -- Class A.......... 146 3,853
Southside Bancshares, Inc. .. 188 4,089
Southwest Bancorp, Inc.*..... 281 3,985
State Bancorp, Inc./NY....... 372 4,910
StellarOne Corp. ............ 270 3,780
Sterling Bancorp............. 383 3,964
Sterling Bancshares, Inc. ... 439 3,903
Suffolk Bancorp.............. 191 3,134
Susquehanna Bancshares,
Inc. ..................... 417 3,845
SVB Financial Group*......... 67 4,049
Taylor Capital Group, Inc.*.. 372 3,698
Texas Capital Bancshares,
Inc.*..................... 147 3,793
Tompkins Financial Corp. .... 90 3,667
Tower Bancorp, Inc. ......... 169 3,669
TowneBank.................... 248 3,675
Trico Bancshares............. 236 3,849
Trustmark Corp. ............. 168 3,904
UMB Financial Corp. ......... 101 4,253
Umpqua Holdings Corp. ....... 348 4,040
Union First Market Bankshares
Corp. .................... 337 4,290
United Bankshares, Inc. ..... 146 3,819
United Community Banks,
Inc.*..................... 1,891 4,538
Univest Corp. of
Pennsylvania.............. 225 3,785
Virginia Commerce Bancorp,
Inc.*..................... 686 4,123
Washington Banking Co. ...... 281 3,931
Washington Trust Bancorp,
Inc. ..................... 158 3,702
Webster Financial Corp. ..... 180 3,874
WesBanco, Inc. .............. 191 3,877
West Bancorporation, Inc. ... 484 3,770
West Coast Bancorp*.......... 1,114 3,988
Westamerica Bancorp.......... 78 3,962
Western Alliance Bancorp*.... 483 3,994
Whitney Holding Corp. ....... 282 3,818
Wilshire Bancorp, Inc.*...... 743 2,972
Wintrust Financial Corp. .... 102 3,436
-----------
TOTAL COMMERCIAL BANKS 540,912
-----------
COMMERCIAL SERVICES & SUPPLIES 1.9%
ABM Industries, Inc. ........ 248 6,031
ACCO Brands Corp.*........... 687 6,671
American Reprographics Co.*.. 552 4,940
APAC Customer Services,
Inc.*..................... 1,047 5,978
Brink's Co.(The)............. 202 6,668
Casella Waste Systems,
Inc. -- Class A*.......... 765 5,171
Cenveo, Inc.*................ 878 5,689
Clean Harbors, Inc.*......... 67 6,600
Consolidated Graphics,
Inc.*..................... 124 6,963
Courier Corp. ............... 394 5,398
Deluxe Corp. ................ 237 6,418
EnergySolutions, Inc. ....... 935 5,283
EnerNOC, Inc.*............... 844 15,116
Ennis, Inc. ................. 382 7,136
Fuel Tech, Inc.*............. 709 5,750
G&K Services, Inc. -- Class
A......................... 191 6,322
Geo Group, Inc.(The)*........ 259 6,910
Healthcare Services Group,
Inc. ..................... 360 6,394
Herman Miller, Inc. ......... 247 6,427
Higher One Holdings, Inc.*... 258 3,635
HNI Corp. ................... 203 5,587
Hudson Highland Group,
Inc.*..................... 979 5,903
Innerworkings, Inc.*......... 866 7,768
Interface, Inc. -- Class A... 799 14,893
Kimball International,
Inc. -- Class B........... 889 6,650
Knoll, Inc. ................. 326 6,399
M&F Worldwide Corp.*......... 248 6,222
McGrath Rentcorp............. 237 6,728
Metalico, Inc.*.............. 1,047 6,638
Mine Safety Appliances Co. .. 180 7,142
Mobile Mini, Inc.*........... 270 6,726
Multi-Color Corp. ........... 315 6,508
Rollins, Inc. ............... 316 6,627
Schawk, Inc. ................ 338 6,375
Standard Parking Corp.*...... 360 6,296
Standard Register Co.(The)... 1,913 6,581
Steelcase, Inc. -- Class A... 585 6,757
SYKES Enterprises, Inc.*..... 326 6,530
Team, Inc.*.................. 247 6,163
Tetra Tech, Inc.*............ 258 6,094
United Stationers, Inc. ..... 90 6,485
US Ecology, Inc. ............ 361 6,628
Viad Corp. .................. 247 6,128
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 287,328
-----------
COMMUNICATIONS EQUIPMENT 1.7%
Acme Packet, Inc.*........... 79 6,526
ADTRAN, Inc. ................ 135 5,571
Anaren, Inc.*................ 282 4,678
Arris Group, Inc.*........... 451 5,412
Aruba Networks, Inc.*........ 158 5,677
Aviat Networks, Inc.*........ 1,069 5,473
Bel Fuse, Inc. -- Class B.... 248 4,992
BigBand Networks, Inc.*...... 2,206 5,647
Black Box Corp. ............. 158 5,521
Blue Coat Systems, Inc.*..... 202 5,818
Calix, Inc.*................. 281 6,143
Comtech Telecommunications
Corp. .................... 203 5,745
DG Fastchannel, Inc.*........ 180 6,586
Digi International, Inc.*.... 529 6,248
EMS Technologies, Inc.*...... 281 7,098
Emulex Corp.*................ 528 5,116
Extreme Networks*............ 1,588 4,970
Finisar Corp.*............... 248 6,966
Globecomm Systems, Inc.*..... 473 6,773
Harmonic, Inc.*.............. 619 5,125
Hughes Communications,
Inc.*..................... 90 5,387
Infinera Corp.*.............. 664 5,193
InterDigital, Inc. .......... 124 5,740
Ixia*........................ 372 6,079
KVH Industries, Inc.*........ 382 5,004
Loral Space & Communications,
Inc.*..................... 68 4,753
Meru Networks, Inc.*......... 281 4,892
Netgear, Inc.*............... 169 7,056
Network Engines, Inc.*....... 2,791 4,968
Network Equipment
Technologies, Inc.*....... 1,531 5,159
Oclaro, Inc.*................ 506 5,675
Oplink Communications,
Inc.*..................... 281 5,564
Opnext, Inc.*................ 2,431 5,737
</Table>
See Notes to Financial Statements.
34
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
PC-Tel, Inc.*................ 732 $5,344
Plantronics, Inc. ........... 157 5,820
Powerwave Technologies,
Inc.*..................... 1,249 5,708
Riverbed Technology, Inc.*... 147 5,166
SeaChange International,
Inc.*..................... 618 6,619
ShoreTel, Inc.*.............. 698 7,294
Sonus Networks, Inc.*........ 1,463 5,764
Sycamore Networks, Inc. ..... 236 5,782
Symmetricom, Inc.*........... 945 5,765
Tekelec*..................... 720 6,012
UTStarcom, Inc.*............. 2,398 6,163
ViaSat, Inc.*................ 136 5,429
-----------
TOTAL COMMUNICATIONS EQUIPMENT 258,158
-----------
COMPUTERS & PERIPHERALS 0.7%
Avid Technology, Inc.*....... 248 4,608
Cray, Inc.*.................. 889 5,974
Electronics for Imaging,
Inc.*..................... 439 7,884
Hutchinson Technology,
Inc.*..................... 1,992 5,319
Hypercom Corp.*.............. 462 5,530
Imation Corp.*............... 506 5,197
Immersion Corp.*............. 810 5,864
Intermec, Inc.*.............. 529 6,073
Intevac, Inc.*............... 450 5,504
Novatel Wireless, Inc.*...... 1,002 6,212
Presstek, Inc.*.............. 3,117 5,673
Quantum Corp.*............... 2,162 6,875
Rimage Corp. ................ 349 5,221
Silicon Graphics
International Corp.*...... 292 5,367
STEC, Inc.*.................. 292 6,109
Stratasys, Inc.*............. 124 6,677
Super Micro Computer, Inc.*.. 349 5,954
Synaptics, Inc.*............. 203 5,769
Xyratex Ltd.*................ 495 5,054
-----------
TOTAL COMPUTERS & PERIPHERALS 110,864
-----------
CONSTRUCTION & ENGINEERING 0.8%
Argan, Inc.*................. 732 6,881
Comfort Systems USA, Inc. ... 1,035 12,637
Dycom Industries, Inc.*...... 371 5,513
EMCOR Group, Inc.*........... 203 6,287
Furmanite Corp.*............. 844 7,073
Granite Construction, Inc. .. 225 6,116
Great Lakes Dredge & Dock
Corp. .................... 844 6,288
Insituform Technologies,
Inc. -- Class A*.......... 247 6,252
Layne Christensen Co.*....... 191 5,684
MasTec, Inc.*................ 315 7,144
Michael Baker Corp.*......... 225 5,544
MYR Group, Inc.*............. 259 6,457
Northwest Pipe Co.*.......... 586 14,099
Orion Marine Group, Inc.*.... 574 5,929
Primoris Services Corp. ..... 653 7,692
Sterling Construction Co,
Inc.*..................... 383 5,741
Tutor Perini Corp. .......... 270 7,198
-----------
TOTAL CONSTRUCTION & ENGINEERING 122,535
-----------
CONSTRUCTION MATERIALS 0.3%
Headwaters, Inc.*............ 2,454 13,399
Texas Industries, Inc. ...... 315 13,284
United States Lime &
Minerals, Inc.*........... 348 14,393
-----------
TOTAL CONSTRUCTION MATERIALS 41,076
-----------
CONSUMER FINANCE 0.3%
Advance America Cash Advance
Centers, Inc. ............ 766 4,504
Cash America International,
Inc. ..................... 79 3,749
CompuCredit Holdings Corp.*.. 597 2,543
Credit Acceptance Corp.*..... 56 4,531
Dollar Financial Corp.*...... 180 4,138
EZCORP, Inc. -- Class A*..... 123 3,873
First Cash Financial
Services, Inc.*........... 101 3,963
First Marblehead
Corp.(The)*............... 1,688 3,629
Imperial Holdings, Inc.*..... 372 3,698
Nelnet, Inc. -- Class A...... 180 4,145
Netspend Holdings, Inc.*..... 382 4,435
World Acceptance Corp.*...... 57 3,873
-----------
TOTAL CONSUMER FINANCE 47,081
-----------
CONTAINERS & PACKAGING 0.7%
AEP Industries, Inc.*........ 495 15,013
Boise, Inc. ................. 1,564 15,358
Graham Packaging Co., Inc.*.. 811 18,653
Graphic Packaging Holding
Co.*...................... 2,679 14,708
Myers Industries, Inc. ...... 1,486 15,856
Rock-Tenn Co. -- Class A..... 213 14,712
Silgan Holdings, Inc. ....... 372 17,060
-----------
TOTAL CONTAINERS & PACKAGING 111,360
-----------
DISTRIBUTORS 0.1%
Audiovox Corp. -- Class A*... 676 4,989
Core-Mark Holding Co.,
Inc.*..................... 168 5,630
-----------
TOTAL DISTRIBUTORS 10,619
-----------
DIVERSIFIED CONSUMER SERVICES 0.7%
American Public Education,
Inc.*..................... 135 5,704
Bridgepoint Education,
Inc.*..................... 315 5,528
Cambium Learning Group,
Inc.*..................... 1,621 5,576
Capella Education Co.*....... 112 5,555
Coinstar, Inc.*.............. 113 6,100
Corinthian Colleges, Inc.*... 1,182 5,260
CPI Corp. ................... 248 4,457
Grand Canyon Education,
Inc.*..................... 371 5,365
K12, Inc.*................... 168 6,614
Learning Tree International,
Inc. ..................... 608 5,125
Lincoln Educational Services
Corp. .................... 337 5,628
Mac-Gray Corp. .............. 394 6,674
Matthews International
Corp. -- Class A.......... 146 5,860
National American University
Holdings, Inc. ........... 799 6,144
Pre-Paid Legal Services,
Inc.*..................... 79 5,210
Regis Corp. ................. 304 5,168
Sotheby's.................... 112 5,658
Steiner Leisure Ltd.*........ 113 5,485
Stewart Enterprises,
Inc. -- Class A........... 732 5,937
Universal Technical
Institute, Inc. .......... 293 5,295
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 112,343
-----------
DIVERSIFIED FINANCIAL SERVICES 0.4%
Asset Acceptance Capital
Corp.*.................... 709 4,027
Asta Funding, Inc. .......... 450 3,649
California First National
Bancorp................... 258 3,919
Compass Diversified
Holdings.................. 428 7,173
Encore Capital Group, Inc.*.. 147 4,401
Gain Capital Holdings,
Inc.*..................... 473 3,032
Life Partners Holdings,
Inc. ..................... 495 3,470
MarketAxess Holdings, Inc. .. 158 3,847
Marlin Business Services
Corp.*.................... 529 6,449
Medallion Financial Corp. ... 439 4,052
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 35
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
NewStar Financial, Inc.*..... 360 $4,302
PHH Corp.*................... 293 6,288
Pico Holdings, Inc.*......... 134 4,304
Portfolio Recovery
Associates, Inc.*......... 45 4,062
Primus Guaranty Ltd.*........ 754 3,702
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 66,677
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 3.2%
AboveNet, Inc. .............. 90 6,007
Alaska Communications Systems
Group, Inc. .............. 2,927 28,304
Atlantic Tele-Network,
Inc. ..................... 878 32,249
Cbeyond, Inc.*............... 2,678 34,171
Cincinnati Bell, Inc.*....... 12,314 36,819
Cogent Communications Group,
Inc.*..................... 2,274 32,996
Consolidated Communications
Holdings, Inc. ........... 1,722 31,668
General Communication,
Inc. -- Class A*.......... 2,949 33,913
Global Crossing Ltd.*........ 2,296 53,680
IDT Corp. -- Class B......... 1,238 35,890
Iridium Communications,
Inc.*..................... 3,579 28,024
Neutral Tandem, Inc.*........ 2,206 33,730
PAETEC Holding Corp.*........ 9,803 35,291
Premiere Global Services,
Inc.*..................... 4,378 34,630
Vonage Holdings Corp.*....... 7,541 38,911
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 496,283
-----------
ELECTRIC UTILITIES 2.6%
Allete, Inc. ................ 833 33,728
Central Vermont Public
Service Corp. ............ 1,363 31,908
Cleco Corp. ................. 945 33,169
El Paso Electric Co.*........ 1,058 32,777
Empire District Electric
Co.(The).................. 1,485 33,323
IDACORP, Inc. ............... 855 33,525
MGE Energy, Inc. ............ 788 33,104
PNM Resources, Inc. ......... 2,161 33,128
Portland General Electric
Co. ...................... 1,351 33,721
UIL Holdings Corp. .......... 1,069 34,016
Unisource Energy Corp. ...... 889 33,009
Unitil Corp. ................ 1,351 34,126
-----------
TOTAL ELECTRIC UTILITIES 399,534
-----------
ELECTRICAL EQUIPMENT 1.9%
A123 Systems, Inc.*.......... 799 4,826
Acuity Brands, Inc. ......... 248 14,582
Advanced Battery
Technologies, Inc.*....... 1,744 3,000
American Superconductor
Corp.*.................... 270 3,200
AO Smith Corp. .............. 146 6,420
AZZ, Inc. ................... 136 5,954
Belden, Inc. ................ 383 14,565
Brady Corp. -- Class A....... 180 6,788
Broadwind Energy, Inc.*...... 4,817 7,948
Capstone Turbine Corp.*...... 8,813 17,185
Coleman Cable, Inc.*......... 732 7,335
Encore Wire Corp. ........... 585 16,327
Ener1, Inc.*................. 2,093 5,295
Energy Conversion Devices,
Inc.*..................... 7,214 14,428
EnerSys*..................... 169 6,403
Franklin Electric Co.,
Inc. ..................... 146 6,586
FuelCell Energy, Inc.*....... 7,991 13,665
Generac Holdings, Inc.*...... 327 6,808
GrafTech International,
Ltd.*..................... 304 7,053
GT Solar International,
Inc.*..................... 1,452 16,219
II-VI, Inc.*................. 112 6,479
LaBarge, Inc.*............... 326 6,240
LSI Industries, Inc. ........ 1,936 16,049
Microvision, Inc.*........... 4,153 6,479
Polypore International,
Inc.*..................... 247 15,257
Powell Industries, Inc.*..... 158 6,244
PowerSecure International,
Inc.*..................... 2,150 16,877
Preformed Line Products
Co. ...................... 91 6,538
Satcon Technology Corp.*..... 1,744 5,581
UQM Technologies, Inc.*...... 2,138 5,965
Vicor Corp. ................. 394 6,584
Woodward, Inc. .............. 191 7,077
-----------
TOTAL ELECTRICAL EQUIPMENT 289,957
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 2.0%
Agilysys, Inc.*.............. 990 5,168
Anixter International,
Inc. ..................... 79 5,936
Benchmark Electronics,
Inc.*..................... 304 5,138
Brightpoint, Inc.*........... 518 5,242
Checkpoint Systems, Inc.*.... 258 5,433
Cognex Corp. ................ 202 6,319
Coherent, Inc.*.............. 91 5,688
Comverge, Inc.*.............. 3,625 13,993
CTS Corp. ................... 529 5,814
Daktronics, Inc. ............ 507 5,440
DDi Corp. ................... 563 5,410
DTS, Inc.*................... 124 5,463
Echelon Corp.*............... 585 5,563
Electro Rent Corp. .......... 394 6,206
Electro Scientific
Industries, Inc.*......... 326 5,363
Fabrinet*.................... 292 6,731
FARO Technologies, Inc.*..... 169 7,296
Gerber Scientific, Inc.*..... 720 6,883
Insight Enterprises, Inc.*... 315 5,405
IPG Photonics Corp.*......... 90 6,251
L-1 Identity Solutions,
Inc.*..................... 529 6,205
Littelfuse, Inc. ............ 112 6,968
Maxwell Technologies, Inc.*.. 371 6,615
Measurement Specialties,
Inc.*..................... 191 6,643
Mercury Computer Systems,
Inc.*..................... 271 5,233
Methode Electronics, Inc. ... 461 5,698
MTS Systems Corp. ........... 136 6,021
Multi-Fineline Electronix,
Inc.*..................... 213 5,672
NeoPhotonics Corp.*.......... 596 6,461
Newport Corp.*............... 326 6,106
OSI Systems, Inc.*........... 169 6,488
Park Electrochemical Corp. .. 180 5,755
PC Connection, Inc.*......... 653 5,799
Plexus Corp.*................ 169 6,167
Power-One, Inc.*............. 721 5,955
Pulse Electronics Corp. ..... 901 5,388
Radisys Corp.*............... 653 5,753
Richardson Electronics,
Ltd. ..................... 417 5,621
Rofin-Sinar Technologies,
Inc.*..................... 146 6,323
Rogers Corp.*................ 124 5,148
Sanmina-SCI Corp.*........... 518 6,071
Scansource, Inc.*............ 147 5,258
Smart Modular Technologies
(WWH), Inc.*.............. 732 6,690
Spectrum Control, Inc.*...... 281 5,589
SYNNEX Corp.*................ 169 5,667
Tessco Technologies, Inc. ... 472 5,565
TTM Technologies, Inc.*...... 316 6,042
Universal Display Corp.*..... 102 5,604
Viasystems Group, Inc.*...... 202 5,274
</Table>
See Notes to Financial Statements.
36
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
X-Rite, Inc.*................ 1,373 $6,741
Zygo Corp.*.................. 450 6,728
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS &
COMPONENTS 309,990
-----------
ENERGY EQUIPMENT & SERVICES 3.2%
Basic Energy Services,
Inc.*..................... 664 20,411
Bristow Group, Inc.*......... 135 6,264
Cal Dive International,
Inc.*..................... 2,420 19,021
CARBO Ceramics, Inc. ........ 123 19,796
Complete Production Services,
Inc.*..................... 529 17,954
Dawson Geophysical Co.*...... 382 17,037
Dril-Quip, Inc.*............. 214 16,384
Global Geophysical Services,
Inc.*..................... 1,159 22,009
Global Industries Ltd.*...... 1,722 16,979
Gulf Island Fabrication,
Inc. ..................... 518 18,306
Gulfmark Offshore,
Inc. -- Class A*.......... 146 6,215
Helix Energy Solutions Group,
Inc.*..................... 968 18,324
Hercules Offshore, Inc.*..... 2,813 17,652
Hornbeck Offshore Services,
Inc.*..................... 529 15,463
ION Geophysical Corp.*....... 1,272 16,078
Key Energy Services, Inc.*... 1,058 19,256
Lufkin Industries, Inc. ..... 180 16,619
Matrix Service Co.*.......... 1,193 17,251
Natural Gas Services Group,
Inc.*..................... 934 16,840
Newpark Resources, Inc.*..... 2,116 19,108
OYO Geospace Corp.*.......... 169 15,764
Parker Drilling Co.*......... 2,476 17,654
PHI, Inc.*................... 292 6,535
Pioneer Drilling Co.*........ 1,261 19,546
RPC, Inc. ................... 665 17,988
Tesco Corp.*................. 777 14,615
TETRA Technologies, Inc.*.... 1,114 16,454
Union Drilling, Inc.*........ 1,655 22,442
Vantage Drilling Co.*........ 8,667 15,427
Willbros Group, Inc.*........ 1,531 16,458
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 499,850
-----------
FOOD & STAPLES RETAILING 3.1%
Andersons, Inc.(The)......... 765 37,982
Casey's General Stores,
Inc. ..................... 923 36,025
Fresh Market, Inc.(The)*..... 934 39,060
Ingles Markets, Inc. -- Class
A......................... 1,823 34,655
Nash Finch Co. .............. 923 34,354
Pantry, Inc.(The)*........... 2,397 37,105
Pricesmart, Inc. ............ 157 6,537
Rite Aid Corp.*.............. 33,676 37,380
Ruddick Corp. ............... 923 38,323
Spartan Stores, Inc. ........ 2,419 37,761
United Natural Foods, Inc.*.. 788 33,640
Village Super Market,
Inc. -- Class A........... 1,216 32,881
Weis Markets, Inc. .......... 878 36,235
Winn-Dixie Stores, Inc.*..... 5,121 36,308
-----------
TOTAL FOOD & STAPLES RETAILING 478,246
-----------
FOOD PRODUCTS 4.4%
B&G Foods, Inc. -- Class A... 1,823 32,960
Cal-Maine Foods, Inc. ....... 1,170 33,801
Calavo Growers, Inc. ........ 1,587 33,327
Chiquita Brands
International, Inc.*...... 2,307 36,727
Darling International,
Inc.*..................... 428 6,921
Diamond Foods, Inc. ......... 641 42,050
Dole Food Co., Inc.*......... 2,578 35,602
Fresh Del Monte Produce,
Inc. ..................... 1,351 36,626
Griffin Land & Nurseries,
Inc. ..................... 124 3,321
Hain Celestial Group,
Inc.(The)*................ 1,080 36,731
J&J Snack Foods Corp. ....... 765 38,877
Lancaster Colony Corp. ...... 596 36,422
Limoneira Co. ............... 1,485 32,685
Pilgrim's Pride Corp.*....... 4,671 27,466
Sanderson Farms, Inc. ....... 732 34,843
Seneca Foods Corp. -- Class
A*........................ 1,193 33,356
Smart Balance, Inc.*......... 7,800 37,284
Snyders-Lance, Inc. ......... 1,755 34,661
Synutra International,
Inc.*..................... 3,051 31,730
Tootsie Roll Industries,
Inc. ..................... 1,250 37,050
TreeHouse Foods, Inc.*....... 641 38,889
-----------
TOTAL FOOD PRODUCTS 681,329
-----------
GAS UTILITIES 1.9%
Chesapeake Utilities Corp. .. 776 33,205
Laclede Group, Inc.(The)..... 845 32,423
New Jersey Resources Corp. .. 754 33,010
Nicor, Inc. ................. 596 33,036
Northwest Natural Gas Co. ... 687 31,767
Piedmont Natural Gas Co.,
Inc. ..................... 1,080 34,290
South Jersey Industries,
Inc. ..................... 574 32,976
Southwest Gas Corp. ......... 832 33,089
WGL Holdings, Inc. .......... 833 32,920
-----------
TOTAL GAS UTILITIES 296,716
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 2.9%
Abaxis, Inc.*................ 192 5,578
ABIOMED, Inc.*............... 383 6,657
Accuray, Inc.*............... 630 5,601
Align Technology, Inc.*...... 270 6,518
Alimera Sciences, Inc.*...... 743 6,613
Alphatec Holdings, Inc.*..... 2,172 6,907
American Medical Systems
Holdings, Inc.*........... 259 7,640
Analogic Corp. .............. 101 5,825
Angiodynamics, Inc.*......... 372 6,064
Antares Pharma, Inc.*........ 3,387 6,300
Arthrocare Corp.*............ 169 5,971
Atrion Corp. ................ 34 5,887
Cantel Medical Corp. ........ 225 5,834
Cerus Corp.*................. 1,914 5,665
Conceptus, Inc.*............. 416 6,419
CONMED Corp.*................ 214 6,009
CryoLife, Inc.*.............. 1,001 5,846
Cutera, Inc.*................ 675 5,967
Cyberonics, Inc.*............ 180 6,403
Cynosure, Inc. -- Class A*... 427 6,290
Delcath Systems, Inc.*....... 776 5,486
DexCom, Inc.*................ 382 6,360
DynaVox, Inc. -- Class A*.... 1,058 6,189
Endologix, Inc.*............. 845 6,718
Exactech, Inc.*.............. 315 5,642
Greatbatch, Inc.*............ 214 5,793
Haemonetics Corp.*........... 90 6,318
Hansen Medical, Inc.*........ 2,757 9,925
HeartWare International,
Inc.*..................... 67 4,999
ICU Medical, Inc.*........... 135 6,090
Immucor, Inc.*............... 293 6,396
Insulet Corp.*............... 281 6,039
Integra LifeSciences Holdings
Corp.*.................... 123 6,434
Invacare Corp. .............. 181 5,955
IRIS International, Inc.*.... 619 5,819
Kensey Nash Corp.*........... 225 5,564
MAKO Surgical Corp.*......... 270 7,417
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 37
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
Masimo Corp. ................ 169 $5,879
Medical Action Industries,
Inc.*..................... 665 5,785
Mela Sciences, Inc.*......... 1,812 6,723
Meridian Bioscience, Inc. ... 237 5,856
Merit Medical Systems,
Inc.*..................... 282 6,576
Natus Medical, Inc.*......... 338 5,736
Neogen Corp.*................ 147 6,159
NuVasive, Inc.*.............. 225 6,950
NxStage Medical, Inc.*....... 259 6,382
OraSure Technologies, Inc.*.. 732 6,449
Orthofix International NV*... 180 6,133
Orthovita, Inc.*............. 2,667 6,427
Palomar Medical Technologies,
Inc.*..................... 405 6,484
Quidel Corp.*................ 472 6,263
Rochester Medical Corp.*..... 518 5,983
RTI Biologics, Inc.*......... 2,070 6,003
Sirona Dental Systems,
Inc.*..................... 113 6,449
Solta Medical, Inc.*......... 1,790 6,498
SonoSite, Inc.*.............. 169 5,864
Spectranetics Corp.*......... 1,227 6,982
Staar Surgical Co.*.......... 1,047 5,811
Stereotaxis, Inc.*........... 1,474 5,734
STERIS Corp. ................ 158 5,694
SurModics, Inc.*............. 450 6,912
Symmetry Medical, Inc.*...... 586 5,831
Syneron Medical Ltd.*........ 450 5,647
Synovis Life Technologies,
Inc.*..................... 293 5,974
TomoTherapy, Inc.*........... 1,238 5,670
Unilife Corp.*............... 990 5,514
Vascular Solutions, Inc.*.... 507 6,479
Volcano Corp.*............... 225 5,998
West Pharmaceutical Services,
Inc. ..................... 124 5,858
Wright Medical Group, Inc.*.. 338 5,587
Young Innovations, Inc. ..... 181 5,615
Zoll Medical Corp.*.......... 135 7,652
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 446,695
-----------
HEALTH CARE PROVIDERS & SERVICES 2.3%
Accretive Health, Inc.*...... 213 6,015
Air Methods Corp.*........... 90 6,086
Alliance Imaging, Inc.*...... 1,272 5,622
Allied Healthcare
International, Inc.*...... 2,296 5,993
Almost Family, Inc.*......... 157 5,443
Amedisys, Inc.*.............. 168 5,598
America Service Group,
Inc. ..................... 214 5,521
American Dental Partners,
Inc.*..................... 439 5,790
AMERIGROUP Corp.*............ 90 6,147
AMN Healthcare Services,
Inc.*..................... 687 5,929
Amsurg Corp.*................ 225 6,044
Assisted Living Concepts,
Inc. -- Class A*.......... 146 5,265
Bio-Reference Labs, Inc.*.... 258 6,504
BioScrip, Inc.*.............. 1,283 5,915
Capital Senior Living
Corp.*.................... 540 5,006
CardioNet, Inc.*............. 1,182 5,390
Catalyst Health Solutions,
Inc.*..................... 101 6,016
Centene Corp.*............... 180 6,521
Chemed Corp. ................ 90 6,267
Chindex International,
Inc.*..................... 338 5,810
Continucare Corp.*........... 1,013 5,430
CorVel Corp.*................ 112 5,802
Cross Country Healthcare,
Inc.*..................... 720 5,342
Emeritus Corp.*.............. 214 5,245
Ensign Group, Inc.(The)...... 180 4,979
ePocrates, Inc.*............. 248 5,803
ExamWorks Group, Inc.*....... 248 5,506
Five Star Quality Care,
Inc.*..................... 709 5,941
Gentiva Health Services,
Inc.*..................... 202 5,656
Hanger Orthopedic Group,
Inc.*..................... 214 5,814
Healthsouth Corp.*........... 225 5,767
Healthspring, Inc.*.......... 157 6,514
Healthways, Inc.*............ 371 6,277
HMS Holdings Corp.*.......... 68 5,352
IPC The Hospitalist Co.,
Inc.*..................... 135 7,001
Kindred Healthcare, Inc.*.... 247 6,229
Landauer, Inc. .............. 90 5,415
LCA-Vision, Inc.*............ 833 5,614
LHC Group, Inc.*............. 202 5,983
Magellan Health Services,
Inc.*..................... 123 6,398
MedCath Corp.*............... 417 5,634
Metropolitan Health Networks,
Inc.*..................... 1,238 5,224
Molina Healthcare, Inc.*..... 146 6,278
MWI Veterinary Supply,
Inc.*..................... 68 5,656
National Healthcare Corp. ... 123 5,715
National Research Corp. ..... 169 6,018
Owens & Minor, Inc. ......... 180 6,201
PDI, Inc.*................... 777 6,737
PharMerica Corp.*............ 529 6,962
Providence Service
Corp.(The)*............... 382 5,631
PSS World Medical, Inc.*..... 213 6,126
RehabCare Group, Inc.*....... 157 5,898
Rural/Metro Corp.*........... 327 5,569
Select Medical Holdings
Corp.*.................... 709 6,324
Skilled Healthcare Group,
Inc. -- Class A*.......... 428 5,187
Sun Healthcare Group, Inc.*.. 405 4,775
Sunrise Senior Living,
Inc.*..................... 484 5,024
Team Health Holdings, Inc.*.. 316 6,282
Triple-S Management
Corp. -- Class B*......... 281 5,884
Universal American Corp. .... 248 5,729
US Physical Therapy, Inc. ... 248 6,039
WellCare Health Plans,
Inc.*..................... 136 5,958
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 361,801
-----------
HEALTH CARE TECHNOLOGY 0.4%
athenahealth, Inc.*.......... 124 5,732
Computer Programs & Systems,
Inc. ..................... 90 5,291
MedAssets, Inc.*............. 372 5,959
Medidata Solutions, Inc.*.... 225 5,776
Merge Healthcare, Inc.*...... 1,340 6,606
Omnicell, Inc.*.............. 383 5,891
Quality Systems, Inc. ....... 68 6,101
Transcend Services, Inc.*.... 236 5,695
Vital Images, Inc.*.......... 417 7,773
-----------
TOTAL HEALTH CARE TECHNOLOGY 54,824
-----------
HOTELS, RESTAURANTS & LEISURE 2.0%
AFC Enterprises, Inc.*....... 361 5,437
Ambassadors Group, Inc. ..... 507 5,110
Ameristar Casinos, Inc. ..... 326 6,504
Biglari Holdings, Inc.*...... 11 4,810
BJ's Restaurants, Inc.*...... 146 6,855
Bluegreen Corp.*............. 1,317 5,123
Bob Evans Farms, Inc. ....... 169 5,300
Boyd Gaming Corp.*........... 586 5,239
Bravo Brio Restaurant Group,
Inc.*..................... 326 6,729
Buffalo Wild Wings, Inc.*.... 101 6,171
California Pizza Kitchen,
Inc.*..................... 327 5,232
Caribou Coffee Co., Inc.*.... 574 5,407
Carrols Restaurant Group,
Inc.*..................... 574 5,602
</Table>
See Notes to Financial Statements.
38
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
CEC Entertainment, Inc. ..... 146 $5,523
Cheesecake Factory,
Inc.(The)*................ 191 5,619
Churchill Downs, Inc. ....... 135 5,631
Cracker Barrel Old Country
Store, Inc. .............. 112 5,738
Denny's Corp.*............... 1,317 5,386
DineEquity, Inc.*............ 101 5,047
Domino's Pizza, Inc.*........ 303 5,627
Einstein Noah Restaurant
Group, Inc. .............. 337 5,446
Gaylord Entertainment Co.*... 157 5,632
Interval Leisure Group,
Inc.*..................... 338 5,432
Isle of Capri Casinos,
Inc.*..................... 585 5,581
Jack in the Box, Inc.*....... 237 4,894
Jamba, Inc.*................. 2,476 6,140
Krispy Kreme Doughnuts,
Inc.*..................... 821 4,606
Life Time Fitness, Inc.*..... 147 5,751
Marcus Corp. ................ 518 5,745
McCormick & Schmick's Seafood
Restaurants, Inc.*........ 720 6,574
Monarch Casino & Resort,
Inc.*..................... 529 6,062
Morgans Hotel Group Co.*..... 573 4,956
Multimedia Games, Inc.*...... 946 5,553
O'Charleys, Inc.*............ 912 5,964
Orient-Express Hotels
Ltd. -- Class A*.......... 439 5,386
P.F. Chang's China Bistro,
Inc. ..................... 123 4,932
Papa John's International,
Inc.*..................... 180 5,411
Peet's Coffee & Tea, Inc.*... 731 33,977
Pinnacle Entertainment,
Inc.*..................... 416 5,774
Red Lion Hotels Corp.*....... 686 6,002
Red Robin Gourmet Burgers,
Inc.*..................... 203 5,520
Ruby Tuesday, Inc.*.......... 439 4,614
Ruth's Hospitality Group
Inc*...................... 1,081 5,308
Scientific Games
Corp. -- Class A*......... 642 6,754
Shuffle Master, Inc.*........ 518 5,662
Sonic Corp.*................. 597 6,698
Speedway Motorsports, Inc. .. 349 5,437
Summit Hotel Properties,
Inc.*..................... 383 4,339
Texas Roadhouse, Inc. ....... 327 5,320
Vail Resorts, Inc.*.......... 113 5,536
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 307,096
-----------
HOUSEHOLD DURABLES 0.8%
American Greetings
Corp. -- Class A.......... 236 5,806
Beazer Homes USA, Inc.*...... 1,159 5,401
Blyth, Inc. ................. 169 7,967
Cavco Industries, Inc.*...... 123 5,717
CSS Industries, Inc. ........ 293 5,649
Ethan Allen Interiors,
Inc. ..................... 248 5,974
Furniture Brands
International, Inc.*...... 1,238 5,992
Helen of Troy, Ltd.*......... 192 5,975
Hooker Furniture Corp. ...... 461 5,735
Hovnanian Enterprises,
Inc. -- Class A*.......... 1,497 4,805
iRobot Corp.*................ 169 5,986
Kid Brands, Inc.*............ 754 5,512
La-Z-Boy, Inc.*.............. 597 7,021
Libbey, Inc.*................ 337 5,746
Lifetime Brands, Inc. ....... 405 6,447
M/I Homes, Inc.*............. 360 4,784
Meritage Homes Corp.*........ 225 5,380
Ryland Group, Inc. .......... 326 5,643
Sealy Corp.*................. 1,970 5,201
Skyline Corp. ............... 270 5,295
Standard Pacific Corp.*...... 1,418 5,473
Universal Electronics,
Inc.*..................... 191 5,289
-----------
TOTAL HOUSEHOLD DURABLES 126,798
-----------
HOUSEHOLD PRODUCTS 0.6%
Central Garden & Pet
Co. -- Class A*........... 597 5,982
Oil-Dri Corp. of America..... 676 14,933
Spectrum Brands Holdings,
Inc.*..................... 1,339 43,517
WD-40 Co. ................... 833 34,570
-----------
TOTAL HOUSEHOLD PRODUCTS 99,002
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.2%
Dynegy, Inc.*................ 5,504 34,895
-----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 34,895
-----------
INDUSTRIAL CONGLOMERATES 0.6%
Otter Tail Corp. ............ 1,418 33,153
Raven Industries, Inc. ...... 102 5,545
Seaboard Corp. .............. 12 28,644
Standex International
Corp. .................... 169 6,179
Tredegar Corp. .............. 676 14,791
United Capital Corp.*........ 134 3,651
-----------
TOTAL INDUSTRIAL CONGLOMERATES 91,963
-----------
INSURANCE 1.3%
Alterra Capital Holdings
Ltd. ..................... 169 3,715
American Equity Investment
Life Holding Co. ......... 293 3,768
American Safety Insurance
Holdings Ltd.*............ 180 3,665
AMERISAFE, Inc.*............. 169 3,774
Amtrust Financial Services,
Inc. ..................... 203 3,918
Argo Group International
Holdings Ltd. ............ 113 3,549
Baldwin & Lyons,
Inc. -- Class B........... 169 3,902
Citizens, Inc.*.............. 518 3,859
CNA Surety Corp.*............ 147 3,894
CNO Financial Group, Inc.*... 529 4,264
Crawford & Co. -- Class B.... 822 3,822
Delphi Financial Group,
Inc. -- Class A........... 124 3,962
Donegal Group, Inc. -- Class
A......................... 292 3,983
eHealth, Inc.*............... 293 3,985
EMC Insurance Group, Inc. ... 157 3,424
Employers Holdings, Inc. .... 181 3,649
Enstar Group Ltd.*........... 34 3,813
FBL Financial Group,
Inc. -- Class A........... 124 3,782
First American Financial
Corp. .................... 225 3,510
Flagstone Reinsurance
Holdings SA............... 439 3,692
Fortegra Financial Corp.*.... 316 3,460
FPIC Insurance Group, Inc.*.. 101 3,729
Gerova Financial Group
Ltd.*..................... 120 630
Global Indemnity PLC*........ 180 4,597
Greenlight Capital Re,
Ltd. -- Class A*.......... 135 3,800
Hallmark Financial
Services*................. 462 3,950
Harleysville Group, Inc. .... 113 3,625
Hilltop Holdings, Inc.*...... 372 3,608
Horace Mann Educators
Corp. .................... 226 4,041
Infinity Property & Casualty
Corp. .................... 67 3,960
Kansas City Life Insurance
Co. ...................... 123 3,940
Maiden Holdings Ltd. ........ 506 3,770
Meadowbrook Insurance Group,
Inc. ..................... 372 3,809
Montpelier Re Holdings
Ltd. ..................... 225 4,070
National Financial Partners
Corp.*.................... 259 4,167
National Interstate Corp. ... 191 4,295
National Western Life
Insurance Co. -- Class A.. 23 3,705
Navigators Group,
Inc.(The)*................ 78 4,043
Phoenix Cos., Inc.*.......... 1,508 4,056
Platinum Underwriters
Holdings Ltd. ............ 101 3,819
Presidential Life Corp. ..... 416 4,634
Primerica, Inc. ............. 147 3,399
ProAssurance Corp.*.......... 57 3,785
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 39
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
RLI Corp. ................... 67 $3,969
Safety Insurance Group,
Inc. ..................... 79 3,699
SeaBright Holdings, Inc. .... 372 3,802
Selective Insurance Group,
Inc. ..................... 225 3,969
State Auto Financial Corp. .. 214 3,634
Stewart Information Services
Corp. .................... 371 3,762
Tower Group, Inc. ........... 158 3,613
United Fire & Casualty Co. .. 202 4,000
Universal Insurance Holdings,
Inc. ..................... 698 3,776
-----------
TOTAL INSURANCE 197,046
-----------
INTERNET & CATALOG RETAIL 0.8%
1-800-FLOWERS.COM,
Inc. -- Class A*.......... 1,688 5,655
Blue Nile, Inc.*............. 101 5,757
drugstore.com, Inc.*......... 9,095 34,379
Gaiam, Inc. -- Class A....... 844 5,022
HSN, Inc.*................... 169 5,607
NutriSystem, Inc. ........... 394 5,926
Orbitz Worldwide, Inc.*...... 1,509 4,829
Overstock.com, Inc.*......... 348 4,837
PetMed Express, Inc. ........ 2,263 34,149
Shutterfly, Inc.*............ 112 6,895
US Auto Parts Network,
Inc.*..................... 653 5,067
Vitacost.com, Inc.*.......... 830 415
-----------
TOTAL INTERNET & CATALOG RETAIL 118,538
-----------
INTERNET SOFTWARE & SERVICES 2.0%
Ancestry.com, Inc.*.......... 157 7,175
Archipelago Learning, Inc.*.. 664 5,823
comScore, Inc.*.............. 191 5,694
Constant Contact, Inc.*...... 158 4,378
DealerTrack Holdings, Inc.*.. 259 5,817
Demand Media, Inc.*.......... 270 4,474
Dice Holdings, Inc.*......... 416 7,625
Digital River, Inc.*......... 147 4,783
EarthLink, Inc. ............. 709 5,828
Envestnet, Inc.*............. 427 5,658
GSI Commerce, Inc.*.......... 181 5,298
InfoSpace, Inc.*............. 641 5,769
Internap Network Services
Corp.*.................... 855 6,917
Internet Capital Group,
Inc.*..................... 406 5,639
IntraLinks Holdings, Inc.*... 203 6,447
j2 Global Communications,
Inc.*..................... 1,081 31,846
Keynote Systems, Inc. ....... 304 6,487
KIT Digital, Inc.*........... 473 5,444
Knot, Inc.(The)*............. 495 5,054
Limelight Networks, Inc.*.... 799 5,090
Liquidity Services, Inc.*.... 372 7,235
LivePerson, Inc.*............ 462 6,172
Local.com Corp.*............. 1,531 7,441
LogMeIn, Inc.*............... 135 5,815
LoopNet, Inc.*............... 439 8,157
Marchex, Inc. -- Class B..... 731 5,161
Mediamind Technologies,
Inc.*..................... 405 5,621
ModusLink Global Solutions,
Inc. ..................... 1,047 5,486
Move, Inc.*.................. 2,285 5,461
NIC, Inc. ................... 461 5,926
OpenTable, Inc.*............. 56 6,232
Openwave Systems, Inc.*...... 2,521 5,294
Perficient, Inc.*............ 485 6,058
QuinStreet, Inc.*............ 237 4,285
Rackspace Hosting, Inc.*..... 146 6,744
RealNetworks, Inc.*.......... 1,406 5,202
RightNow Technologies,
Inc.*..................... 169 6,115
Saba Software, Inc.*......... 619 6,283
SAVVIS, Inc.*................ 157 6,180
SPS Commerce, Inc.*.......... 383 6,285
Stamps.com, Inc. ............ 427 5,773
support.com, Inc.*........... 1,046 5,994
TechTarget, Inc.*............ 687 5,936
Travelzoo, Inc.*............. 79 6,470
United Online, Inc. ......... 877 5,788
ValueClick, Inc.*............ 372 6,231
Vocus, Inc.*................. 225 6,667
Zix Corp.*................... 1,598 5,273
-----------
TOTAL INTERNET SOFTWARE & SERVICES 310,531
-----------
IT SERVICES 1.2%
Acxiom Corp.*................ 316 4,601
CACI International,
Inc. -- Class A*.......... 90 5,500
Cardtronics, Inc.*........... 191 4,059
Cass Information Systems,
Inc. ..................... 101 4,032
Ciber, Inc.*................. 856 4,896
Computer Task Group, Inc.*... 438 6,504
CSG Systems International,
Inc.*..................... 282 5,990
Echo Global Logistics,
Inc.*..................... 506 7,038
Euronet Worldwide, Inc.*..... 202 3,787
ExlService Holdings, Inc.*... 316 6,548
Forrester Research, Inc. .... 168 6,638
Global Cash Access Holdings,
Inc.*..................... 1,171 3,864
Hackett Group, Inc.(The)*.... 1,678 7,282
Heartland Payment Systems,
Inc. ..................... 224 4,471
iGate Corp. ................. 304 5,156
Integral Systems, Inc.*...... 462 5,770
Jack Henry & Associates,
Inc. ..................... 113 3,839
Lionbridge Technologies,
Inc.*..................... 1,734 5,844
Mantech International
Corp. -- Class A*......... 135 5,925
MAXIMUS, Inc. ............... 79 6,319
MoneyGram International,
Inc.*..................... 1,182 4,681
NCI, Inc. -- Class A*........ 236 5,808
Online Resources Corp.*...... 1,036 3,958
Sapient Corp.*............... 496 6,262
SRA International,
Inc. -- Class A*.......... 192 5,950
Syntel, Inc. ................ 102 5,577
TeleTech Holdings, Inc.*..... 337 6,696
Tier Technologies, Inc.*..... 1,024 5,724
TNS, Inc.*................... 371 6,096
Unisys Corp.*................ 180 5,342
VeriFone Systems, Inc.*...... 101 5,537
Virtusa Corp.*............... 304 5,673
Wright Express Corp.*........ 78 4,394
-----------
TOTAL IT SERVICES 179,761
-----------
LEISURE EQUIPMENT & PRODUCTS 0.5%
Arctic Cat, Inc.*............ 372 6,246
Brunswick Corp. ............. 214 5,001
Callaway Golf Co. ........... 788 5,579
Eastman Kodak Co.*........... 1,509 4,195
Jakks Pacific, Inc.*......... 293 6,165
Johnson Outdoors,
Inc. -- Class A*.......... 348 5,773
Leapfrog Enterprises, Inc.*.. 1,260 5,380
Marine Products Corp.*....... 720 5,335
Polaris Industries, Inc. .... 67 7,064
Pool Corp. .................. 225 6,808
Smith & Wesson Holding
Corp.*.................... 1,542 5,567
Steinway Musical Instruments,
Inc.*..................... 248 6,200
</Table>
See Notes to Financial Statements.
40
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
Sturm Ruger & Co., Inc. ..... 247 $5,874
Summer Infant, Inc.*......... 721 6,374
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 81,561
-----------
LIFE SCIENCES TOOLS & SERVICES 0.7%
Accelrys, Inc.*.............. 742 5,617
Affymetrix, Inc.*............ 1,148 6,199
Albany Molecular Research,
Inc.*..................... 1,373 6,714
BG Medicine, Inc.*........... 686 5,227
Bruker Corp.*................ 282 5,567
Caliper Life Sciences,
Inc.*..................... 833 5,573
Cambrex Corp.*............... 1,114 5,860
Complete Genomics, Inc.*..... 653 10,761
Dionex Corp.*................ 45 5,326
Enzo Biochem, Inc.*.......... 1,407 5,614
eResearchTechnology, Inc.*... 822 5,228
Fluidigm Corp.*.............. 360 5,958
Furiex Pharmaceuticals,
Inc.*..................... 338 5,012
Kendle International, Inc.*.. 541 5,437
Luminex Corp.*............... 304 5,894
Pacific Biosciences of
California, Inc.*......... 428 5,239
PAREXEL International
Corp.*.................... 225 6,246
PURE Bioscience, Inc.*....... 3,512 4,601
Sequenom, Inc.*.............. 923 6,507
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 112,580
-----------
MACHINERY 2.8%
3D Systems Corp.*............ 124 5,173
Actuant Corp. -- Class A..... 225 6,246
Alamo Group, Inc. ........... 225 6,437
Albany International
Corp. -- Class A.......... 259 6,555
Altra Holdings, Inc.*........ 281 7,135
American Railcar Industries,
Inc.*..................... 259 7,337
Ampco-Pittsburgh Corp. ...... 529 14,214
Astec Industries, Inc.*...... 180 6,980
Badger Meter, Inc. .......... 158 5,990
Barnes Group, Inc. .......... 303 7,496
Blount International, Inc.*.. 416 6,906
Briggs & Stratton Corp. ..... 304 7,171
Cascade Corp. ............... 136 6,229
Chart Industries, Inc.*...... 123 5,979
CIRCOR International, Inc. .. 146 6,633
CLARCOR, Inc. ............... 316 14,280
Colfax Corp.*................ 281 6,140
Columbus McKinnon Corp.*..... 361 7,220
Commercial Vehicle Group,
Inc.*..................... 360 6,214
Douglas Dynamics, Inc. ...... 450 6,970
Dynamic Materials Corp. ..... 562 14,623
Energy Recovery, Inc.*....... 1,936 5,982
EnPro Industries, Inc.*...... 169 6,773
ESCO Technologies, Inc. ..... 169 6,199
Federal Signal Corp. ........ 980 6,615
Flow International Corp.*.... 1,441 6,211
Force Protection, Inc.*...... 1,272 5,711
FreightCar America, Inc.*.... 202 6,056
Gorman-Rupp Co.(The)......... 168 6,796
Graham Corp. ................ 281 6,429
Greenbrier Cos., Inc.*....... 214 5,793
John Bean Technologies
Corp. .................... 337 6,811
Kadant, Inc.*................ 248 7,651
Kaydon Corp. ................ 361 13,971
LB Foster Co. -- Class A..... 337 14,343
Lindsay Corp. ............... 79 5,792
Lydall, Inc.*................ 743 7,244
Meritor, Inc.*............... 281 4,836
Met-Pro Corp. ............... 529 6,290
Middleby Corp.*.............. 68 6,098
Miller Industries, Inc. ..... 394 6,233
Mueller Industries, Inc. .... 394 15,413
Mueller Water Products,
Inc. -- Class A........... 3,253 14,313
NACCO Industries,
Inc. -- Class A........... 57 5,998
Nordson Corp. ............... 112 6,381
PMFG, Inc.*.................. 326 7,472
RBC Bearings, Inc.*.......... 382 14,997
Robbins & Myers, Inc. ....... 135 5,868
Sauer-Danfoss, Inc.*......... 124 7,317
Sun Hydraulics Corp. ........ 157 7,299
Tecumseh Products
Co. -- Class A*........... 619 6,339
Tennant Co. ................. 157 6,440
Titan International, Inc. ... 248 7,661
Trimas Corp.*................ 293 6,801
Twin Disc, Inc. ............. 203 6,916
Wabash National Corp.*....... 552 6,089
Watts Water Technologies,
Inc. -- Class A........... 168 6,502
Xerium Technologies, Inc.*... 270 6,226
-----------
TOTAL MACHINERY 441,794
-----------
MARINE 0.3%
Baltic Trading Ltd. ......... 698 5,591
Eagle Bulk Shipping, Inc.*... 1,609 5,519
Excel Maritime Carriers
Ltd.*..................... 1,452 5,823
Genco Shipping & Trading
Ltd.*..................... 563 4,724
Horizon Lines, Inc. -- Class
A......................... 2,026 3,586
International Shipholding
Corp. .................... 258 6,189
Ultrapetrol Bahamas Ltd.*.... 1,261 6,872
-----------
TOTAL MARINE 38,304
-----------
MEDIA 1.5%
AH Belo Corp. -- ClassA*..... 652 5,425
Arbitron, Inc. .............. 146 5,647
Ascent Media Corp. -- Series
A*........................ 112 5,379
Ballantyne Strong, Inc.*..... 889 6,001
Belo Corp. -- Class A*....... 630 5,323
Carmike Cinemas, Inc.*....... 754 5,474
Cinemark Holdings, Inc. ..... 281 5,713
CKX, Inc.*................... 1,748 7,988
Crown Media Holdings,
Inc. -- Class A*.......... 2,274 4,980
Cumulus Media, Inc. -- Class
A*........................ 1,227 5,706
Dex One Corp.*............... 1,024 4,301
E.W. Scripps Co.(The)*....... 562 5,339
Entercom Communications
Corp. -- Class A*......... 518 5,475
Entravision Communications
Corp. -- Class A*......... 2,218 5,234
Fisher Communications,
Inc.*..................... 180 5,445
Global Sources Ltd.*......... 574 7,026
Gray Television, Inc.*....... 2,566 7,159
Harte-Hanks, Inc. ........... 451 4,190
Journal Communications,
Inc. -- Class A*.......... 945 5,150
Knology, Inc.*............... 427 6,512
Lee Enterprises, Inc.*....... 2,026 2,897
LIN TV Corp. -- Class A*..... 923 4,938
Lions Gate Entertainment
Corp.*.................... 889 5,636
Live Nation Entertainment,
Inc.*..................... 541 6,000
LodgeNet Interactive Corp.*.. 1,508 5,293
Martha Stewart Living
Omnimedia -- Class A*..... 1,441 5,375
McClatchy Co.(The) -- Class
A*........................ 1,519 4,344
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 41
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
Media General, Inc. -- Class
A*........................ 833 $4,490
National CineMedia, Inc. .... 315 5,494
Nexstar Broadcasting Group,
Inc. -- Class A*.......... 675 5,629
Outdoor Channel Holdings,
Inc.*..................... 743 5,312
PRIMEDIA, Inc. .............. 1,125 5,512
Radio One, Inc. -- Class D*.. 2,836 8,253
ReachLocal, Inc.*............ 270 6,275
Rentrak Corp.*............... 203 4,657
Scholastic Corp. ............ 203 5,335
Sinclair Broadcast Group,
Inc. -- Class A........... 450 5,171
SuperMedia, Inc.*............ 755 3,881
Valassis Communications,
Inc.*..................... 191 5,507
Warner Music Group Corp.*.... 934 6,977
Westwood One, Inc.*.......... 788 5,492
World Wrestling
Entertainment,
Inc. -- Class A........... 427 4,488
-----------
TOTAL MEDIA 230,423
-----------
METALS & MINING 2.3%
Allied Nevada Gold Corp.*.... 416 17,913
AM Castle & Co.*............. 338 6,381
AMCOL International Corp. ... 406 15,111
Century Aluminum Co.*........ 776 15,505
Coeur d'Alene Mines Corp.*... 416 13,191
General Moly, Inc.*.......... 2,723 13,942
Globe Specialty Metals,
Inc. ..................... 630 14,181
Golden Star Resources Ltd.*.. 4,749 15,434
Haynes International, Inc. .. 270 14,591
Hecla Mining Co.*............ 1,587 14,934
Horsehead Holding Corp.*..... 856 13,499
Jaguar Mining, Inc.*......... 2,690 15,037
Kaiser Aluminum Corp. ....... 282 14,131
Materion Corp.*.............. 338 14,115
Metals USA Holdings Corp.*... 877 14,909
Molycorp, Inc.*.............. 248 18,178
Noranda Aluminum Holding
Corp.*.................... 924 15,699
Olympic Steel, Inc. ......... 450 13,217
RTI International Metals,
Inc.*..................... 462 14,756
Stillwater Mining Co.*....... 642 14,644
Thompson Creek Metals Co,
Inc.*..................... 1,115 13,748
Universal Stainless &
Alloy*.................... 438 15,878
US Energy Corp. Wyoming*..... 2,262 12,939
US Gold Corp.*............... 1,688 15,867
Worthington Industries,
Inc. ..................... 709 15,293
-----------
TOTAL METALS & MINING 363,093
-----------
MULTI-UTILITIES 0.9%
Avista Corp. ................ 1,385 33,725
Black Hills Corp. ........... 968 33,638
CH Energy Group, Inc. ....... 642 34,424
NorthWestern Corp. .......... 1,081 35,186
-----------
TOTAL MULTI-UTILITIES 136,973
-----------
MULTILINE RETAIL 0.3%
99 Cents Only Stores*........ 281 5,665
Bon-Ton Stores, Inc.(The).... 350 4,858
Dillard's, Inc. -- Class A... 136 6,531
Fred's, Inc. -- Class A...... 416 5,807
Gordmans Stores, Inc.*....... 327 6,144
Retail Ventures, Inc.*....... 326 6,693
Saks, Inc.*.................. 484 5,789
Tuesday Morning Corp.*....... 1,137 5,685
-----------
TOTAL MULTILINE RETAIL 47,172
-----------
OIL, GAS & CONSUMABLE FUELS 7.3%
Abraxas Petroleum Corp.*..... 3,241 16,464
Amyris, Inc.*................ 597 15,779
Apco Oil and Gas
International, Inc. ...... 202 18,261
Approach Resources, Inc.*.... 540 15,898
ATP Oil & Gas Corp.*......... 867 15,415
Berry Petroleum Co. -- Class
A......................... 337 17,905
Bill Barrett Corp.*.......... 427 17,819
BPZ Resources, Inc.*......... 3,096 14,737
Brigham Exploration Co.*..... 450 15,089
Callon Petroleum Co.*........ 2,173 14,885
Carrizo Oil & Gas, Inc.*..... 461 18,366
Cheniere Energy, Inc.*....... 1,800 16,344
Clayton Williams Energy,
Inc.*..................... 158 14,310
Clean Energy Fuels Corp.*.... 1,125 19,170
Cloud Peak Energy, Inc.*..... 776 16,156
Contango Oil & Gas Co.*...... 271 16,780
Crosstex Energy, Inc. ....... 1,621 17,102
CVR Energy, Inc.*............ 732 16,272
Delek US Holdings, Inc. ..... 1,284 17,244
Delta Petroleum Corp.*....... 17,817 14,915
DHT Holdings, Inc. .......... 1,328 5,750
Endeavour International
Corp.*.................... 1,407 20,401
Energy Partners Ltd.*........ 912 16,608
Energy XXI (Bermuda) Ltd.*... 495 17,944
Evolution Petroleum Corp.*... 2,150 17,049
FX Energy, Inc.*............. 2,026 16,633
Gastar Exploration Ltd.*..... 3,500 15,750
General Maritime Corp. ...... 3,051 6,529
Georesources, Inc.*.......... 563 16,338
GMX Resources, Inc.*......... 2,858 16,805
Golar LNG Ltd. .............. 663 21,587
Goodrich Petroleum Corp.*.... 742 16,673
Green Plains Renewable
Energy, Inc.*............. 1,385 17,340
Gulfport Energy Corp.*....... 473 16,101
Harvest Natural Resources,
Inc.*..................... 1,080 14,926
Houston American Energy
Corp. .................... 1,092 20,082
International Coal Group,
Inc.*..................... 1,497 16,512
James River Coal Co.*........ 686 15,998
Knightsbridge Tankers Ltd. .. 248 5,553
Kodiak Oil & Gas Corp.*...... 2,387 16,757
L&L Energy, Inc.*............ 2,330 16,194
Magnum Hunter Resources
Corp.*.................... 2,128 17,364
McMoRan Exploration Co.*..... 911 16,680
Miller Energy Resources,
Inc.*..................... 3,297 19,024
Nordic American Tanker
Shipping Ltd. ............ 248 5,699
Northern Oil and Gas, Inc.*.. 619 14,707
Oasis Petroleum, Inc.*....... 541 16,625
Overseas Shipholding Group,
Inc. ..................... 202 5,628
Panhandle Oil and Gas,
Inc. -- Class A........... 529 16,008
Patriot Coal Corp.*.......... 653 16,443
Penn Virginia Corp. ......... 990 15,305
Petroleum Development
Corp.*.................... 348 13,857
Petroquest Energy, Inc.*..... 1,744 15,277
RAM Energy Resources, Inc.*.. 8,070 16,624
Rentech, Inc.*............... 11,165 12,393
Resolute Energy Corp.*....... 911 16,116
Rex Energy Corp.*............ 1,441 18,488
Rosetta Resources, Inc.*..... 360 16,535
Scorpio Tankers, Inc.*....... 619 7,286
Ship Finance International
Ltd. ..................... 304 6,077
Stone Energy Corp.*.......... 529 18,705
Swift Energy Co.*............ 394 15,441
Syntroleum Corp.*............ 7,440 15,252
Targa Resources Corp. ....... 462 16,179
</Table>
See Notes to Financial Statements.
42
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
Teekay Tankers Ltd. -- Class
A......................... 642 $6,035
TransAtlantic Petroleum
Ltd.*..................... 5,526 14,533
Uranium Energy Corp.*........ 3,546 12,340
USEC, Inc.*.................. 3,590 16,442
Vaalco Energy, Inc.*......... 2,138 14,902
Venoco, Inc.*................ 968 17,995
W&T Offshore, Inc. .......... 765 20,510
Warren Resources, Inc.*...... 3,297 14,935
Western Refining, Inc.*...... 968 16,417
World Fuel Services Corp. ... 405 16,030
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 1,138,293
-----------
PAPER & FOREST PRODUCTS 0.8%
Buckeye Technologies, Inc. .. 540 15,207
Clearwater Paper Corp.*...... 180 14,126
Deltic Timber Corp. ......... 225 15,255
KapStone Paper and Packaging
Corp.*.................... 821 14,269
Louisiana-Pacific Corp.*..... 1,384 12,871
Neenah Paper, Inc. .......... 698 16,284
PH Glatfelter Co. ........... 1,125 15,300
Schweitzer-Mauduit
International, Inc. ...... 282 14,619
Wausau Paper Corp. .......... 1,891 12,764
-----------
TOTAL PAPER & FOREST PRODUCTS 130,695
-----------
PERSONAL PRODUCTS 0.7%
Elizabeth Arden, Inc.*....... 180 5,411
Inter Parfums, Inc. ......... 304 5,785
Medifast, Inc.*.............. 1,868 36,893
Nu Skin Enterprises,
Inc. -- Class A........... 191 6,129
Prestige Brands Holdings,
Inc.*..................... 495 5,717
Revlon, Inc. -- Class A*..... 361 6,216
USANA Health Sciences,
Inc.*..................... 1,035 38,606
-----------
TOTAL PERSONAL PRODUCTS 104,757
-----------
PHARMACEUTICALS 1.6%
Aegerion Pharmaceuticals,
Inc.*..................... 315 6,215
Akorn, Inc.*................. 1,025 6,785
Alexza Pharmaceuticals,
Inc.*..................... 3,387 5,453
Aoxing Pharmaceutical Co,
Inc.*..................... 3,286 6,408
Ardea Biosciences, Inc.*..... 203 5,755
Auxilium Pharmaceuticals,
Inc.*..................... 259 6,309
AVANIR Pharmaceuticals,
Inc. -- Class A*.......... 1,474 6,441
Biodel, Inc.*................ 2,757 6,093
BioMimetic Therapeutics,
Inc.*..................... 450 6,062
Cadence Pharmaceuticals,
Inc.*..................... 619 5,249
Caraco Pharmaceutical
Laboratories, Ltd.*....... 1,080 5,648
Corcept Therapeutics, Inc.*.. 1,328 5,843
Cornerstone Therapeutics,
Inc.*..................... 856 5,983
Cumberland Pharmaceuticals,
Inc.*..................... 1,046 5,272
Depomed, Inc.*............... 608 5,369
Durect Corp.*................ 1,587 5,920
Endocyte, Inc.*.............. 698 8,481
Hi-Tech Pharmacal Co.,
Inc.*..................... 259 7,164
Impax Laboratories, Inc.*.... 225 6,160
Inspire Pharmaceuticals,
Inc.*..................... 1,463 7,300
Jazz Pharmaceuticals, Inc.*.. 191 6,095
Lannett Co., Inc.*........... 1,014 5,851
MAP Pharmaceuticals, Inc.*... 394 6,075
Medicines Co.(The)*.......... 349 5,479
Medicis Pharmaceutical
Corp. -- Class A.......... 180 6,383
Nektar Therapeutics*......... 642 6,664
Neostem, Inc.*............... 3,309 6,552
Obagi Medical Products,
Inc.*..................... 450 5,774
Optimer Pharmaceuticals,
Inc.*..................... 451 5,696
Pain Therapeutics, Inc.*..... 652 6,201
Par Pharmaceutical Cos.,
Inc.*..................... 180 6,199
Pozen, Inc.*................. 1,069 6,671
Questcor Pharmaceuticals,
Inc.*..................... 416 8,528
Salix Pharmaceuticals Ltd.*.. 169 6,640
Santarus, Inc.*.............. 1,744 5,424
Somaxon Pharmaceuticals,
Inc.*..................... 2,026 5,470
Sucampo Pharmaceuticals,
Inc. -- Class A*.......... 1,396 6,254
SuperGen, Inc.*.............. 1,857 5,032
ViroPharma, Inc.*............ 292 5,633
Vivus, Inc.*................. 901 7,010
XenoPort, Inc.*.............. 901 7,370
-----------
TOTAL PHARMACEUTICALS 254,911
-----------
PROFESSIONAL SERVICES 1.1%
Acacia Research -- Acacia
Technologies*............. 169 6,948
Advisory Board Co.(The)*..... 124 5,793
Barrett Business Services,
Inc. ..................... 393 6,335
CBIZ, Inc.*.................. 878 6,436
CDI Corp. ................... 439 6,506
Corporate Executive Board
Co.(The).................. 158 6,296
CoStar Group, Inc.*.......... 102 6,938
CRA International, Inc.*..... 226 6,430
Dolan Co.(The)*.............. 461 5,426
Exponent, Inc.*.............. 146 6,265
Franklin Covey Co.*.......... 664 6,122
GP Strategies Corp.*......... 462 6,047
Heidrick & Struggles
International, Inc. ...... 237 5,546
Hill International, Inc.*.... 1,126 5,709
Huron Consulting Group,
Inc.*..................... 237 6,826
ICF International, Inc.*..... 303 7,381
Insperity, Inc. ............. 214 6,482
Kelly Services, Inc. -- Class
A*........................ 304 5,809
Kforce, Inc.*................ 360 5,634
Korn/Ferry International*.... 293 6,068
Mistras Group, Inc.*......... 361 6,613
Navigant Consulting, Inc.*... 664 7,736
On Assignment, Inc.*......... 709 7,778
Resources Connection, Inc. .. 338 4,999
School Specialty, Inc.*...... 371 5,494
SFN Group, Inc.*............. 473 4,981
TrueBlue, Inc.*.............. 394 5,547
VSE Corp. ................... 214 6,033
-----------
TOTAL PROFESSIONAL SERVICES 174,178
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 2.6%
Acadia Realty Trust.......... 202 4,212
Agree Realty Corp. .......... 169 3,953
Alexander's, Inc. ........... 11 4,832
American Assets Trust,
Inc. ..................... 180 3,974
American Campus Communities,
Inc. ..................... 113 3,972
American Capital Agency
Corp. .................... 134 3,901
Anworth Mortgage Asset
Corp. .................... 540 3,877
Apollo Commercial Real Estate
Finance, Inc. ............ 225 3,676
Ashford Hospitality Trust,
Inc. ..................... 360 4,489
Associated Estates Realty
Corp. .................... 247 4,110
BioMed Realty Trust, Inc. ... 203 4,027
Campus Crest Communities,
Inc. ..................... 338 3,995
CapLease, Inc. .............. 652 3,651
Capstead Mortgage Corp. ..... 282 3,734
CBL & Associates Properties,
Inc. ..................... 225 4,178
Cedar Shopping Centers,
Inc. ..................... 642 3,788
Chatham Lodging Trust........ 236 3,811
Chesapeake Lodging Trust..... 224 4,028
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 43
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
Cogdell Spencer, Inc. ....... 652 $3,945
Colonial Properties Trust.... 203 4,295
Colony Financial, Inc. ...... 191 3,568
Coresite Realty Corp. ....... 236 3,726
Cousins Properties, Inc. .... 473 4,257
CreXus Investment Corp. ..... 315 3,673
Cypress Sharpridge
Investments, Inc. ........ 293 3,619
DCT Industrial Trust, Inc. .. 720 4,183
DiamondRock Hospitality
Co. ...................... 349 4,202
DuPont Fabros Technology,
Inc. ..................... 157 3,840
Dynex Capital, Inc. ......... 371 3,665
EastGroup Properties, Inc. .. 90 4,145
Education Realty Trust,
Inc. ..................... 484 4,119
Entertainment Properties
Trust..................... 79 3,761
Equity Lifestyle Properties,
Inc. ..................... 68 4,068
Equity One, Inc. ............ 203 4,023
Excel Trust, Inc. ........... 326 3,879
Extra Space Storage, Inc. ... 191 4,135
FelCor Lodging Trust, Inc.*.. 585 3,721
First Industrial Realty
Trust, Inc.*.............. 337 4,219
First Potomac Realty Trust... 248 4,025
Franklin Street Properties
Corp. .................... 270 3,818
Getty Realty Corp. .......... 168 4,269
Gladstone Commercial Corp. .. 203 3,703
Glimcher Realty Trust........ 427 4,078
Government Properties Income
Trust..................... 146 4,003
Hatteras Financial Corp. .... 135 3,835
Healthcare Realty Trust,
Inc. ..................... 169 3,860
Hersha Hospitality Trust..... 641 3,808
Highwoods Properties, Inc. .. 112 4,133
Home Properties, Inc. ....... 67 4,248
Hudson Pacific Properties,
Inc. ..................... 270 4,045
Inland Real Estate Corp. .... 405 3,957
Invesco Mortgage Capital,
Inc. ..................... 169 3,843
Investors Real Estate Trust.. 406 3,820
iStar Financial, Inc.*....... 417 4,012
Kilroy Realty Corp. ......... 101 4,236
Kite Realty Group Trust...... 754 3,921
LaSalle Hotel Properties..... 146 4,108
Lexington Realty Trust....... 416 4,152
LTC Properties, Inc. ........ 135 3,972
Medical Properties Trust,
Inc. ..................... 337 4,159
MFA Financial, Inc. ......... 461 3,679
Mid-America Apartment
Communities, Inc. ........ 57 3,810
Mission West Properties,
Inc. ..................... 574 4,408
Monmouth Real Estate
Investment Corp. -- Class
A......................... 472 3,946
MPG Office Trust, Inc.*...... 1,104 3,676
National Health Investors,
Inc. ..................... 79 3,842
National Retail Properties,
Inc. ..................... 147 3,872
Newcastle Investment Corp.*.. 620 3,912
NorthStar Realty Finance
Corp. .................... 732 3,697
Omega Healthcare Investors,
Inc. ..................... 169 3,880
One Liberty Properties,
Inc. ..................... 258 4,002
Parkway Properties, Inc. .... 225 4,034
Pebblebrook Hotel Trust...... 180 3,861
Pennsylvania Real Estate
Investment Trust.......... 271 4,279
Pennymac Mortgage Investment
Trust..................... 203 3,719
Post Properties, Inc. ....... 101 4,101
Potlatch Corp. .............. 101 3,908
PS Business Parks, Inc. ..... 67 4,037
RAIT Financial Trust......... 1,553 3,789
Ramco-Gershenson Properties
Trust..................... 303 3,906
Redwood Trust, Inc. ......... 237 3,752
Resource Capital Corp. ...... 541 3,506
Retail Opportunity
Investments Corp. ........ 349 3,940
Sabra Health Care REIT,
Inc. ..................... 214 3,599
Saul Centers, Inc. .......... 90 3,941
Sovran Self Storage, Inc. ... 101 4,321
Starwood Property Trust,
Inc. ..................... 168 3,829
Strategic Hotels & Resorts,
Inc.*..................... 608 4,147
Sun Communities, Inc. ....... 112 4,310
Sunstone Hotel Investors,
Inc.*..................... 371 3,881
Tanger Factory Outlet
Centers................... 146 4,034
Terreno Realty Corp. ........ 225 3,816
Two Harbors Investment
Corp. .................... 360 3,766
U-Store-It Trust............. 371 4,215
UMH Properties, Inc. ........ 383 3,960
Universal Health Realty
Income Trust.............. 101 4,354
Urstadt Biddle Properties,
Inc. -- Class A........... 202 3,975
Walter Investment Management
Corp. .................... 225 4,009
Washington Real Estate
Investment Trust.......... 124 4,018
Winthrop Realty Trust........ 315 3,821
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 396,808
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.1%
Avatar Holdings, Inc.*....... 180 3,240
Consolidated-Tomoka Land
Co. ...................... 113 3,495
Forestar Group, Inc.*........ 203 3,993
Kennedy-Wilson Holdings,
Inc.*..................... 349 3,996
Tejon Ranch Co.*............. 102 3,635
Thomas Properties Group,
Inc.*..................... 1,126 4,043
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 22,402
-----------
ROAD & RAIL 0.8%
Amerco, Inc.*................ 56 5,696
Arkansas Best Corp. ......... 248 5,706
Avis Budget Group, Inc.*..... 293 5,555
Celadon Group, Inc.*......... 405 5,982
Dollar Thrifty Automotive
Group, Inc.*.............. 79 5,445
Genesee & Wyoming,
Inc. -- Class A*.......... 112 6,942
Heartland Express, Inc. ..... 371 6,400
Knight Transportation,
Inc. ..................... 327 5,889
Marten Transport, Ltd. ...... 293 6,552
Old Dominion Freight Line,
Inc.*..................... 180 6,736
PAM Transportation Services,
Inc.*..................... 529 6,015
Patriot Transportation
Holding, Inc.*............ 237 5,975
Quality Distribution, Inc.*.. 529 6,295
RailAmerica, Inc.*........... 371 6,314
Roadrunner Transportation
Systems, Inc.*............ 427 6,016
Saia, Inc.*.................. 393 6,524
Universal Truckload Services,
Inc.*..................... 372 5,893
USA Truck, Inc.*............. 484 6,026
Werner Enterprises, Inc. .... 248 6,490
-----------
TOTAL ROAD & RAIL 116,451
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.6%
Advanced Analogic
Technologies, Inc.*....... 1,497 6,377
Advanced Energy Industries,
Inc.*..................... 394 5,575
Alpha & Omega Semiconductor
Ltd.*..................... 438 6,211
Amkor Technology, Inc.*...... 810 5,427
Anadigics, Inc.*............. 1,192 4,661
Applied Micro Circuits
Corp.*.................... 552 5,785
ATMI, Inc.*.................. 304 6,053
Axcelis Technologies, Inc.*.. 2,161 4,041
AXT, Inc.*................... 776 5,424
Brooks Automation, Inc.*..... 428 5,234
Cabot Microelectronics
Corp.*.................... 281 13,727
</Table>
See Notes to Financial Statements.
44
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
Cavium Networks, Inc.*....... 135 $6,375
CEVA, Inc.*.................. 214 6,544
Cirrus Logic, Inc.*.......... 259 4,289
Cohu, Inc. .................. 372 5,360
Cymer, Inc.*................. 101 4,859
Diodes, Inc.*................ 169 5,783
DSP Group, Inc.*............. 709 5,729
Entegris, Inc.*.............. 652 5,627
Entropic Communications,
Inc.*..................... 687 6,018
Exar Corp.*.................. 923 5,639
FEI Co.*..................... 169 5,486
Formfactor, Inc.*............ 529 5,486
FSI International, Inc.*..... 1,261 5,801
GSI Technology, Inc.*........ 619 5,515
Hittite Microwave Corp.*..... 90 5,795
Ikanos Communications,
Inc.*..................... 4,717 5,943
Inphi Corp.*................. 270 5,827
Integrated Device Technology,
Inc.*..................... 754 6,134
Integrated Silicon Solution,
Inc.*..................... 596 5,757
IXYS Corp.*.................. 428 6,788
Kopin Corp.*................. 1,249 6,008
Kulicke & Soffa Industries,
Inc.*..................... 585 5,300
Lattice Semiconductor
Corp.*.................... 900 6,111
LTX-Credence Corp.*.......... 630 5,462
Mattson Technology, Inc.*.... 2,387 5,538
MaxLinear, Inc. -- Class A*.. 709 6,657
Micrel, Inc. ................ 417 5,342
Microsemi Corp.*............. 281 6,632
Mindspeed Technologies,
Inc.*..................... 675 6,088
MIPS Technologies, Inc.*..... 496 4,127
MKS Instruments, Inc. ....... 169 4,796
Monolithic Power Systems,
Inc.*..................... 394 6,690
MoSys, Inc.*................. 957 5,924
Nanometrics, Inc.*........... 326 5,271
Netlogic Microsystems,
Inc.*..................... 135 5,823
NVE Corp.*................... 101 5,955
Omnivision Technologies,
Inc.*..................... 168 5,645
PDF Solutions, Inc.*......... 822 5,195
Pericom Semiconductor
Corp.*.................... 552 5,018
Photronics, Inc.*............ 631 5,509
PLX Technology, Inc.*........ 1,543 5,292
Power Integrations, Inc. .... 146 5,890
RF Micro Devices, Inc.*...... 867 5,774
Rubicon Technology, Inc.*.... 213 6,073
Rudolph Technologies, Inc.*.. 540 6,107
Semtech Corp.*............... 226 6,344
Sigma Designs, Inc.*......... 438 5,589
Silicon Image, Inc.*......... 563 4,684
Spansion, Inc. -- Class A*... 292 5,752
Standard Microsystems
Corp.*.................... 226 6,136
Supertex, Inc.*.............. 258 5,570
Tessera Technologies, Inc.*.. 304 6,007
Trident Microsystems, Inc.*.. 5,166 5,218
TriQuint Semiconductor,
Inc.*..................... 427 5,880
Ultra Clean Holdings*........ 574 6,595
Ultratech, Inc.*............. 225 7,045
Veeco Instruments, Inc.*..... 112 5,727
Volterra Semiconductor
Corp.*.................... 226 5,941
Zoran Corp.*................. 540 5,654
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 407,639
-----------
SOFTWARE 2.6%
ACI Worldwide, Inc.*......... 169 5,584
Actuate Corp.*............... 1,159 6,757
Advent Software, Inc.*....... 135 3,676
American Software,
Inc. -- Class A........... 776 6,037
Ariba, Inc.*................. 168 5,841
Aspen Technology, Inc.*...... 371 5,561
Blackbaud, Inc. ............. 213 5,892
Blackboard, Inc.*............ 147 7,072
Bottomline Technologies,
Inc.*..................... 236 6,556
BroadSoft, Inc.*............. 124 5,636
CDC Corp. -- Class A*........ 2,037 6,518
CommVault Systems, Inc.*..... 146 5,751
Concur Technologies, Inc.*... 101 5,845
Convio, Inc.*................ 473 5,790
Deltek, Inc.*................ 731 5,483
DemandTec, Inc.*............. 439 4,860
Digimarc Corp.*.............. 202 5,452
Ebix, Inc.*.................. 259 5,918
Epicor Software Corp.*....... 518 6,475
EPIQ Systems, Inc. .......... 405 5,763
ePlus, Inc.*................. 214 5,917
Fair Isaac Corp. ............ 124 3,705
FalconStor Software, Inc.*... 1,227 5,227
Fortinet, Inc.*.............. 135 6,574
Guidance Software, Inc.*..... 653 5,217
Interactive Intelligence,
Inc.*..................... 147 5,501
JDA Software Group, Inc.*.... 191 6,259
Kenexa Corp.*................ 214 6,296
Lawson Software, Inc.*....... 472 5,225
Magma Design Automation,
Inc.*..................... 833 5,298
Manhattan Associates, Inc.*.. 169 6,109
Mentor Graphics Corp.*....... 361 5,325
MicroStrategy, Inc. -- Class
A*........................ 45 6,359
Monotype Imaging Holdings,
Inc.*..................... 405 5,508
Motricity, Inc.*............. 361 4,823
Netscout Systems, Inc.*...... 213 5,451
NetSuite, Inc.*.............. 191 6,611
Opnet Technologies, Inc. .... 146 5,717
Parametric Technology
Corp.*.................... 248 6,019
Pegasystems, Inc. ........... 157 5,829
Progress Software Corp.*..... 191 5,663
PROS Holdings, Inc.*......... 393 6,162
QAD, Inc. -- Class A*........ 541 5,908
QLIK Technologies, Inc.*..... 225 7,213
Quest Software, Inc.*........ 225 5,796
Radiant Systems, Inc.*....... 304 6,056
RealD, Inc.*................. 225 6,543
RealPage, Inc.*.............. 203 6,476
Renaissance Learning, Inc. .. 473 5,671
Rosetta Stone, Inc.*......... 416 5,857
S1 Corp.*.................... 585 4,019
Smith Micro Software, Inc.*.. 608 4,694
SolarWinds, Inc.*............ 237 5,743
Sourcefire, Inc.*............ 214 5,697
SRS Labs, Inc.*.............. 608 4,955
SS&C Technologies Holdings,
Inc.*..................... 271 5,528
SuccessFactors, Inc.*........ 146 5,062
Synchronoss Technologies,
Inc.*..................... 169 5,452
Take-Two Interactive
Software, Inc.*........... 360 5,825
Taleo Corp. -- Class A*...... 158 5,731
TeleCommunication Systems,
Inc. -- Class A*.......... 1,351 6,228
TeleNav, Inc.*............... 495 6,722
THQ, Inc.*................... 1,148 4,638
TIBCO Software, Inc.*........ 214 6,418
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 45
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONTINUED)
TiVo, Inc.*.................. 630 $6,029
Tyler Technologies, Inc.*.... 236 5,850
Ultimate Software Group,
Inc.*..................... 91 5,096
VASCO Data Security
International, Inc.*...... 472 5,824
VirnetX Holding Corp. ....... 337 8,543
Wave Systems Corp. -- Class
A*........................ 1,733 5,528
Websense, Inc.*.............. 247 6,370
-----------
TOTAL SOFTWARE 410,734
-----------
SPECIALTY RETAIL 2.4%
America's Car-Mart, Inc.*.... 213 5,214
Ann, Inc.*................... 202 6,304
Asbury Automotive Group,
Inc.*..................... 293 5,069
Ascena Retail Group, Inc.*... 169 5,288
Barnes & Noble, Inc. ........ 562 6,176
Bebe Stores, Inc. ........... 957 6,431
Big 5 Sporting Goods Corp. .. 472 5,640
Body Central Corp.*.......... 237 5,731
Brown Shoe Co., Inc. ........ 461 5,832
Buckle, Inc.(The)............ 146 6,642
Build-A-Bear Workshop,
Inc.*..................... 889 5,450
Cabela's, Inc.*.............. 224 5,721
Casual Male Retail Group,
Inc.*..................... 1,137 4,798
Cato Corp.(The) -- Class A... 225 5,740
Charming Shoppes, Inc.*...... 1,351 6,120
Children's Place Retail
Stores, Inc.(The)*........ 112 5,955
Christopher & Banks Corp. ... 856 5,264
Citi Trends, Inc.*........... 237 5,276
Coldwater Creek, Inc.*....... 2,296 7,003
Collective Brands, Inc.*..... 259 5,439
Conn's, Inc.*................ 1,159 7,591
Destination Maternity
Corp. .................... 248 5,796
DSW, Inc. -- Class A*........ 136 6,457
Express, Inc. ............... 292 6,304
Finish Line,
Inc.(The) -- Class A...... 292 6,275
Genesco, Inc.*............... 146 5,896
Group 1 Automotive, Inc. .... 135 5,810
Haverty Furniture Cos.,
Inc. ..................... 427 5,594
hhgregg, Inc.*............... 405 5,006
Hibbett Sports, Inc.*........ 158 5,969
Hot Topic, Inc. ............. 912 6,120
JOS A Bank Clothiers, Inc.*.. 113 5,923
Kirkland's, Inc.*............ 360 5,432
Lithia Motors, Inc. -- Class
A......................... 394 7,167
Lumber Liquidators Holdings,
Inc.*..................... 214 5,553
MarineMax, Inc.*............. 597 5,707
Men's Wearhouse, Inc.(The)... 203 5,662
Midas, Inc.*................. 653 4,747
Monro Muffler, Inc. ......... 169 5,134
New York & Co., Inc.*........ 811 4,980
OfficeMax, Inc.*............. 428 4,263
Pacific Sunwear of
California, Inc.*......... 1,588 5,066
Penske Automotive Group,
Inc.*..................... 281 6,317
PEP Boys-Manny Moe & Jack.... 439 6,014
Pier 1 Imports, Inc.*........ 563 6,857
Rent-A-Center, Inc. ......... 158 4,811
Rex American Resources
Corp.*.................... 1,125 19,440
Rue21, Inc.*................. 191 5,753
Sally Beauty Holdings,
Inc.*..................... 405 5,990
Select Comfort Corp.*........ 461 7,316
Shoe Carnival, Inc.*......... 191 5,591
Sonic Automotive,
Inc. -- Class A........... 394 5,555
Stage Stores, Inc. .......... 292 5,624
Stein Mart, Inc. ............ 552 6,006
Systemax, Inc.*.............. 405 5,245
Talbots, Inc.*............... 889 4,783
Ulta Salon Cosmetics &
Fragrance, Inc.*.......... 113 6,011
Vitamin Shoppe, Inc.*........ 158 6,165
West Marine, Inc.*........... 530 5,766
Wet Seal, Inc.(The) -- Class
A*........................ 1,351 5,944
Winmark Corp. ............... 124 5,172
Zumiez, Inc.*................ 236 6,634
-----------
TOTAL SPECIALTY RETAIL 372,539
-----------
TEXTILES, APPAREL & LUXURY GOODS 1.3%
Carter's, Inc.*.............. 192 5,937
Cherokee, Inc. .............. 315 6,111
Columbia Sportswear Co. ..... 91 6,187
CROCS, Inc.*................. 315 6,335
Deckers Outdoor Corp.*....... 67 5,686
Delta Apparel, Inc.*......... 383 6,775
G-III Apparel Group, Ltd.*... 158 7,088
Iconix Brand Group, Inc.*.... 271 6,637
Joe's Jeans, Inc.*........... 5,639 5,521
Jones Group, Inc.(The)....... 417 5,684
K-Swiss, Inc. -- Class A*.... 529 6,512
Kenneth Cole Productions,
Inc. -- Class A*.......... 427 5,752
Lacrosse Footwear, Inc. ..... 293 4,870
Liz Claiborne, Inc.*......... 1,036 6,516
Maidenform Brands, Inc.*..... 202 6,395
Movado Group, Inc. .......... 383 6,392
Oxford Industries, Inc. ..... 225 7,729
Perry Ellis International,
Inc.*..................... 213 6,002
Quiksilver, Inc.*............ 1,249 5,433
RG Barry Corp. .............. 439 5,373
Skechers U.S.A.,
Inc. -- Class A*.......... 282 5,372
Steven Madden, Ltd.*......... 123 6,538
Timberland Co.(The) -- Class
A*........................ 146 6,598
True Religion Apparel,
Inc.*..................... 237 7,162
Under Armour, Inc. -- Class
A*........................ 79 5,408
Unifi, Inc.*................. 867 14,149
UniFirst Corp. .............. 113 5,849
Vera Bradley, Inc.*.......... 135 6,566
Volcom, Inc. ................ 304 5,998
Warnaco Group, Inc.(The)*.... 101 6,500
Weyco Group, Inc. ........... 225 5,456
Wolverine World Wide, Inc. .. 157 6,230
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 204,761
-----------
THRIFTS & MORTGAGE FINANCE 1.0%
Abington Bancorp, Inc. ...... 326 3,951
Astoria Financial Corp. ..... 270 3,907
Bank Mutual Corp. ........... 901 3,685
BankFinancial Corp. ......... 417 3,811
Beneficial Mutual Bancorp,
Inc.*..................... 428 3,694
Berkshire Hills Bancorp,
Inc. ..................... 180 4,014
BofI Holding, Inc.*.......... 248 4,166
Brookline Bancorp, Inc. ..... 371 3,421
Clifton Savings Bancorp,
Inc. ..................... 316 3,621
Dime Community Bancshares,
Inc. ..................... 259 4,004
ESB Financial Corp. ......... 259 4,395
ESSA Bancorp, Inc. .......... 293 3,677
Federal Agricultural Mortgage
Corp. -- Class C.......... 203 3,847
First Financial Holdings,
Inc. ..................... 361 3,964
Flagstar Bancorp, Inc.*...... 2,544 3,969
Flushing Financial Corp. .... 248 3,651
Fox Chase Bancorp, Inc. ..... 271 3,699
</Table>
See Notes to Financial Statements.
46
RYDEX RUSSELL 2000(R) EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
------------------------------------------------------
COMMON STOCKS (CONCLUDED)
Home Federal Bancorp, Inc. .. 326 $3,961
Kaiser Federal Financial
Group, Inc. .............. 304 3,818
Kearny Financial Corp. ...... 393 3,761
Meridian Interstate Bancorp,
Inc.*..................... 270 3,769
MGIC Investment Corp.*....... 428 3,707
NASB Financial, Inc.*........ 236 3,642
Northwest Bancshares, Inc. .. 304 3,827
OceanFirst Financial Corp. .. 293 4,249
Ocwen Financial Corp.*....... 361 4,321
Oritani Financial Corp. ..... 293 3,592
PMI Group, Inc.(The)*........ 1,328 2,868
Provident Financial Services,
Inc. ..................... 259 3,761
Provident New York Bancorp... 371 3,480
Radian Group, Inc. .......... 540 3,202
Rockville Financial, Inc. ... 360 3,575
Roma Financial Corp. ........ 348 3,675
Territorial Bancorp, Inc. ... 192 3,853
TrustCo Bank Corp. NY........ 663 3,978
United Financial Bancorp,
Inc. ..................... 236 3,856
ViewPoint Financial Group.... 282 3,483
Walker & Dunlop, Inc.*....... 293 3,513
Westfield Financial, Inc. ... 428 3,886
WSFS Financial Corp. ........ 79 3,553
-----------
TOTAL THRIFTS & MORTGAGE FINANCE 150,806
-----------
TOBACCO 0.9%
Alliance One International,
Inc.*..................... 8,543 34,087
Star Scientific, Inc.*....... 8,982 36,018
Universal Corp. ............. 800 34,704
Vector Group Ltd. ........... 2,015 36,995
-----------
TOTAL TOBACCO 141,804
-----------
TRADING COMPANIES & DISTRIBUTORS 1.0%
Aceto Corp. ................. 1,835 14,698
Aircastle Ltd. .............. 518 6,454
Applied Industrial
Technologies, Inc. ....... 192 6,770
Beacon Roofing Supply,
Inc.*..................... 687 15,334
DXP Enterprises, Inc.*....... 282 7,402
H&E Equipment Services,
Inc.*..................... 338 6,726
Houston Wire & Cable Co. .... 428 7,186
Interline Brands, Inc.*...... 687 14,509
Kaman Corp. ................. 191 7,105
Lawson Products, Inc. ....... 619 13,637
RSC Holdings, Inc.*.......... 450 5,927
Rush Enterprises,
Inc. -- Class A*.......... 326 6,869
SeaCube Container Leasing
Ltd. ..................... 405 6,573
TAL International Group,
Inc. ..................... 169 6,092
Textainer Group Holdings
Ltd. ..................... 180 6,383
Titan Machinery, Inc.*....... 236 7,425
United Rentals, Inc.*........ 192 5,649
Watsco, Inc. ................ 203 14,391
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 159,130
-----------
TRANSPORTATION INFRASTRUCTURE 0.0%(A)
CAI International, Inc.*..... 248 6,240
-----------
TOTAL TRANSPORTATION INFRASTRUCTURE 6,240
-----------
WATER UTILITIES 1.3%
American States Water Co. ... 934 32,606
California Water Service
Group..................... 878 33,118
Connecticut Water Service,
Inc. ..................... 1,261 32,458
Middlesex Water Co. ......... 1,779 33,587
SJW Corp. ................... 1,395 32,420
York Water Co.(The).......... 1,891 33,017
-----------
TOTAL WATER UTILITIES 197,206
-----------
WIRELESS TELECOMMUNICATION SERVICES 0.9%
ICO Global Communications
(Holdings), Ltd.*......... 11,301 32,660
NTELOS Holdings Corp. ....... 1,711 33,758
Shenandoah Telecom Co. ...... 1,800 33,876
USA Mobility, Inc. .......... 2,184 33,743
-----------
TOTAL WIRELESS TELECOMMUNICATION SERVICES 134,037
-----------
TOTAL COMMON STOCKS
(Cost $14,112,087) 15,452,651
------------------------------------------------------
<Caption>
FACE
AMOUNT
------------------------------------------------------
CORPORATE BONDS 0.0%(A)
INVESTMENT MANAGEMENT/ADVISORY SERVICES 0.0%(A)
GAMCO Investors, Inc. 0.00%
2015(b)................... $100 67
-----------
TOTAL INVESTMENT MANAGEMENT/ADVISORY
SERVICES 67
-----------
TOTAL CORPORATE BONDS
(Cost $100) 67
------------------------------------------------------
<Caption>
SHARES
------------------------------------------------------
SHORT TERM INVESTMENTS 0.5%
SSgA Government Money Market
Fund...................... 69,636 69,636
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $69,636) 69,636
-----------
TOTAL INVESTMENTS 100.0%(C)
(Cost $14,181,823) 15,522,354
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(A) 7,577
-----------
NET ASSETS--100.0% $15,529,931
------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
(b) Values determined based on Level 2 inputs.
(c) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 47
RYDEX MSCI EAFE EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 98.7%
AEROSPACE & DEFENSE 1.1%
BAE Systems PLC.............. 5,464 $29,884
Cobham PLC................... 8,215 31,255
Elbit Systems Ltd. .......... 576 32,690
European Aeronautic Defence
and Space Co. NV*......... 1,002 31,054
Finmeccanica SpA............. 2,325 31,458
2 Rolls-Royce Group PLC*..... 2,832 30,302
Safran SA.................... 836 32,496
Singapore Technologies
Engineering Ltd. ......... 12,000 30,926
Thales SA.................... 764 33,806
-----------
TOTAL AEROSPACE & DEFENSE 283,871
-----------
AIR FREIGHT & LOGISTICS 0.4%
Deutsche Post AG*............ 1,585 31,416
TNT NV....................... 1,100 27,131
Toll Holdings Ltd. .......... 4,737 29,186
Yamato Holdings Co., Ltd. ... 1,800 28,573
-----------
TOTAL AIR FREIGHT & LOGISTICS 116,306
-----------
AIRLINES 0.8%
Air France-KLM*.............. 1,784 31,536
Airlines*.................... 1,428 32,457
All Nippon Airways Co.,
Ltd. ..................... 6,000 17,525
Cathay Pacific Airways
Ltd. ..................... 12,000 29,940
International Consolidated
Airlines Group SA*........ 7,849 31,348
Qantas Airways Ltd.*......... 12,196 28,161
Ryanair Holdings PLC ADR..... 996 30,358
-----------
TOTAL AIRLINES 201,325
-----------
AUTO COMPONENTS 1.4%
Aisin Seiki Co., Ltd. ....... 600 21,067
Bridgestone Corp. ........... 1,200 26,177
Cie Generale des
Etablissements Michelin... 360 36,142
Continental AG*.............. 348 34,989
Denso Corp. ................. 600 20,010
NOK Corp. ................... 1,200 20,483
Nokian Renkaat OYJ........... 720 37,387
Pirelli & C SpA.............. 3,674 38,291
Stanley Electric Co., Ltd. .. 1,800 30,104
Sumitomo Rubber Industries
Ltd. ..................... 2,400 26,769
Toyoda Gosei Co., Ltd. ...... 1,200 26,103
Toyota Boshoku Corp. ........ 1,800 27,907
Toyota Industries Corp. ..... 600 18,117
-----------
TOTAL AUTO COMPONENTS 363,546
-----------
AUTOMOBILES 1.8%
Bayerische Motoren Werke AG.. 354 33,439
Daimler AG................... 410 31,746
Fiat SpA..................... 3,104 33,180
Fuji Heavy Industries Ltd. .. 6,000 44,516
Honda Motor Co., Ltd. ....... 600 23,589
Isuzu Motors Ltd. ........... 6,000 25,585
Mazda Motor Corp.*........... 12,000 27,360
Mitsubishi Motors Corp.*..... 18,000 21,962
Nissan Motor Co., Ltd. ...... 3,000 28,617
Peugeot SA*.................. 718 32,660
Porsche Automobil Holding
SE........................ 378 27,440
Renault SA*.................. 492 30,029
Rolls Royce Group C Shares... 271,872 453
Suzuki Motor Corp. .......... 1,200 28,366
Toyota Motor Corp. .......... 600 23,885
Volkswagen AG*............... 186 36,701
Yamaha Motor Co., Ltd.*...... 1,800 34,097
-----------
TOTAL AUTOMOBILES 483,625
-----------
BEVERAGES 1.4%
Anheuser-Busch InBev NV...... 522 33,340
Asahi Breweries Ltd. ........ 1,200 22,376
Carlsberg A/S................ 270 32,121
Coca-Cola Amatil Ltd. ....... 2,372 30,994
Coca-Cola West Co., Ltd. .... 1,800 37,114
Diageo PLC................... 1,485 30,169
Foster's Group Ltd. ......... 4,944 30,407
Heineken Holding NV.......... 636 33,624
Heineken NV.................. 558 33,457
Pernod-Ricard SA............. 312 31,411
SABMiller PLC................ 848 31,605
Sapporo Holdings Ltd. ....... 6,000 23,958
-----------
TOTAL BEVERAGES 370,576
-----------
BIOTECHNOLOGY 0.4%
Actelion Ltd.*............... 504 29,568
CSL Ltd. .................... 788 29,622
Grifols SA................... 1,796 35,625
-----------
TOTAL BIOTECHNOLOGY 94,815
-----------
BUILDING PRODUCTS 0.8%
Assa Abloy AB*............... 1,050 31,601
Cie de St-Gobain............. 510 35,286
Daikin Industries Ltd. ...... 600 18,975
Geberit AG................... 128 29,846
JS Group Corp. .............. 1,200 28,750
Nippon Sheet Glass Co.,
Ltd. ..................... 12,000 35,198
TOTO Ltd. ................... 6,000 46,660
-----------
TOTAL BUILDING PRODUCTS 226,316
-----------
CAPITAL MARKETS 1.9%
3i Group PLC................. 5,718 26,714
Credit Suisse Group AG....... 624 28,245
Daiwa Securities Group,
Inc. ..................... 6,000 25,733
Deutsche Bank AG............. 456 29,835
GAM Holding AG*.............. 1,639 32,178
ICAP PLC..................... 3,494 30,217
Investec PLC................. 3,854 30,939
Julius Baer Group Ltd.*...... 654 30,439
Macquarie Group Ltd. ........ 750 28,858
Man Group PLC................ 6,382 26,580
Matsui Securities Co.,
Ltd. ..................... 4,200 20,550
Mediobanca SpA............... 2,816 32,127
Mizuho Securities Co.,
Ltd.*..................... 12,000 30,318
Nomura Holdings, Inc. ....... 4,800 24,373
Ratos AB..................... 794 32,894
SBI Holdings Inc. ........... 192 20,539
Schroders PLC................ 1,026 32,481
UBS AG*...................... 1,465 29,167
-----------
TOTAL CAPITAL MARKETS 512,187
-----------
CHEMICALS 5.3%
Air Liquide SA............... 228 33,786
Akzo Nobel NV................ 426 33,143
Asahi Kasei Corp. ........... 6,000 40,966
BASF SE...................... 354 36,449
Daicel Chemical Industries
Ltd. ..................... 6,000 38,452
Denki Kagaku Kogyo K.K....... 6,000 30,688
Givaudan SA*................. 30 33,232
Hitachi Chemical Co., Ltd. .. 1,200 24,580
</Table>
See Notes to Financial Statements.
48
RYDEX MSCI EAFE EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Incitec Pivot Ltd. .......... 6,490 $26,705
Israel Chemicals Ltd. ....... 1,828 32,339
Israel Corp., Ltd.(The)...... 24 29,813
Johnson Matthey PLC.......... 961 32,106
JSR Corp. ................... 1,200 24,920
K+S AG....................... 384 31,123
Kaneka Corp. ................ 6,000 43,702
Kansai Paint Co., Ltd. ...... 6,000 53,685
Koninklijke DSM NV........... 492 33,978
Kuraray Co., Ltd. ........... 1,800 26,110
Lanxess AG................... 396 36,384
Linde AG..................... 192 34,638
Makhteshim-Agan Industries
Ltd.*..................... 5,794 31,283
Mitsubishi Chemical Holdings
Corp. .................... 3,000 20,224
Mitsubishi Gas Chemical Co.,
Inc. ..................... 6,000 46,512
Mitsui Chemicals, Inc. ...... 6,000 21,962
Nissan Chemical Industries
Ltd. ..................... 2,400 24,846
Nitto Denko Corp. ........... 600 31,834
Novozymes A/S................ 204 35,308
Orica Ltd. .................. 1,104 32,113
Shin-Etsu Chemical Co.,
Ltd. ..................... 600 31,057
Showa Denko KK............... 12,000 23,811
Sika AG...................... 12 30,510
Solvay SA.................... 252 36,411
Sumitomo Chemical Co.,
Ltd. ..................... 6,000 31,797
Syngenta AG.................. 90 31,722
Taiyo Nippon Sanso Corp. .... 6,000 48,213
Teijin Ltd. ................. 6,000 28,543
Tokuyama Corp. .............. 6,000 30,983
Toray Industries, Inc. ...... 6,000 43,998
Tosoh Corp. ................. 6,000 23,071
Ube Industries Ltd. ......... 12,000 38,008
Umicore SA................... 564 32,403
Wacker Chemie AG............. 156 38,720
Yara International ASA....... 560 32,847
-----------
TOTAL CHEMICALS 1,422,975
-----------
COMMERCIAL BANKS 7.5%
Aozora Bank Ltd. ............ 12,000 25,881
Australia & New Zealand
Banking Group Ltd. ....... 1,182 31,342
Banca Monte dei Paschi di
Siena SpA*................ 21,682 29,433
Banco Bilbao Vizcaya
Argentaria SA............. 2,412 30,989
Banco Comercial Portugues
SA*....................... 32,521 26,006
Banco de Sabadell SA......... 6,756 29,999
Banco Espirito Santo SA...... 6,550 27,637
Banco Popolare SC............ 8,221 24,418
Banco Popular Espanol SA..... 4,749 28,521
Banco Santander SA........... 2,378 30,418
Bank Hapoalim BM*............ 6,286 33,025
Bank Leumi Le-Israel BM...... 6,274 32,608
Bank of East Asia Ltd. ...... 7,200 29,754
Bank of Kyoto Ltd.(The)...... 6,000 55,312
Bank of Yokohama Ltd.(The)... 6,000 29,579
Bankinter SA................. 4,419 33,042
Barclays PLC................. 5,692 26,802
Bendigo and Adelaide Bank
Ltd. ..................... 2,960 30,255
BNP Paribas.................. 378 29,964
BOC Hong Kong Holdings
Ltd. ..................... 9,000 28,271
Chiba Bank Ltd.(The)......... 6,000 35,272
Chuo Mitsui Trust Holdings,
Inc. ..................... 14,940 50,819
Commerzbank AG*.............. 3,392 21,639
Commonwealth Bank of
Australia................. 540 31,740
Credit Agricole SA........... 1,676 27,948
Danske Bank A/S*............. 1,230 29,608
Dexia SA*.................... 6,778 27,050
DnB NOR ASA.................. 1,898 30,902
Erste Group Bank AG.......... 546 27,639
Fukuoka Financial Group,
Inc. ..................... 6,000 24,698
Governor & Co. of the Bank of
Ireland.(The) ADR......... 12,790 25,580
Gunma Bank Ltd.(The)......... 6,000 32,315
Hachijuni Bank Ltd.(The)..... 6,000 35,642
Hang Seng Bank Ltd. ......... 1,800 28,132
HSBC Holdings PLC............ 2,558 27,963
Intesa Sanpaolo SpA.......... 8,702 28,945
Israel Discount Bank
Ltd. -- Class A*.......... 14,393 30,418
Joyo Bank Ltd.(The).......... 6,000 24,033
KBC Groep NV*................ 696 28,417
Lloyds Banking Group PLC*.... 27,039 26,722
Mitsubishi UFJ Financial
Group, Inc. .............. 5,400 25,755
Mizrahi Tefahot Bank Ltd. ... 2,906 32,200
Mizuho Financial Group,
Inc. ..................... 14,400 22,716
Mizuho Trust & Banking Co.,
Ltd. ..................... 30,000 25,142
National Australia Bank
Ltd. ..................... 1,098 32,539
National Bank of Greece SA
ADR....................... 14,471 23,009
Natixis*..................... 4,881 28,111
Nordea Bank AB............... 2,582 29,537
Oversea-Chinese Banking
Corp., Ltd. .............. 6,000 46,881
Raiffeisen Bank International
AG........................ 486 26,840
Resona Holdings, Inc. ....... 5,400 25,423
Royal Bank of Scotland Group
PLC*...................... 39,001 26,977
Seven Bank Ltd. ............. 12 22,628
Shinsei Bank Ltd. ........... 24,000 28,691
Shizuoka Bank Ltd.(The)...... 6,000 54,424
Skandinaviska Enskilda Banken
AB -- Class A............. 3,278 31,598
Societe Generale............. 426 28,542
Standard Chartered PLC....... 1,110 30,715
Sumitomo Mitsui Financial
Group, Inc. .............. 600 18,450
Suruga Bank Ltd. ............ 6,000 49,914
Svenska Handelsbanken AB..... 884 30,755
Swedbank AB.................. 1,712 32,551
UniCredit SpA................ 11,295 29,124
Unione di Banche Italiane
SCPA...................... 2,882 25,868
Westpac Banking Corp. ....... 1,212 32,947
Wing Hang Bank Ltd. ......... 3,000 33,447
-----------
TOTAL COMMERCIAL BANKS 2,003,522
-----------
COMMERCIAL SERVICES & SUPPLIES 1.3%
Aggreko PLC.................. 1,278 38,092
Babcock International Group
PLC....................... 3,254 34,763
Brambles Ltd. ............... 4,052 29,843
Edenred*..................... 1,104 34,297
G4S PLC...................... 6,754 31,115
Secom Co., Ltd. ............. 600 29,689
Securitas AB................. 2,504 31,449
Serco Group PLC.............. 3,176 29,957
Societe BIC SA............... 328 31,942
Toppan Printing Co., Ltd. ... 6,000 46,882
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 338,029
-----------
COMMUNICATIONS EQUIPMENT 0.4%
Alcatel-Lucent*.............. 6,220 40,169
Nokia OYJ.................... 3,338 30,803
Telefonaktiebolaget LM
Ericsson.................. 2,330 35,468
-----------
TOTAL COMMUNICATIONS EQUIPMENT 106,440
-----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 49
RYDEX MSCI EAFE EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
COMPUTERS & PERIPHERALS 0.4%
Fujitsu Ltd. ................ 6,000 $34,089
Logitech International SA*... 1,537 21,202
Seiko Epson Corp. ........... 1,800 31,302
Toshiba Corp. ............... 6,000 31,575
-----------
TOTAL COMPUTERS & PERIPHERALS 118,168
-----------
CONSTRUCTION & ENGINEERING 1.9%
ACS Actividades de
Construccion y Servicios
SA........................ 636 32,048
Balfour Beatty PLC........... 5,134 28,070
Bouygues SA.................. 636 31,718
Chiyoda Corp. ............... 6,000 59,305
Eiffage SA................... 516 35,739
Ferrovial SA................. 2,414 33,354
Fomento de Construcciones y
Contratas SA.............. 930 31,638
Hochtief AG.................. 300 28,454
Kajima Corp. ................ 12,000 34,163
Koninklijke Boskalis
Westminster NV............ 564 30,043
Leighton Holdings Ltd. ...... 890 23,648
Obayashi Corp. .............. 6,000 25,216
Shimizu Corp. ............... 6,000 25,290
Skanska AB................... 1,446 31,139
Taisei Corp. ................ 12,000 27,952
Vinci SA..................... 492 32,920
-----------
TOTAL CONSTRUCTION & ENGINEERING 510,697
-----------
CONSTRUCTION MATERIALS 0.9%
Boral Ltd. .................. 5,170 27,837
CRH PLC ADR.................. 1,296 32,335
Fletcher Building Ltd. ...... 4,467 33,147
HeidelbergCement AG.......... 420 32,171
Holcim Ltd. ................. 396 34,336
Imerys SA.................... 420 32,595
James Hardie Industries SE*.. 4,322 27,906
Lafarge SA................... 478 33,880
-----------
TOTAL CONSTRUCTION MATERIALS 254,207
-----------
CONSUMER FINANCE 0.2%
Aeon Credit Service Co.,
Ltd. ..................... 1,800 24,313
Credit Saison Co., Ltd. ..... 1,800 30,015
-----------
TOTAL CONSUMER FINANCE 54,328
-----------
CONTAINERS & PACKAGING 0.4%
Amcor Ltd. .................. 4,040 30,948
Rexam PLC.................... 4,990 32,510
Toyo Seikan Kaisha Ltd. ..... 1,800 30,370
-----------
TOTAL CONTAINERS & PACKAGING 93,828
-----------
DIVERSIFIED CONSUMER SERVICES 0.1%
Benesse Holdings, Inc. ...... 600 24,920
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 24,920
-----------
DIVERSIFIED FINANCIAL SERVICES 1.8%
ASX Ltd. .................... 744 26,136
Criteria Caixacorp SA........ 4,100 30,323
Deutsche Boerse AG........... 378 31,461
Eurazeo...................... 402 33,542
Exor SpA..................... 954 34,464
Groupe Bruxelles Lambert SA.. 312 30,990
Hong Kong Exchanges and
Clearing Ltd. ............ 1,200 27,375
Industrivarden AB............ 1,688 33,774
ING Groep NV*................ 2,342 30,924
Investor AB.................. 1,278 31,911
Kinnevik Investment AB....... 1,330 34,423
London Stock Exchange Group
PLC....................... 1,994 28,985
Mitsubishi UFJ Lease &
Finance Co., Ltd. ........ 660 26,232
ORIX Corp. .................. 240 23,397
Pohjola Bank PLC............. 2,120 31,515
Singapore Exchange Ltd. ..... 6,000 38,290
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 493,742
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 2.6%
Belgacom SA.................. 771 30,375
Bezeq The Israeli
Telecommunication Corp.,
Ltd. ..................... 10,737 31,902
BT Group PLC................. 10,027 32,747
Cable & Wireless Worldwide
PLC....................... 24,770 19,869
Deutsche Telekom AG.......... 2,072 34,475
Elisa OYJ.................... 1,254 30,232
France Telecom SA............ 1,299 30,517
Iliad SA..................... 261 33,607
Inmarsat PLC................. 2,648 26,898
Koninklijke KPN NV........... 1,790 28,455
Nippon Telegraph & Telephone
Corp. .................... 600 27,693
PCCW Ltd. ................... 66,000 26,170
Portugal Telecom SGPS SA..... 2,528 30,912
Singapore Telecommunications
Ltd. ..................... 12,000 30,632
Swisscom AG.................. 66 30,163
Tele2 AB..................... 1,284 32,316
Telecom Corp. of New Zealand
Ltd. ..................... 18,163 31,898
Telecom Italia SpA........... 19,869 29,979
Telefonica SA................ 1,152 31,020
Telekom Austria AG........... 2,012 31,163
Telenor ASA.................. 1,790 30,972
TeliaSonera AB............... 3,442 28,176
Telstra Corp., Ltd. ......... 9,962 31,725
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 691,896
-----------
ELECTRIC UTILITIES 2.3%
Acciona SA................... 306 35,656
Cheung Kong Infrastructure
Holdings Ltd. ............ 6,000 29,237
Chubu Electric Power Co.,
Inc. ..................... 1,200 26,221
Chugoku Electric Power Co.,
Inc.(The)................. 1,200 21,208
CLP Holdings Ltd. ........... 3,000 24,680
E.ON AG...................... 870 29,790
EDF SA....................... 638 26,905
EDP -- Energias de Portugal
SA........................ 7,525 30,813
Enel SpA..................... 4,893 34,946
Fortum OYJ................... 942 32,507
Hokkaido Electric Power Co.,
Inc. ..................... 1,200 21,726
Hokuriku Electric Power
Co. ...................... 1,200 24,254
Hongkong Electric Holdings
Ltd. ..................... 3,000 20,991
Iberdrola SA................. 3,350 31,162
Kansai Electric Power Co.,
Inc.(The)................. 1,200 25,171
Kyushu Electric Power Co.,
Inc. ..................... 1,200 22,125
Red Electrica Corp. SA....... 552 35,280
Scottish & Southern Energy
PLC....................... 1,459 33,048
Shikoku Electric Power Co.,
Inc. ..................... 1,200 30,377
Terna Rete Elettrica
Nazionale SpA............. 6,262 31,401
Tohoku Electric Power Co.,
Inc. ..................... 1,200 17,614
Verbund AG................... 732 33,150
-----------
TOTAL ELECTRIC UTILITIES 618,262
-----------
ELECTRICAL EQUIPMENT 1.7%
ABB Ltd.*.................... 1,194 32,832
Alstom SA.................... 486 32,371
Bekaert SA................... 278 34,847
</Table>
See Notes to Financial Statements.
50
RYDEX MSCI EAFE EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Fuji Electric Holdings Co.,
Ltd. ..................... 6,000 $18,634
Furukawa Electric Co.,
Ltd. ..................... 6,000 23,663
GS Yuasa Corp. .............. 6,000 40,818
Legrand SA................... 700 32,018
Mabuchi Motor Co., Ltd. ..... 600 29,542
Nidec Corp. ................. 600 52,058
Prysmian SpA................. 1,386 32,756
Schneider Electric SA........ 180 31,859
Sumitomo Electric Industries
Ltd. ..................... 1,800 24,868
Ushio, Inc. ................. 1,200 24,284
Vestas Wind Systems A/S*..... 882 31,373
-----------
TOTAL ELECTRICAL EQUIPMENT 441,923
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 1.8%
Citizen Holdings Co., Ltd. .. 4,800 28,869
Foxconn International
Holdings Ltd.*............ 42,000 24,764
FUJIFILM Holdings Corp. ..... 600 18,561
Hamamatsu Photonics KK....... 600 23,478
Hitachi High-Technologies
Corp. .................... 1,200 25,009
Hitachi Ltd. ................ 6,000 32,388
Hoya Corp. .................. 1,200 25,630
Ibiden Co., Ltd. ............ 600 20,165
Mitsumi Electric Co., Ltd. .. 1,800 22,960
Murata Manufacturing Co.,
Ltd. ..................... 600 43,259
Omron Corp. ................. 1,200 32,788
Shimadzu Corp. .............. 6,000 51,688
TDK Corp. ................... 600 30,762
Yaskawa Electric Corp. ...... 6,000 69,731
Yokogawa Electric Corp.*..... 3,600 29,016
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 479,068
-----------
ENERGY EQUIPMENT & SERVICES 1.5%
Aker Solutions ASA*.......... 1,362 32,912
AMEC PLC..................... 1,563 31,284
Cie Generale de
Geophysique -- Veritas*... 870 30,816
Fugro NV..................... 348 31,974
Petrofac Ltd. ............... 1,240 31,231
Saipem SpA................... 600 34,120
SBM Offshore NV*............. 1,152 33,764
Seadrill Ltd. ............... 756 26,826
Subsea 7 SA.................. 1,134 29,870
Technip SA................... 300 33,897
Tenaris SA................... 1,260 31,835
Transocean Ltd.*............. 360 26,281
WorleyParsons Ltd. .......... 954 31,686
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 406,496
-----------
FOOD & STAPLES RETAILING 2.2%
Aeon Co., Ltd. .............. 2,400 28,809
Carrefour SA................. 588 27,924
Casino Guichard Perrachon
SA........................ 298 31,421
Colruyt SA................... 570 32,951
Delhaize Group SA............ 372 32,264
FamilyMart Co., Ltd. ........ 600 21,622
J Sainsbury PLC.............. 4,772 27,723
Jeronimo Martins SGPS SA..... 1,808 29,720
Kesko OYJ.................... 678 35,256
Koninklijke Ahold NV......... 2,132 29,982
Lawson, Inc. ................ 600 29,320
Metcash Ltd. ................ 7,000 31,101
Metro AG..................... 396 29,114
Olam International Ltd. ..... 12,000 28,178
Seven & I Holdings Co.,
Ltd. ..................... 1,200 29,919
Tesco PLC.................... 4,425 29,785
UNY Co., Ltd. ............... 3,000 26,140
Wesfarmers Ltd. ............. 874 31,850
WM Morrison Supermarkets
PLC....................... 6,286 30,909
Woolworths Ltd. ............. 1,042 30,230
-----------
TOTAL FOOD & STAPLES RETAILING 594,218
-----------
FOOD PRODUCTS 1.7%
Aryzta AG.................... 616 34,189
Associated British Foods
PLC....................... 1,742 29,259
Danone....................... 454 33,311
Golden Agri-Resources Ltd. .. 60,000 32,645
Goodman Fielder Ltd. ........ 22,459 26,421
MEIJI Holdings Co., Ltd. .... 600 25,585
Nestle SA.................... 488 30,175
Nisshin Seifun Group, Inc. .. 3,000 37,306
Nissin Foods Holdings Co.,
Ltd. ..................... 600 21,208
Parmalat SpA*................ 9,494 36,002
Suedzucker AG................ 1,038 32,070
Unilever NV.................. 942 31,054
Unilever PLC................. 961 31,128
Wilmar International Ltd. ... 6,000 25,870
Yakult Honsha Co., Ltd. ..... 1,200 33,158
-----------
TOTAL FOOD PRODUCTS 459,381
-----------
GAS UTILITIES 0.8%
Enagas....................... 1,344 33,309
Gas Natural SDG SA........... 1,700 35,007
Hong Kong & China Gas Co.,
Ltd. ..................... 12,000 29,785
Osaka Gas Co., Ltd. ......... 6,000 22,036
Snam Rete Gas SpA............ 5,374 33,486
Toho Gas Co., Ltd. .......... 6,000 27,952
Tokyo Gas Co., Ltd. ......... 6,000 26,547
-----------
TOTAL GAS UTILITIES 208,122
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 1.5%
BioMerieux................... 270 29,422
Cie Generale d'Optique
Essilor International SA.. 402 33,709
Cochlear Ltd. ............... 360 31,722
Coloplast A/S................ 200 29,443
Getinge AB................... 1,212 32,294
Olympus Corp. ............... 1,200 33,749
Smith & Nephew PLC........... 2,504 27,461
Sonova Holding AG............ 222 22,329
Straumann Holding AG......... 120 31,242
Synthes, Inc. ............... 210 36,030
Sysmex Corp. ................ 1,200 41,779
Terumo Corp. ................ 600 33,276
William Demant Holding A/S*.. 348 32,497
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 414,953
-----------
HEALTH CARE PROVIDERS & SERVICES 1.0%
Alfresa Holdings Corp. ...... 600 21,053
Celesio AG................... 1,044 25,355
Fresenius Medical Care AG &
Co. KGaA.................. 438 34,479
Fresenius SE & Co. KGaA...... 310 32,590
Medipal Holdings Corp. ...... 3,000 24,809
Miraca Holdings, Inc. ....... 600 22,701
Ramsay Health Care Ltd. ..... 1,633 32,328
Sonic Healthcare Ltd. ....... 2,522 34,555
Suzuken Co., Ltd. ........... 1,200 29,800
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 257,670
-----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 51
RYDEX MSCI EAFE EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS, RESTAURANTS & LEISURE 2.4%
Accor SA..................... 624 $27,773
Autogrill SpA*............... 2,058 29,540
Carnival PLC................. 652 26,263
Compass Group PLC............ 3,260 31,782
Crown Ltd. .................. 3,370 31,090
Genting Singapore PLC*....... 18,000 31,957
Intercontinental Hotels Group
PLC....................... 1,344 29,389
McDonald's Holdings Co. Japan
Ltd. ..................... 1,200 30,673
Oriental Land Co., Ltd. ..... 600 50,727
Sands China Ltd.*............ 12,000 33,678
Shangri-La Asia Ltd. ........ 12,000 33,447
SJM Holdings Ltd. ........... 18,000 38,792
Sodexo....................... 422 32,938
TABCORP Holdings Ltd. ....... 3,794 31,679
Tatts Group Ltd. ............ 11,310 28,715
Thomas Cook Group PLC........ 9,213 26,323
TUI AG*...................... 2,210 28,224
TUI Travel PLC............... 7,519 29,999
Whitbread PLC................ 1,006 28,190
Wynn Macau Ltd. ............. 12,000 42,716
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 643,895
-----------
HOUSEHOLD DURABLES 0.8%
Casio Computer Co., Ltd. .... 3,600 28,484
Electrolux AB................ 1,182 30,141
Husqvarna AB*................ 3,614 28,493
Panasonic Corp. ............. 2,400 29,519
Rinnai Corp. ................ 600 39,413
Sekisui Chemical Co., Ltd. .. 6,000 49,840
Sony Corp. .................. 600 16,712
-----------
TOTAL HOUSEHOLD DURABLES 222,602
-----------
HOUSEHOLD PRODUCTS 0.3%
Henkel AG & Co. KGaA......... 486 33,153
Reckitt Benckiser Group PLC.. 558 30,937
Unicharm Corp. .............. 600 23,737
-----------
TOTAL HOUSEHOLD PRODUCTS 87,827
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.6%
EDP Renovaveis SA*........... 4,779 36,869
Electric Power Development
Co., Ltd. ................ 1,200 31,442
Enel Green Power SpA*........ 11,872 35,262
Iberdrola Renovables SA...... 7,801 35,774
International Power PLC...... 5,446 30,030
-----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 169,377
-----------
INDUSTRIAL CONGLOMERATES 1.2%
CSR Ltd. .................... 8,161 26,793
Delek Group Ltd. ............ 120 31,986
Fraser and Neave Ltd. ....... 6,000 30,779
Hankyu Hanshin Holdings,
Inc. ..................... 6,000 26,473
Keppel Corp., Ltd. .......... 6,600 64,259
Koninklijke Philips
Electronics NV............ 900 26,731
Orkla ASA.................... 3,172 32,180
SembCorp Industries Ltd. .... 6,000 26,508
Siemens AG................... 222 32,350
Smiths Group PLC............. 1,344 29,860
-----------
TOTAL INDUSTRIAL CONGLOMERATES 327,919
-----------
INSURANCE 4.2%
Admiral Group PLC............ 1,074 30,310
Aegon NV*.................... 3,854 30,653
Ageas........................ 9,374 28,496
AIA Group Ltd.*.............. 10,800 36,359
Allianz SE................... 204 32,172
AMP Ltd. .................... 7,366 44,177
Assicurazioni Generali SpA... 1,314 31,542
Aviva PLC.................... 3,968 29,571
AXA SA....................... 1,410 31,692
Baloise Holding AG*.......... 270 29,737
CNP Assurances............... 1,350 31,034
Dai-ichi Life Insurance Co.,
Ltd.(The)................. 18 29,549
Delta Lloyd NV............... 1,194 31,478
Hannover Rueckversicherung
AG........................ 504 30,530
Insurance Australia Group
Ltd. ..................... 7,825 30,571
Legal & General Group PLC.... 15,330 31,400
Mapfre SA.................... 7,927 33,165
MS&AD Insurance Group
Holdings.................. 1,200 27,937
Muenchener Rueckversicherungs
AG........................ 174 28,770
NKSJ Holdings, Inc. ......... 6,000 38,304
Old Mutual PLC............... 13,673 31,700
Prudential PLC............... 2,612 33,677
QBE Insurance Group Ltd. .... 1,555 31,839
Resolution Ltd. ............. 6,388 32,252
RSA Insurance Group PLC...... 12,802 29,382
Sampo OYJ.................... 948 31,955
SCOR SE...................... 1,008 30,844
Sony Financial Holdings,
Inc. ..................... 1,200 22,169
Standard Life PLC............ 7,555 28,492
Suncorp Group Ltd. .......... 3,386 30,830
Swiss Life Holding AG*....... 180 32,707
Swiss Reinsurance Co.,
Ltd.*..................... 474 28,136
T&D Holdings, Inc. .......... 900 22,084
Tokio Marine Holdings,
Inc. ..................... 600 16,631
Tryg A/S..................... 558 35,689
Vienna Insurance Group AG
Wiener Versicherung
Gruppe.................... 510 30,492
Zurich Financial Services
AG*....................... 102 28,541
-----------
TOTAL INSURANCE 1,134,867
-----------
INTERNET & CATALOG RETAIL 0.3%
Dena Co., Ltd. .............. 600 22,369
Home Retail Group PLC........ 8,041 29,493
Rakuten, Inc. ............... 30 27,582
-----------
TOTAL INTERNET & CATALOG RETAIL 79,444
-----------
INTERNET SOFTWARE & SERVICES 0.4%
Gree, Inc. .................. 1,800 36,603
United Internet AG........... 1,766 34,663
Yahoo Japan Corp. ........... 78 28,445
-----------
TOTAL INTERNET SOFTWARE & SERVICES 99,711
-----------
IT SERVICES 1.1%
Amadeus IT Holding SA*....... 1,453 30,481
Atos Origin SA*.............. 528 32,591
Cap Gemini SA................ 498 30,229
Computershare Ltd. .......... 2,990 31,674
Indra Sistemas SA............ 1,489 33,843
Itochu Techno-Solutions
Corp. .................... 600 21,001
Nomura Research Institute
Ltd. ..................... 1,200 25,704
NTT Data Corp. .............. 6 19,684
</Table>
See Notes to Financial Statements.
52
RYDEX MSCI EAFE EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Obic Co., Ltd. .............. 120 $22,258
Otsuka Corp. ................ 600 37,491
-----------
TOTAL IT SERVICES 284,956
-----------
LEISURE EQUIPMENT & PRODUCTS 0.6%
Namco Bandai Holdings,
Inc. ..................... 2,400 26,384
Nikon Corp. ................. 1,200 25,009
Sankyo Co., Ltd. ............ 600 30,983
Sega Sammy Holdings, Inc. ... 1,200 20,705
Shimano, Inc. ............... 600 32,019
Yamaha Corp. ................ 2,400 29,963
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 165,063
-----------
LIFE SCIENCES TOOLS & SERVICES 0.2%
Lonza Group AG*.............. 340 29,089
QIAGEN NV*................... 1,398 29,970
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 59,059
-----------
MACHINERY 4.8%
Alfa Laval AB................ 1,453 32,616
Amada Co., Ltd. ............. 6,000 47,843
Atlas Copco AB............... 1,192 35,083
Cosco Corp. Singapore Ltd. .. 18,000 32,694
Fiat Industrial SpA*......... 2,120 31,547
GEA Group AG................. 978 35,824
Hexagon AB................... 1,392 36,258
Hino Motors Ltd. ............ 6,000 28,174
Hitachi Construction
Machinery Co., Ltd. ...... 1,200 29,076
IHI Corp. ................... 12,000 30,170
Invensys PLC................. 5,134 29,166
JTEKT Corp. ................. 1,800 23,249
Kawasaki Heavy Industries
Ltd. ..................... 6,000 24,624
Komatsu Ltd. ................ 1,200 42,001
Kone OYJ..................... 540 33,880
Kubota Corp. ................ 6,000 56,939
Kurita Water Industries
Ltd. ..................... 1,200 34,903
Makita Corp. ................ 600 27,397
MAN SE*...................... 232 32,385
Metso OYJ.................... 576 35,379
Minebea Co., Ltd. ........... 6,000 32,241
Mitsubishi Heavy Industries
Ltd. ..................... 6,000 28,469
Mitsui Engineering &
Shipbuilding Co., Ltd. ... 12,000 29,579
Nabtesco Corp. .............. 1,200 30,229
NSK Ltd. .................... 6,000 52,946
NTN Corp. ................... 6,000 28,617
Sandvik AB................... 1,563 33,244
Scania AB.................... 1,312 34,175
Schindler Holding AG......... 264 34,016
SembCorp Marine Ltd. ........ 6,000 27,834
SKF AB....................... 1,098 34,739
Sumitomo Heavy Industries
Ltd. ..................... 6,000 39,044
THK Co., Ltd. ............... 1,200 30,422
Vallourec SA................. 280 34,973
Volvo AB..................... 1,736 34,159
Wartsila OYJ................. 772 30,397
Weir Group PLC (The)......... 1,104 35,429
Yangzijiang Shipbuilding
Holdings Ltd. ............ 18,000 26,656
-----------
TOTAL MACHINERY 1,276,377
-----------
MARINE 0.8%
AP Moller -- Maersk A/S...... 6 60,875
Kawasaki Kisen Kaisha Ltd. .. 6,000 19,965
Kuehne + Nagel International
AG........................ 222 35,328
Mitsui OSK Lines Ltd. ....... 6,000 33,276
Neptune Orient Lines Ltd. ... 18,000 27,687
Nippon Yusen KK.............. 6,000 22,036
Orient Overseas International
Ltd. ..................... 3,000 22,903
-----------
TOTAL MARINE 222,070
-----------
MEDIA 3.1%
Axel Springer AG............. 186 30,520
British Sky Broadcasting
Group PLC................. 2,354 33,060
Dentsu, Inc. ................ 1,200 31,767
Eutelsat Communications...... 744 32,148
Fairfax Media Ltd. .......... 20,457 29,551
Fuji Media Holdings, Inc. ... 18 23,892
Gestevision Telecinco SA*.... 2,360 26,564
Hakuhodo DY Holdings, Inc. .. 480 24,905
ITV PLC*..................... 21,550 27,336
Kabel Deutschland Holding
AG*....................... 540 33,804
Lagardere SCA................ 648 28,500
Mediaset SpA................. 4,635 30,917
Metropole Television SA...... 1,170 31,114
Modern Times Group AB........ 444 34,106
PagesJaunes Groupe........... 2,986 31,183
Pearson PLC.................. 1,760 33,789
ProSiebenSat.1 Media AG...... 948 27,194
Publicis Groupe SA........... 522 29,630
Reed Elsevier NV............. 2,204 28,928
Reed Elsevier PLC............ 3,318 29,332
Sanoma OYJ................... 1,309 27,247
SES SA....................... 1,134 29,829
Singapore Press Holdings
Ltd. ..................... 12,000 39,075
Societe Television Francaise
1......................... 1,543 29,004
Toho Co., Ltd. .............. 1,800 27,020
Vivendi SA................... 1,032 32,436
Wolters Kluwer NV............ 1,242 28,985
WPP PLC...................... 2,168 28,260
-----------
TOTAL MEDIA 840,096
-----------
METALS & MINING 4.7%
Acerinox SA.................. 1,633 32,864
Alumina Ltd. ................ 11,986 29,644
Anglo American PLC........... 558 29,043
Antofagasta PLC.............. 1,300 29,641
ArcelorMittal................ 798 29,408
BHP Billiton Ltd. ........... 618 30,995
BHP Billiton PLC............. 748 31,496
BlueScope Steel Ltd. ........ 13,337 25,250
Boliden AB*.................. 1,416 31,997
Daido Steel Co., Ltd. ....... 6,000 34,089
Dowa Holdings Co., Ltd. ..... 6,000 39,044
Eramet....................... 78 30,759
Eurasian Natural Resources
Corp. PLC................. 1,928 29,312
Fortescue Metals Group
Ltd. ..................... 4,377 29,458
Fresnillo PLC................ 1,146 31,367
JFE Holdings, Inc. .......... 1,200 32,625
Kazakhmys PLC................ 1,240 28,521
Kobe Steel Ltd. ............. 12,000 29,431
Lonmin PLC................... 1,006 27,384
MacArthur Coal Ltd. ......... 2,344 29,756
Mitsubishi Materials Corp. .. 6,000 20,631
Mitsui Mining & Smelting Co.,
Ltd. ..................... 6,000 21,297
Newcrest Mining Ltd. ........ 706 32,025
Nippon Steel Corp. .......... 6,000 18,634
Nisshin Steel Co., Ltd. ..... 12,000 23,663
Norsk Hydro ASA.............. 3,680 32,662
OneSteel Ltd. ............... 10,112 23,571
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 53
RYDEX MSCI EAFE EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Outokumpu OYJ................ 1,613 $26,898
OZ Minerals Ltd. ............ 17,221 27,138
Randgold Resources Ltd.*..... 354 30,822
Rautaruukki OYJ.............. 1,260 32,732
Rio Tinto Ltd. .............. 336 30,229
Rio Tinto PLC................ 422 30,689
Salzgitter AG................ 354 27,841
Sims Metal Management Ltd. .. 1,543 29,483
SSAB AB...................... 1,856 33,256
Sumitomo Metal Industries
Ltd. ..................... 12,000 25,142
ThyssenKrupp AG.............. 694 31,985
Tokyo Steel Manufacturing
Co., Ltd. ................ 2,400 25,822
Vedanta Resources PLC........ 786 30,481
Voestalpine AG............... 648 31,942
Xstrata PLC.................. 1,308 33,194
Yamato Kogyo Co., Ltd. ...... 1,200 39,458
-----------
TOTAL METALS & MINING 1,271,679
-----------
MULTI-UTILITIES 1.0%
A2A SpA...................... 18,458 33,381
AGL Energy Ltd. ............. 1,946 30,964
Centrica PLC................. 5,332 28,539
GDF Suez..................... 720 29,509
National Grid PLC............ 3,042 31,154
RWE AG....................... 424 27,713
Suez Environnement Co. ...... 1,344 31,026
United Utilities Group PLC... 3,062 32,252
Veolia Environnement SA...... 894 29,916
-----------
TOTAL MULTI-UTILITIES 274,454
-----------
MULTILINE RETAIL 0.9%
Harvey Norman Holdings
Ltd. ..................... 9,282 27,223
Isetan Mitsukoshi Holdings
Ltd. ..................... 2,400 23,071
J Front Retailing Co.,
Ltd. ..................... 6,000 25,807
Marks & Spencer Group PLC.... 5,116 33,109
Marui Group Co., Ltd. ....... 3,000 20,631
Next PLC..................... 894 33,357
PPR.......................... 186 33,321
Takashimaya Co., Ltd. ....... 6,000 40,892
-----------
TOTAL MULTILINE RETAIL 237,411
-----------
OFFICE ELECTRONICS 0.4%
Brother Industries Ltd. ..... 1,800 27,419
Canon, Inc. ................. 600 28,100
Konica Minolta Holdings,
Inc. ..................... 3,000 26,288
Neopost SA................... 304 29,054
-----------
TOTAL OFFICE ELECTRONICS 110,861
-----------
OIL, GAS & CONSUMABLE FUELS 2.6%
BG Group PLC................. 1,200 30,694
BP PLC....................... 3,608 27,836
Cairn Energy PLC*............ 4,202 31,672
Caltex Australia Ltd. ....... 1,856 28,822
Cosmo Oil Co., Ltd. ......... 6,000 19,596
ENI SpA...................... 1,200 32,135
Essar Energy PLC*............ 3,620 27,835
Galp Energia SGPS SA......... 1,362 30,522
Inpex Corp. ................. 6 45,551
Japan Petroleum Exploration
Co. ...................... 600 29,209
JX Holdings, Inc. ........... 4,200 29,090
Neste Oil OYJ................ 1,645 31,190
OMV AG....................... 672 30,697
Origin Energy Ltd. .......... 1,766 31,598
Paladin Energy Ltd.*......... 5,661 20,444
Repsol YPF SA................ 870 31,120
Royal Dutch Shell PLC........ 804 31,146
Santos Ltd. ................. 2,000 33,093
Showa Shell Sekiyu KK........ 3,000 32,536
Statoil ASA.................. 1,086 31,819
Total SA..................... 474 30,393
Tullow Oil PLC............... 1,278 30,546
Woodside Petroleum Ltd. ..... 662 33,905
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 701,449
-----------
PAPER & FOREST PRODUCTS 0.6%
Holmen AB.................... 822 30,412
Nippon Paper Group, Inc. .... 1,200 23,914
OJI Paper Co., Ltd. ......... 6,000 26,843
Stora Enso OYJ............... 2,552 30,800
Svenska Cellulosa AB......... 1,748 26,855
UPM-Kymmene OYJ.............. 1,446 29,691
-----------
TOTAL PAPER & FOREST PRODUCTS 168,515
-----------
PERSONAL PRODUCTS 0.4%
Beiersdorf AG................ 480 31,312
Kao Corp. ................... 1,200 29,934
L'Oreal SA................... 252 32,007
Shiseido Co., Ltd. .......... 1,200 19,832
-----------
TOTAL PERSONAL PRODUCTS 113,085
-----------
PHARMACEUTICALS 2.8%
Astellas Pharma, Inc. ....... 600 22,850
AstraZeneca PLC.............. 606 30,222
Bayer AG..................... 370 32,579
Chugai Pharmaceutical Co.,
Ltd. ..................... 1,200 19,744
Daiichi Sankyo Co., Ltd. .... 1,200 23,441
Dainippon Sumitomo Pharma
Co., Ltd. ................ 3,000 28,617
Eisai Co., Ltd. ............. 600 21,740
Elan Corp. PLC ADR*.......... 4,581 37,106
GlaxoSmithKline PLC.......... 1,513 32,946
Hisamitsu Pharmaceutical Co.,
Inc. ..................... 600 24,920
Merck KGaA................... 318 33,742
Mitsubishi Tanabe Pharma
Corp. .................... 1,800 29,616
Novartis AG.................. 522 30,865
Novo Nordisk A/S............. 234 29,630
Ono Pharmaceutical Co.,
Ltd. ..................... 600 30,429
Orion OYJ.................... 1,266 31,517
Otsuka Holdings Co., Ltd. ... 1,200 32,122
Roche Holding AG............. 192 31,018
Sanofi-Aventis SA............ 420 33,274
Santen Pharmaceutical Co.,
Ltd. ..................... 600 23,108
Shionogi & Co., Ltd. ........ 1,800 29,105
Shire PLC.................... 1,056 32,585
Takeda Pharmaceutical Co.,
Ltd. ..................... 600 28,987
Teva Pharmaceutical
Industries Ltd. ADR....... 570 26,066
Tsumura & Co. ............... 600 18,598
UCB SA....................... 768 37,150
-----------
TOTAL PHARMACEUTICALS 751,977
-----------
PROFESSIONAL SERVICES 0.9%
Adecco SA.................... 438 31,144
Bureau Veritas SA............ 384 33,185
Capita Group PLC (The)....... 2,480 30,445
Experian PLC................. 2,326 31,289
Intertek Group PLC........... 1,020 36,153
</Table>
See Notes to Financial Statements.
54
RYDEX MSCI EAFE EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Randstad Holding NV.......... 534 $30,089
SGS SA....................... 18 35,588
-----------
TOTAL PROFESSIONAL SERVICES 227,893
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 3.0%
Ascendas Real Estate
Investment Trust.......... 18,000 29,896
British Land Co. PLC......... 3,224 32,292
Capital Shopping Centres
Group PLC................. 4,707 31,867
CapitaMall Trust............. 18,000 27,834
CFS Retail Property Trust.... 15,429 30,224
Corio NV..................... 444 31,493
Dexus Property Group......... 33,229 32,000
Fonciere Des Regions......... 276 31,366
Gecina SA.................... 228 32,930
Goodman Group................ 42,094 32,707
GPT Group.................... 9,344 32,313
Hammerson PLC................ 3,998 31,348
ICADE........................ 258 33,152
Japan Prime Realty Investment
Corp. .................... 12 33,986
Japan Retail Fund Investment
Corp. .................... 18 29,039
Klepierre.................... 750 30,866
Land Securities Group PLC.... 2,414 31,607
Link REIT (The).............. 9,000 28,329
Mirvac Group................. 21,729 30,199
Nomura Real Estate Office
Fund, Inc. ............... 6 43,185
Segro PLC.................... 5,674 30,767
Stockland.................... 7,544 31,207
Unibail-Rodamco SE........... 144 33,744
Westfield Group.............. 2,966 29,277
Westfield Retail Trust....... 10,845 31,451
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 793,079
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 2.6%
Aeon Mall Co., Ltd. ......... 1,200 28,514
CapitaLand Ltd.*............. 12,000 33,381
CapitaMalls Asia Ltd. ....... 18,000 26,067
City Developments Ltd. ...... 6,000 58,122
Daito Trust Construction Co.,
Ltd. ..................... 600 47,695
Global Logistic Properties
Ltd.*..................... 18,000 28,423
Hang Lung Group Ltd. ........ 6,000 40,399
Hang Lung Properties Ltd. ... 6,000 26,726
Henderson Land Development
Co., Ltd. ................ 6,000 41,055
Hysan Development Co.,
Ltd. ..................... 6,000 28,001
IMMOFINANZ AG*............... 6,736 32,079
Keppel Land Ltd. ............ 6,000 20,470
Kerry Properties Ltd. ....... 6,000 31,979
Lend Lease Group............. 3,164 30,124
New World Development Ltd. .. 18,000 31,562
Nomura Real Estate Holdings,
Inc. ..................... 1,200 18,339
NTT Urban Development
Corp. .................... 30 24,698
Sino Land Co., Ltd. ......... 12,000 21,103
Swire Pacific Ltd. -- Class
A......................... 3,000 45,806
Tokyo Tatemono Co., Ltd. .... 6,000 21,518
Tokyu Land Corp. ............ 6,000 25,733
Wharf Holdings Ltd. ......... 6,000 43,875
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 705,669
-----------
ROAD & RAIL 2.0%
Asciano Ltd. ................ 16,567 29,915
Central Japan Railway Co. ... 6 45,181
DSV A/S...................... 1,330 34,820
East Japan Railway Co. ...... 600 33,091
Firstgroup PLC............... 4,763 25,796
Keikyu Corp. ................ 6,000 41,558
Keio Corp. .................. 6,000 33,571
Keisei Electric Railway Co.,
Ltd. ..................... 6,000 34,533
Kintetsu Corp. .............. 12,000 35,938
MTR Corp. ................... 9,000 32,790
Nippon Express Co., Ltd. .... 6,000 23,737
Odakyu Electric Railway Co.,
Ltd. ..................... 6,000 48,361
QR National Ltd.*............ 9,224 34,623
Tobu Railway Co., Ltd. ...... 6,000 23,293
Tokyu Corp. ................. 6,000 24,698
West Japan Railway Co. ...... 6 21,703
-----------
TOTAL ROAD & RAIL 523,608
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 1.3%
Advantest Corp. ............. 1,200 23,618
ARM Holdings PLC............. 3,104 32,125
ASM Pacific Technology
Ltd. ..................... 2,400 32,257
ASML Holding NV.............. 666 27,622
Elpida Memory, Inc.*......... 1,800 26,665
Infineon Technologies AG..... 2,714 30,859
Renewable Energy Corp. ASA*.. 8,251 29,167
Rohm Co., Ltd. .............. 600 36,086
Shinko Electric Industries
Co., Ltd. ................ 2,400 24,432
STMicroelectronics NV........ 2,300 27,206
Sumco Corp.*................. 1,800 34,341
Tokyo Electron Ltd. ......... 600 34,496
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 358,874
-----------
SOFTWARE 0.9%
Autonomy Corp. PLC*.......... 1,092 29,324
Dassault Systemes SA......... 382 31,125
Konami Corp. ................ 1,200 23,604
NICE Systems Ltd. ADR*....... 862 32,868
Oracle Corp. Japan........... 600 25,918
Sage Group PLC (The)......... 6,340 30,138
SAP AG....................... 486 31,365
Square Enix Holdings Co.,
Ltd. ..................... 1,800 29,771
Trend Micro, Inc. ........... 600 17,015
-----------
TOTAL SOFTWARE 251,128
-----------
SPECIALTY RETAIL 1.1%
ABC-Mart, Inc. .............. 600 22,406
Esprit Holdings Ltd. ........ 6,000 24,950
Hennes & Mauritz AB.......... 900 31,879
Inditex SA................... 390 35,029
Kingfisher PLC............... 7,177 32,860
Nitori Holdings Co., Ltd. ... 300 25,844
Shimamura Co., Ltd. ......... 600 55,977
USS Co., Ltd. ............... 360 27,552
Yamada Denki Co., Ltd. ...... 360 24,935
-----------
TOTAL SPECIALTY RETAIL 281,432
-----------
TEXTILES, APPAREL & LUXURY GOODS 1.3%
Adidas AG.................... 456 34,002
Billabong International
Ltd. ..................... 3,302 24,391
Burberry Group PLC........... 1,561 33,717
Christian Dior SA............ 204 32,793
Cie Financiere Richemont
SA -- Class A............. 494 31,797
Luxottica Group SpA.......... 960 31,747
LVMH Moet Hennessy Louis
Vuitton SA................ 186 33,459
Pandora A/S.................. 474 21,387
Puma AG Rudolf Dassler
Sport..................... 102 34,049
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 55
RYDEX MSCI EAFE EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONCLUDED)
Swatch Group AG (The)........ 66 $32,337
Yue Yuen Industrial Holdings
Ltd. ..................... 9,000 31,110
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 340,789
-----------
TOBACCO 0.5%
British American Tobacco
PLC....................... 736 32,053
Imperial Tobacco Group PLC... 902 31,700
Japan Tobacco, Inc. ......... 6 23,219
Swedish Match AB*............ 942 33,508
-----------
TOTAL TOBACCO 120,480
-----------
TRADING COMPANIES & DISTRIBUTORS 1.3%
Brenntag AG*................. 282 34,725
Bunzl PLC.................... 2,414 29,957
ITOCHU Corp. ................ 3,000 31,020
Marubeni Corp. .............. 6,000 43,332
Mitsubishi Corp. ............ 1,200 32,226
Mitsui & Co., Ltd. .......... 1,800 31,767
Noble Group Ltd. ............ 18,000 32,841
Sojitz Corp. ................ 13,200 25,053
Sumitomo Corp. .............. 1,800 24,558
Toyota Tsusho Corp. ......... 1,800 29,749
Wolseley PLC................. 846 30,592
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 345,820
-----------
TRANSPORTATION INFRASTRUCTURE 1.2%
Abertis Infraestructuras SA.. 1,446 34,314
Aeroports de Paris........... 330 31,676
Atlantia SpA................. 1,278 31,493
Brisa Auto-Estradas de
Portugal SA*.............. 4,028 26,993
Fraport AG Frankfurt Airport
Services Worldwide........ 414 33,186
Groupe Eurotunnel SA......... 2,924 31,820
Kamigumi Co., Ltd. .......... 6,000 51,023
Koninklijke Vopak NV......... 618 29,670
MAp Group.................... 9,181 29,639
Transurban Group............. 5,297 30,723
-----------
TOTAL TRANSPORTATION INFRASTRUCTURE 330,537
-----------
WATER UTILITIES 0.1%
Severn Trent PLC............. 1,188 29,743
-----------
TOTAL WATER UTILITIES 29,743
-----------
WIRELESS TELECOMMUNICATION SERVICES 1.0%
Cellcom Israel Ltd. ......... 942 30,238
KDDI Corp. .................. 6 39,783
Millicom International
Cellular SA............... 330 35,834
Mobistar SA.................. 452 33,590
NTT DoCoMo, Inc. ............ 18 33,120
Partner Communications Co.,
Ltd. ADR.................. 1,549 30,004
Softbank Corp. .............. 600 25,068
Vodafone Group PLC........... 10,263 29,375
-----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 257,012
-----------
TOTAL COMMON STOCKS
(Cost $24,649,770) 26,454,170
-----------
RIGHTS 0.0%(A)
COMMERCIAL BANKS 0.0%(A)
Banco Comercial Portugues
SA*....................... 32,521 1,110
-----------
TOTAL COMMERCIAL BANKS 1,110
-----------
GAS UTILITIES 0.0%(A)
Leighton Holdings Ltd.*...... 98 191
-----------
TOTAL GAS UTILITIES 191
-----------
TOTAL RIGHTS
(Cost $1,191) 1,301
-----------
SHORT TERM INVESTMENTS 0.7%
SSgA Government Money Market
Fund...................... 201,331 201,331
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $201,331) 201,331
-----------
TOTAL INVESTMENTS 99.4%(B)
(Cost $24,852,292) 26,656,802
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.6% 154,238
-----------
NET ASSETS--100.0% $26,811,040
-----------------------------------------------------
</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.
ADR--American Depositary Receipt
REIT--Real Estate Investment Trust
See Notes to Financial Statements.
56
RYDEX MSCI EAFE EQUAL WEIGHT ETF
INVESTMENT CONCENTRATION
--------------------------------------------------------------------------------
At April 30, 2011, the investment diversification of the Portfolio was as
follows:
<Table>
<Caption>
COUNTRY % OF INVESTMENTS
-------------------------------------------------
Japan.......................... 31.27%
Britain........................ 11.16%
France......................... 8.36%
Australia...................... 7.71%
Germany........................ 5.74%
Sweden......................... 3.75%
Switzerland.................... 3.56%
Spain.......................... 3.30%
Italy.......................... 3.10%
Netherlands.................... 2.74%
Singapore...................... 2.63%
Hong Kong...................... 2.60%
Finland........................ 2.02%
Israel......................... 1.64%
Belgium........................ 1.57%
Denmark........................ 1.40%
Norway......................... 0.95%
Austria........................ 0.92%
United States.................. 0.89%
Bermuda........................ 0.88%
Portugal....................... 0.76%
Jersey......................... 0.69%
Luxembourg..................... 0.59%
Ireland........................ 0.58%
Cayman Islands................. 0.50%
New Zealand.................... 0.24%
Mauritius...................... 0.12%
Guernsey....................... 0.12%
Isle Of Man.................... 0.12%
Greece......................... 0.09%
-------------------------------------------------
TOTAL INVESTMENTS.............. 100.00%
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 57
RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS 90.4%
AEROSPACE & DEFENSE 0.1%
Embraer SA ADR............... 856 $27,803
-----------
TOTAL AEROSPACE & DEFENSE...... 27,803
-----------
AIR FREIGHT & LOGISTICS 0.2%
Glovis Co., Ltd. ............ 230 32,837
-----------
TOTAL AIR FREIGHT & LOGISTICS 32,837
-----------
AIRLINES 1.6%
Air China Ltd. -- Class H.... 30,000 30,357
AirAsia BHD*................. 37,000 35,851
China Airlines Ltd.*......... 45,000 28,755
China Southern Airlines Co.,
Ltd. -- Class H*.......... 60,000 31,361
Eva Airways Corp.*........... 35,000 32,203
Gol Linhas Aereas
Inteligentes SA ADR*...... 2,066 29,441
Korean Air Lines Co., Ltd. .. 517 31,599
Lan Airlines SA ADR.......... 1,060 29,616
TAM SA ADR................... 1,330 27,770
Thai Airways International
PCL....................... 23,500 30,113
Turk Hava Yollari*........... 10,393 30,718
-----------
TOTAL AIRLINES 337,784
-----------
AUTO COMPONENTS 1.0%
Cheng Shin Rubber Industry
Co. Ltd. ................. 15,000 37,869
Hankook Tire Co., Ltd. ...... 1,050 42,082
Hyundai Mobis................ 120 40,200
Mando Corp. ................. 215 37,717
Nan Kang Rubber Tire Co.,
Ltd.*..................... 20,000 31,706
UMW Holdings BHD............. 12,000 28,481
-----------
TOTAL AUTO COMPONENTS 218,055
-----------
AUTOMOBILES 1.7%
Astra International Tbk PT... 5,000 32,783
Brilliance China Automotive
Holdings Ltd.*............ 40,000 38,931
Byd Co., Ltd. -- Class H*.... 7,500 27,132
China Motor Corp. ........... 35,000 33,120
Dongfeng Motor Group Co.,
Ltd. -- Class H........... 20,000 31,206
Geely Automobile Holdings
Ltd. ..................... 75,000 30,029
Great Wall Motor Co.,
Ltd. -- Class H........... 20,000 35,841
Guangzhou Automobile Group
Co., Ltd. -- Class H...... 20,000 22,581
Hyundai Motor Co. ........... 185 42,553
Kia Motors Corp. ............ 562 40,328
Yulon Motor Co., Ltd. ....... 15,000 31,217
-----------
TOTAL AUTOMOBILES 365,721
-----------
BEVERAGES 1.2%
Cia Cervecerias Unidas SA
ADR....................... 537 32,220
Cia de Bebidas das Americas
ADR....................... 1,070 34,861
Coca-Cola Femsa SAB de CV
ADR....................... 385 30,711
Embotelladoras Arca SAB de
CV........................ 5,160 31,281
Fomento Economico Mexicano
SAB de CV ADR............. 512 32,205
Grupo Modelo SAB de CV....... 4,768 29,761
Tsingtao Brewery Co.,
Ltd. -- Class H........... 10,000 53,105
-----------
TOTAL BEVERAGES 244,144
-----------
BUILDING PRODUCTS 0.2%
KCC Corp. ................... 100 33,826
-----------
TOTAL BUILDING PRODUCTS 33,826
-----------
CAPITAL MARKETS 1.7%
CETIP SA -- Balcao Organizado
de Ativos e Derivativos... 1,866 30,964
Daewoo Securities Co.,
Ltd.*..................... 1,400 29,459
Hyundai Securities Co. ...... 2,500 31,610
Investec Ltd. ............... 3,763 30,334
KGI Securities Co., Ltd. .... 60,000 31,426
Korea Investment Holdings
Co., Ltd.*................ 790 30,925
Mirae Asset Securities Co.,
Ltd. ..................... 640 25,859
Polaris Securities Co.,
Ltd. ..................... 45,000 32,369
Samsung Securities Co.,
Ltd. ..................... 420 35,037
Tong Yang Securities, Inc. .. 4,150 30,438
Woori Investment & Securities
Co., Ltd. ................ 1,550 31,025
Yuanta Financial Holding Co.,
Ltd. ..................... 40,000 27,795
-----------
TOTAL CAPITAL MARKETS 367,241
-----------
CHEMICALS 3.9%
Braskem SA ADR*.............. 1,170 34,901
Cheil Industries, Inc. ...... 270 29,730
China BlueChemical Ltd. ..... 40,000 32,545
China Petrochemical
Development Corp.*........ 25,000 31,121
Formosa Chemicals & Fibre
Corp. .................... 10,000 40,330
Formosa Plastics Corp. ...... 10,000 40,854
Hanwha Chem Corp. ........... 1,000 44,511
Hanwha Corp. ................ 700 32,137
Honam Petrochemical Corp. ... 105 37,036
Huabao International Holdings
Ltd. ..................... 25,000 37,077
Hyosung Corp. ............... 395 32,399
LCY Chemical Corp. .......... 10,000 29,471
LG Chem Ltd. ................ 85 42,038
Mexichem SAB de CV........... 8,287 31,439
Nan Ya Plastics Corp. ....... 10,000 30,658
OCI Co., Ltd. ............... 80 47,777
Petronas Chemicals Group
BHD*...................... 14,000 34,173
PTT Chemical PCL............. 6,000 32,161
Sinofert Holdings Ltd.*...... 50,000 20,856
Sinopec Shanghai
Petrochemical Co.,
Ltd. -- Class H........... 60,000 29,044
Sociedad Quimica y Minera de
Chile SA ADR.............. 542 33,078
Taiwan Fertilizer Co.,
Ltd. ..................... 10,000 33,731
TSRC Corp. .................. 10,000 29,855
Uralkali GDR................. 761 31,939
-----------
TOTAL CHEMICALS 818,861
-----------
COMMERCIAL BANKS 10.0%
ABSA Group Ltd. ............. 1,582 32,650
Agricultural Bank of China
Ltd. -- Class H*.......... 60,000 35,455
Akbank TAS................... 5,939 30,884
Asya Katilim Bankasi AS...... 18,073 35,809
Banco Bradesco SA ADR........ 1,467 29,677
Banco do Brasil SA........... 1,592 29,342
Banco do Estado do Rio Grande
do Sul.................... 2,723 32,720
Banco Santander Brasil SA
ADS....................... 2,338 27,144
Banco Santander Chile ADR.... 345 31,599
BanColombia SA ADR........... 507 33,589
Bangkok Bank PCL............. 5,500 31,323
Bank Central Asia Tbk PT..... 40,000 34,563
Bank Danamon Indonesia Tbk
PT........................ 40,000 28,958
Bank Mandiri Tbk PT.......... 45,000 37,570
Bank Negara Indonesia Persero
Tbk PT.................... 72,500 34,286
Bank of Ayudhya PCL.......... 36,500 34,544
Bank of China Ltd. -- Class
H......................... 55,000 30,376
Bank of Communications Co.,
Ltd. -- Class H........... 30,000 31,786
Bank Pekao SA................ 502 32,949
</Table>
See Notes to Financial Statements.
58
RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Bank Rakyat Indonesia Persero
Tbk PT.................... 55,000 $41,423
BS Financial Group, Inc.*.... 1,880 27,367
Chang Hwa Commercial Bank.... 40,000 34,918
China Citic Bank Corp.,
Ltd. -- Class H........... 45,000 32,211
China Construction Bank
Corp. -- Class H.......... 35,000 33,073
China Development Financial
Holding Corp. ............ 70,000 29,331
China Merchants Bank Co.,
Ltd. -- Class H........... 12,500 32,185
China Minsheng Banking Corp.,
Ltd. -- Class H........... 32,500 31,171
Chinatrust Financial Holding
Co., Ltd. ................ 35,000 32,081
CIMB Group Holdings BHD...... 10,500 29,033
Credicorp Ltd. .............. 285 27,508
Daegu Bank Ltd. ............. 1,950 32,571
First Financial Holding Co.,
Ltd. ..................... 35,000 32,448
Grupo Financiero Banorte SAB
de CV..................... 6,396 32,152
Hana Financial Group, Inc. .. 700 29,655
Hua Nan Financial Holdings
Co., Ltd. ................ 40,000 31,985
Industrial & Commercial Bank
of China -- Class H....... 40,000 33,833
Industrial Bank of Korea..... 1,900 36,435
Itau Unibanco Holding SA
ADR....................... 1,275 30,281
Itausa -- Investimentos Itau
SA........................ 3,878 29,956
Kasikornbank PCL............. 8,000 34,841
KB Financial Group, Inc.
ADR....................... 562 29,949
Komercni Banka AS............ 120 31,669
Korea Exchange Bank.......... 3,450 29,328
Krung Thai Bank PCL.......... 54,700 35,917
Malayan Banking BHD.......... 10,000 29,541
Mega Financial Holding Co.,
Ltd. ..................... 40,000 34,918
Metropolitan Bank & Trust*... 21,460 34,413
Nedbank Group Ltd. .......... 1,582 35,121
OTP Bank PLC*................ 990 35,085
Powszechna Kasa Oszczednosci
Bank Polski SA............ 1,981 34,150
Public Bank BHD.............. 6,500 28,748
RHB Capital BHD.............. 11,000 32,903
Shinhan Financial Group Co.,
Ltd. ADR.................. 330 32,017
Siam Commercial Bank PCL..... 9,000 34,975
SinoPac Financial Holdings
Co., Ltd. ................ 70,000 33,242
Standard Bank Group Ltd. .... 2,011 31,454
Taishin Financial Holding
Co., Ltd.*................ 55,000 32,360
Taiwan Business Bank*........ 70,000 28,476
Taiwan Cooperative Bank...... 35,000 29,331
Turkiye Garanti Bankasi AS... 6,341 32,892
Turkiye Halk Bankasi AS...... 3,848 33,309
Turkiye Is Bankasi........... 8,997 31,863
Turkiye Vakiflar Bankasi
Tao....................... 11,625 30,915
VTB Bank OJSC GDR............ 4,299 27,815
Woori Finance Holdings Co.,
Ltd. ..................... 2,350 32,016
Yapi ve Kredi Bankasi AS*.... 10,069 31,748
-----------
TOTAL COMMERCIAL BANKS 2,123,837
-----------
COMMERCIAL SERVICES & SUPPLIES 0.1%
S1 Corp. .................... 631 30,795
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 30,795
-----------
COMMUNICATIONS EQUIPMENT 0.1%
ZTE Corp. -- Class H......... 7,200 25,908
-----------
TOTAL COMMUNICATIONS EQUIPMENT 25,908
-----------
COMPUTERS & PERIPHERALS 2.1%
Acer, Inc. .................. 10,000 18,716
Asustek Computer, Inc. ...... 5,000 45,044
Catcher Technology Co.,
Ltd. ..................... 5,000 31,426
Chicony Electronics Co.,
Ltd. ..................... 15,000 29,541
Clevo Co. ................... 15,000 34,307
Compal Electronics, Inc. .... 25,000 28,327
Foxconn Technology Co.,
Ltd. ..................... 10,000 47,838
Lenovo Group Ltd. ........... 50,000 29,095
Lite-On Technology Corp. .... 25,000 31,645
Pegatron Corp.*.............. 25,000 26,363
Qisda Corp.*................. 50,000 28,458
Quanta Computer, Inc. ....... 15,000 29,593
Simplo Technology Co.,
Ltd. ..................... 5,000 33,871
Wistron Corp. ............... 15,000 26,974
-----------
TOTAL COMPUTERS & PERIPHERALS 441,198
-----------
CONSTRUCTION & ENGINEERING 2.4%
Aveng Ltd. .................. 5,574 29,507
China Communications
Construction Co.,
Ltd. -- Class H........... 40,000 36,923
China Railway Construction
Corp., Ltd. -- Class H.... 25,000 22,079
China Railway Group
Ltd. -- Class H........... 45,000 24,100
Daelim Industrial Co.,
Ltd. ..................... 320 36,131
Daewoo Engineering &
Construction Co., Ltd.*... 2,850 30,318
Doosan Heavy Industries and
Construction Co., Ltd. ... 472 26,338
Gamuda BHD................... 23,500 29,672
GS Engineering & Construction
Corp. .................... 320 38,520
Hyundai Development Co. ..... 1,000 27,341
Hyundai Engineering &
Construction Co., Ltd. ... 450 37,750
IJM Corp. BHD................ 14,500 30,351
Metallurgical Corp. of China
Ltd. -- Class H*.......... 70,000 29,649
Murray & Roberts Holdings
Ltd. ..................... 7,942 30,383
Orascom Construction
Industries GDR............ 856 35,096
Samsung Engineering Co.,
Ltd. ..................... 180 39,892
-----------
TOTAL CONSTRUCTION & ENGINEERING 504,050
-----------
CONSTRUCTION MATERIALS 2.3%
Anhui Conch Cement Co.,
Ltd. -- Class H........... 15,000 70,775
Asia Cement Corp. ........... 30,000 40,121
BBMG Corp. -- Class H........ 22,500 37,019
Cemex SAB de CV ADR*......... 3,271 28,392
China National Building
Material Co.,
Ltd. -- Class H........... 20,000 42,124
China Resources Cement
Holdings Ltd. ............ 40,000 40,682
China Shanshui Cement Group
Ltd. ..................... 40,000 44,802
Indocement Tunggal Prakarsa
Tbk PT.................... 17,500 34,738
Pretoria Portland Cement Co.,
Ltd. ..................... 7,346 27,880
Semen Gresik Persero Tbk PT.. 30,000 33,279
Siam Cement PCL.............. 2,500 34,673
Taiwan Cement Corp. ......... 30,000 43,944
-----------
TOTAL CONSTRUCTION MATERIALS 478,429
-----------
CONSUMER FINANCE 0.1%
Samsung Card Co. ............ 606 30,084
-----------
TOTAL CONSUMER FINANCE 30,084
-----------
CONTAINERS & PACKAGING 0.1%
Klabin SA.................... 7,765 30,213
-----------
TOTAL CONTAINERS & PACKAGING 30,213
-----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 59
RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
DISTRIBUTORS 0.2%
Imperial Holdings Ltd. ...... 1,811 $32,439
-----------
TOTAL DISTRIBUTORS 32,439
-----------
DIVERSIFIED CONSUMER SERVICES 0.1%
Anhanguera Educacional
Participacoes SA.......... 1,315 29,261
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES 29,261
-----------
DIVERSIFIED FINANCIAL SERVICES 1.3%
African Bank Investments
Ltd. ..................... 5,669 32,961
AMMB Holdings BHD............ 13,500 29,078
BM&FBovespa SA............... 4,157 31,213
China Everbright Ltd. ....... 10,000 22,066
FirstRand Ltd. .............. 10,437 32,735
Fubon Financial Holding Co.,
Ltd. ..................... 20,000 29,331
Haci Omer Sabanci Holding
AS........................ 7,031 37,674
Remgro Ltd. ................. 1,806 31,222
RMB Holdings Ltd. ........... 5,320 22,880
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 269,160
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 2.5%
Brasil Telecom SA ADR........ 1,195 33,699
China Communications Services
Corp., Ltd. -- Class H.... 50,000 30,511
China Telecom Corp.,
Ltd. -- Class H........... 50,000 28,838
China Unicom Hong Kong Ltd.
ADR....................... 1,752 35,846
Chunghwa Telecom Co., Ltd.
ADR....................... 955 30,130
KT Corp. ADR................. 1,397 28,359
LG Uplus Corp. .............. 5,470 33,229
Magyar Telekom
Telecommunications PLC*... 10,044 34,243
SK Broadband Co., Ltd.*...... 6,785 27,225
Tele Norte Leste
Participacoes SA ADR...... 1,762 30,042
Telefonica O2 Czech Republic
AS........................ 1,245 31,979
Telefonos de Mexico SAB de CV
ADR....................... 1,562 29,241
Telekom Malaysia BHD......... 22,500 30,309
Telekomunikacja Polska SA.... 4,879 32,300
Telekomunikasi Indonesia Tbk
PT ADR.................... 841 30,394
Telkom SA Ltd. .............. 5,749 33,383
Turk Telekomunikasyon AS..... 6,321 32,954
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 532,682
-----------
ELECTRIC UTILITIES 1.9%
Centrais Eletricas
Brasileiras SA ADR........ 1,981 28,917
CEZ AS....................... 601 34,485
Cia Energetica de Minas
Gerais ADR................ 1,712 35,729
Cia Paranaense de Energia
ADR....................... 1,110 30,603
CPFL Energia SA ADR.......... 365 32,281
EDP -- Energias do Brasil
SA........................ 1,280 31,737
Eletropaulo Metropolitana
Eletricidade de Sao Paulo
SA........................ 1,452 35,356
Enersis SA ADR............... 1,467 31,335
Federal Hydrogenerating Co.
JSC ADR*.................. 5,619 29,191
Korea Electric Power Corp.
ADR*...................... 2,256 27,298
PGE Polska Grupa Energetyczna
SA........................ 3,618 32,686
Tauron Polska Energia SA*.... 13,260 31,012
Tenaga Nasional BHD.......... 13,500 27,392
-----------
TOTAL ELECTRIC UTILITIES 408,022
-----------
ELECTRICAL EQUIPMENT 1.2%
China High Speed Transmission
Equipment Group Co.
Ltd. ..................... 20,000 26,469
Dongfang Electric Corp.,
Ltd. -- Class H........... 8,000 26,314
LS Corp. .................... 350 38,702
LS Industrial Systems Co.,
Ltd. ..................... 455 33,754
Shanghai Electric Group Co.,
Ltd. -- Class H........... 50,000 24,847
Teco Electric and Machinery
Co., Ltd. ................ 50,000 35,354
Walsin Lihwa Corp.*.......... 55,000 31,880
Zhuzhou CSR Times Electric
Co., Ltd. -- Class H...... 10,000 39,588
-----------
TOTAL ELECTRICAL EQUIPMENT 256,908
-----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS 2.6%
AU Optronics Corp. ADR*...... 3,191 25,847
Cheng Uei Precision Industry
Co., Ltd. ................ 15,000 30,117
Chimei Innolux Corp.*........ 25,000 25,665
Coretronic Corp. ............ 20,000 30,588
Delta Electronics, Inc. ..... 5,000 22,347
E Ink Holdings, Inc.*........ 15,000 30,536
Everlight Electronics Co.,
Ltd. ..................... 10,000 28,563
Hon Hai Precision Industry
Co., Ltd. GDR............. 3,833 29,284
Kingboard Chemical Holdings
Ltd. ..................... 5,000 27,389
LG Display Co., Ltd. ADR..... 1,757 31,310
LG Innotek Co., Ltd. ........ 245 24,691
Nan Ya Printed Circuit Board
Corp. .................... 10,000 32,683
Samsung Electro-Mechanics
Co., Ltd. ................ 250 24,145
Samsung SDI Co., Ltd. ....... 195 34,846
Synnex Technology
International Corp. ...... 10,000 25,525
Tripod Technology Corp. ..... 5,000 23,657
Unimicron Technology Corp. .. 15,000 24,696
Wintek Corp.*................ 15,000 21,894
WPG Holdings Ltd. ........... 15,000 27,707
Young Fast Optoelectronics
Co., Ltd. ................ 5,000 34,220
-----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 555,710
-----------
ENERGY EQUIPMENT & SERVICES 0.2%
China Oilfield Services
Ltd. -- Class H........... 10,000 19,775
TMK OAO GDR*................. 1,507 30,878
-----------
TOTAL ENERGY EQUIPMENT & SERVICES 50,653
-----------
FOOD & STAPLES RETAILING 2.1%
Alliance Global Group,
Inc. ..................... 107,000 29,643
BIM Birlesik Magazalar AS.... 955 33,318
Cencosud SA.................. 4,279 33,724
China Resources Enterprise
Ltd. ..................... 10,000 40,296
Cia Brasileira de
Distribuicao Grupo Pao de
Acucar ADR................ 751 34,140
CP ALL PCL................... 23,000 33,325
Magnit OJSC GDR.............. 1,060 29,680
Massmart Holdings Ltd. ...... 1,402 30,649
Pick n Pay Stores Ltd. ...... 4,369 28,195
President Chain Store
Corp. .................... 5,000 27,411
Shinsegae Co., Ltd.(a)....... 125 31,493
Shoprite Holdings Ltd. ...... 2,116 33,247
Spar Group Ltd.(The)......... 2,141 31,690
Wal-Mart de Mexico SAB de
CV........................ 9,794 30,625
-----------
TOTAL FOOD & STAPLES RETAILING 447,436
-----------
FOOD PRODUCTS 3.2%
BRF -- Brasil Foods SA ADR... 1,577 32,660
Chaoda Modern Agriculture
Holdings Ltd. ............ 50,000 31,091
Charoen Pokphand Foods PCL... 36,500 36,072
Charoen Pokphand Indonesia
Tbk PT.................... 167,500 37,748
China Agri-Industries
Holdings Ltd. ............ 30,000 34,219
China Mengniu Dairy Co.,
Ltd. ..................... 10,000 30,705
China Yurun Food Group
Ltd. ..................... 10,000 36,627
CJ CheilJedang Corp. ........ 155 35,942
Cosan SA Industria e
Comercio.................. 1,861 28,633
</Table>
See Notes to Financial Statements.
60
RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Grupo Bimbo SAB de CV........ 14,552 $32,052
Indofood Sukses Makmur Tbk
PT........................ 52,500 34,023
IOI Corp. BHD................ 16,000 28,575
JBS SA....................... 7,566 25,831
Kuala Lumpur Kepong BHD...... 4,000 28,521
Marfrig Alimentos SA......... 3,242 33,391
PPB Group BHD................ 5,500 31,529
Tiger Brands Ltd. ........... 1,120 32,730
Tingyi Cayman Islands Holding
Corp. .................... 10,000 26,520
Uni-President Enterprises
Corp. .................... 20,000 28,772
Want Want China Holdings
Ltd. ..................... 40,000 35,893
Wimm-Bill-Dann Foods OJSC
ADR*...................... 866 30,561
-----------
TOTAL FOOD PRODUCTS 672,095
-----------
GAS UTILITIES 0.6%
China Gas Holdings Ltd. ..... 80,000 31,309
ENN Energy Holdings Ltd. .... 10,000 34,245
Korea Gas Corp. ............. 850 27,087
Perusahaan Gas Negara PT..... 67,500 31,527
-----------
TOTAL GAS UTILITIES 124,168
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 0.3%
Shandong Weigao Group Medical
Polymer Co., Ltd. -- Class
H*........................ 20,000 54,843
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 54,843
-----------
HEALTH CARE PROVIDERS & SERVICES 0.7%
Amil Participacoes SA........ 2,763 33,991
Diagnosticos da America SA... 2,343 31,356
Netcare Ltd. ................ 13,971 30,117
Odontoprev SA................ 2,091 33,767
Sinopharm Group Co. -- Class
H......................... 8,000 27,705
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 156,936
-----------
HOTELS, RESTAURANTS & LEISURE 0.5%
Genting BHD.................. 8,500 33,288
Genting Malaysia BHD......... 27,000 33,545
Kangwon Land, Inc. .......... 1,300 29,539
-----------
TOTAL HOTELS, RESTAURANTS & LEISURE 96,372
-----------
HOUSEHOLD DURABLES 1.8%
Arcelik AS................... 6,251 35,552
Brookfield Incorporacoes SA.. 5,984 33,289
Cyrela Brazil Realty SA
Empreendimentos e
Participacoes............. 2,688 28,215
Desarrolladora Homex SAB de
CV ADR*................... 1,005 28,371
Gafisa SA ADR................ 2,161 26,710
LG Electronics, Inc. ........ 275 26,431
MRV Engenharia e
Participacoes SA.......... 3,393 29,337
PDG Realty SA Empreendimentos
e Participacoes........... 5,049 29,660
Rossi Residencial SA......... 3,548 33,272
Skyworth Digital Holdings
Ltd. ..................... 50,000 31,863
Steinhoff International
Holdings Ltd.*............ 8,322 31,963
Tatung Co., Ltd.*............ 40,446 20,266
Woongjin Coway Co., Ltd. .... 1,000 33,407
-----------
TOTAL HOUSEHOLD DURABLES 388,336
-----------
HOUSEHOLD PRODUCTS 0.3%
Kimberly-Clark de Mexico SAB
de CV Class A............. 4,883 30,161
LG Household & Health Care
Ltd. ..................... 85 34,186
-----------
TOTAL HOUSEHOLD PRODUCTS 64,347
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 1.6%
Aboitiz Power Corp. ......... 44,500 32,796
AES Tiete SA................. 2,066 34,282
China Longyuan Power Group
Corp. -- Class H.......... 35,000 35,957
China Resources Power
Holdings Co., Ltd. ....... 20,000 36,820
Cia Energetica de Sao Paulo.. 1,697 32,842
Datang International Power
Generation Co.,
Ltd. -- Class H........... 80,000 30,177
Empresa Nacional de
Electricidad SA ADR....... 567 31,967
Energy Development Corp. .... 218,600 34,467
Huaneng Power International,
Inc. -- Class H........... 50,000 27,550
Tractebel Energia SA......... 1,806 31,644
-----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 328,502
-----------
INDUSTRIAL CONGLOMERATES 2.4%
Alfa SAB de CV............... 2,388 35,700
Beijing Enterprises Holdings
Ltd. ..................... 5,000 26,552
Bidvest Group Ltd. .......... 1,290 29,665
Citic Pacific Ltd. .......... 10,000 29,868
Doosan Corp. ................ 255 31,290
Empresas COPEC SA............ 1,716 33,313
Enka Insaat ve Sanayi AS..... 8,332 36,528
Far Eastern New Century
Corp. .................... 20,000 31,426
KOC Holding AS............... 6,819 36,717
LG Corp. .................... 405 37,225
Samsung Techwin Co., Ltd. ... 410 33,706
Shanghai Industrial Holdings
Ltd. ..................... 10,000 39,459
Sime Darby BHD............... 9,500 28,930
SK Holdings Co., Ltd. ....... 225 40,312
SM Investments Corp. ........ 2,650 35,841
-----------
TOTAL INDUSTRIAL CONGLOMERATES 506,532
-----------
INSURANCE 2.5%
Cathay Financial Holding Co.,
Ltd. ..................... 20,000 33,382
China Life Insurance Co.,
Ltd. ..................... 30,000 35,040
China Life Insurance Co.,
Ltd. -- Class H........... 10,000 35,532
China Pacific Insurance Group
Co., Ltd. -- Class H...... 7,000 30,235
China Taiping Insurance
Holdings Co., Ltd.*....... 10,000 27,486
Discovery Holdings Ltd. ..... 5,145 29,579
Dongbu Insurance Co., Ltd. .. 700 33,313
Korea Life Insurance Co.,
Ltd.*..................... 4,100 28,273
MMI Holdings Ltd. ........... 12,324 31,805
PICC Property & Casualty Co.,
Ltd. -- Class H*.......... 20,000 25,697
Ping An Insurance Group Co.
of China Ltd. -- Class H.. 2,500 27,180
Porto Seguro SA.............. 1,761 29,669
Powszechny Zaklad Ubezpieczen
SA........................ 235 33,065
RMI Holdings................. 5,308 9,557
Samsung Fire & Marine
Insurance Co., Ltd. ...... 145 31,120
Samsung Life Insurance Co.,
Ltd. ..................... 295 26,729
Sanlam Ltd. ................. 7,481 31,981
Shin Kong Financial Holding
Co., Ltd.*................ 70,000 30,676
-----------
TOTAL INSURANCE 530,319
-----------
INTERNET & CATALOG RETAIL 0.1%
B2W Cia Global Do Varejo..... 1,861 25,556
-----------
TOTAL INTERNET & CATALOG RETAIL 25,556
-----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 61
RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
INTERNET SOFTWARE & SERVICES 0.4%
Alibaba.com Ltd. ............ 15,000 $26,611
NHN Corp.*................... 170 33,710
Tencent Holdings Ltd. ....... 1,000 28,451
-----------
TOTAL INTERNET SOFTWARE & SERVICES 88,772
-----------
IT SERVICES 0.5%
Cielo SA..................... 3,418 31,618
Redecard SA.................. 2,086 30,171
SK C&C Co. Ltd. ............. 345 35,413
-----------
TOTAL IT SERVICES 97,202
-----------
MACHINERY 2.3%
Changsha Zoomlion Heavy
Industry Science and
Technology Development Co.
Ltd. -- Class H*.......... 13,000 34,477
China National Materials Co.,
Ltd. ..................... 35,000 34,470
China Rongsheng Heavy
Industry Group Co.,
Ltd. ..................... 32,500 27,405
CSR Corp., Ltd. ............. 25,000 27,582
Daewoo Shipbuilding & Marine
Engineering Co., Ltd. .... 900 38,506
Doosan Infracore Co., Ltd.*.. 1,250 34,526
Hanjin Heavy Industries &
Construction Co., Ltd.*... 1,050 38,212
Hiwin Technologies Corp. .... 5,000 49,758
Hyundai Heavy Industries Co.,
Ltd. ..................... 70 34,946
Hyundai Mipo Dockyard........ 185 32,800
Lonking Holdings Ltd. ....... 50,000 36,884
Samsung Heavy Industries Co.,
Ltd. ..................... 900 40,732
United Tractors Tbk PT....... 10,000 27,149
Weichai Power Co.,
Ltd. -- Class H........... 5,000 34,116
-----------
TOTAL MACHINERY 491,563
-----------
MARINE 1.2%
China COSCO Holdings Co.,
Ltd. -- Class H*.......... 27,500 26,411
China Shipping Container
Lines Co., Ltd. -- Class
H*........................ 70,000 27,937
China Shipping Development
Co., Ltd. -- Class H...... 30,000 31,554
Evergreen Marine Corp. Taiwan
Ltd.*..................... 35,000 32,386
Hanjin Shipping Co., Ltd. ... 900 23,389
Hyundai Merchant Marine Co.,
Ltd. ..................... 1,100 33,565
STX Pan Ocean Co., Ltd. ..... 3,250 26,324
U-Ming Marine Transport
Corp. .................... 15,000 32,474
Yang Ming Marine Transport
Corp.*.................... 35,000 29,637
-----------
TOTAL MARINE 263,677
-----------
MEDIA 0.4%
BEC World PCL................ 28,500 32,940
Grupo Televisa SA ADR*....... 1,195 28,345
Naspers Ltd. ................ 512 30,702
-----------
TOTAL MEDIA 91,987
-----------
METALS & MINING 6.7%
African Rainbow Minerals
Ltd. ..................... 960 31,129
Aluminum Corp. of China Ltd.
ADR....................... 1,180 27,789
Aneka Tambang Tbk PT......... 115,000 30,549
Angang Steel Co.,
Ltd. -- Class H........... 20,000 25,671
Anglo Platinum Ltd. ......... 295 29,871
AngloGold Ashanti Ltd. ADR... 582 29,670
ArcelorMittal South Africa
Ltd. ..................... 2,266 30,891
Bradespar SA................. 1,095 28,334
CAP SA....................... 616 33,147
China Steel Corp. ........... 25,000 30,902
China Zhongwang Holdings
Ltd. ..................... 70,000 35,957
Cia de Minas Buenaventura SA
ADR....................... 616 25,669
Cia Siderurgica Nacional SA
ADR....................... 1,717 27,352
Dongkuk Steel Mill Co.,
Ltd. ..................... 950 37,764
Eregli Demir ve Celik
Fabrikalari TAS*.......... 9,937 30,286
Eregli Demir ve Celik
Fabrikalari TAS*.......... 2,555 7,299
Exxaro Resources Ltd. ....... 1,345 36,222
Fushan International Energy
Group Ltd. ............... 40,000 28,065
Gerdau SA ADR................ 2,066 24,957
Gold Fields Ltd. ADR......... 1,627 29,026
Grupo Mexico SAB de CV....... 7,706 26,636
Harmony Gold Mining Co., Ltd.
ADR....................... 2,413 37,570
Hidili Industry International
Development Ltd. ......... 35,000 35,371
Hyundai Steel Co. ........... 250 31,727
Impala Platinum Holdings
Ltd. ..................... 970 30,192
Industrias Penoles SAB de
CV........................ 816 31,719
International Nickel
Indonesia Tbk PT.......... 50,000 29,046
Jiangxi Copper Co.,
Ltd. -- Class H........... 10,000 33,923
KGHM Polska Miedz SA......... 497 36,614
Korea Zinc Co., Ltd. ........ 95 37,410
Kumba Iron Ore Ltd. ......... 435 31,699
Maanshan Iron &
Steel -- Class H.......... 60,000 31,593
Mechel ADR................... 975 27,856
Metalurgica Gerdau SA........ 1,811 26,401
MMC Norilsk Nickel OJSC ADR.. 1,235 34,086
MMX Mineracao e Metalicos
SA*....................... 4,739 30,491
Novolipetsk Steel OJSC GDR... 671 25,605
Polymetal JSC GDR*........... 1,482 28,365
Polyus Gold OJSC ADR......... 851 30,636
POSCO ADR.................... 275 30,333
Severstal OAO GDR............ 1,622 29,196
Southern Copper Corp. ....... 671 25,136
Tung Ho Steel Enterprise
Corp. .................... 25,000 29,506
Usinas Siderurgicas de Minas
Gerais SA................. 2,503 25,700
Vale SA ADR.................. 821 27,421
Zhaojin Mining Industry Co.,
Ltd. ..................... 7,500 34,712
Zijin Mining Group Co.,
Ltd. -- Class H........... 40,000 31,464
-----------
TOTAL METALS & MINING 1,410,958
-----------
MULTILINE RETAIL 1.5%
Far Eastern Department Stores
Co., Ltd. ................ 20,000 35,337
Golden Eagle Retail Group
Ltd. ..................... 15,000 39,298
Hyundai Department Store Co.,
Ltd. ..................... 260 38,091
Lojas Americanas SA.......... 3,578 31,847
Lojas Renner SA.............. 941 34,729
Lotte Shopping Co., Ltd. .... 80 36,467
Parkson Retail Group Ltd. ... 20,000 30,691
SACI Falabella............... 3,006 32,841
Woolworths Holdings Ltd. .... 7,932 36,064
-----------
TOTAL MULTILINE RETAIL 315,365
-----------
OIL, GAS & CONSUMABLE FUELS 5.4%
Adaro Energy Tbk PT.......... 102,500 26,331
Banpu PCL.................... 1,250 31,240
Bumi Resources Tbk PT........ 90,000 35,994
China Coal Energy Co.,
Ltd. -- Class H........... 20,000 27,859
China Petroleum & Chemical
Corp. -- Class H.......... 30,000 30,202
China Shenhua Energy Co.,
Ltd. -- Class H........... 7,500 35,001
CNOOC Ltd. ADR............... 125 31,181
Ecopetrol SA ADR............. 671 29,437
</Table>
See Notes to Financial Statements.
62
RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONTINUED)
Formosa Petrochemical
Corp. .................... 10,000 $35,093
Gazprom OAO ADR.............. 1,950 32,896
GS Holdings.................. 445 37,165
Indo Tambangraya Megah PT.... 5,000 27,324
IRPC PCL..................... 156,200 32,444
Kunlun Energy Co., Ltd.*..... 20,000 35,429
Lukoil OAO ADR............... 410 28,372
MOL Hungarian Oil and Gas
PLC*...................... 245 34,208
NovaTek OAO GDR.............. 225 31,613
OGX Petroleo e Gas
Participacoes SA*......... 2,443 26,233
PetroChina Co., Ltd. -- Class
H......................... 20,000 28,735
Petroleo Brasileiro SA ADR... 706 26,355
Polski Koncern Naftowy Orlen
SA*....................... 1,796 37,465
Polskie Gornictwo Naftowe i
Gazownictwo SA............ 21,072 30,920
PTT Aromatics & Refining
PCL....................... 23,000 31,784
PTT Exploration & Production
PCL....................... 4,500 28,040
PTT PCL...................... 2,500 31,407
Rosneft Oil Co. GDR.......... 2,957 26,391
S-Oil Corp. ................. 295 43,907
Sasol Ltd. ADR............... 517 29,893
SK Innovation Co. Ltd. ...... 180 38,968
Surgutneftegas OJSC ADR...... 2,448 26,120
Tambang Batubara Bukit Asam
Tbk PT.................... 12,500 32,549
Tatneft ADR.................. 691 31,157
Thai Oil PCL................. 12,000 33,970
Tupras Turkiye Petrol
Rafinerileri AS........... 1,115 36,258
Ultrapar Participacoes SA
ADR....................... 1,772 31,878
Yanzhou Coal Mining Co.,
Ltd. -- Class H........... 10,000 39,008
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS 1,152,827
-----------
PAPER & FOREST PRODUCTS 0.9%
Duratex SA................... 2,788 28,821
Fibria Celulose SA ADR....... 1,976 31,912
Lee & Man Paper Manufacturing
Ltd. ..................... 45,000 32,327
Nine Dragons Paper Holdings
Ltd. ..................... 25,000 28,548
Sappi Ltd.*.................. 5,579 30,321
Suzano Papel e Celulose SA... 3,433 33,590
-----------
TOTAL PAPER & FOREST PRODUCTS 185,519
-----------
PERSONAL PRODUCTS 0.6%
Amorepacific Corp. .......... 30 30,234
Hengan International Group
Co. Ltd. ................. 5,000 39,008
Hypermarcas SA*.............. 2,483 33,309
Natura Cosmeticos SA......... 1,091 30,727
-----------
TOTAL PERSONAL PRODUCTS 133,278
-----------
PHARMACEUTICALS 0.7%
Aspen Pharmacare Holdings
Ltd.*..................... 2,503 30,778
Celltrion, Inc. ............. 1,011 34,623
China Shineway Pharmaceutical
Group Ltd. ............... 10,000 24,229
Kalbe Farma Tbk PT........... 85,000 35,483
Richter Gedeon Nyrt.......... 150 31,374
-----------
TOTAL PHARMACEUTICALS 156,487
-----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 3.2%
Agile Property Holdings
Ltd. ..................... 20,000 32,494
BR Malls Participacoes SA.... 3,071 32,332
China Overseas Land &
Investment Ltd. .......... 20,000 38,467
China Resources Land Ltd. ... 20,000 34,502
Country Garden Holdings
Co. ...................... 75,000 30,415
Evergrande Real Estate Group
Ltd. ..................... 65,000 46,276
Farglory Land Development
Co., Ltd. ................ 10,000 22,801
Growthpoint Properties
Ltd. ..................... 11,880 32,860
Guangzhou R&F Properties Co.,
Ltd. ..................... 22,000 29,966
Highwealth Construction
Corp. .................... 15,000 33,312
KWG Property Holding Ltd. ... 47,500 34,306
Longfor Properties Co.,
Ltd. ..................... 22,500 35,860
Multiplan Empreendimentos
Imobiliarios SA........... 1,482 30,857
Poly Hong Kong Investments
Ltd. ..................... 35,000 27,982
Renhe Commercial Holdings
Co., Ltd. ................ 190,000 32,533
Ruentex Development Co.,
Ltd. ..................... 20,000 33,312
Shimao Property Holdings
Ltd. ..................... 22,500 30,589
Shui On Land Ltd. ........... 62,500 27,679
Sino-Ocean Land Holdings
Ltd. ..................... 50,000 28,387
Soho China Ltd. ............. 42,500 36,713
Yuexiu Property Co., Ltd.*... 130,000 27,280
-----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 678,923
-----------
ROAD & RAIL 0.4%
All America Latina Logistica
SA........................ 3,418 28,250
Evergreen International
Storage & Transport
Corp. .................... 35,000 30,920
Localiza Rent a Car SA....... 2,081 35,722
-----------
TOTAL ROAD & RAIL 94,892
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.8%
Advanced Semiconductor
Engineering, Inc. ........ 25,000 29,069
Epistar Corp. ............... 10,000 33,137
GCL Poly Energy Holdings
Ltd.*..................... 60,000 42,870
Hynix Semiconductor, Inc. ... 1,200 37,848
Inotera Memories, Inc. ADR*.. 55,000 27,559
Kinsus Interconnect
Technology Corp. ......... 10,000 34,883
Macronix International....... 40,000 26,258
MediaTek, Inc. .............. 5,000 55,258
Motech Industries, Inc. ..... 5,000 18,856
MStar Semiconductor, Inc.*... 5,000 41,465
Nanya Technology Corp.*...... 55,000 27,847
Novatek Microelectronics
Corp. .................... 10,000 30,553
Phison Electronics Corp. .... 5,000 26,887
Pixart Imaging, Inc. ........ 6,000 23,465
Powerchip Technology Corp.*.. 135,000 29,038
Powertech Technology, Inc. .. 10,000 36,315
Realtek Semiconductor
Corp. .................... 15,000 29,855
Richtek Technology Corp. .... 5,000 33,434
Samsung Electronics Co., Ltd.
GDR....................... 70 29,085
Semiconductor Manufacturing
International Corp.*...... 370,000 33,344
Seoul Semiconductor Co.,
Ltd. ..................... 771 23,058
Siliconware Precision
Industries Co. ADR........ 4,229 28,673
Sino-American Silicon
Products, Inc. ........... 5,000 18,507
Taiwan Semiconductor
Manufacturing Co., Ltd.
ADR....................... 2,316 31,266
United Microelectronics Corp.
ADR....................... 9,914 28,156
Winbond Electronics Corp.*... 85,000 26,801
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 803,487
-----------
SOFTWARE 0.3%
NCSoft Corp. ................ 145 38,359
Totvs SA..................... 1,549 29,544
-----------
TOTAL SOFTWARE 67,903
-----------
SPECIALTY RETAIL 0.9%
Belle International Holdings
Ltd. ..................... 15,000 29,276
Foschini Group Ltd.(The)..... 2,608 35,870
GOME Electrical Appliances
Holdings Ltd.*............ 85,000 30,531
Grupo Elektra SA de CV....... 676 30,728
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 63
RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
-----------------------------------------------------
COMMON STOCKS (CONCLUDED)
Hengdeli Holdings Ltd. ...... 60,000 $35,919
Truworths International
Ltd. ..................... 3,211 37,032
-----------
TOTAL SPECIALTY RETAIL 199,356
-----------
TEXTILES, APPAREL & LUXURY GOODS 1.4%
Anta Sports Products Ltd. ... 20,000 32,339
Bosideng International
Holdings Ltd. ............ 120,000 38,004
China Dongxiang Group Co. ... 75,000 26,166
Cia Hering................... 1,906 41,261
Indorama Ventures PCL........ 21,000 37,462
Li Ning Co., Ltd. ........... 15,000 25,684
Pou Chen Corp. .............. 35,000 32,998
Ruentex Industries Ltd. ..... 10,000 28,214
Tainan Spinning Co., Ltd. ... 45,000 30,169
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 292,297
-----------
TOBACCO 0.5%
Gudang Garam Tbk PT.......... 7,500 35,556
KT&G Corp. .................. 542 32,065
Souza Cruz SA................ 2,903 32,649
-----------
TOTAL TOBACCO 100,270
-----------
TRADING COMPANIES & DISTRIBUTORS 0.5%
Daewoo International Corp. .. 900 34,937
Samsung C&T Corp. ........... 467 33,772
SK Networks Co., Ltd. ....... 2,700 29,856
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 98,565
-----------
TRANSPORTATION INFRASTRUCTURE 1.3%
Beijing Capital International
Airport Co., Ltd. -- Class
H......................... 60,000 29,584
China Merchants Holdings
International Co., Ltd. .. 10,000 46,025
Cia de Concessoes
Rodoviarias............... 1,031 32,118
COSCO Pacific Ltd. .......... 20,000 41,403
EcoRodovias Infraestrutura e
Logistica SA.............. 3,578 31,506
Grupo Aeroportuario del
Pacifico SAB de CV ADR.... 761 31,741
PLUS Expressways BHD......... 19,500 29,559
Zhejiang Expressway Co.,
Ltd. -- Class H........... 30,000 24,757
-----------
TOTAL TRANSPORTATION INFRASTRUCTURE 266,693
-----------
WATER UTILITIES 0.2%
Cia de Saneamento Basico do
Estado de Sao Paulo ADR... 552 32,303
-----------
TOTAL WATER UTILITIES 32,303
-----------
WIRELESS TELECOMMUNICATION SERVICES 2.4%
Advanced Info Service PCL.... 10,500 32,538
America Movil SAB de CV ADR.. 507 29,000
Axiata Group BHD*............ 18,000 29,777
China Mobile Ltd. ADR........ 601 27,700
Maxis BHD.................... 16,000 29,007
Mobile Telesystems OJSC ADR.. 1,517 32,085
MTN Group Ltd. .............. 1,657 36,724
Orascom Telecom Holding SAE
GDR*...................... 8,651 29,846
Philippine Long Distance
Telephone Co. ADR......... 547 31,721
Sistema JSFC GDR............. 1,170 32,982
SK Telecom Co., Ltd. ADR..... 1,602 30,406
Taiwan Mobile Co., Ltd. ..... 10,000 25,804
Tim Participacoes SA ADR..... 746 35,196
Turkcell Iletisim Hizmet AS
ADR....................... 1,981 29,319
Vivo Participacoes SA ADR.... 796 33,281
Vodacom Group Ltd. .......... 2,773 33,804
-----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 499,190
-----------
TOTAL COMMON STOCKS
(Cost $18,162,235) 19,162,577
-----------
EXCHANGE TRADED FUNDS 8.3%
WisdomTree India Earnings
Fund...................... 70,676 1,759,832
-----------
TOTAL EXCHANGE TRADED FUNDS
(Cost $1,762,032) 1,759,832
-----------
SHORT TERM INVESTMENTS 1.1%
SSgA Government Money Market
Fund...................... 231,218 231,218
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $231,217) 231,218
-----------
TOTAL INVESTMENTS 99.8%(B)
(Cost $20,155,484) 21,153,627
-----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.2% 35,189
-----------
NET ASSETS--100.0% $21,188,816
-----------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Values determined based on Level 3 inputs.
(b) Unless otherwise indicated, the values of the Portfolio are determined
based on Level 1 inputs.
ADR--American Depositary Receipt
ADS--American Depositary Share
GDR--Global Depository Receipt
See Notes to Financial Statements.
64
RYDEX MSCI EMERGING MARKETS EQUAL WEIGHT ETF
INVESTMENT CONCENTRATION
--------------------------------------------------------------------------------
At April 30, 2011, the investment diversification of the Portfolio was as
follows:
<Table>
<Caption>
COUNTRY % OF INVESTMENTS
-------------------------------------------------
Taiwan......................... 15.30%
South Korea.................... 14.98%
Brazil......................... 10.68%
United States.................. 9.53%
China.......................... 9.23%
South Africa................... 6.50%
Cayman Islands................. 6.09%
Indonesia...................... 3.27%
Malaysia....................... 3.02%
Thailand....................... 2.98%
Russia......................... 2.82%
Mexico......................... 2.74%
Hong Kong...................... 2.73%
Turkey......................... 2.71%
Bermuda........................ 1.70%
Chile.......................... 1.53%
Poland......................... 1.42%
Philippines.................... 0.94%
Hungary........................ 0.64%
Czech.......................... 0.46%
Egypt.......................... 0.31%
Colombia....................... 0.30%
Peru........................... 0.12%
-------------------------------------------------
TOTAL INVESTMENTS.............. 100.00%
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 65
RYDEX MSCI ACWI EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
----------------------------------------------------
COMMON STOCKS 26.8%
AEROSPACE & DEFENSE 0.5%
Boeing Co.(The)............... 36 $2,872
General Dynamics Corp. ....... 36 2,622
Goodrich Corp. ............... 30 2,651
Honeywell International,
Inc. ...................... 48 2,939
ITT Corp. .................... 45 2,601
L-3 Communications Holdings,
Inc. ...................... 33 2,646
Lockheed Martin Corp. ........ 33 2,615
Northrop Grumman Corp. ....... 39 2,481
Precision Castparts Corp. .... 18 2,781
Raytheon Co. ................. 51 2,476
Rockwell Collins, Inc. ....... 42 2,650
United Technologies Corp. .... 33 2,956
----------
TOTAL AEROSPACE & DEFENSE 32,290
----------
AIR FREIGHT & LOGISTICS 0.2%
C.H. Robinson Worldwide,
Inc. ...................... 34 2,726
Expeditors International of
Washington, Inc. .......... 50 2,713
FedEx Corp. .................. 28 2,679
United Parcel Service,
Inc. -- Class B............ 36 2,699
----------
TOTAL AIR FREIGHT & LOGISTICS 10,817
----------
AIRLINES 0.1%
Delta Air Lines, Inc.*........ 237 2,460
Southwest Airlines Co. ....... 225 2,644
United Continental Holdings,
Inc.*...................... 108 2,464
----------
TOTAL AIRLINES 7,568
----------
AUTO COMPONENTS 0.3%
Autoliv, Inc. ................ 34 2,724
BorgWarner, Inc.*............. 36 2,780
Goodyear Tire & Rubber
Co.(The)*.................. 192 3,485
Johnson Controls, Inc. ....... 66 2,706
Magna International, Inc. .... 51 2,614
TRW Automotive Holdings
Corp.*..................... 48 2,739
----------
TOTAL AUTO COMPONENTS 17,048
----------
AUTOMOBILES 0.1%
Ford Motor Co.*............... 180 2,784
General Motors Co.*........... 75 2,407
Harley-Davidson, Inc. ........ 66 2,459
----------
TOTAL AUTOMOBILES 7,650
----------
BEVERAGES 0.4%
Brown-Forman Corp. -- Class
B.......................... 39 2,803
Coca-Cola Co.(The)............ 40 2,698
Coca-Cola Enterprises, Inc. .. 102 2,898
Constellation Brands,
Inc. -- Class A*........... 124 2,776
Dr Pepper Snapple Group,
Inc. ...................... 71 2,783
Hansen Natural Corp.*......... 48 3,175
Molson Coors Brewing
Co. -- Class B............. 60 2,925
PepsiCo, Inc. ................ 40 2,756
----------
TOTAL BEVERAGES 22,814
----------
BIOTECHNOLOGY 0.4%
Alexion Pharmaceuticals,
Inc.*...................... 30 2,907
Amgen, Inc.*.................. 49 2,786
Biogen Idec, Inc.*............ 39 3,797
Celgene Corp.*................ 51 3,003
Cephalon, Inc.*............... 48 3,686
Gilead Sciences, Inc.*........ 69 2,680
Human Genome Sciences, Inc.*.. 103 3,035
Vertex Pharmaceuticals,
Inc.*...................... 60 3,301
----------
TOTAL BIOTECHNOLOGY 25,195
----------
BUILDING PRODUCTS 0.0%(A)
Masco Corp. .................. 207 2,778
----------
TOTAL BUILDING PRODUCTS 2,778
----------
CAPITAL MARKETS 0.6%
Ameriprise Financial, Inc. ... 42 2,607
Bank of New York Mellon
Corp. ..................... 87 2,520
BlackRock, Inc. .............. 14 2,743
Charles Schwab Corp.(The)..... 141 2,582
Eaton Vance Corp. ............ 84 2,837
Franklin Resources, Inc. ..... 21 2,711
Goldman Sachs Group,
Inc.(The).................. 15 2,265
Invesco Ltd. ................. 102 2,537
Jefferies Group, Inc. ........ 105 2,538
Legg Mason, Inc. ............. 75 2,786
Morgan Stanley................ 90 2,353
Northern Trust Corp. ......... 51 2,549
SEI Investments Co. .......... 113 2,523
State Street Corp. ........... 58 2,700
T. Rowe Price Group, Inc. .... 39 2,506
TD Ameritrade Holding Corp. .. 126 2,714
----------
TOTAL CAPITAL MARKETS 41,471
----------
CHEMICALS 0.9%
Agrium, Inc. ................. 30 2,713
Air Products & Chemicals,
Inc. ...................... 30 2,866
Airgas, Inc. ................. 42 2,917
Celanese Corp. -- Class A..... 66 3,295
CF Industries Holdings,
Inc. ...................... 21 2,973
Dow Chemical Co. (The)........ 75 3,074
Du Pont (E.I.) de Nemours &
Co. ....................... 51 2,896
Eastman Chemical Co. ......... 30 3,218
Ecolab, Inc. ................. 53 2,796
FMC Corp. .................... 34 3,002
International Flavors &
Fragrances, Inc. .......... 48 3,049
Lubrizol Corp. ............... 24 3,228
LyondellBasell Industries
NV -- Class A*............. 72 3,204
Monsanto Co. ................. 36 2,449
Mosaic Co.(The)............... 33 2,470
PPG Industries, Inc. ......... 30 2,840
Praxair, Inc. ................ 27 2,873
Sherwin-Williams Co.(The)..... 33 2,716
Sigma-Aldrich Corp. .......... 40 2,823
----------
TOTAL CHEMICALS 55,402
----------
COMMERCIAL BANKS 0.7%
Bank of Montreal.............. 42 2,757
Bank of Nova Scotia........... 45 2,747
BB&T Corp. ................... 96 2,584
Canadian Imperial Bank of
Commerce................... 30 2,593
CIT Group, Inc.*.............. 60 2,548
Comerica, Inc. ............... 69 2,617
Fifth Third Bancorp........... 183 2,428
KeyCorp....................... 294 2,549
M&T Bank Corp. ............... 30 2,651
Marshall & Ilsley Corp. ...... 348 2,843
PNC Financial Services Group,
Inc. ...................... 42 2,618
Regions Financial Corp. ...... 360 2,642
Royal Bank of Canada.......... 45 2,833
SunTrust Banks, Inc. ......... 87 2,453
Toronto-Dominion Bank (The)... 33 2,859
</Table>
See Notes to Financial Statements.
66
RYDEX MSCI ACWI EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
----------------------------------------------------
COMMON STOCKS (CONTINUED)
U.S. Bancorp.................. 96 $2,479
Wells Fargo & Co. ............ 84 2,445
----------
TOTAL COMMERCIAL BANKS 44,646
----------
COMMERCIAL SERVICES & SUPPLIES 0.4%
Avery Dennison Corp. ......... 66 2,755
Cintas Corp. ................. 94 2,919
Iron Mountain, Inc. .......... 105 3,344
Pitney Bowes, Inc. ........... 108 2,652
R.R. Donnelley & Sons Co. .... 144 2,716
Republic Services, Inc. ...... 90 2,846
Ritchie Bros Auctioneers,
Inc. ...................... 102 3,190
Stericycle, Inc.*............. 30 2,738
Waste Management, Inc. ....... 72 2,841
----------
TOTAL COMMERCIAL SERVICES & SUPPLIES 26,001
----------
COMMUNICATIONS EQUIPMENT 0.3%
Cisco Systems, Inc. .......... 134 2,353
F5 Networks, Inc.*............ 24 2,433
Harris Corp. ................. 57 3,028
Juniper Networks, Inc.*....... 60 2,300
Motorola Mobility Holdings,
Inc.*...................... 87 2,267
Motorola Solutions, Inc.*..... 69 3,166
QUALCOMM, Inc. ............... 45 2,558
----------
TOTAL COMMUNICATIONS EQUIPMENT 18,105
----------
COMPUTERS & PERIPHERALS 0.4%
Apple, Inc.*.................. 9 3,134
Dell, Inc.*................... 174 2,699
EMC Corp.*.................... 99 2,806
Hewlett-Packard Co. .......... 61 2,462
NetApp, Inc.*................. 49 2,547
SanDisk Corp.*................ 54 2,653
Seagate Technology PLC........ 195 3,436
Western Digital Corp.*........ 87 3,463
----------
TOTAL COMPUTERS & PERIPHERALS 23,200
----------
CONSTRUCTION & ENGINEERING 0.3%
Fluor Corp. .................. 39 2,728
Foster Wheeler AG*............ 75 2,668
Jacobs Engineering Group,
Inc.*...................... 54 2,679
KBR, Inc. .................... 84 3,223
Quanta Services, Inc.*........ 120 2,601
URS Corp.*.................... 57 2,551
----------
TOTAL CONSTRUCTION & ENGINEERING 16,450
----------
CONSTRUCTION MATERIALS 0.1%
Martin Marietta Materials,
Inc. ...................... 30 2,736
Vulcan Materials Co. ......... 60 2,712
----------
TOTAL CONSTRUCTION MATERIALS 5,448
----------
CONSUMER FINANCE 0.2%
American Express Co. ......... 58 2,847
Capital One Financial Corp. .. 51 2,791
Discover Financial Services... 123 3,055
SLM Corp.*.................... 180 2,986
----------
TOTAL CONSUMER FINANCE 11,679
----------
CONTAINERS & PACKAGING 0.2%
Ball Corp. ................... 72 2,686
Crown Holdings, Inc.*......... 69 2,581
Owens-Illinois, Inc.*......... 87 2,581
Sealed Air Corp. ............. 96 2,474
----------
TOTAL CONTAINERS & PACKAGING 10,322
----------
DISTRIBUTORS 0.0%(A)
Genuine Parts Co. ............ 51 2,739
----------
TOTAL DISTRIBUTORS 2,739
----------
DIVERSIFIED CONSUMER SERVICES 0.1%
Apollo Group, Inc. -- Class
A*......................... 57 2,282
DeVry, Inc. .................. 48 2,539
H&R Block, Inc. .............. 177 3,060
----------
TOTAL DIVERSIFIED CONSUMER SERVICES 7,881
----------
DIVERSIFIED FINANCIAL SERVICES 0.4%
Bank of America Corp. ........ 189 2,321
Citigroup, Inc.*.............. 564 2,589
CME Group, Inc. .............. 9 2,662
IntercontinentalExchange,
Inc.*...................... 21 2,527
JPMorgan Chase & Co. ......... 57 2,601
Leucadia National Corp. ...... 81 3,131
Moody's Corp. ................ 90 3,523
Nasdaq OMX Group (The)*....... 93 2,520
NYSE Euronext................. 72 2,884
----------
TOTAL DIVERSIFIED FINANCIAL SERVICES 24,758
----------
DIVERSIFIED TELECOMMUNICATION SERVICES 0.3%
AT&T, Inc. ................... 91 2,832
BCE, Inc. .................... 72 2,695
CenturyTel, Inc. ............. 66 2,691
Frontier Communications
Corp. ..................... 321 2,655
TELUS Corp. .................. 57 2,860
Verizon Communications,
Inc. ...................... 75 2,833
Windstream Corp. ............. 202 2,588
----------
TOTAL DIVERSIFIED TELECOMMUNICATION
SERVICES 19,154
----------
ELECTRIC UTILITIES 0.5%
American Electric Power Co.,
Inc. ...................... 71 2,590
Duke Energy Corp. ............ 143 2,667
Edison International.......... 71 2,788
Entergy Corp. ................ 36 2,510
Exelon Corp. ................. 63 2,656
FirstEnergy Corp. ............ 69 2,757
NextEra Energy, Inc. ......... 48 2,715
Northeast Utilities........... 78 2,777
Pepco Holdings, Inc. ......... 138 2,659
Pinnacle West Capital Corp. .. 63 2,734
PPL Corp. .................... 101 2,770
Progress Energy, Inc. ........ 57 2,705
Southern Co. ................. 67 2,616
----------
TOTAL ELECTRIC UTILITIES 34,944
----------
ELECTRICAL EQUIPMENT 0.2%
AMETEK, Inc. ................. 63 2,901
Cooper Industries PLC......... 42 2,770
Emerson Electric Co. ......... 45 2,734
Rockwell Automation, Inc. .... 30 2,614
Roper Industries, Inc. ....... 33 2,854
----------
TOTAL ELECTRICAL EQUIPMENT 13,873
----------
ELECTRONIC EQUIPMENT, INSTRUMENTS & COMPONENTS
0.3%
Amphenol Corp. -- Class A..... 45 2,516
Arrow Electronics, Inc.*...... 69 3,146
Avnet, Inc.*.................. 78 2,833
Corning, Inc. ................ 117 2,450
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 67
RYDEX MSCI ACWI EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
----------------------------------------------------
COMMON STOCKS (CONTINUED)
Dolby Laboratories,
Inc. -- Class A*........... 51 $2,553
Flextronics International
Ltd.*...................... 330 2,300
FLIR Systems, Inc. ........... 84 2,958
TE Connectivity Ltd. ......... 75 2,689
----------
TOTAL ELECTRONIC EQUIPMENT, INSTRUMENTS
& COMPONENTS 21,445
----------
ENERGY EQUIPMENT & SERVICES 0.6%
Baker Hughes, Inc. ........... 39 3,019
Cameron International Corp.*.. 45 2,372
Diamond Offshore Drilling,
Inc. ...................... 36 2,731
FMC Technologies, Inc.*....... 60 2,789
Halliburton Co. .............. 57 2,877
Helmerich & Payne, Inc. ...... 42 2,786
IHS, Inc. -- Class A*......... 33 2,912
Nabors Industries, Ltd.*...... 96 2,942
National-Oilwell Varco,
Inc. ...................... 33 2,531
Noble Corp. .................. 60 2,581
Pride International, Inc.*.... 66 2,898
Rowan Cos., Inc.*............. 66 2,752
Schlumberger, Ltd. ........... 30 2,693
Weatherford International
Ltd.*...................... 111 2,395
----------
TOTAL ENERGY EQUIPMENT & SERVICES 38,278
----------
FOOD & STAPLES RETAILING 0.3%
Costco Wholesale Corp. ....... 36 2,913
CVS Caremark Corp. ........... 81 2,936
Kroger Co.(The)............... 108 2,626
Safeway, Inc. ................ 113 2,747
Sysco Corp. .................. 90 2,602
Wal-Mart Stores, Inc. ........ 47 2,584
Walgreen Co. ................. 63 2,691
Whole Foods Market, Inc. ..... 45 2,824
----------
TOTAL FOOD & STAPLES RETAILING 21,923
----------
FOOD PRODUCTS 0.7%
Archer-Daniels-Midland Co. ... 72 2,665
Bunge Ltd. ................... 36 2,716
Campbell Soup Co. ............ 76 2,553
ConAgra Foods, Inc. .......... 117 2,861
General Mills, Inc. .......... 72 2,778
H.J. Heinz Co. ............... 52 2,664
Hershey Co.(The).............. 51 2,943
Hormel Foods Corp. ........... 99 2,911
J.M. Smucker Co.(The)......... 39 2,928
Kellogg Co. .................. 51 2,921
Kraft Foods, Inc. -- Class A.. 84 2,821
McCormick & Co., Inc. ........ 57 2,800
Mead Johnson Nutrition Co. ... 43 2,876
Ralcorp Holdings, Inc.*....... 40 3,112
Sara Lee Corp. ............... 156 2,995
Tyson Foods, Inc. -- Class A.. 144 2,865
----------
TOTAL FOOD PRODUCTS 45,409
----------
GAS UTILITIES 0.1%
Energen Corp. ................ 45 2,925
Oneok, Inc. .................. 42 2,938
----------
TOTAL GAS UTILITIES 5,863
----------
HEALTH CARE EQUIPMENT & SUPPLIES 0.7%
Baxter International, Inc. ... 51 2,902
Beckman Coulter, Inc. ........ 33 2,734
Becton, Dickinson & Co. ...... 33 2,836
Boston Scientific Corp.*...... 378 2,831
C.R. Bard, Inc. .............. 27 2,882
CareFusion Corp.*............. 99 2,908
Covidien PLC.................. 51 2,840
Dentsply International,
Inc. ...................... 72 2,703
Edwards Lifesciences Corp.*... 30 2,591
Hologic, Inc.*................ 132 2,907
Intuitive Surgical, Inc.*..... 9 3,147
Medtronic, Inc. .............. 66 2,755
St Jude Medical, Inc. ........ 57 3,046
Stryker Corp. ................ 42 2,478
Varian Medical Systems,
Inc.*...................... 39 2,738
Zimmer Holdings, Inc.*........ 42 2,740
----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES 45,038
----------
HEALTH CARE PROVIDERS & SERVICES 0.8%
Aetna, Inc. .................. 69 2,855
AmerisourceBergen Corp. ...... 72 2,926
Cardinal Health, Inc. ........ 66 2,884
CIGNA Corp. .................. 63 2,950
Coventry Health Care, Inc.*... 87 2,807
DaVita, Inc.*................. 33 2,907
Express Scripts, Inc.*........ 48 2,724
Henry Schein, Inc.*........... 39 2,850
Humana, Inc.*................. 42 3,197
Laboratory Corp. of America
Holdings*.................. 30 2,894
McKesson Corp. ............... 33 2,739
Medco Health Solutions,
Inc.*...................... 42 2,492
Omnicare, Inc. ............... 96 3,016
Patterson Cos., Inc. ......... 81 2,812
Quest Diagnostics, Inc. ...... 48 2,706
UnitedHealth Group, Inc. ..... 63 3,101
WellPoint, Inc. .............. 39 2,995
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES 48,855
----------
HEALTH CARE TECHNOLOGY 0.1%
Cerner Corp.*................. 27 3,245
----------
TOTAL HEALTH CARE TECHNOLOGY 3,245
----------
HOTELS, RESTAURANTS & LEISURE 0.6%
Carnival Corp. ............... 61 2,322
Chipotle Mexican Grill,
Inc. -- Class A*........... 12 3,201
Darden Restaurants, Inc. ..... 53 2,489
International Game
Technology................. 165 2,919
Las Vegas Sands Corp.*........ 60 2,821
Marriott International,
Inc. -- Class A............ 65 2,294
McDonald's Corp. ............. 34 2,663
MGM Resorts International*.... 195 2,469
Royal Caribbean Cruises
Ltd.*...................... 60 2,389
Starbucks Corp. .............. 82 2,968
Starwood Hotels & Resorts
Worldwide, Inc. ........... 45 2,681
Tim Hortons, Inc. ............ 63 3,064
Wynn Resorts Ltd. ............ 21 3,090
Yum! Brands, Inc. ............ 52 2,789
----------
TOTAL HOTELS, RESTAURANTS & LEISURE 38,159
----------
HOUSEHOLD DURABLES 0.4%
D.R. Horton, Inc. ............ 225 2,799
Fortune Brands, Inc. ......... 42 2,733
Garmin Ltd.*.................. 81 2,773
Leggett & Platt, Inc. ........ 117 3,076
Mohawk Industries, Inc.*...... 45 2,702
Newell Rubbermaid, Inc. ...... 138 2,630
Pulte Homes, Inc.*............ 381 3,098
Stanley Black & Decker,
Inc. ...................... 36 2,615
</Table>
See Notes to Financial Statements.
68
RYDEX MSCI ACWI EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
----------------------------------------------------
COMMON STOCKS (CONTINUED)
Toll Brothers, Inc.*.......... 126 $2,647
Whirlpool Corp. .............. 33 2,844
----------
TOTAL HOUSEHOLD DURABLES 27,917
----------
HOUSEHOLD PRODUCTS 0.3%
Church & Dwight Co., Inc. .... 36 2,969
Clorox Co. ................... 39 2,717
Colgate-Palmolive Co. ........ 33 2,783
Energizer Holdings, Inc.*..... 37 2,795
Kimberly-Clark Corp. ......... 40 2,642
Procter & Gamble Co. ......... 42 2,726
----------
TOTAL HOUSEHOLD PRODUCTS 16,632
----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.2%
AES Corp.(The)*............... 219 2,900
Calpine Corp.*................ 180 3,015
Constellation Energy Group,
Inc. ...................... 87 3,168
NRG Energy, Inc.*............. 132 3,194
----------
TOTAL INDEPENDENT POWER PRODUCERS &
ENERGY TRADERS 12,277
----------
INDUSTRIAL CONGLOMERATES 0.2%
3M Co. ....................... 30 2,916
General Electric Co. ......... 129 2,638
Textron, Inc. ................ 99 2,584
Tyco International Ltd. ...... 60 2,925
----------
TOTAL INDUSTRIAL CONGLOMERATES 11,063
----------
INSURANCE 1.4%
ACE Ltd. ..................... 42 2,824
AFLAC, Inc. .................. 45 2,529
Allstate Corp. ............... 84 2,843
American International Group,
Inc.*...................... 62 1,931
Aon Corp. .................... 51 2,661
Arch Capital Group Ltd.*...... 28 2,912
Assurant, Inc. ............... 66 2,620
Axis Capital Holdings Ltd. ... 73 2,581
Berkshire Hathaway,
Inc. -- Class B*........... 31 2,582
Chubb Corp.(The).............. 45 2,934
Cincinnati Financial Corp. ... 78 2,471
Everest Re Group Ltd. ........ 30 2,734
Fidelity National Financial,
Inc. -- Class A............ 190 2,934
Genworth Financial,
Inc. -- Class A*........... 201 2,450
Hartford Financial Services
Group, Inc.(The)........... 93 2,694
Lincoln National Corp. ....... 84 2,623
Loews Corp. .................. 63 2,788
Manulife Financial Corp. ..... 141 2,534
Marsh & McLennan Cos., Inc. .. 87 2,634
MetLife, Inc. ................ 57 2,667
Old Republic International
Corp. ..................... 206 2,610
PartnerRe Ltd. ............... 33 2,652
Principal Financial Group,
Inc. ...................... 78 2,632
Progressive Corp. ............ 125 2,742
Prudential Financial, Inc. ... 42 2,664
RenaissanceRe Holdings Ltd. .. 39 2,741
Sun Life Financial, Inc. ..... 81 2,654
Torchmark Corp. .............. 42 2,811
Transatlantic Holdings,
Inc. ...................... 50 2,464
Travelers Cos., Inc.(The)..... 45 2,848
Unum Group.................... 102 2,701
Validus Holdings, Ltd. ....... 85 2,766
W.R. Berkley Corp. ........... 90 2,935
Willis Group Holdings PLC..... 69 2,851
XL Group PLC.................. 114 2,784
----------
TOTAL INSURANCE 93,801
----------
INTERNET & CATALOG RETAIL 0.2%
Amazon.com, Inc.*............. 15 2,948
Expedia, Inc. ................ 129 3,229
Liberty Media
Corp. -- Interactive -- -
Class A -- Tracking
Stock*..................... 159 2,779
Netflix, Inc.*................ 12 2,792
Priceline.com, Inc.*.......... 6 3,282
----------
TOTAL INTERNET & CATALOG RETAIL 15,030
----------
INTERNET SOFTWARE & SERVICES 0.2%
Akamai Technologies, Inc.*.... 66 2,273
eBay, Inc.*................... 81 2,787
Google, Inc. -- Class A*...... 3 1,632
Open Text Corp.*.............. 45 2,754
VeriSign, Inc. ............... 73 2,698
Yahoo!, Inc.*................. 160 2,840
----------
TOTAL INTERNET SOFTWARE & SERVICES 14,984
----------
IT SERVICES 0.7%
Accenture PLC -- Class A...... 51 2,914
Alliance Data Systems Corp.*.. 33 3,135
Automatic Data Processing,
Inc. ...................... 54 2,935
Cognizant Technology Solutions
Corp. -- Class A*.......... 36 2,984
Computer Sciences Corp. ...... 57 2,906
Fidelity National Information
Services, Inc. ............ 84 2,780
Fiserv, Inc.*................. 42 2,575
International Business
Machines Corp. ............ 15 2,559
Lender Processing Services,
Inc. ...................... 78 2,296
Mastercard, Inc. -- Class A... 12 3,311
Paychex, Inc. ................ 81 2,650
SAIC, Inc.*................... 165 2,871
Teradata Corp.*............... 57 3,187
Total System Services, Inc. .. 153 2,884
Visa, Inc. -- Class A......... 34 2,656
Western Union Co. ............ 126 2,677
----------
TOTAL IT SERVICES 45,320
----------
LEISURE EQUIPMENT & PRODUCTS 0.1%
Hasbro, Inc. ................. 60 2,810
Mattel, Inc. ................. 100 2,672
----------
TOTAL LEISURE EQUIPMENT & PRODUCTS 5,482
----------
LIFE SCIENCES TOOLS & SERVICES 0.3%
Agilent Technologies, Inc.*... 63 3,144
Covance, Inc.*................ 48 3,005
Illumina, Inc.*............... 39 2,768
Life Technologies Corp.*...... 51 2,815
Pharmaceutical Product
Development, Inc. ......... 96 2,962
Thermo Fisher Scientific,
Inc.*...................... 48 2,880
Waters Corp.*................. 33 3,234
----------
TOTAL LIFE SCIENCES TOOLS & SERVICES 20,808
----------
MACHINERY 0.8%
AGCO Corp.*................... 51 2,936
Bucyrus International,
Inc. -- Class A............ 28 2,561
Caterpillar, Inc. ............ 27 3,116
Cummins, Inc. ................ 27 3,245
Danaher Corp. ................ 54 2,983
Deere & Co. .................. 30 2,925
Dover Corp. .................. 42 2,858
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 69
RYDEX MSCI ACWI EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
----------------------------------------------------
COMMON STOCKS (CONTINUED)
Eaton Corp. .................. 48 $2,569
Flowserve Corp. .............. 21 2,659
Illinois Tool Works, Inc. .... 51 2,979
Ingersoll-Rand PLC............ 60 3,030
Joy Global, Inc. ............. 27 2,726
PACCAR, Inc. ................. 54 2,868
Pall Corp. ................... 48 2,805
Parker-Hannifin Corp. ........ 30 2,830
Pentair, Inc. ................ 72 2,891
SPX Corp. .................... 33 2,853
----------
TOTAL MACHINERY 48,834
----------
MEDIA 0.8%
Cablevision Systems
Corp. -- Class A........... 72 2,537
CBS Corp. -- Class B.......... 120 3,026
Comcast Corp. -- Class A...... 105 2,755
DIRECTV -- Class A*........... 57 2,770
Discovery Communications,
Inc. -- Class A*........... 61 2,700
DISH Network Corp. Class A*... 117 2,930
Interpublic Group of Cos.,
Inc. ...................... 228 2,679
Liberty Global, Inc. -- Class
A*......................... 63 2,930
McGraw-Hill Cos., Inc. ....... 69 2,792
News Corp. ................... 147 2,778
Omnicom Group, Inc. .......... 54 2,656
Scripps Networks
Interactive -- Class A..... 49 2,520
Time Warner Cable, Inc. ...... 36 2,813
Time Warner, Inc. ............ 69 2,612
Viacom, Inc. -- Class B....... 64 3,274
Virgin Media, Inc. ........... 99 2,996
Walt Disney Co.(The).......... 63 2,715
Washington Post
Co.(The) -- Class B........ 6 2,615
----------
TOTAL MEDIA 50,098
----------
METALS & MINING 0.7%
Agnico-Eagle Mines Ltd. ...... 39 2,714
Alcoa, Inc. .................. 159 2,703
Allegheny Technologies,
Inc. ...................... 42 3,024
Barrick Gold Corp. ........... 49 2,500
Cliffs Natural Resources,
Inc. ...................... 27 2,530
Eldorado Gold Corp. .......... 150 2,787
Freeport-McMoRan Copper &
Gold, Inc. ................ 49 2,696
Goldcorp, Inc. ............... 55 3,071
IAMGOLD Corp. ................ 135 2,801
Ivanhoe Mines Ltd.*........... 99 2,602
Kinross Gold Corp. ........... 168 2,661
Newmont Mining Corp. ......... 44 2,579
Nucor Corp. .................. 57 2,677
Pan American Silver Corp. .... 68 2,453
Silver Wheaton Corp. ......... 69 2,803
Teck Resources Ltd. -- Class
A.......................... 48 2,604
United States Steel Corp. .... 45 2,147
Yamana Gold, Inc. ............ 216 2,745
----------
TOTAL METALS & MINING 48,097
----------
MULTI-UTILITIES 0.7%
Alliant Energy Corp. ......... 69 2,728
Ameren Corp. ................. 90 2,638
CenterPoint Energy, Inc. ..... 163 3,032
Consolidated Edison, Inc. .... 52 2,710
Dominion Resources, Inc. ..... 60 2,785
DTE Energy Co. ............... 57 2,880
Integrys Energy Group, Inc. .. 52 2,723
MDU Resources Group, Inc. .... 125 2,986
NiSource, Inc. ............... 141 2,743
NSTAR......................... 60 2,778
PG&E Corp. ................... 55 2,535
Public Service Enterprise
Group, Inc. ............... 81 2,606
SCANA Corp. .................. 62 2,574
Sempra Energy................. 51 2,810
Wisconsin Energy Corp. ....... 86 2,684
Xcel Energy, Inc. ............ 107 2,603
----------
TOTAL MULTI-UTILITIES 43,815
----------
MULTILINE RETAIL 0.4%
Dollar General Corp.*......... 93 3,031
Dollar Tree, Inc.*............ 47 2,702
Family Dollar Stores, Inc. ... 52 2,819
J.C. Penney Co., Inc. ........ 72 2,768
Kohl's Corp. ................. 46 2,425
Macy's, Inc. ................. 114 2,726
Nordstrom, Inc. .............. 58 2,758
Sears Holdings Corp.*......... 33 2,837
Target Corp. ................. 47 2,308
----------
TOTAL MULTILINE RETAIL 24,374
----------
OFFICE ELECTRONICS 0.0%(A)
Xerox Corp. .................. 231 2,331
----------
TOTAL OFFICE ELECTRONICS 2,331
----------
OIL, GAS & CONSUMABLE FUELS 1.9%
Alpha Natural Resources,
Inc.*...................... 48 2,792
Anadarko Petroleum Corp. ..... 33 2,605
Apache Corp. ................. 21 2,801
Arch Coal, Inc. .............. 81 2,778
Cabot Oil & Gas Corp. ........ 60 3,377
Cameco Corp. ................. 66 1,946
Canadian Natural Resources
Ltd. ...................... 54 2,536
Cenovus Energy, Inc. ......... 69 2,650
Chesapeake Energy Corp. ...... 78 2,626
Chevron Corp. ................ 27 2,955
Cimarex Energy Co. ........... 24 2,654
Concho Resources, Inc.*....... 24 2,564
ConocoPhillips................ 33 2,605
CONSOL Energy, Inc. .......... 54 2,921
Denbury Resources, Inc.*...... 114 2,573
Devon Energy Corp. ........... 30 2,730
El Paso Corp. ................ 147 2,853
Enbridge, Inc. ............... 45 2,917
Encana Corp. ................. 81 2,715
EOG Resources, Inc. .......... 24 2,710
EQT Corp. .................... 54 2,841
Exxon Mobil Corp. ............ 30 2,640
Hess Corp. ................... 30 2,579
Kinder Morgan Management
LLC*....................... 41 2,774
Marathon Oil Corp. ........... 54 2,918
Murphy Oil Corp. ............. 36 2,789
Newfield Exploration Co.*..... 37 2,620
Nexen, Inc. .................. 102 2,696
Noble Energy, Inc. ........... 30 2,888
Occidental Petroleum Corp. ... 27 3,086
Peabody Energy Corp. ......... 42 2,807
PetroHawk Energy Corp.*....... 129 3,484
Pioneer Natural Resources
Co. ....................... 27 2,760
Plains Exploration &
Production Co.*............ 69 2,625
QEP Resources, Inc. .......... 69 2,948
Range Resources Corp. ........ 51 2,879
Southwestern Energy Co.*...... 69 3,026
Spectra Energy Corp. ......... 102 2,962
</Table>
See Notes to Financial Statements.
70
RYDEX MSCI ACWI EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
----------------------------------------------------
COMMON STOCKS (CONTINUED)
Suncor Energy, Inc. .......... 60 $2,762
Sunoco, Inc. ................. 63 2,688
Talisman Energy, Inc. ........ 108 2,603
TransCanada Corp. ............ 69 2,963
Ultra Petroleum Corp.*........ 56 2,844
Valero Energy Corp. .......... 99 2,802
Williams Cos., Inc.(The)...... 90 2,985
----------
TOTAL OIL, GAS & CONSUMABLE FUELS 125,277
----------
PAPER & FOREST PRODUCTS 0.1%
International Paper Co. ...... 96 2,965
MeadWestvaco Corp. ........... 90 3,032
----------
TOTAL PAPER & FOREST PRODUCTS 5,997
----------
PERSONAL PRODUCTS 0.1%
Avon Products, Inc. .......... 90 2,644
Estee Lauder Cos.,
Inc. -- Class A............ 30 2,910
----------
TOTAL PERSONAL PRODUCTS 5,554
----------
PHARMACEUTICALS 0.6%
Abbott Laboratories........... 55 2,862
Allergan, Inc. ............... 36 2,864
Bristol-Myers Squibb Co. ..... 101 2,838
Eli Lilly & Co. .............. 76 2,813
Forest Laboratories, Inc.*.... 80 2,653
Hospira, Inc.*................ 47 2,666
Johnson & Johnson, Inc. ...... 43 2,826
Merck & Co., Inc. ............ 75 2,696
Mylan, Inc.*.................. 120 2,990
Perrigo Co. .................. 36 3,253
Pfizer, Inc. ................. 138 2,893
Valeant Pharmaceuticals
International, Inc. ....... 66 3,474
Warner Chilcott PLC -- Class
A.......................... 114 2,628
Watson Pharmaceuticals,
Inc.*...................... 48 2,977
----------
TOTAL PHARMACEUTICALS 40,433
----------
PROFESSIONAL SERVICES 0.2%
Dun & Bradstreet Corp. ....... 33 2,712
Equifax, Inc. ................ 73 2,740
Manpower, Inc. ............... 42 2,782
Robert Half International,
Inc. ...................... 84 2,548
Verisk Analytics,
Inc. -- Class A*........... 81 2,665
----------
TOTAL PROFESSIONAL SERVICES 13,447
----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 1.0%
AMB Property Corp. ........... 75 2,730
Annaly Capital Management,
Inc. ...................... 142 2,533
AvalonBay Communities, Inc. .. 24 3,039
Boston Properties, Inc. ...... 30 3,136
Duke Realty Corp. ............ 201 3,065
Equity Residential............ 51 3,046
Federal Realty Investment
Trust...................... 33 2,889
General Growth Properties,
Inc. ...................... 174 2,906
HCP, Inc. .................... 72 2,853
Health Care REIT, Inc. ....... 54 2,903
Host Hotels & Resorts, Inc. .. 147 2,615
Kimco Realty Corp. ........... 144 2,814
Liberty Property Trust........ 81 2,849
Macerich Co.(The)............. 55 2,905
Plum Creek Timber Co., Inc. .. 63 2,715
ProLogis...................... 171 2,786
Public Storage, Inc. ......... 24 2,815
Rayonier, Inc. ............... 45 2,986
Regency Centers Corp. ........ 60 2,824
Simon Property Group, Inc. ... 24 2,749
Ventas, Inc. ................. 48 2,685
Vornado Realty Trust.......... 30 2,900
Weyerhaeuser Co. ............. 111 2,554
----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(REITS) 65,297
----------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.1%
Brookfield Asset Management,
Inc. -- Class A............ 81 2,723
CB Richard Ellis Group,
Inc. -- Class A*........... 108 2,885
----------
TOTAL REAL ESTATE MANAGEMENT &
DEVELOPMENT 5,608
----------
ROAD & RAIL 0.3%
Canadian National Railway
Co. ....................... 36 2,787
Canadian Pacific Railway
Ltd. ...................... 39 2,583
CSX Corp. .................... 36 2,833
J.B. Hunt Transport Services,
Inc. ...................... 66 3,147
Norfolk Southern Corp. ....... 42 3,137
Union Pacific Corp. .......... 27 2,794
----------
TOTAL ROAD & RAIL 17,281
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.9%
Advanced Micro Devices,
Inc.*...................... 294 2,675
Altera Corp. ................. 66 3,214
Analog Devices, Inc. ......... 66 2,660
Applied Materials, Inc. ...... 168 2,636
Avago Technologies Ltd. ...... 78 2,610
Broadcom Corp. -- Class A*.... 59 2,076
Cree, Inc.*................... 51 2,078
First Solar, Inc.*............ 15 2,093
Intel Corp. .................. 119 2,760
KLA-Tencor Corp. ............. 54 2,371
Lam Research Corp.*........... 51 2,464
Linear Technology Corp. ...... 78 2,714
LSI Corp.*.................... 423 3,100
Marvell Technology Group
Ltd.*...................... 135 2,083
Maxim Integrated Products,
Inc. ...................... 99 2,707
MEMC Electronic Materials,
Inc.*...................... 192 2,271
Microchip Technology, Inc. ... 72 2,955
Micron Technology, Inc.*...... 243 2,743
National Semiconductor
Corp. ..................... 174 4,197
NVIDIA Corp.*................. 117 2,340
Texas Instruments, Inc. ...... 75 2,665
Xilinx, Inc. ................. 81 2,824
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR
EQUIPMENT 58,236
----------
SOFTWARE 0.7%
Activision Blizzard, Inc. .... 226 2,574
Adobe Systems, Inc.*.......... 78 2,617
Autodesk, Inc.*............... 66 2,969
BMC Software, Inc.*........... 54 2,712
CA, Inc. ..................... 108 2,656
Citrix Systems, Inc.*......... 39 3,289
Electronic Arts, Inc.*........ 141 2,845
Intuit, Inc.*................. 51 2,834
Microsoft Corp. .............. 99 2,576
Nuance Communications, Inc.*.. 141 2,919
Oracle Corp. ................. 81 2,920
Red Hat, Inc.*................ 66 3,133
Salesforce.com, Inc.*......... 21 2,911
Symantec Corp.*............... 147 2,888
Synopsys, Inc.*............... 96 2,629
VMware, Inc. -- Class A*...... 30 2,863
----------
TOTAL SOFTWARE 45,335
----------
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 71
RYDEX MSCI ACWI EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
----------------------------------------------------
COMMON STOCKS (CONCLUDED)
SPECIALTY RETAIL 0.8%
Abercrombie & Fitch
Co. -- Class A............. 48 $3,398
Advance Auto Parts, Inc. ..... 40 2,618
American Eagle Outfitters,
Inc. ...................... 174 2,708
AutoZone, Inc.*............... 9 2,541
Bed Bath & Beyond, Inc.*...... 57 3,199
Best Buy Co., Inc. ........... 81 2,529
CarMax, Inc.*................. 76 2,637
GameStop Corp. -- Class A*.... 129 3,313
Gap, Inc.(The)................ 117 2,719
Home Depot, Inc. ............. 72 2,674
Limited Brands, Inc. ......... 77 3,169
Lowe's Cos., Inc. ............ 105 2,756
O'Reilly Automotive, Inc.*.... 48 2,835
PetSmart, Inc. ............... 66 2,783
Ross Stores, Inc. ............ 36 2,653
Staples, Inc. ................ 118 2,495
Tiffany & Co. ................ 45 3,125
TJX Cos., Inc. ............... 51 2,735
Urban Outfitters, Inc.*....... 68 2,139
----------
TOTAL SPECIALTY RETAIL 53,026
----------
TEXTILES, APPAREL & LUXURY GOODS 0.2%
Coach, Inc. .................. 46 2,751
Gildan Activewear, Inc. ...... 84 3,122
NIKE, Inc. -- Class B......... 30 2,470
Polo Ralph Lauren Corp. ...... 21 2,746
V.F. Corp. ................... 27 2,715
----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS 13,804
----------
THRIFTS & MORTGAGE FINANCE 0.1%
Hudson City Bancorp, Inc. .... 227 2,163
New York Community Bancorp,
Inc. ...................... 144 2,390
People's United Financial,
Inc. ...................... 204 2,793
----------
TOTAL THRIFTS & MORTGAGE FINANCE 7,346
----------
TOBACCO 0.2%
Altria Group, Inc. ........... 106 2,845
Lorillard, Inc. .............. 31 3,302
Philip Morris International,
Inc. ...................... 42 2,916
Reynolds American, Inc. ...... 78 2,895
----------
TOTAL TOBACCO 11,958
----------
TRADING COMPANIES & DISTRIBUTORS 0.1%
Fastenal Co. ................. 42 2,818
W.W. Grainger, Inc. .......... 21 3,183
----------
TOTAL TRADING COMPANIES & DISTRIBUTORS 6,001
----------
WATER UTILITIES 0.0%(A)
American Water Works Co,
Inc. ...................... 96 2,820
----------
TOTAL WATER UTILITIES 2,820
----------
WIRELESS TELECOMMUNICATION SERVICES 0.3%
American Tower Corp. -- Class
A*......................... 49 2,563
Crown Castle International
Corp.*..................... 61 2,614
MetroPCS Communications,
Inc.*...................... 195 3,282
NII Holdings, Inc.*........... 63 2,620
Rogers Communications, Inc. .. 71 2,686
SBA Communications
Corp. -- Class A*.......... 63 2,434
Sprint Nextel Corp.*.......... 621 3,217
Telephone & Data Systems,
Inc. ...................... 81 2,718
----------
TOTAL WIRELESS TELECOMMUNICATION
SERVICES 22,134
----------
TOTAL COMMON STOCKS
(Cost $1,617,861) 1,730,865
----------
EXCHANGE TRADED FUNDS 72.8%
Rydex MSCI EAFE Equal Weight
ETF+....................... 54,906 2,497,674
Rydex MSCI Emerging Markets
Equal Weight ETF+.......... 51,286 2,208,683
----------
TOTAL EXCHANGE TRADED FUNDS
(Cost $4,436,226) 4,706,357
----------
SHORT TERM INVESTMENTS 0.4%
SSgA Government Money Market
Fund....................... 29,808 29,808
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $29,808) 29,808
----------
TOTAL INVESTMENTS 100.0%(B)
(Cost $6,083,895) 6,467,030
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES--0.0%(A) 614
----------
NET ASSETS--100.0% $6,467,644
----------------------------------------------------
</Table>
* Non-Income Producing Security.
+ Investment in an affiliated issuer
(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.
72
RYDEX MSCI ACWI EQUAL WEIGHT ETF
INVESTMENT CONCENTRATION
--------------------------------------------------------------------------------
At April 30, 2011, the investment diversification of the Portfolio was as
follows:
<Table>
<Caption>
COUNTRY % OF INVESTMENTS
-------------------------------------------------
International.................. 72.77%
United States.................. 24.18%
Canada......................... 1.74%
Bermuda........................ 0.41%
Ireland........................ 0.36%
Switzerland.................... 0.29%
Netherlands Antilles........... 0.09%
Singapore...................... 0.08%
Liberia........................ 0.04%
Panama......................... 0.04%
-------------------------------------------------
TOTAL INVESTMENTS.............. 100.00%
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 73
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RUSSELL RYDEX RUSSELL RYDEX RUSSELL
MIDCAP EQUAL 1000(R) EQUAL 2000(R) EQUAL
WEIGHT ETF WEIGHT ETF WEIGHT ETF
------------- ------------- -------------
ASSETS
Investments at Market Value*..................... $12,184,179 $10,356,347 $15,522,354
Receivables:
Investments Sold............................... 14,975 9,933 5,354
Dividends...................................... 5,796 6,123 6,704
----------- ----------- -----------
TOTAL ASSETS................................ 12,204,950 10,372,403 15,534,412
----------- ----------- -----------
LIABILITIES
Payables:
Accrued Management Fees........................ 3,908 3,191 4,481
----------- ----------- -----------
TOTAL LIABILITIES........................... 3,908 3,191 4,481
----------- ----------- -----------
NET ASSETS....................................... $12,201,042 $10,369,212 $15,529,931
=========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital.................................. $10,944,209 $ 9,249,329 $14,077,001
Undistributed Net Investment Income.............. 6,274 6,411 7,397
Accumulated Net Realized Gain on Investment
Securities..................................... 34,519 85,930 105,002
Net Unrealized Appreciation (Depreciation) on
Investment Securities.......................... 1,216,040 1,027,542 1,340,531
----------- ----------- -----------
NET ASSETS....................................... $12,201,042 $10,369,212 $15,529,931
=========== =========== ===========
Shares Outstanding (Unlimited Shares Authorized),
No Par Value................................... 350,000 300,000 450,000
=========== =========== ===========
Net Asset Value, Offering Price and Repurchase
Price Per Share................................ $ 34.86 $ 34.56 $ 34.51
=========== =========== ===========
*Total Cost of Investments....................... $10,968,139 $ 9,328,805 $14,181,823
=========== =========== ===========
</Table>
See Notes to Financial Statements.
74
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) (concluded) April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX MSCI
RYDEX MSCI EMERGING RYDEX MSCI
EAFE EQUAL MARKETS EQUAL ACWI EQUAL
WEIGHT ETF WEIGHT ETF WEIGHT ETF
----------- ------------- ----------
ASSETS
Investments at Market Value*....................... $26,656,802 $21,153,627 $1,760,673
Investments in Affiliated Issuers, at Market
Value**.......................................... -- -- 4,706,357
----------- ----------- ----------
Total Investments***............................... 26,656,802 21,153,627 6,467,030
----------- ----------- ----------
Foreign currency, at value (Cost $22,845 and
$2,329, respectively)............................ 23,252 2,337 --
Cash............................................... -- -- 2
Receivables:
Investments Sold................................. -- 7 --
Dividends........................................ 143,115 51,009 1,111
Receivable from Manager............................ -- 4,015 748
----------- ----------- ----------
TOTAL ASSETS.................................. 26,823,169 21,210,995 6,468,891
----------- ----------- ----------
LIABILITIES
Payables:
Investments Purchased............................ 454 -- --
Accrued Management Fees.......................... 11,675 14,421 1,247
Capital Gains Tax................................ -- 7,758 --
----------- ----------- ----------
TOTAL LIABILITIES............................. 12,129 22,179 1,247
----------- ----------- ----------
NET ASSETS......................................... $26,811,040 $21,188,816 $6,467,644
=========== =========== ==========
NET ASSETS CONSIST OF:
Paid-in Capital.................................... $24,728,819 $20,045,948 $6,069,646
Undistributed Net Investment Income................ 176,804 54,815 3,859
Accumulated Net Realized Gain on Investment
Securities and Foreign Currency.................. 98,528 89,515 11,004
Net Unrealized Appreciation (Depreciation) on
Investment Securities and Foreign Currency....... 1,806,889 998,538 383,135
----------- ----------- ----------
NET ASSETS......................................... $26,811,040 $21,188,816 $6,467,644
=========== =========== ==========
Shares Outstanding (Unlimited Shares Authorized),
No Par Value..................................... 600,000 500,000 150,000
=========== =========== ==========
Net Asset Value, Offering Price and Repurchase
Price Per Share.................................. $ 44.69 $ 42.38 $ 43.12
=========== =========== ==========
*Investments in Unaffiliated Issuers, at Cost...... $24,852,292 $20,155,484 $1,647,669
=========== =========== ==========
**Investments in Affiliated Issuers, at Cost....... -- -- 4,436,226
=========== =========== ==========
***Total Cost of Investments....................... $24,852,292 $20,155,484 $6,083,895
=========== =========== ==========
</Table>
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 75
STATEMENT OF OPERATIONS (Unaudited) For the Period Ended April 30, 2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RUSSELL RYDEX RUSSELL RYDEX RUSSELL
MIDCAP EQUAL 1000(R) EQUAL 2000(R) EQUAL
WEIGHT ETF* WEIGHT ETF* WEIGHT ETF*
------------- ------------- -------------
INVESTMENT INCOME
Dividends, Net of Foreign Taxes Withheld....... $ 44,553 $ 54,133 $ 39,735
---------- ---------- ----------
EXPENSES
Management Fee................................. 12,586 13,047 13,554
Trustee Fees................................... 95 118 96
Other Fees..................................... 84 41 18
---------- ---------- ----------
Total Expenses.............................. 12,765 13,206 13,668
---------- ---------- ----------
Net Investment Income............................ 31,788 40,927 26,067
---------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net Realized Gain From:
Investments.................................... 34,519 85,930 105,002
---------- ---------- ----------
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities.......................... 1,216,040 1,027,542 1,340,531
---------- ---------- ----------
Net Realized and Unrealized Gain on Investments.. 1,250,559 1,113,472 1,445,533
---------- ---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................ $1,282,347 $1,154,399 $1,471,600
========== ========== ==========
Foreign Taxes Withheld........................... $ 16 $ 24 $ 2
</Table>
* The Fund commenced operations on December 3, 2010.
See Notes to Financial Statements.
76
STATEMENT OF OPERATIONS (Unaudited) (concluded) For the Period Ended April 30,
2011
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX MSCI
RYDEX MSCI EMERGING RYDEX MSCI
EAFE EQUAL MARKETS EQUAL ACWI EQUAL
WEIGHT ETF* WEIGHT ETF* WEIGHT ETF**
----------- ------------- ------------
INVESTMENT INCOME
Dividends, Net of Foreign Taxes Withheld........ $ 272,255 $ 101,018 $ 5,677
Dividends from Affiliated Issuers............... -- -- 2,886
---------- ---------- --------
Total Income................................. 272,255 101,018 8,563
---------- ---------- --------
EXPENSES
Management Fee.................................. 42,295 38,851 2,676
Trustee Fees.................................... 256 187 --
Other Fees...................................... 228 -- --
---------- ---------- --------
Total Expenses............................... 42,779 39,038 2,676
---------- ---------- --------
Less:
Expenses waived by Advisor...................... -- (4,015) (748)
---------- ---------- --------
Net Expenses................................. 42,779 35,023 1,928
---------- ---------- --------
Net Investment Income............................. 229,476 65,995 6,635
---------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) From:
Investments..................................... 97,011 133,053 8,465
Investments in Affiliated Issuers............... -- -- 2,536
Capital Gains Tax............................... -- (7,921) --
Foreign Currency Transactions................... 1,517 (35,617) 3
---------- ---------- --------
Net Realized Gain............................ 98,528 89,515 11,004
Net Change in Unrealized Appreciation
(Depreciation) on:
Investment Securities........................... 1,804,510 998,143 113,004
Investments in Affiliated Issuers............... -- -- 270,131
Foreign Currency Transactions................... 2,379 395 --
---------- ---------- --------
Net Change in Unrealized Appreciation on
Investments..................................... 1,806,889 998,538 383,135
---------- ---------- --------
Net Realized and Unrealized Gain on Investments
and Foreign Currency Transactions............... 1,905,417 1,088,053 394,139
---------- ---------- --------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................. $2,134,893 $1,154,048 $400,774
========== ========== ========
Foreign Taxes Withheld............................ $ 23,762 $ 7,650 $ 63
</Table>
* The Fund commenced operations on December 3, 2010.
** The Fund commenced operations on January 7, 2011.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 77
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RUSSELL
MIDCAP EQUAL RYDEX RUSSELL 1000(R) RYDEX RUSSELL 2000(R)
WEIGHT ETF* EQUAL WEIGHT ETF* EQUAL WEIGHT ETF*
-------------- --------------------- ---------------------
PERIOD ENDED PERIOD ENDED PERIOD ENDED
APRIL 30, 2011 APRIL 30, 2011 APRIL 30, 2011
(UNAUDITED) (UNAUDITED) (UNAUDITED)
-------------- --------------------- ---------------------
OPERATIONS
Net Investment Income..................... $ 31,788 $ 40,927 $ 26,067
Net Realized Gain......................... 34,519 85,930 105,002
Net Change in Unrealized Appreciation
(Depreciation) on Investments.......... 1,216,040 1,027,542 1,340,531
----------- ----------- -----------
Net Increase in Net Assets Resulting From
Operations............................. 1,282,347 1,154,399 1,471,600
----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income..................... (25,514) (34,516) (18,670)
----------- ----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased............ 10,944,209 9,249,329 14,077,001
----------- ----------- -----------
Net Increase in Net Assets Resulting From
Share Transactions..................... 10,944,209 9,249,329 14,077,001
----------- ----------- -----------
Increase in Net Assets................. 12,201,042 10,369,212 15,529,931
NET ASSETS--BEGINNING OF PERIOD............. -- -- --
----------- ----------- -----------
NET ASSETS--END OF PERIOD(1)................ $12,201,042 $10,369,212 $15,529,931
=========== =========== ===========
(1) Including Undistributed Net Investment
Income.................................... $ 6,274 $ 6,411 $ 7,397
=========== =========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased.......................... 350,000 300,000 450,000
Shares Outstanding, Beginning of Period... -- -- --
----------- ----------- -----------
Shares Outstanding, End of Period......... 350,000 300,000 450,000
=========== =========== ===========
</Table>
* The Fund commenced operations on December 3, 2010.
See Notes to Financial Statements.
78
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX MSCI
RYDEX MSCI EAFE EMERGING MARKETS RYDEX MSCI ACWI
EQUAL WEIGHT ETF* EQUAL WEIGHT ETF* EQUAL WEIGHT ETF**
------------------ ------------------ ------------------
PERIOD ENDED APRIL PERIOD ENDED APRIL PERIOD ENDED APRIL
30, 2011 30, 2011 30, 2011
(UNAUDITED) (UNAUDITED) (UNAUDITED)
------------------ ------------------ ------------------
OPERATIONS
Net Investment Income................... $ 229,476 $ 65,995 $ 6,635
Net Realized Gain....................... 98,528 89,515 11,004
Net Change in Unrealized Appreciation
(Depreciation) on Investments........ 1,806,889 998,538 383,135
----------- ----------- ----------
Net Increase in Net Assets Resulting
From Operations...................... 2,134,893 1,154,048 400,774
----------- ----------- ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................... (52,672) (11,180) (2,776)
----------- ----------- ----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Purchased.......... 24,728,819 20,045,948 6,069,646
----------- ----------- ----------
Net Increase in Net Assets Resulting
From Share Transactions.............. 24,728,819 20,045,948 6,069,646
----------- ----------- ----------
Increase in Net Assets............... 26,811,040 21,188,816 6,467,644
NET ASSETS--BEGINNING OF PERIOD........... -- -- --
----------- ----------- ----------
NET ASSETS--END OF PERIOD(1).............. $26,811,040 $21,188,816 $6,467,644
=========== =========== ==========
(1) Including Undistributed Net Investment
Income.................................. $ 176,804 $ 54,815 $ 3,859
=========== =========== ==========
CHANGES IN SHARES OUTSTANDING:
Shares Purchased........................ 600,000 500,000 150,000
Shares Outstanding, Beginning of
Period............................... -- -- --
----------- ----------- ----------
Shares Outstanding, End of Period....... 600,000 500,000 150,000
=========== =========== ==========
</Table>
* The Fund commenced operations on December 3, 2010.
** The Fund commenced operations on January 7, 2011.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT 79
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RUSSELL
MIDCAP EQUAL
WEIGHT ETF
---------------
PERIOD ENDED
APRIL 30, 2011*
(UNAUDITED)
---------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD............................. $ 30.21
-------
Net Investment Income**............................................ 0.14
Net Realized and Unrealized Gain on Investments.................... 4.60
-------
TOTAL FROM INVESTMENT OPERATIONS................................... 4.74
-------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income.............................................. (0.09)
-------
NET ASSET VALUE AT END OF PERIOD................................... $ 34.86
=======
TOTAL RETURN***.................................................... 15.70%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)........................ $12,201
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses..................................................... 0.41%****
Net Investment Income.............................................. 1.01%****
Portfolio Turnover Rate+........................................... 11%
</Table>
* The Fund commenced operations on December 3, 2010.
** 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.
80
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RUSSELL
1000(R) EQUAL
WEIGHT ETF
---------------
PERIOD ENDED
APRIL 30, 2011*
(UNAUDITED)
---------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD............................. $ 30.18
-------
Net Investment Income**............................................ 0.18
Net Realized and Unrealized Gain on Investments.................... 4.34
-------
TOTAL FROM INVESTMENT OPERATIONS................................... 4.52
-------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income.............................................. (0.14)
-------
NET ASSET VALUE AT END OF PERIOD................................... $ 34.56
=======
TOTAL RETURN***.................................................... 15.00%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)........................ $10,369
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses..................................................... 0.40%****
Net Investment Income.............................................. 1.25%****
Portfolio Turnover Rate+........................................... 10%
</Table>
* The Fund commenced operations on December 3, 2010.
** 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 RUSSELL
2000(R) EQUAL
WEIGHT ETF
---------------
PERIOD ENDED
APRIL 30, 2011*
(UNAUDITED)
---------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD............................. $ 30.19
-------
Net Investment Income**............................................ 0.11
Net Realized and Unrealized Gain on Investments.................... 4.28
-------
TOTAL FROM INVESTMENT OPERATIONS................................... 4.39
-------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income.............................................. (0.07)
-------
NET ASSET VALUE AT END OF PERIOD................................... $ 34.51
=======
TOTAL RETURN***.................................................... 14.55%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)........................ $15,530
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses..................................................... 0.40%****
Net Investment Income.............................................. 0.77%****
Portfolio Turnover Rate+........................................... 17%
</Table>
* The Fund commenced operations on December 3, 2010.
** 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.
82
FINANCIAL HIGHLIGHTS (continued)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX MSCI
EAFE EQUAL
WEIGHT ETF
---------------
PERIOD ENDED
APRIL 30, 2011*
(UNAUDITED)
---------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD............................. $ 40.63
-------
Net Investment Income**............................................ 0.56
Net Realized and Unrealized Gain on Investments.................... 3.59
-------
TOTAL FROM INVESTMENT OPERATIONS................................... 4.15
-------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income.............................................. (0.09)
-------
NET ASSET VALUE AT END OF PERIOD................................... $ 44.69
=======
TOTAL RETURN***.................................................... 10.21%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)........................ $26,811
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses..................................................... 0.56%****
Net Investment Income.............................................. 2.98%****
Portfolio Turnover Rate+........................................... 4%
</Table>
* The Fund commenced operations on December 3, 2010.
** 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 MSCI
EMERGING
MARKETS EQUAL
WEIGHT ETF
---------------
PERIOD ENDED
APRIL 30, 2011*
(UNAUDITED)
---------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD............................. $ 40.21
-------
Net Investment Income**............................................ 0.21
Net Realized and Unrealized Gain on Investments.................... 2.00
-------
TOTAL FROM INVESTMENT OPERATIONS................................... 2.21
-------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income.............................................. (0.04)
-------
NET ASSET VALUE AT END OF PERIOD................................... $ 42.38
=======
TOTAL RETURN***.................................................... 5.50%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)........................ $21,189
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses..................................................... 0.70%****
Net Expenses*****.................................................. 0.63%****
Net Investment Income.............................................. 1.19%****
Portfolio Turnover Rate+........................................... 19%
</Table>
* The Fund commenced operations on December 3, 2010.
** 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.
***** Net expense information reflects the expense ratios after expense
waivers.
+ 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.
84
FINANCIAL HIGHLIGHTS (concluded)
--------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX MSCI
ACWI EQUAL
WEIGHT ETF
---------------
PERIOD ENDED
APRIL 30, 2011*
(UNAUDITED)
---------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF PERIOD............................. $39.91
------
Net Investment Income**............................................ 0.06
Net Realized and Unrealized Gain on Investments.................... 3.18
------
TOTAL FROM INVESTMENT OPERATIONS................................... 3.24
------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income.............................................. (0.03)
------
NET ASSET VALUE AT END OF PERIOD................................... $43.12
======
TOTAL RETURN***.................................................... 8.12%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's Omitted)........................ $6,468
RATIO TO AVERAGE NET ASSETS OF:
Total Expenses..................................................... 0.20%****
Net Expenses*****.................................................. 0.14%****
Net Investment Income.............................................. 0.50%****
Portfolio Turnover Rate+........................................... 3%
</Table>
* The fund commenced operations on January 7, 2011.
** 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.
***** Net expense information reflects the expense ratios after expense
waivers.
+ 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
NOTES TO FINANCIAL STATEMENTS (Unaudited) April 30, 2011
--------------------------------------------------------------------------------
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, 2011, the Trust offers twenty-five 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 Russell MidCap Equal Weight ETF, Rydex Russell 1000(R)
Equal Weight ETF, Rydex Russell 2000(R) Equal Weight ETF, Rydex MSCI EAFE Equal
Weight ETF, Rydex MSCI Emerging Markets Equal Weight ETF and Rydex MSCI ACWI
Equal Weight ETF. Rydex Russell MidCap Equal Weight ETF, Rydex Russell 1000(R)
Equal Weight ETF, Rydex Russell 2000(R) Equal Weight ETF, Rydex MSCI EAFE Equal
Weight ETF and Rydex MSCI Emerging Markets Equal Weight ETF commenced operations
on December 3, 2010 and the Rydex MSCI ACWI Equal Weight ETF commenced
operations on January 7, 2011.
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 Russell MidCap Equal
Weight ETF tracks the Russell MidCap Equal Weight Index, the Rydex Russell
1000(R) Equal Weight ETF tracks the Russell 1000(R) Equal Weight Index, the
Rydex Russell 2000(R) Equal Weight ETF tracks the Russell 2000(R) Equal Weight
Index, the Rydex MSCI EAFE Equal Weight ETF tracks the MSCI EAFE Equal Weighted
Index, the Rydex MSCI Emerging Markets Equal Weight ETF tracks the MSCI Emerging
Markets Equal Weighted Index and the Rydex MSCI ACWI Equal Weight ETF tracks the
MSCI ACWI Equal Weighted Index. The Funds seek to achieve their objective by
investing in common stocks or ETFs, where applicable, 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 per
share ("NAV"), only in aggregation 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 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 Security Global Investors, an affiliated
entity, which acts as the Funds' investment advisor (the "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.
If events occur after the close of a foreign exchange that will affect the value
of a Fund's portfolio securities before the time as of which the NAV is
calculated (a "significant event"), the security will generally be priced using
a fair value procedure. If the Valuation Committee determines a significant
event has occurred, it will evaluate the impact of that event on an affected
security or securities, to determine whether a fair value adjustment would
materially affect the Funds' NAV. Some of the factors which may be considered by
the Board of Trustees in determining fair value are fundamental analytical data
relating to the investment, the nature and duration of any restrictions on
disposition, trading in similar securities of the same issuer or comparable
companies, information from broker-dealers, and an evaluation of the forces that
influence the market in which the securities are purchased and sold.
86
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
Generally, trading in foreign securities markets is substantially completed each
day at various times prior to the close of the NYSE. The values of foreign
securities are determined as of the close of such foreign markets or the close
of the NYSE, if earlier. All investments quoted in foreign currency are valued
in U.S. dollars on the basis of the foreign currency exchange rates prevailing
at the close of business. Investments in foreign securities may involve risks
not present in domestic investments. The Valuation Committee will determine the
current value of such foreign securities by taking into consideration certain
factors which may include those discussed above, as well as the following
factors, among others: the value of the securities traded on other foreign
markets, ADR trading, closed-end fund trading, foreign currency exchange
activity, and the trading prices of financial products that are tied to foreign
securities such as WEBS(R). In addition, the Board of Trustees has authorized
the Valuation Committee and Administrator to use prices and other information
supplied by a third party pricing vendor in valuing foreign securities.
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.
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 real estate
investment trusts ("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 Security Global Investors. 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
Security Global Investors, liquidity or other considerations so warrant. For the
period ended April 30, 2011, the Funds had not engaged in repurchase agreement
transactions.
D. FOREIGN CURRENCY TRANSACTIONS
The accounting records of the Funds are maintained in U.S. dollars. All assets
and liabilities initially expressed in foreign currencies are converted into
U.S. dollars at prevailing exchange rates. Purchases and sales of investment
securities, dividend and interest income, and certain expenses are translated at
the rates of exchange prevailing on the respective dates of such transactions.
Changes in the relationship of these foreign currencies to the U.S. dollar can
significantly affect the value of the investments and earnings of the Funds.
Foreign investments may also subject the Fund to foreign government exchange
restrictions, expropriation, taxation or other political, social or economic
developments, all of which could affect the market and/or credit risk of the
investments.
The Funds do not isolate that portion of the results of operations resulting
from changes in the foreign exchange rates on investments from the fluctuations
arising from changes in the market prices of securities held. Such fluctuations
are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of portfolio
securities, sales of foreign currencies, and the difference between asset and
liability amounts initially stated in foreign currencies and the U.S. dollar
value of the amounts actually received or
SEMI-ANNUAL REPORT 87
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
paid. Net unrealized foreign exchange gains or losses arise from changes in the
value of portfolio securities and other assets and liabilities at the end of the
reporting period, resulting from changes in the exchange rates.
E. 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 year 2010), 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, distributions in excess of current year earnings, excise taxes
paid, income reclassifications from REITs and losses deferred due to wash sales.
For the period ended April 30, 2011, 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 NAV. The in-kind net capital
gains for the period ended April 30, 2011 are disclosed in the Fund's Statement
of Operations.
At April 30, 2011, the identified cost of investments in securities owned by
each Fund for Federal income tax purposes and the gross unrealized appreciation
and depreciation were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
FUND COST APPRECIATION DEPRECIATION (DEPRECIATION)
---- ----------- ------------ ------------ --------------
Rydex Russell MidCap Equal Weight ETF.... $10,968,139 $1,302,188 $ (86,148) $1,216,040
Rydex Russell 1000(R) Equal Weight ETF... 9,328,805 1,119,241 (91,699) 1,027,542
Rydex Russell 2000(R) Equal Weight ETF... 14,181,823 1,577,037 (236,506) 1,340,531
Rydex MSCI EAFE Equal Weight ETF......... 24,852,292 2,356,472 (551,962) 1,804,510
Rydex MSCI Emerging Markets Equal Weight
ETF.................................... 20,155,484 1,452,329 (454,186) 998,143
Rydex MSCI ACWI Equal Weight ETF......... 6,083,895 400,110 (16,975) 383,135
</Table>
F. 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. Various inputs are used in determining the value of the
Funds' investments. The inputs are summarized in the three broad levels listed
below:
Level 1 -- quoted prices in active markets for identical securities. The
types of assets and liabilities carried at Level 1 fair value generally are
government and agency securities, equities listed in active markets and
stock index futures.
Level 2 -- other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds, credit risk, etc.).
The types of assets and liabilities carried at Level 2 fair value generally
are domestic equity index swaps and short term securities with maturities
of 60 days or less, including repurchase agreements.
Level 3 -- significant unobservable inputs (including the fund's own
assumptions used to determine the fair value of investments).
88
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
Transfers between investment Levels may occur as the markets fluctuate and/or
the availability of data used in an investment's valuation changes. 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, 2011:
<Table>
<Caption>
LEVEL 1 LEVEL 2 LEVEL 3
INVESTMENTS INVESTMENTS INVESTMENTS
FUND IN SECURITIES IN SECURITIES IN SECURITIES TOTAL
---- ------------- ------------- ------------- -----------
ASSETS
Rydex Russell MidCap Equal Weight ETF...... $12,184,179 $-- $ -- $12,184,179
Rydex Russell 1000(R) Equal Weight ETF..... 10,356,347 -- -- 10,356,347
Rydex Russell 2000(R) Equal Weight ETF..... 15,522,287 67 -- 15,522,354
Rydex MSCI EAFE Equal Weight ETF........... 26,656,802 -- -- 26,656,802
Rydex MSCI Emerging Markets Equal Weight
ETF...................................... 21,122,134 -- 31,493 21,153,627
Rydex MSCI ACWI Equal Weight ETF........... 6,467,030 -- -- 6,467,030
</Table>
The following is a reconciliation of Level 3 assets for which significant
unobservable inputs were used to determine fair value for the six months ended
April 30, 2011:
LEVEL 3 -- Fair value measurement using significant unobservable inputs
<Table>
<Caption>
COMMON
STOCK TOTAL
------- -------
Rydex MSCI Emerging Markets Equal Weight ETF
Assets:
Beginning Balance............................................... $ -- $ --
Realized gains (losses) included in earnings.................. -- --
Unrealized gains (losses) included in earnings................ (167) (167)
Purchases..................................................... 31,660 31,660
Sales......................................................... -- --
Transfers in to Level 3....................................... -- --
Transfers out of Level 3...................................... -- --
------- -------
Ending Balance.................................................. $31,493 $31,493
======= =======
</Table>
The Funds disclose information about transfers in and out of all Levels of the
fair value hierarchy on a gross basis and the reasons for the transfers as well
as to disclosures about the valuation techniques and inputs used to measure fair
value for investments that fall in either Level 2 or Level 3 fair value
hierarchy. Purchases, sales, issuances and settlements are shown on a gross
basis in a Level 3 roll forward rather than as one net number.
For the period ended April 30, 2011, there were no securities transferred
between any levels.
G. 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.
H. RISK AND UNCERTAINTIES
The Funds invest 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.
I. 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.
SEMI-ANNUAL REPORT 89
NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)
--------------------------------------------------------------------------------
3. ADVISORY, ADMINISTRATION AND OTHER TRANSACTIONS WITH AFFILIATES
The Advisor determines the composition of the portfolio of securities that must
be delivered in exchange for the issuance of Creation Units and periodically
adjusts the composition of the portfolio of the Funds to conform to changes in
the composition of the relevant index. For these services, the Advisor receives
a management fee at the annual rate shown below of the average daily net assets
of the Funds.
<Table>
<Caption>
ADVISORY FEE
------------
Rydex Russell MidCap Equal Weight ETF............................... 0.40%
Rydex Russell 1000(R) Equal Weight ETF.............................. 0.40%
Rydex Russell 2000(R) Equal Weight ETF.............................. 0.40%
Rydex MSCI EAFE Equal Weight ETF.................................... 0.55%
Rydex MSCI Emerging Markets Equal Weight ETF........................ 0.70%
Rydex MSCI ACWI Equal Weight ETF.................................... 0.20%
</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, LLC, 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, 2011, 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 NAV of the Fund on the transaction date.
Transaction fees are not charged to or paid by the Funds. The minimum
transaction fees are:
<Table>
<Caption>
MINIMUM
TRANSACTION FEE
---------------
Rydex Russell MidCap Equal Weight ETF............................. $ 2,000
Rydex Russell 1000(R) Equal Weight ETF............................ 2,500
Rydex Russell 2000(R) Equal Weight ETF............................ 3,000
Rydex MSCI EAFE Equal Weight ETF.................................. 12,000
Rydex MSCI Emerging Markets Equal Weight ETF...................... 6,000
Rydex MSCI ACWI Equal Weight ETF.................................. 2,000
</Table>
90
NOTES TO FINANCIAL STATEMENTS (Unaudited) (concluded)
--------------------------------------------------------------------------------
5. INVESTMENT TRANSACTIONS
For the period ended April 30, 2011, the Funds had investment transactions in-
kind associated with subscriptions and redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
------------- -----------
Rydex Russell MidCap Equal Weight ETF...................... $10,930,285 $--
Rydex Russell 1000(R) Equal Weight ETF..................... 9,241,635 --
Rydex Russell 2000(R) Equal Weight ETF..................... 14,063,027 --
Rydex MSCI EAFE Equal Weight ETF........................... 24,804,865 --
Rydex MSCI Emerging Markets Equal Weight ETF............... 13,559,267 --
Rydex MSCI ACWI Equal Weight ETF........................... 6,049,252 --
</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 Russell MidCap Equal Weight ETF........................ $ 977,194 $ 969,492
Rydex Russell 1000(R) Equal Weight ETF....................... 823,648 849,361
Rydex Russell 2000(R) Equal Weight ETF....................... 1,644,095 1,695,209
Rydex MSCI EAFE Equal Weight ETF............................. 911,943 1,156,651
Rydex MSCI Emerging Markets Equal Weight ETF................. 8,908,117 2,676,094
Rydex MSCI ACWI Equal Weight ETF............................. 132,490 139,019
</Table>
There were no purchases or sales of U.S. government or government agency
obligations for the period ended April 30, 2011.
6. AFFILIATED TRANSACTIONS
Investments representing 5% or more of the outstanding voting shares of a
portfolio company of a fund, or control of or by, or common control under
Guggenheim Partners, LLC, result in that portfolio company being considered an
affiliated company of such fund, as defined in the 1940 Act. Transactions during
the period ended April 30, 2011 in which the portfolio company is an "affiliated
person" are as follows:
<Table>
<Caption>
VALUE VALUE REALIZED INVESTMENT
SECURITY 1/7/11 PURCHASES SALES 4/30/11 GAIN SHARES INCOME
---------------------- ------ ---------- ------- ---------- -------- ------ ----------
Rydex MSCI ACWI Equal Rydex MSCI EAFE Equal
Weight ETF.......... Weight ETF $-- $2,364,713 $50,396 $2,497,674 $2,536 54,906 $2,886
Rydex MSCI Emerging
Markets Equal Weight
ETF -- 2,119,373 -- 2,208,683 -- 51,286 --
</Table>
7. NEW ACCOUNTING PRONOUNCEMENT
In May 2011, the Financial Accounting Standards Board issued an Accounting
Standards Update (ASU 2011-4), Amendments to Achieve Common Fair Value
Measurement and Disclosure Requirements in U.S. GAAP and IFRSs, which introduces
new disclosure requirements and clarifies certain existing disclosure
requirements around fair value measurements currently presented in Note F. The
new disclosures and clarifications of existing disclosures are generally
effective during interim and annual periods beginning after December 15, 2011.
Management is evaluating the impact of this update on its current disclosures.
SEMI-ANNUAL REPORT 91
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, 2010 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.
OFFICE LOCATIONS
The offices of Security Global Investors, LLC can be found in the following
locations:
40 East 52nd Street
16th Floor
New York, NY 10022
(Headquarters)
Four Irvington Centre
805 King Farm Boulevard
Suite 600
Rockville, MD 20850
9401 Indian Creek Parkway
40 Corporate Woods
Suite 850
Overland Park, KS 66210
92
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, 805 King Farm
Blvd., Suite 600, 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 148
Trustee, Chairman of Rydex Variable Trust - 1998
the Rydex Dynamic Funds - 1999
Board (1940) Rydex ETF Trust - 2003
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired
---------------------
COREY A. COLEHOUR Rydex Series Funds - 1993 148
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 148
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 148
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 148
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 148
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 148
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 93
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) (continued)
--------------------------------------------------------------------------------
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)
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)
NIKOLAOS 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>
94
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)
</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
800.820.0888
WWW.RYDEX-SGI.COM
ETF4-SEMI-0411X1011
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) The registrant's President (principal executive officer) and Treasurer
(principal financial officer) have evaluated the registrant's disclosure
controls and procedures within 90 days of this filing and have concluded that
the registrant's disclosure controls and procedures were effective, as of that
date, in ensuring that information required to be disclosed by the registrant in
this Form N-CSR was recorded, processed, summarized, and reported timely.
(b) The registrant's principal executive officer and principal financial officer
are aware of no change in the registrant's internal control over financial
reporting that occurred during the registrant's second fiscal quarter 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 Goldman
---------------------------------------------
Richard Goldman, President
Date July 8, 2011
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 Goldman
---------------------------------------------
Richard Goldman, President
Date July 8, 2011
By (Signature and Title)* /s/ Nikolaos Bonos
---------------------------------------------
Nikolaos Bonos, Vice President and Treasurer
Date July 8, 2011
----------
* Print the name and title of each signing officer under his or her
signature.