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
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Rydex ETF Trust
--------------------------------------------------
(Exact name of registrant as specified in charter)
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
---------------------------------------------------
(Address of principal executive offices) (Zip code)
Carl G. Verboncoeur
Rydex ETF Trust
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
---------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-301-296-5100
--------------
Date of fiscal year end: October 31, 2006
----------------
Date of reporting period: April 30, 2006
--------------
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, 2006
RYDEX ETF TRUST
SEMI-ANNUAL REPORT
RYDEX RUSSELL TOP 50 ETF
RYDEX S&P EQUAL WEIGHT 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
RYDEX S&P Smallcap 600 Pure Growth ETF
[RydexInvestments LOGO]
Essential for modern markets(TM)
SEMI-ANNUAL REPORT 1
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<Table>
LETTER TO OUR SHAREHOLDERS.................................. 2
FEES & EXPENSES............................................. 4
PORTFOLIO SUMMARY........................................... 6
SCHEDULE OF INVESTMENTS..................................... 22
STATEMENTS OF ASSETS AND LIABILITIES........................ 64
STATEMENTS OF OPERATIONS.................................... 66
STATEMENTS OF CHANGES IN NET ASSETS......................... 68
FINANCIAL HIGHLIGHTS........................................ 72
NOTES TO FINANCIAL STATEMENTS............................... 76
SUPPLEMENTAL INFORMATION.................................... 82
</Table>
- --------------------------------------------------------------------------------
2
DEAR SHAREHOLDER,
Despite strong crosscurrents buffeting stock prices over the six-month period
ending April 30th, the major market averages were able to turn in a strong
performance with the S&P 500(R) Index, gaining 9.6%, followed by the Dow Jones
Industrial Average(SM), which also rose nearly 10.2%. It was a good period for
technology stocks as well, with the Nasdaq 100 Index(R) tacking on a 7.9% gain.
The critical question for investors is whether stocks can sustain this rally and
in the process, break out of the trading range they have been mired in for the
past two years.
From an economic standpoint, there is reason to be cautious. Economic growth
slowed dramatically in the fourth quarter of 2005 to a sub 2% annual rate and
then rebounded strongly in the first quarter of this year to nearly 5%. With the
impact of higher energy prices and interest rates still to be felt, economic
growth is likely to slow to a 2.5% - 3.0% pace as we move further into 2006.
Continued uncertainty over Federal Reserve (Fed) policy, interest rates,
earnings and volatile energy prices also carry the potential to restrain stock
market gains.
Although corporate earnings are still growing at double-digit rates, the pace is
clearly slowing. This has two implications. First, since the market tends to
focus on trends as opposed to absolute levels, slowing earnings growth will be
perceived as a negative. Secondly, as earnings have grown faster than prices,
stocks have become cheaper. This latter development sets the stage for a
possible short-term market rally. In order for stock prices to move higher,
however, two things need to happen. First, energy prices need to stabilize. Oil
rose steadily from approximately $60/bbl in early November to over $73/bbl by
the end of April. This served to trap stocks in a rather familiar
pattern -- when oil moved up, stocks moved down. The other necessary catalyst
for stocks to appreciate is clarity from the Fed on the future direction of
monetary policy.
The Fed raised interest rates three times during the period, moving the closely
watched Fed Funds target rate to 4.75%. Since these moves were widely
anticipated they had little impact on stock prices. More importantly from the
market's perspective, however, was the accompanying commentary which, in March,
left the door open for future rate increases. This shook the consensus that the
Fed would stop raising rates at somewhere between 4.75% and 5.25%. With the
looming possibility of rising interest rates, investors were reluctant to place
higher valuations on stock prices.
Uncertainty over the future course of monetary policy pushed interest rates
higher across the maturity spectrum. By the end of April, yields on 2-year,
5-year and 10-year Treasury obligations had risen to 4.86%, 4.92% and 5.05%
respectively. The relative flatness of the yield curve lent strength to the
argument that economic growth is poised to slow.
Overseas markets, both in developed and developing economies continued to
outperform domestic markets. So, while the U.S. is slowing, overseas economies
are
- --------------------------------------------------------------------------------
3 SEMI-ANNUAL REPORT
picking up steam. We expect this to have a favorable effect on U.S. markets.
Industries and companies involved in exporting materials, industrial equipment,
energy, communications and technology services should benefit. On a broader
level, once an end to Fed rate increases is in sight -- something we anticipate
as we move in to the latter half of 2006 -- stocks may embark on a short-term
rally. A decline in energy prices -- something we place a lower probability
on -- could have the same effect. In the short-term, stocks are likely to lack
significant direction until one of these catalysts appears.
/s/ DAVID C. REILLY, CFA
David C. Reilly, CFA
Director of Investment Strategy -- Rydex Investments
All sources: Bloomberg
- --------------------------------------------------------------------------------
4
SHAREHOLDER EXPENSE EXAMPLE (UNAUDITED)
As a shareholder of the Rydex ETF Trust, you incur advisory fees and
distribution fees. All other Trust expenses are paid by the adviser. 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 is based on an investment of $1,000 invested at the beginning of the
period and held for the six-months ended April 30, 2006.
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 the 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.
- --------------------------------------------------------------------------------
5 SEMI-ANNUAL REPORT
<Table>
<Caption>
BEGINNING ENDING
ACCOUNT ACCOUNT EXPENSES PAID
VALUE VALUE DURING PERIOD*
11/1/2005 4/30/2006 11/1/05 TO 4/30/06
--------- --------- ------------------
ACTUAL
Rydex S&P Equal Weight ETF........... $1,000 $1,126.80 $2.14
Rydex Russell Top 50 ETF............. $1,000 $1,062.90 $1.02
Rydex S&P 500 Pure Value ETF**....... $1,000 $1,037.80 $0.60
Rydex S&P 500 Pure Growth ETF**...... $1,000 $ 997.30 $0.58
Rydex S&P MidCap 400 Pure Value
ETF**.............................. $1,000 $1,018.00 $0.59
Rydex S&P MidCap 400 Pure Growth
ETF**.............................. $1,000 $ 996.20 $0.58
Rydex S&P SmallCap 600 Pure Value
ETF**.............................. $1,000 $1,036.10 $0.60
Rydex S&P SmallCap 600 Pure Growth
ETF**.............................. $1,000 $1,039.50 $0.60
HYPOTHETICAL (ASSUMING A 5% RETURN
BEFORE EXPENSES)
Rydex S&P Equal Weight ETF........... $1,000 $1,023.19 $2.04
Rydex Russell Top 50 ETF............. $1,000 $1,023.80 $1.00
Rydex S&P 500 Pure Value ETF**....... $1,000 $1,007.77 $0.59
Rydex S&P 500 Pure Growth ETF**...... $1,000 $1,007.77 $0.59
Rydex S&P MidCap 400 Pure Value
ETF**.............................. $1,000 $1,007.77 $0.59
Rydex S&P MidCap 400 Pure Growth
ETF**.............................. $1,000 $1,007.77 $0.59
Rydex S&P SmallCap 600 Pure Value
ETF**.............................. $1,000 $1,007.77 $0.59
Rydex S&P SmallCap 600 Pure Growth
ETF**.............................. $1,000 $1,007.77 $0.59
</Table>
- ---------------
* Expenses are equal to the Fund's annualized expense ratio of 0.40%, 0.20%,
0.35%, 0.35%, 0.35%, 0.35%, 0.35%, and 0.35% respectively, multiplied by the
average account value of the period, multiplied by days in the period, divided
by 365.
** Fund commenced operations on 3/1/06.
6
RYDEX S&P EQUAL WEIGHT ETF
PORTFOLIO SUMMARY April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
4/24/2003 Net Assets ($million):
$1,647.2
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
----------------------------
<Table>
2.0% Aerospace & Defense
0.4% Air Freight & Logistics
0.2% Airlines
0.6% Auto Components
0.6% Automobiles
1.6% Beverages
0.9% Biotechnology
0.4% Building Products
3.4% Capital Markets
2.8% Chemicals
4.1% Commercial Banks
2.1% Commercial Services & Supplies
2.3% Communications Equipment
2.4% Computers & Peripherals
0.2% Construction & Engineering
0.2% Construction Materials
0.6% Consumer Finance
1.0% Containers & Packaging
0.2% Distributors
0.4% Diversified Consumer Services
1.0% Diversified Financial Services
1.2% Diversified Telecommunication
Services
2.1% Electric Utilities
0.8% Electrical Equipment
1.5% Electronic Equipment &
Instruments
2.4% Energy Equipment & Services
1.9% Food & Staples Retailing
2.5% Food Products
0.4% Gas Utilities
2.1% Health Care Equipment &
Supplies
3.5% Health Care Providers &
Services
0.2% Health Care Technology
2.2% Hotels, Restaurants & Leisure
2.5% Household Durables
0.8% Household Products
0.8% Independent Power Producers &
Energy Traders
0.8% Industrial Conglomerates
4.6% Insurance
0.2% Internet & Catalog Retail
0.8% Internet Software & Services
2.0% IT Services
0.8% Leisure Equipment & Products
1.2% Life Sciences Tools & Services
2.6% Machinery
3.6% Media
1.6% Metals & Mining
2.5% Multi-Utilities
2.0% Multiline Retail
0.2% Office Electronics
3.9% Oil, Gas & Consumable Fuels
0.8% Paper & Forest Products
0.6% Personal Products
2.7% Pharmaceuticals
2.1% Real Estate Investment Trusts
(REITs)
1.1% Road & Rail
4.2% Semiconductors & Semiconductor
Equipment
2.6% Software
3.2% Specialty Retail
1.0% Textiles, Apparel & Luxury
Goods
1.4% Thrifts & Mortgage Finance
0.6% Tobacco
0.2% Trading Companies &
Distributors
0.4% Wireless Telecommunication
Services
0.0% Short Term Investments(a)
0.0% Other Assets(a)
</Table>
(a) Amount represents less than 0.05% of net assets.
RYDEX S&P EQUAL WEIGHT ETF
PORTFOLIO SUMMARY (continued) April 30, 2006
- --------------------------------------------------------------------------------
7 SEMI-ANNUAL REPORT
RYDEX S&P EQUAL WEIGHT ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- -------------------------------------------------------
COMPANY NAME % OF TOTAL
- -------------------------------------------------------
OFFICEMAX, INC. 0.26%
SANMINA- SCI CORP. 0.25%
DEAN FOODS CO. 0.25%
ALLIED WASTE INDUSTRIES, INC. 0.25%
ALLEGHENY TECHNOLOGIES, INC. 0.25%
WEATHERFORD INTERNATIONAL LTD. 0.24%
FREESCALE SEMICONDUCTOR, INC. 0.24%
BAKER HUGHES, INC. 0.24%
FREEPORT-MCMORAN COPPER & GOLD, INC. 0.24%
NVIDIA CORP. 0.24%
- -------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
[PIE CHART]
<Table>
Consumer Discretionary 17.34
Financials 17.23
Information Technology 15.90
Industrials 10.86
Health Care 10.55
Consumer Staples 8.01
Materials 6.41
Energy 6.34
Utilities 5.81
Telecommunication Services 1.55
</Table>
* The Fund's Top 10 Holdings are expressed as a percentage of net assets and the
Sector Allocation is expressed as a percentage of market value. These
percentages may change over time.
8
RYDEX RUSSELL TOP 50 ETF
PORTFOLIO SUMMARY April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
5/4/05 Net Assets ($million): $110.4
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
----------------------------
<Table>
1.2% Aerospace & Defense
0.9% Air Freight & Logistics
3.4% Beverages
2.2% Biotechnology
1.5% Capital Markets
4.9% Commercial Banks
4.0% Communications Equipment
5.2% Computers & Peripherals
1.1% Consumer Finance
11.8% Diversified Consumer Services
3.6% Diversified Telecommunication
Services
2.1% Food & Staples Retailing
0.1% Food Products
1.1% Health Care Equipment &
Supplies
1.2% Health Care Providers &
Services
3.4% Household Products
7.9% Industrial Conglomerates
2.7% Insurance
1.2% Internet Software & Services
5.1% Media
11.8% Oil, Gas & Consumable Fuels
11.3% Pharmaceuticals
2.1% Semiconductors & Semiconductor
Equipment
5.1% Software
1.6% Specialty Retail
0.9% Thrifts & Mortgage Finance
2.7% Tobacco
0.0% Short Term Investments(a)
(0.1%) Liabilities in Excess of Other
Assets
</Table>
(a) Amount represents less than 0.05% of net assets.
RYDEX RUSSELL TOP 50 ETF
PORTFOLIO SUMMARY (continued) April 30, 2006
- --------------------------------------------------------------------------------
9 SEMI-ANNUAL REPORT
RYDEX RUSSELL TOP 50 ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- -------------------------------------------------------
COMPANY NAME % OF TOTAL
- -------------------------------------------------------
EXXON MOBIL CORP. 7.29%
GENERAL ELECTRIC CO. 6.66%
CITIGROUP, INC. 4.72%
BANK OF AMERICA CORP. 4.22%
MICROSOFT CORP. 4.06%
PFIZER, INC. 3.42%
PROCTER & GAMBLE CO. 3.38%
JOHNSON & JOHNSON 3.16%
JPMORGAN CHASE & CO. 2.90%
ALTRIA GROUP, INC. 2.75%
- -------------------------------------------------------
</Table>
SECTOR ALLOCATION*
[PIE CHART]
<Table>
Financials 22.86
Information Technology 17.63
Health Care 15.81
Energy 11.81
Consumer Staples 11.67
Industrials 9.91
Consumer Discretionary 6.69
Telecommunication Services 3.62
</Table>
* The Fund's Top 10 Holdings are expressed as a percentage of net assets and the
Sector Allocation is expressed as a percentage of market value. These
percentages may change over time.
10
RYDEX S&P 500 PURE VALUE ETF
PORTFOLIO SUMMARY April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
3/1/2006 Net Assets ($million): $4.7
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
--------------------------------
<Table>
1.9% Aerospace & Defense
1.7% Auto Components
2.3% Automobiles
2.2% Beverages
0.3% Building Products
0.7% Capital Markets
3.3% Chemicals
6.1% Commercial Banks
2.5% Commercial Services & Supplies
0.3% Communications Equipment
1.1% Containers & Packaging
2.0% Diversified Financial Services
4.3% Diversified Telecommunication
Services
4.9% Electric Utilities
1.7% Electronic Equipment &
Instruments
0.8% Energy Equipment & Services
4.2% Food & Staples Retailing
2.4% Food Products
1.7% Gas Utilities
1.1% Health Care Providers &
Services
2.9% Household Durables
1.4% Independent Power Producers &
Energy Traders
0.3% Industrial Conglomerates
8.6% Insurance
3.3% IT Services
1.0% Leisure Equipment & Products
2.8% Machinery
3.2% Metals & Mining
8.0% Multi-Utilities
3.5% Multiline Retail
3.4% Oil, Gas & Consumable Fuels
3.6% Paper & Forest Products
2.2% Real Estate Investment Trusts
(REITs)
3.0% Road & Rail
0.7% Semiconductors & Semiconductor
Equipment
4.0% Specialty Retail
0.9% Textiles, Apparel & Luxury
Goods
0.7% Thrifts & Mortgage Finance
0.7% Tobacco
0.2% Short Term Investments
0.1% Other Assets
</Table>
RYDEX S&P 500 PURE VALUE ETF
PORTFOLIO SUMMARY (continued) April 30, 2006
- --------------------------------------------------------------------------------
11 SEMI-ANNUAL REPORT
RYDEX S&P 500 PURE VALUE ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- -------------------------------------------------------
COMPANY NAME % OF TOTAL
- -------------------------------------------------------
RYDER SYSTEM, INC. 1.86%
UNITED STATES STEEL CORP. 1.79%
ALLIED WASTE INDUSTRIES, INC. 1.65%
DILLARD'S, INC. 1.64%
OFFICEMAX, INC. 1.36%
CONOCOPHILLIPS 1.35%
ALBERTSON'S, INC. 1.29%
CIRCUIT CITY STORES, INC. 1.21%
GENERAL MOTORS CORP. 1.16%
FORD MOTOR CO. 1.15%
- -------------------------------------------------------
</Table>
SECTOR ALLOCATION*
[PIE CHART]
<Table>
Financials 20.37
Consumer Discretionary 16.46
Utilities 15.90
Materials 11.22
Industrials 10.78
Consumer Staples 9.63
Information Technology 5.88
Telecommunication Services 4.35
Energy 4.26
Health Care 1.15
</Table>
*The Fund's Top 10 Holdings are expressed as a percentage of net assets and the
Sector Allocation is expressed as a percentage of market value. These
percentages may change over time.
12
RYDEX S&P 500 PURE GROWTH ETF
PORTFOLIO SUMMARY April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
3/1/2006 Net Assets ($million): $6.9
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
--------------------------------
<Table>
1.2% Aerospace & Defense
0.7% Auto Components
1.0% Automobiles
1.1% Beverages
1.1% Biotechnology
1.7% Capital Markets
1.0% Chemicals
1.5% Commercial Services & Supplies
0.2% Communications Equipment
4.3% Computers & Peripherals
2.3% Consumer Finance
1.0% Containers & Packaging
2.0% Diversified Consumer Services
0.3% Electronic Equipment &
Instruments
0.7% Energy Equipment & Services
1.8% Food & Staples Retailing
2.7% Food Products
5.2% Health Care Equipment &
Supplies
9.3% Health Care Providers &
Services
0.7% Health Care Technology
5.1% Hotels, Restaurants & Leisure
5.1% Household Durables
1.9% Household Products
1.5% Insurance
1.1% Internet & Catalog Retail
4.0% Internet Software & Services
2.1% IT Services
2.4% Life Sciences Tools & Services
0.9% Machinery
2.1% Media
1.6% Multiline Retail
7.4% Oil, Gas & Consumable Fuels
5.5% Pharmaceuticals
2.8% Semiconductors & Semiconductor
Equipment
4.2% Software
6.4% Specialty Retail
2.0% Textiles, Apparel & Luxury
Goods
3.4% Thrifts & Mortgage Finance
0.6% Tobacco
0.2% Short Term Investments
(0.1)% Other Assets(a)
</Table>
(a) Amount represents less than 0.05% of net assets.
RYDEX S&P 500 PURE GROWTH ETF
PORTFOLIO SUMMARY (continued) April 30, 2006
- --------------------------------------------------------------------------------
13 SEMI-ANNUAL REPORT
RYDEX S&P 500 PURE GROWTH ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- -------------------------------------------------------
COMPANY NAME % OF TOTAL
- -------------------------------------------------------
NVIDIA CORP. 2.24%
INTERNATIONAL GAME TECHNOLOGY, INC. 1.96%
GOOGLE, INC. 1.71%
XTO ENERGY, INC. 1.58%
BLACK & DECKER CORP. 1.30%
COUNTRYWIDE FINANCIAL CORP. 1.29%
FISHER SCIENTIFIC INTERNATIONAL, INC. 1.28%
AUTOZONE, INC. 1.27%
EXPRESS SCRIPTS, INC. 1.24%
FOREST LABORATORIES, INC. 1.22%
- -------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
[PIE CHART]
<Table>
Consumer Discretionary 27.08
Health Care 24.23
Information Technology 17.96
Financials 8.90
Energy 8.14
Consumer Staples 8.08
Industrials 3.62
Materials 1.99
</Table>
*The Fund's Top 10 Holdings are expressed as a percentage of net assets and the
Sector Allocation is expressed as a percentage of market value. These
percentages may change over time.
14
RYDEX S&P MIDCAP 400 PURE VALUE ETF
PORTFOLIO SUMMARY April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
3/1/2006 Net Assets ($million): $4.8
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
--------------------------------
<Table>
1.5% Aerospace & Defense
1.7% Airlines
4.8% Auto Components
5.3% Chemicals
0.3% Commercial Banks
2.9% Commercial Services & Supplies
1.5% Containers & Packaging
9.5% Electric Utilities
4.6% Electronic Equipment &
Instruments
1.9% Food & Staples Retailing
1.0% Food Products
3.3% Gas Utilities
0.7% Health Care Providers &
Services
1.7% Hotels, Restaurants & Leisure
3.1% Household Durables
0.6% Independent Power Producers &
Energy Traders
10.4% Insurance
0.3% Leisure Equipment & Products
6.2% Machinery
0.6% Media
2.7% Metals & Mining
10.8% Multi-Utilities
0.9% Multiline Retail
0.3% Oil, Gas & Consumable Fuels
2.8% Paper & Forest Products
4.1% Real Estate Investment Trusts
(REITs)
4.6% Road & Rail
3.0% Semiconductors & Semiconductor
Equipment
0.5% Software
3.3% Specialty Retail
1.6% Thrifts & Mortgage Finance
1.5% Tobacco
0.4% Trading Companies &
Distributors
1.3% Wireless Telecommunication
Services
0.2% Short Term Investments
0.1% Other Assets
</Table>
RYDEX S&P MIDCAP 400 PURE VALUE ETF
PORTFOLIO SUMMARY (continued) April 30, 2006
- --------------------------------------------------------------------------------
15 SEMI-ANNUAL REPORT
RYDEX S&P MIDCAP 400 PURE VALUE ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- -------------------------------------------------------
COMPANY NAME % OF TOTAL
- -------------------------------------------------------
AMTEL CORP. 2.97%
NORTHEAST UTILITIES 2.08%
TECUMSEH PRODUCTS CO. 1.94%
FURNITURE BRANDS INTERNATIONAL, INC. 1.91%
ARVINMERITOR, INC. 1.90%
PEPCO HOLDINGS, INC. 1.79%
NSTAR 1.78%
AMERICAN FINANCIAL GROUP INC./OH 1.75%
ALASKA AIR GROUP, INC. 1.68%
UNIVERSAL CORP/RICHMOND VA 1.54%
- -------------------------------------------------------
</Table>
SECTOR ALLOCATION*
[PIE CHART]
<Table>
Utilities 24.26
Industrials 17.31
Financials 16.40
Consumer Discretionary 14.84
Materials 12.27
Information Technology 8.12
Consumer Staples 4.47
Telecommunication Services 1.31
Health Care 0.68
Energy 0.34
</Table>
* The Fund's Top 10 Holdings are expressed as a percentage of net assets and the
Sector Allocation is expressed as a percentage of market value. These
percentages may change over time.
16
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
PORTFOLIO SUMMARY April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
3/1/2006 Net Assets ($million): $7.9
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
--------------------------------
<Table>
1.3% Aerospace & Defense
2.2% Air Freight & Logistics
2.8% Airlines
1.0% Automobiles
1.9% Biotechnology
5.0% Capital Markets
0.9% Commercial Banks
5.0% Commercial Services & Supplies
1.9% Communications Equipment
1.9% Computers & Peripherals
0.7% Construction & Engineering
6.1% Diversified Consumer Services
1.9% Electronic Equipment &
Instruments
1.2% Energy Equipment & Services
4.8% Health Care Equipment &
Supplies
2.9% Health Care Providers &
Services
4.4% Hotels, Restaurants & Leisure
3.8% Household Durables
0.9% Household Products
1.7% Insurance
7.9% IT Services
1.8% Life Sciences Tools & Services
1.6% Machinery
0.5% Media
0.3% Office Electronics
7.8% Oil, Gas & Consumable Fuels
3.8% Pharmaceuticals
4.1% Semiconductors & Semiconductor
Equipment
2.5% Software
14.7% Specialty Retail
1.1% Textiles, Apparel & Luxury
Goods
0.8% Thrifts & Mortgage Finance
0.8% Trading Companies &
Distributors
0.0% Short Term Investments(a)
0.0% Other Assets(a)
</Table>
(a) Amount represents less than 0.05% of net assets.
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
PORTFOLIO SUMMARY (continued) April 30, 2006
- --------------------------------------------------------------------------------
17 SEMI-ANNUAL REPORT
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- -------------------------------------------------------
COMPANY NAME % OF TOTAL
- -------------------------------------------------------
AEROPOSTALE, INC. 2.37%
COGNIZANT TECHNOLOGY SOLUTIONS CORP. 2.33%
CORPORATE EXECUTIVE BOARD CO. 2.16%
GAMESTOP CORP. 2.03%
CHICO'S FAS, INC. 1.98%
WESTERN DIGITAL CORP. 1.94%
SCIENTIFIC GAMES CORP. 1.94%
CORINTHIAN COLLEGES, INC. 1.80%
PAR PHARMACEUTICAL COS, INC. 1.74%
BROWN & BROWN, INC. 1.71%
- -------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
[PIE CHART]
<Table>
Consumer Discretionary 31.56
Information Technology 20.63
Health Care 15.22
Industrials 14.38
Energy 9.02
Financials 8.34
Consumer Staples 0.85
</Table>
* The Fund's Top 10 Holdings are expressed as a percentage of net assets and the
Sector Allocation is expressed as a percentage of market value. These
percentages may change over time.
18
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
PORTFOLIO SUMMARY April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
3/1/2006 Net Assets ($million): $6.0
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
--------------------------------
<Table>
0.9% Aerospace & Defense
0.8% Air Freight & Logistics
0.2% Airlines
1.5% Auto Components
1.4% Automobiles
0.8% Building Products
2.0% Capital Markets
6.7% Chemicals
2.6% Commercial Banks
6.2% Commercial Services & Supplies
0.9% Communications Equipment
1.2% Computers & Peripherals
0.8% Construction & Engineering
0.3% Construction Materials
3.3% Containers & Packaging
0.1% Distributors
3.8% Electric Utilities
2.6% Electrical Equipment
5.1% Electronic Equipment &
Instruments
0.2% Energy Equipment & Services
1.6% Food & Staples Retailing
2.1% Food Products
5.3% Gas Utilities
0.8% Health Care Equipment &
Supplies
1.8% Health Care Providers &
Services
2.8% Hotels, Restaurants & Leisure
3.6% Household Durables
1.5% Industrial Conglomerates
3.4% Insurance
2.4% IT Services
1.3% Leisure Equipment & Products
0.3% Life Sciences Tools & Services
2.4% Machinery
6.6% Metals & Mining
1.4% Multi-Utilities
0.6% Multiline Retail
3.4% Paper & Forest Products
2.6% Real Estate Investment Trusts
(REITs)
0.7% Road & Rail
0.3% Semiconductors & Semiconductor
Equipment
0.3% Software
6.9% Specialty Retail
4.3% Textiles, Apparel & Luxury
Goods
0.2% Thrifts & Mortgage Finance
1.3% Tobacco
0.3% Trading Companies &
Distributors
0.2% Water Utilities
0.2% Short Term Investments
0.0% Other Assets(a)
</Table>
(a) Amount represents less than 0.05% of net assets.
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
PORTFOLIO SUMMARY (continued) April 30, 2006
- --------------------------------------------------------------------------------
19 SEMI-ANNUAL REPORT
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- -------------------------------------------------------
COMPANY NAME % OF TOTAL
- -------------------------------------------------------
STARTEK, INC. 1.55%
ALLIANCE ONE INTERNATIONAL, INC. 1.34%
KELLWOOD CO. 1.34%
GROUP 1 AUTOMOTIVE, INC. 1.33%
PLANAR SYSTEMS, INC. 1.23%
CENTRAL VERMONT PUBLIC SERVICE CORP. 1.16%
LANDAMERICA FINANCIAL GROUP, INC. 1.15%
VOLT INFORMATION SCIENCES, INC. 1.14%
SCHULMAN A, INC. 1.14%
MYERS INDUSTRIES, INC. 1.08%
- -------------------------------------------------------
</Table>
SECTOR ALLOCATION*
[PIE CHART]
<Table>
Consumer Discretionary 22.68
Materials 20.27
Industrials 17.11
Financials 10.85
Utilities 10.70
Information Technology 10.23
Consumer Staples 5.05
Health Care 2.89
Energy 0.22
</Table>
* The Fund's Top 10 Holdings are expressed as a percentage of net assets and the
Sector Allocation is expressed as a percentage of market value. These
percentages may change over time.
20
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
PORTFOLIO SUMMARY April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
3/1/2006 Net Assets ($million): $8.2
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
--------------------------------
<Table>
2.1% Aerospace & Defense
0.5% Air Freight & Logistics
0.6% Automobiles
1.5% Beverages
0.4% Building Products
0.8% Capital Markets
3.2% Commercial Banks
2.2% Commercial Services & Supplies
0.3% Communications Equipment
2.2% Computers & Peripherals
1.1% Construction Materials
0.6% Consumer Finance
1.7% Diversified Consumer Services
1.4% Diversified Financial Services
3.2% Electronic Equipment &
Instruments
2.5% Energy Equipment & Services
0.6% Food Products
13.0% Health Care Equipment &
Supplies
7.2% Health Care Providers &
Services
1.1% Health Care Technology
6.6% Hotels, Restaurants & Leisure
2.0% Household Durables
1.4% Insurance
4.4% Internet Software & Services
3.3% IT Services
2.6% Leisure Equipment & Products
1.1% Life Sciences Tools & Services
0.9% Machinery
1.0% Media
8.1% Oil, Gas & Consumable Fuels
1.3% Personal Products
3.7% Pharmaceuticals
1.9% Road & Rail
4.9% Software
7.1% Specialty Retail
1.3% Textiles, Apparel & Luxury
Goods
2.2% Thrifts & Mortgage Finance
0.0% Short Term Investments(a)
0.0% Other Assets(a)
</Table>
(a) Amount represents less than 0.05% of net assets.
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
PORTFOLIO SUMMARY (continued) April 30, 2006
- --------------------------------------------------------------------------------
21 SEMI-ANNUAL REPORT
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- -----------------------------------------------------
COMPANY NAME % OF TOTAL
- -----------------------------------------------------
BIOLASE TECHNOLOGY, INC. 2.21%
COINSTAR, INC. 1.72%
CHRISTOPHER & BANKS CORP. 1.71%
FRONTIER OIL CORP. 1.67%
MULTIMEDIA GAMES, INC. 1.65%
HANSEN NATURAL CORP. 1.53%
J2 GLOBAL COMMUNICATIONS, INC. 1.53%
SHUFFLE MASTER, INC. 1.50%
PORTFOLIO RECOVERY ASSOCIATES, INC. 1.36%
CERADYNE, INC. 1.35%
- -----------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
[PIE CHART]
<Table>
Health Care 26.15
Consumer Discretionary 22.86
Information Technology 18.36
Energy 10.60
Financials 9.48
Industrials 8.03
Consumer Staples 3.38
Materials 1.14
</Table>
* The Fund's Top 10 Holdings are expressed as a percentage of net assets and the
Sector Allocation is expressed as a percentage of market value. These
percentages may change over time.
22
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS 100.0%
AEROSPACE & DEFENSE 2.0%
Boeing Co. ..................................... 42,110 $3,514,080
General Dynamics Corp. ......................... 50,154 3,291,105
Goodrich Corp. ................................. 75,696 3,368,472
Honeywell International, Inc. .................. 76,783 3,263,278
L-3 Communications Holdings, Inc. .............. 37,856 3,092,835
Lockheed Martin Corp. .......................... 43,220 3,280,398
Northrop Grumman Corp. ......................... 46,926 3,139,349
Raytheon Co. ................................... 71,773 3,177,391
Rockwell Collins, Inc. ......................... 60,312 3,449,846
United Technologies Corp. ...................... 55,826 3,506,431
--------------
TOTAL AEROSPACE & DEFENSE 33,083,185
--------------
AIR FREIGHT & LOGISTICS 0.4%
FedEx Corp. .................................... 28,559 3,287,997
United Parcel Service, Inc. -- Class B.......... 41,982 3,403,481
--------------
TOTAL AIR FREIGHT & LOGISTICS
6,691,478
--------------
AIRLINES 0.2%
Southwest Airlines Co. ......................... 186,567 3,026,117
--------------
TOTAL AIRLINES 3,026,117
--------------
AUTO COMPONENTS 0.6%
Cooper Tire & Rubber Co. ....................... 222,276 2,822,905
Goodyear Tire & Rubber Co.*..................... 239,106 3,347,484
Johnson Controls, Inc. ......................... 43,220 3,524,591
--------------
TOTAL AUTO COMPONENTS 9,694,980
--------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
AUTOMOBILES 0.6%
Ford Motor Co. ................................. 417,548 $2,901,959
General Motors Corp. ........................... 153,023 3,501,166
Harley-Davidson, Inc. .......................... 67,128 3,412,787
--------------
TOTAL AUTOMOBILES 9,815,912
--------------
BEVERAGES 1.6%
Anheuser-Busch Cos., Inc. ...................... 75,850 3,381,393
Brown-Forman Corp. -- Class B................... 40,071 2,985,290
Coca-Cola Co (The).............................. 76,766 3,221,101
Coca-Cola Enterprises, Inc. .................... 158,184 3,089,334
Constellation Brands, Inc. -- Class A*.......... 124,380 3,072,186
Molson Coors Brewing Co. -- Class B............. 46,926 3,465,954
Pepsi Bottling Group, Inc. ..................... 107,933 3,464,649
PepsiCo, Inc. .................................. 54,715 3,186,602
--------------
TOTAL BEVERAGES 25,866,509
--------------
BIOTECHNOLOGY 0.9%
Amgen, Inc.*.................................... 44,882 3,038,511
Biogen Idec, Inc.*.............................. 66,763 2,994,321
</Table>
See Notes to Financial Statements.
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
23 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Genzyme Corp.*.................................. 47,131 $2,882,532
Gilead Sciences, Inc.*.......................... 51,920 2,985,400
Medimmune, Inc.*................................ 89,740 2,824,118
--------------
TOTAL BIOTECHNOLOGY 14,724,882
--------------
BUILDING PRODUCTS 0.4%
American Standard Cos., Inc. ................... 78,816 3,430,861
Masco Corp. .................................... 101,858 3,249,270
--------------
TOTAL BUILDING PRODUCTS 6,680,131
--------------
CAPITAL MARKETS 3.4%
Ameriprise Financial, Inc. ..................... 71,275 3,495,326
Bank of New York Co., Inc....................... 92,406 3,248,071
Bear Stearns Cos., Inc. ........................ 24,659 3,514,154
Charles Schwab Corp. ........................... 181,296 3,245,198
E*Trade Financial Corp.*........................ 124,644 3,101,143
Federated Investors, Inc. -- Class B............ 86,605 3,039,835
Franklin Resources, Inc. ....................... 32,282 3,006,100
Goldman Sachs Group, Inc. ...................... 21,672 3,473,805
Janus Capital Group, Inc. ...................... 147,987 2,879,827
Legg Mason, Inc. ............................... 26,662 3,158,914
Lehman Brothers Holdings, Inc. ................. 22,997 3,475,996
Mellon Financial Corp. ......................... 92,339 3,474,717
Merrill Lynch & Co., Inc. ...................... 42,271 3,223,586
Morgan Stanley.................................. 54,516 3,505,379
Northern Trust Corp. ........................... 61,410 3,616,435
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
State Street Corp. ............................. 52,224 $3,411,272
T. Rowe Price Group, Inc. ...................... 42,281 3,559,637
--------------
TOTAL CAPITAL MARKETS 56,429,395
--------------
CHEMICALS 2.8%
Air Products & Chemicals, Inc. ................. 49,892 3,418,600
Ashland, Inc. .................................. 48,965 3,222,876
Dow Chemical Co (The)........................... 75,138 3,051,354
Du Pont (E.I.) de Nemours & Co. ................ 77,154 3,402,491
Eastman Chemical Co. ........................... 63,432 3,447,529
Ecolab, Inc. ................................... 83,451 3,154,448
Engelhard Corp. ................................ 82,915 3,184,765
Hercules, Inc.*................................. 247,022 3,510,183
International Flavors & Fragrances, Inc. ....... 94,229 3,329,111
Monsanto Co. ................................... 38,591 3,218,489
PPG Industries, Inc. ........................... 51,920 3,484,871
Praxair, Inc. .................................. 57,709 3,239,206
Rohm & Haas Co. ................................ 66,050 3,342,130
Sigma-Aldrich Corp. ............................ 50,820 3,486,773
--------------
TOTAL CHEMICALS 46,492,826
--------------
COMMERCIAL BANKS 4.1%
AmSouth Bancorporation.......................... 116,661 3,376,169
BB&T Corp. ..................................... 80,860 3,472,129
Comerica, Inc. ................................. 56,764 3,228,169
Compass Bancshares, Inc. ....................... 63,967 3,515,626
Fifth Third Bancorp............................. 83,655 3,381,335
First Horizon National Corp. ................... 79,220 3,360,512
Huntington Bancshares, Inc. .................... 137,863 3,329,392
KeyCorp......................................... 87,943 3,361,182
</Table>
See Notes to Financial Statements.
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
24
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
M&T Bank Corp. ................................. 28,018 $3,345,349
Marshall & Ilsley Corp. ........................ 72,381 3,309,259
National City Corp. ............................ 91,847 3,389,154
North Fork Bancorporation, Inc. ................ 112,721 3,396,284
PNC Financial Services Group, Inc. ............. 47,091 3,365,594
Regions Financial Corp. ........................ 91,086 3,325,550
SunTrust Banks, Inc. ........................... 42,872 3,315,292
Synovus Financial Corp. ........................ 117,623 3,293,444
U.S. Bancorp.................................... 105,364 3,312,644
Wachovia Corp. ................................. 57,300 3,429,405
Wells Fargo & Co. .............................. 50,445 3,465,067
Zions Bancorp................................... 38,580 3,203,297
--------------
TOTAL COMMERCIAL BANKS 67,174,853
--------------
COMMERCIAL SERVICES & SUPPLIES 2.1%
Allied Waste Industries, Inc.*.................. 288,015 4,078,292
Avery Dennison Corp. ........................... 55,247 3,452,938
Cendant Corp. .................................. 191,308 3,334,498
Cintas Corp. ................................... 77,950 3,272,341
Equifax, Inc. .................................. 85,709 3,303,225
Monster Worldwide, Inc.*........................ 64,522 3,703,563
Pitney-Bowes, Inc. ............................. 79,386 3,322,304
R.R. Donnelley & Sons Co. ...................... 99,410 3,349,123
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Robert Half International, Inc. ................ 85,540 $3,615,776
Waste Management, Inc. ......................... 94,969 3,557,539
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES
34,989,599
--------------
COMMUNICATIONS EQUIPMENT 2.3%
ADC Telecommunications, Inc.*................... 129,320 2,895,475
Andrew Corp.*................................... 255,782 2,706,173
Avaya, Inc.*.................................... 275,836 3,310,032
CIENA Corp.*.................................... 641,530 2,623,858
Cisco Systems, Inc.*............................ 151,948 3,183,311
Comverse Technology, Inc.*...................... 135,200 3,062,280
Corning, Inc.*.................................. 120,574 3,331,460
JDS Uniphase Corp.*............................. 810,804 2,829,706
Lucent Technologies, Inc.*...................... 1,117,287 3,117,231
Motorola, Inc. ................................. 147,030 3,139,090
QUALCOMM, Inc. ................................. 64,675 3,320,414
Tellabs, Inc.*.................................. 220,751 3,498,903
--------------
TOTAL COMMUNICATIONS EQUIPMENT
37,017,933
--------------
COMPUTERS & PERIPHERALS 2.4%
Apple Computer, Inc.*........................... 50,809 3,576,445
Dell, Inc.*..................................... 112,938 2,958,976
EMC Corp.*...................................... 232,904 3,146,533
Gateway, Inc.*.................................. 1,357,851 2,987,272
Hewlett-Packard Co. ............................ 96,078 3,119,653
International Business Machines Corp. .......... 39,336 3,238,926
</Table>
See Notes to Financial Statements.
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
25 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Lexmark International, Inc. -- Class A*......... 71,570 $3,485,459
NCR Corp.*...................................... 83,274 3,280,996
Network Appliance, Inc.*........................ 93,588 3,469,307
QLogic Corp.*................................... 163,991 3,412,653
SanDisk Corp.*.................................. 54,005 3,447,139
Sun Microsystems, Inc.*......................... 691,039 3,455,195
--------------
TOTAL COMPUTERS & PERIPHERALS
39,578,554
--------------
CONSTRUCTION & ENGINEERING 0.2%
Fluor Corp. .................................... 38,855 3,610,018
--------------
TOTAL CONSTRUCTION & ENGINEERING
3,610,018
--------------
CONSTRUCTION MATERIALS 0.2%
Vulcan Materials Co. ........................... 37,828 3,213,867
--------------
TOTAL CONSTRUCTION MATERIALS
3,213,867
--------------
CONSUMER FINANCE 0.6%
American Express Co. ........................... 60,112 3,234,627
Capital One Financial Corp. .................... 39,860 3,453,470
SLM Corp. ...................................... 58,974 3,118,545
--------------
TOTAL CONSUMER FINANCE 9,806,642
--------------
CONTAINERS & PACKAGING 1.0%
Ball Corp. ..................................... 73,994 2,958,280
Bemis Co. ...................................... 99,791 3,139,425
Pactiv Corp.*................................... 136,304 3,317,639
Sealed Air Corp. ............................... 55,842 3,007,092
Temple-Inland, Inc. ............................ 73,481 3,412,458
--------------
TOTAL CONTAINERS & PACKAGING
15,834,894
--------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
DISTRIBUTORS 0.2%
Genuine Parts Co. .............................. 72,690 $3,172,918
--------------
TOTAL DISTRIBUTORS 3,172,918
--------------
DIVERSIFIED CONSUMER SERVICES 0.4%
Apollo Group, Inc. -- Class A*.................. 63,079 3,446,637
H&R Block, Inc. ................................ 153,506 3,504,542
--------------
TOTAL DIVERSIFIED CONSUMER SERVICES
6,951,179
--------------
DIVERSIFIED FINANCIAL SERVICES 1.0%
Bank of America Corp. .......................... 69,940 3,491,405
CIT Group, Inc. ................................ 60,090 3,245,461
Citigroup, Inc. ................................ 69,188 3,455,941
JPMorgan Chase & Co. ........................... 79,391 3,602,763
Moody's Corp. .................................. 46,932 2,910,253
--------------
TOTAL DIVERSIFIED FINANCIAL SERVICES
16,705,823
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES 1.2%
AT&T Corp. ..................................... 121,643 3,188,263
BellSouth Corp. ................................ 95,312 3,219,639
CenturyTel, Inc. ............................... 86,252 3,251,700
Citizens Communications Co. .................... 242,255 3,217,146
Qwest Communications International, Inc.*....... 473,418 3,176,635
Verizon Communications, Inc. ................... 95,349 3,149,378
--------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES
19,202,761
--------------
</Table>
See Notes to Financial Statements.
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
26
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES 2.1%
Allegheny Energy, Inc.*......................... 91,086 $3,245,394
American Electric Power Co., Inc. .............. 92,509 3,095,351
Edison International............................ 75,690 3,058,633
Entergy Corp. .................................. 45,811 3,204,021
Exelon Corp. ................................... 58,624 3,165,696
FPL Group, Inc. ................................ 80,844 3,201,423
FirstEnergy Corp. .............................. 63,448 3,217,448
PPL Corp. ...................................... 105,011 3,049,520
Pinnacle West Capital Corp. .................... 81,799 3,280,140
Progress Energy, Inc. .......................... 72,558 3,105,482
Southern Co. ................................... 97,173 3,131,886
--------------
TOTAL ELECTRIC UTILITIES 34,754,994
--------------
ELECTRICAL EQUIPMENT 0.8%
American Power Conversion Corp. ................ 146,535 3,258,938
Cooper Industries Ltd., -- Class A.............. 38,762 3,544,785
Emerson Electric Co. ........................... 38,392 3,261,401
Rockwell Automation, Inc. ...................... 45,092 3,267,366
--------------
TOTAL ELECTRICAL EQUIPMENT 13,332,490
--------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.5%
Agilent Technologies, Inc.*..................... 86,544 3,325,021
Jabil Circuit, Inc.*............................ 86,406 3,368,970
Molex, Inc. .................................... 98,894 3,670,945
Sanmina-SCI Corp.*.............................. 803,101 4,168,094
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Solectron Corp.*................................ 833,296 $3,333,184
Symbol Technologies, Inc. ...................... 303,025 3,227,216
Tektronix, Inc. ................................ 89,540 3,162,553
--------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
24,255,983
--------------
ENERGY EQUIPMENT & SERVICES 2.4%
BJ Services Co. ................................ 99,988 3,804,543
Baker Hughes, Inc. ............................. 48,813 3,945,555
Duke Energy Corp. .............................. 111,469 3,245,977
Halliburton Co. ................................ 46,506 3,634,444
Nabors Industries Ltd.*......................... 98,972 3,694,625
National Oilwell Varco, Inc.*................... 54,704 3,772,935
Noble Corp. .................................... 41,057 3,241,040
Rowan Cos., Inc. ............................... 78,453 3,477,821
Schlumberger Ltd. .............................. 53,104 3,671,611
Transocean, Inc.*............................... 40,977 3,322,005
Weatherford International Ltd.*................. 75,874 4,016,011
--------------
TOTAL ENERGY EQUIPMENT & SERVICES
39,826,567
--------------
FOOD & STAPLES RETAILING 1.9%
Albertson's, Inc. .............................. 126,881 3,213,896
CVS Corp. ...................................... 110,877 3,295,264
Costco Wholesale Corp. ......................... 58,826 3,201,899
Kroger Co.*..................................... 158,071 3,202,519
Safeway, Inc. .................................. 128,510 3,229,456
SUPERVALU, Inc. ................................ 102,370 2,969,754
Sysco Corp. .................................... 104,028 3,109,397
Wal-Mart Stores, Inc. .......................... 70,315 3,166,284
</Table>
See Notes to Financial Statements.
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
27 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Walgreen Co. ................................... 72,508 $3,040,260
Whole Foods Market, Inc. ....................... 51,191 3,142,104
--------------
TOTAL FOOD & STAPLES RETAILING
31,570,833
--------------
FOOD PRODUCTS 2.5%
Archer-Daniels-Midland Co. ..................... 93,112 3,383,690
Campbell Soup Co. .............................. 101,642 3,266,774
ConAgra Foods, Inc. ............................ 167,078 3,789,329
Dean Foods Co.*................................. 104,110 4,123,797
General Mills, Inc. ............................ 66,598 3,285,945
H.J. Heinz Co. ................................. 85,553 3,551,305
Hershey Co. (The)............................... 61,046 3,256,194
Kellogg Co. .................................... 72,171 3,342,239
McCormick & Co, Inc. ........................... 95,543 3,327,763
Sara Lee Corp. ................................. 180,612 3,227,536
Tyson Foods, Inc. -- Class A.................... 245,824 3,589,030
Wm. Wrigley Jr. Co. ............................ 61,353 2,887,886
Wm. Wrigley Jr. Co.* -- Class B ................ 12,019 566,095
--------------
TOTAL FOOD PRODUCTS 41,597,583
--------------
GAS UTILITIES 0.4%
Nicor, Inc. .................................... 78,303 3,101,582
Peoples Energy Corp. ........................... 86,798 3,153,371
--------------
TOTAL GAS UTILITIES 6,254,953
--------------
HEALTH CARE EQUIPMENT & SUPPLIES 2.1%
Bausch & Lomb, Inc. ............................ 47,683 2,334,083
Baxter International, Inc. ..................... 84,948 3,202,540
Becton Dickinson & Co. ......................... 51,368 3,238,239
Biomet, Inc. ................................... 89,953 3,344,452
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Boston Scientific Corp.*........................ 145,015 $3,370,149
C.R. Bard, Inc. ................................ 47,302 3,522,107
Hospira, Inc.*.................................. 78,833 3,039,012
Medtronic, Inc. ................................ 62,316 3,123,278
St Jude Medical, Inc.*.......................... 72,872 2,876,986
Stryker Corp. .................................. 66,614 2,914,362
Zimmer Holdings, Inc.*.......................... 47,484 2,986,744
--------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES
33,951,952
--------------
HEALTH CARE PROVIDERS & SERVICES 3.5%
Aetna, Inc. .................................... 64,343 2,477,206
AmerisourceBergen Corp. ........................ 68,835 2,970,230
Cigna Corp. .................................... 24,847 2,658,629
Cardinal Health, Inc. .......................... 43,772 2,948,044
Caremark Rx, Inc.*.............................. 66,126 3,012,039
Coventry Health Care, Inc.*..................... 57,670 2,864,469
Express Scripts, Inc.*.......................... 36,353 2,840,623
HCA, Inc. ...................................... 71,414 3,134,360
Health Management Associates, Inc. -- Class A... 154,844 3,206,819
Humana, Inc.*................................... 63,471 2,867,620
Laboratory Corp. of America Holdings*........... 56,429 3,222,096
Manor Care, Inc. ............................... 74,916 3,285,067
McKesson Corp. ................................. 61,364 2,981,677
Medco Health Solutions, Inc.*................... 55,826 2,971,618
Patterson Cos., Inc.*........................... 91,931 2,995,112
Quest Diagnostics, Inc. ........................ 63,250 3,524,922
Tenet Healthcare Corp.*......................... 450,974 3,752,104
</Table>
See Notes to Financial Statements.
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
28
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
UnitedHealth Group, Inc. ....................... 57,898 $2,879,847
WellPoint, Inc.*................................ 41,193 2,924,703
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES
57,517,185
--------------
HEALTH CARE TECHNOLOGY 0.2%
IMS Health, Inc. ............................... 128,156 3,483,280
--------------
TOTAL HEALTH CARE TECHNOLOGY
3,483,280
--------------
HOTELS RESTAURANTS & LEISURE 2.2%
Carnival Corp. ................................. 64,416 3,015,957
Darden Restaurants, Inc. ....................... 79,645 3,153,942
Harrah's Entertainment, Inc. ................... 43,954 3,588,405
Hilton Hotels Corp. ............................ 137,095 3,693,339
International Game Technology, Inc. ............ 93,858 3,560,034
Marriott International, Inc. -- Class A......... 47,490 3,470,094
McDonald's Corp. ............................... 93,483 3,231,707
Starbucks Corp.*................................ 89,453 3,333,914
Starwood Hotels & Resorts Worldwide, Inc. ...... 60,253 3,457,317
Wendy's International, Inc. .................... 50,275 3,105,990
Yum! Brands, Inc. .............................. 65,106 3,364,678
--------------
TOTAL HOTELS RESTAURANTS & LEISURE
36,975,377
--------------
HOUSEHOLD DURABLES 2.5%
Black & Decker Corp. ........................... 37,093 3,472,276
Centex Corp. ................................... 49,887 2,773,717
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
D.R. Horton, Inc. .............................. 94,969 $2,850,969
Fortune Brands, Inc. ........................... 40,066 3,217,300
Harman International Industries, Inc. .......... 28,660 2,521,793
KB Home......................................... 48,744 3,001,168
Leggett & Platt, Inc. .......................... 132,449 3,513,872
Lennar Corp. -- Class A......................... 54,704 3,004,891
Newell Rubbermaid, Inc. ........................ 128,224 3,515,902
Pulte Homes, Inc. .............................. 82,739 3,090,302
Snap-On, Inc. .................................. 83,672 3,472,388
Stanley Works................................... 64,522 3,371,274
Whirlpool Corp. ................................ 38,033 3,413,462
--------------
TOTAL HOUSEHOLD DURABLES 41,219,314
--------------
HOUSEHOLD PRODUCTS 0.8%
Clorox Co. ..................................... 52,716 3,383,313
Colgate-Palmolive Co. .......................... 57,881 3,421,925
Kimberly-Clark Corp. ........................... 55,644 3,256,843
Procter & Gamble Co. ........................... 55,472 3,229,025
--------------
TOTAL HOUSEHOLD PRODUCTS 13,291,106
--------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.8%
AES Corp.*...................................... 186,755 3,169,232
Constellation Energy Group, Inc. ............... 58,500 3,212,820
Dynegy, Inc. -- Class A*........................ 660,436 3,282,367
TXU Corp. ...................................... 66,233 3,287,144
--------------
TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
12,951,563
--------------
</Table>
See Notes to Financial Statements.
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
29 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INDUSTRIAL CONGLOMERATES 0.8%
General Electric Co. ........................... 95,117 $3,290,097
Textron, Inc. .................................. 35,226 3,168,578
3M Co. ......................................... 43,865 3,747,387
Tyco International Ltd. ........................ 122,445 3,226,426
--------------
TOTAL INDUSTRIAL CONGLOMERATES
13,432,488
--------------
INSURANCE 4.6%
ACE Ltd. ....................................... 58,234 3,234,316
AFLAC, Inc. .................................... 70,104 3,332,744
Allstate Corp................................... 59,919 3,384,824
Ambac Financial Group, Inc. .................... 40,817 3,361,688
American International Group, Inc. ............. 47,734 3,114,644
Aon Corp. ...................................... 79,502 3,331,929
Chubb Corp. .................................... 66,785 3,442,099
Cincinnati Financial Corp. ..................... 72,353 3,085,132
Genworth Financial, Inc. -- Class A............. 95,754 3,179,033
Hartford Financial Services Group, Inc. ........ 39,701 3,649,713
Lincoln National Corp. ......................... 58,803 3,415,278
Loews Corp. .................................... 32,818 3,483,631
MBIA, Inc. ..................................... 54,487 3,249,060
Marsh & McLennan Cos, Inc. ..................... 109,220 3,349,777
MetLife, Inc. .................................. 64,730 3,372,433
Principal Financial Group, Inc. ................ 65,470 3,359,266
Progressive Corp. .............................. 30,973 3,361,500
Prudential Financial, Inc. ..................... 42,872 3,349,589
SAFECO Corp. ................................... 61,758 3,205,240
St. Paul Travelers Cos., Inc. .................. 78,531 3,457,720
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Torchmark Corp. ................................ 57,477 $3,454,943
UnumProvident Corp. ............................ 155,655 3,161,353
XL Capital Ltd. -- Class A...................... 48,605 3,202,583
--------------
TOTAL INSURANCE 76,538,495
--------------
INTERNET & CATALOG RETAIL 0.2%
Amazon.Com, Inc.*............................... 90,543 3,188,019
--------------
TOTAL INTERNET & CATALOG RETAIL
3,188,019
--------------
INTERNET SOFTWARE & SERVICES 0.8%
eBay, Inc.*..................................... 85,887 2,955,372
Google, Inc.* -- Class A........................ 8,606 3,596,792
VeriSign, Inc.*................................. 141,320 3,323,846
Yahoo!, Inc.*................................... 109,249 3,581,182
--------------
TOTAL INTERNET SOFTWARE & SERVICES
13,457,192
--------------
IT SERVICES 2.0%
Affiliated Computer Services, Inc. -- Class
A*............................................ 52,084 2,904,204
Automatic Data Processing, Inc. ................ 69,553 3,065,896
Computer Sciences Corp.*........................ 57,636 3,374,588
Convergys Corp.*................................ 184,540 3,592,994
Electronic Data Systems Corp. .................. 117,406 3,179,354
First Data Corp. ............................... 69,036 3,292,327
Fiserv, Inc.*................................... 77,506 3,493,971
Paychex, Inc. .................................. 81,418 3,288,473
Sabre Holdings Corp. -- Class A................. 131,471 3,035,665
Unisys Corp.*................................... 470,278 2,934,535
--------------
TOTAL IT SERVICES 32,162,007
--------------
LEISURE EQUIPMENT & PRODUCTS 0.8%
Brunswick Corp. ................................ 85,705 3,361,350
Eastman Kodak Co. .............................. 110,392 2,976,168
</Table>
See Notes to Financial Statements.
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
30
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Hasbro, Inc. ................................... 157,085 $3,096,146
Mattel, Inc. ................................... 187,582 3,035,077
--------------
TOTAL LEISURE EQUIPMENT & PRODUCTS
12,468,741
--------------
LIFE SCIENCES TOOLS & SERVICES 1.2%
Applera Corp. -- Applied Biosystems Group....... 118,838 3,427,288
Fisher Scientific International, Inc.*.......... 47,091 3,322,270
Millipore Corp.*................................ 44,894 3,312,279
PerkinElmer, Inc. .............................. 140,249 3,006,939
Thermo Electron Corp.*.......................... 91,427 3,523,597
Waters Corp.*................................... 73,988 3,353,136
--------------
TOTAL LIFE SCIENCES TOOLS & SERVICES
19,945,509
--------------
MACHINERY 2.6%
Caterpillar, Inc. .............................. 43,072 3,262,273
Cummins, Inc. .................................. 30,421 3,178,995
Danaher Corp. .................................. 50,843 3,259,545
Deere & Co. .................................... 41,922 3,679,913
Dover Corp. .................................... 68,459 3,405,835
Eaton Corp. .................................... 45,622 3,496,926
ITT Industries, Inc. ........................... 58,693 3,300,307
Illinois Tool Works, Inc. ...................... 33,563 3,446,920
Ingersoll-Rand Co., Ltd. -- Class A............. 76,226 3,334,888
Navistar International Corp.*................... 114,782 3,027,949
PACCAR, Inc. ................................... 46,363 3,334,891
Pall Corp. ..................................... 109,618 3,308,271
Parker Hannifin Corp. .......................... 39,684 3,216,388
--------------
TOTAL MACHINERY 43,253,101
--------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
MEDIA 3.6%
CBS Corp. -- Class B............................ 133,444 $3,398,819
Clear Channel Communications, Inc. ............. 111,474 3,180,353
Comcast Corp. -- Class A*....................... 121,593 3,763,303
Dow Jones & Co., Inc. .......................... 81,917 3,028,472
E.W. Scripps Co. -- Class A..................... 71,398 3,290,020
Gannett Co, Inc. ............................... 55,282 3,040,510
Interpublic Group of Cos., Inc.*................ 324,912 3,112,657
Knight Ridder, Inc. ............................ 51,523 3,194,426
McGraw-Hill Cos., Inc. ......................... 56,383 3,138,278
Meredith Corp. ................................. 58,416 2,897,434
New York Times Co. -- Class A................... 125,947 3,122,226
News Corp. -- Class A........................... 196,677 3,374,977
Omnicom Group, Inc. ............................ 39,878 3,589,419
Time Warner, Inc. .............................. 192,351 3,346,907
Tribune Co. .................................... 111,092 3,202,782
Univision Communications, Inc. -- Class A*...... 96,267 3,435,769
Viacom, Inc. -- Class B*........................ 84,219 3,354,443
Walt Disney Co. ................................ 114,629 3,205,027
--------------
TOTAL MEDIA 58,675,822
--------------
METALS & MINING 1.6%
Alcoa, Inc. .................................... 108,880 3,677,966
Allegheny Technologies, Inc. ................... 58,513 4,057,291
Freeport-McMoRan Copper & Gold, Inc. -- Class
B............................................. 61,095 3,945,515
</Table>
See Notes to Financial Statements.
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
31 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Newmont Mining Corp. ........................... 65,829 $3,841,781
Nucor Corp. .................................... 33,205 3,613,368
Phelps Dodge Corp. ............................. 43,097 3,714,531
United States Steel Corp. ...................... 55,688 3,814,628
--------------
TOTAL METALS & MINING 26,665,080
--------------
MULTI-UTILITIES 2.5%
Ameren Corp. ................................... 64,565 3,252,139
CMS Energy Corp.*............................... 236,778 3,153,883
CenterPoint Energy, Inc. ....................... 262,506 3,155,322
Consolidated Edison, Inc. ...................... 72,877 3,142,456
DTE Energy Co. ................................. 76,618 3,124,482
Dominion Resources, Inc. ....................... 44,865 3,359,043
KeySpan Corp. .................................. 80,319 3,243,281
NiSource, Inc. ................................. 156,367 3,300,908
PG&E Corp. ..................................... 81,611 3,251,382
Public Service Enterprise Group, Inc. .......... 48,280 3,027,156
Sempra Energy................................... 69,558 3,201,059
TECO Energy, Inc. .............................. 197,345 3,153,573
Xcel Energy, Inc. .............................. 177,486 3,343,836
--------------
TOTAL MULTI-UTILITIES 41,708,520
--------------
MULTILINE RETAIL 2.0%
Big Lots, Inc.*................................. 234,544 3,389,161
Dillard's, Inc. -- Class A...................... 123,897 3,231,234
Dollar General Corp. ........................... 181,949 3,176,830
Family Dollar Stores, Inc. ..................... 124,024 3,100,600
Federated Department Stores, Inc. .............. 45,440 3,537,504
Kohl's Corp.*................................... 61,952 3,459,400
Nordstrom, Inc. ................................ 79,562 3,049,611
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
J.C. Penney Holding Co., Inc. .................. 52,295 $3,423,231
Sears Holdings Corp.*........................... 24,305 3,492,385
Target Corp. ................................... 61,012 3,239,737
--------------
TOTAL MULTILINE RETAIL 33,099,693
--------------
OFFICE ELECTRONICS 0.2%
Xerox Corp.*.................................... 215,415 3,024,427
--------------
TOTAL OFFICE ELECTRONICS 3,024,427
--------------
OIL, GAS & CONSUMABLE FUELS 3.9%
Amerada Hess Corp. ............................. 22,814 3,268,562
Anadarko Petroleum Corp. ....................... 32,823 3,440,507
Apache Corp. ................................... 49,478 3,514,917
Chesapeake Energy Corp. ........................ 104,210 3,301,373
Chevron Corp. .................................. 57,468 3,506,697
ConocoPhillips.................................. 53,428 3,574,333
Devon Energy Corp. ............................. 54,270 3,262,170
EOG Resources, Inc. ............................ 45,124 3,169,058
El Paso Corp. .................................. 266,482 3,440,283
Exxon Mobil Corp. .............................. 53,764 3,391,433
Hugoton Royalty Trust........................... 4,453 123,131
Kerr-McGee Corp. ............................... 33,715 3,366,780
Kinder Morgan, Inc. ............................ 35,055 3,085,541
Marathon Oil Corp. ............................. 43,003 3,412,718
Murphy Oil Corp. ............................... 70,121 3,518,672
Occidental Petroleum Corp. ..................... 34,503 3,544,838
Sunoco, Inc. ................................... 41,182 3,337,389
Valero Energy Corp. ............................ 56,701 3,670,823
</Table>
See Notes to Financial Statements.
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
32
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Williams Cos., Inc. ............................ 157,063 $3,444,391
XTO Energy, Inc. ............................... 76,537 3,241,342
--------------
TOTAL OIL, GAS & CONSUMABLE FUELS
64,614,958
--------------
PAPER & FOREST PRODUCTS 0.8%
International Paper Co. ........................ 93,277 3,390,619
Louisiana-Pacific Corp. ........................ 122,594 3,381,143
MeadWestvaco Corp. ............................. 118,733 3,385,078
Weyerhaeuser Co. ............................... 44,871 3,162,059
--------------
TOTAL PAPER & FOREST PRODUCTS
13,318,899
--------------
PERSONAL PRODUCTS 0.6%
Alberto-Culver Co. -- Class B................... 71,448 3,213,017
Avon Products, Inc. ............................ 108,962 3,553,251
Estee Lauder Cos., Inc. -- Class A.............. 87,413 3,244,770
--------------
TOTAL PERSONAL PRODUCTS 10,011,038
--------------
PHARMACEUTICALS 2.7%
Abbott Laboratories............................. 72,712 3,107,711
Allergan, Inc. ................................. 28,012 2,877,393
Barr Pharmaceuticals, Inc.*..................... 53,291 3,226,770
Bristol-Myers Squibb Co. ....................... 143,154 3,633,249
Forest Laboratories, Inc.*...................... 73,481 2,967,163
Johnson & Johnson............................... 54,350 3,185,453
King Pharmaceuticals, Inc.*..................... 168,609 2,932,110
Eli Lilly & Co. ................................ 57,488 3,042,265
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Merck & Co., Inc. .............................. 92,179 $3,172,801
Mylan Laboratories, Inc. ....................... 131,815 2,878,840
Pfizer, Inc. ................................... 124,455 3,152,445
Schering-Plough Corp. .......................... 177,712 3,433,396
Watson Pharmaceuticals, Inc.*................... 112,966 3,212,753
Wyeth........................................... 65,841 3,204,481
--------------
TOTAL PHARMACEUTICALS 44,026,830
--------------
REAL ESTATE INVESTMENT TRUSTS (REITS) 2.1%
Apartment Investment & Management Co. -- Class
A............................................. 69,188 3,092,012
Archstone-Smith Trust........................... 65,841 3,218,308
Boston Properties, Inc. ........................ 35,071 3,095,717
Equity Office Properties Trust.................. 94,223 3,043,403
Equity Residential Properties Trust............. 70,321 3,155,303
Host Hotels & Resorts, Inc. .................... 1 18
Kimco Realty Corp. ............................. 76,198 2,829,232
Plum Creek Timber Co., Inc. .................... 87,567 3,178,682
Prologis........................................ 58,450 2,935,359
Public Storage, Inc. ........................... 39,790 3,059,055
Simon Property Group, Inc. ..................... 37,110 3,038,567
Vornado Realty Trust............................ 33,392 3,193,611
--------------
TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS)
33,839,267
--------------
</Table>
See Notes to Financial Statements.
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
33 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL 1.1%
Burlington Northern Santa Fe Corp. ............. 40,612 $3,229,872
CSX Corp. ...................................... 55,236 3,783,114
Norfolk Southern Corp. ......................... 60,835 3,285,090
Ryder System, Inc. ............................. 72,541 3,783,013
Union Pacific Corp. ............................ 35,977 3,281,462
--------------
TOTAL ROAD & RAIL 17,362,551
--------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 4.2%
Advanced Micro Devices, Inc.*................... 96,245 3,113,526
Altera Corp.*................................... 165,670 3,618,233
Analog Devices, Inc. ........................... 88,097 3,340,638
Applied Materials, Inc. ........................ 187,705 3,369,305
Applied Micro Circuits Corp.*................... 837,375 3,073,166
Broadcom Corp. -- Class A*...................... 73,241 3,010,937
Freescale Semiconductor, Inc. -- Class A*....... 125,064 3,960,777
Intel Corp. .................................... 168,023 3,357,099
KLA-Tencor Corp. ............................... 66,990 3,226,238
LSI Logic Corp.*................................ 293,594 3,126,776
Linear Technology Corp. ........................ 93,289 3,311,759
Maxim Integrated Products, Inc. ................ 90,704 3,198,223
Micron Technology, Inc.*........................ 221,477 3,758,465
National Semiconductor Corp. ................... 121,956 3,656,241
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Novellus Systems, Inc.*......................... 133,604 $3,300,019
NVIDIA Corp.*................................... 134,681 3,935,379
PMC -- Sierra, Inc.*............................ 270,858 3,366,765
Teradyne, Inc.*................................. 219,396 3,699,017
Texas Instruments, Inc. ........................ 108,707 3,773,220
Xilinx, Inc. ................................... 125,412 3,470,150
--------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
68,665,933
--------------
SOFTWARE 2.6%
Adobe Systems, Inc.*............................ 91,245 3,576,804
Autodesk, Inc.*................................. 83,518 3,511,097
BMC Software, Inc.*............................. 148,010 3,188,135
CA, Inc. ....................................... 118,722 3,010,790
Citrix Systems, Inc.*........................... 91,461 3,651,123
Compuware Corp.*................................ 394,512 3,029,852
Electronic Arts, Inc.*.......................... 62,488 3,549,318
Intuit, Inc.*................................... 61,753 3,345,160
Microsoft Corp. ................................ 119,428 2,884,186
Novell, Inc.*................................... 451,571 3,711,914
Oracle Corp.*................................... 241,327 3,520,961
Parametric Technology Corp.*.................... 209,055 3,123,282
Symantec Corp.*................................. 211,481 3,464,059
--------------
TOTAL SOFTWARE 43,566,681
--------------
SPECIALTY RETAIL 3.2%
AutoNation, Inc.*............................... 149,484 3,366,380
AutoZone, Inc.*................................. 33,757 3,159,993
Bed Bath & Beyond, Inc.*........................ 89,158 3,419,209
Best Buy Co., Inc. ............................. 57,676 3,267,922
Circuit City Stores, Inc. ...................... 128,242 3,686,958
Gap, Inc. ...................................... 180,076 3,257,575
</Table>
See Notes to Financial Statements.
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
34
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Home Depot, Inc. ............................... 76,413 $3,051,171
Limited Brands, Inc. ........................... 135,398 3,471,605
Lowe's Cos., Inc. .............................. 47,865 3,017,888
Office Depot, Inc.*............................. 88,461 3,589,747
OfficeMax, Inc. ................................ 110,481 4,275,615
RadioShack Corp. ............................... 173,193 2,944,281
Sherwin-Williams Co. ........................... 68,077 3,467,842
Staples, Inc. .................................. 130,696 3,451,681
TJX Cos, Inc. .................................. 128,504 3,100,802
Tiffany & Co. .................................. 83,854 2,925,666
--------------
TOTAL SPECIALTY RETAIL 53,454,335
--------------
TEXTILES, APPAREL & LUXURY GOODS 1.0%
Coach, Inc.*.................................... 92,339 3,049,034
Jones Apparel Group, Inc. ...................... 106,071 3,643,539
Liz Claiborne, Inc. ............................ 85,710 3,346,975
Nike, Inc. -- Class B........................... 38,392 3,142,001
VF Corp. ....................................... 58,814 3,598,829
--------------
TOTAL TEXTILES, APPAREL & LUXURY GOODS
16,780,378
--------------
THRIFTS & MORTGAGE FINANCE 1.4%
Countrywide Financial Corp. .................... 89,864 3,653,870
Federal Home Loan Mortgage Corp. ............... 50,998 3,113,938
Federal National Mortgage Association........... 61,410 3,107,346
Golden West Financial Corp. .................... 45,446 3,266,204
MGIC Investment Corp. .......................... 48,401 3,421,950
Sovereign Bancorp, Inc. ........................ 148,470 3,291,580
Washington Mutual, Inc. ........................ 74,596 3,361,296
--------------
TOTAL THRIFTS & MORTGAGE FINANCE
23,216,184
--------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
TOBACCO 0.6%
Altria Group, Inc. ............................. 44,591 $3,262,278
Reynolds American, Inc. ........................ 30,225 3,314,171
UST, Inc. ...................................... 80,807 3,549,851
--------------
TOTAL TOBACCO 10,126,300
--------------
TRADING COMPANIES & DISTRIBUTORS 0.2%
W.W. Grainger, Inc. ............................ 43,772 3,366,942
--------------
TOTAL TRADING COMPANIES & DISTRIBUTORS
3,366,942
--------------
WIRELESS TELECOMMUNICATION SERVICES 0.4%
ALLTEL Corp. ................................... 49,362 3,177,432
Sprint Nextel Corp. ............................ 127,732 3,167,754
--------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES
6,345,186
--------------
TOTAL COMMON STOCKS
(Cost $1,520,704,678) 1,647,062,212
--------------
SHORT TERM INVESTMENTS 0.0%(A)
Short-Term Investment Co. ...................... 1,000 1,000
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,000) 1,000
--------------
TOTAL INVESTMENTS 100.0%
(Cost $1,520,705,678) 1,647,063,212
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(A)
96,088
--------------
NET ASSETS--100.0% $1,647,159,300
- ------------------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
35 SEMI-ANNUAL REPORT
RYDEX RUSSELL TOP 50 ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS 100.1%
AEROSPACE & DEFENSE 1.2%
United Technologies Corp. ...................... 20,519 $1,288,798
------------
TOTAL AEROSPACE & DEFENSE 1,288,798
------------
AIR FREIGHT & LOGISTICS 0.9%
United Parcel Service, Inc. -- Class B.......... 12,303 997,404
------------
TOTAL AIR FREIGHT & LOGISTICS 997,404
------------
BEVERAGES 3.4%
Coca-Cola Co. (The)............................. 41,747 1,751,704
PepsiCo, Inc. .................................. 33,567 1,954,942
------------
TOTAL BEVERAGES 3,706,646
------------
BIOTECHNOLOGY 2.2%
Amgen, Inc.*.................................... 24,805 1,679,299
Genentech, Inc.*................................ 9,296 740,984
------------
TOTAL BIOTECHNOLOGY 2,420,283
------------
CAPITAL MARKETS 1.5%
Ameriprise Financial, Inc. ..................... 4,385 215,041
Morgan Stanley.................................. 21,961 1,412,092
------------
TOTAL CAPITAL MARKETS 1,627,133
------------
COMMERCIAL BANKS 4.9%
U.S. Bancorp.................................... 36,737 1,155,011
Wachovia Corp. ................................. 32,406 1,939,499
Wells Fargo & Co. .............................. 33,823 2,323,302
------------
TOTAL COMMERCIAL BANKS 5,417,812
------------
COMMUNICATIONS EQUIPMENT 4.0%
Cisco Systems, Inc.*............................ 129,569 2,714,471
QUALCOMM, Inc. ................................. 32,745 1,681,128
------------
TOTAL COMMUNICATIONS EQUIPMENT
4,395,599
------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMPUTERS & PERIPHERALS 5.2%
Dell, Inc.*..................................... 46,243 $1,211,567
Hewlett-Packard Co. ............................ 58,041 1,884,591
International Business Machines Corp. .......... 32,338 2,662,711
------------
TOTAL COMPUTERS & PERIPHERALS
5,758,869
------------
CONSUMER FINANCE 1.1%
American Express Co. ........................... 21,927 1,179,892
------------
TOTAL CONSUMER FINANCE 1,179,892
------------
DIVERSIFIED FINANCIAL SERVICES 11.8%
Bank of America Corp. .......................... 93,340 4,659,533
Citigroup, Inc. ................................ 104,277 5,208,636
JPMorgan Chase & Co. ........................... 70,532 3,200,742
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES
13,068,911
------------
DIVERSIFIED TELECOMMUNICATION SERVICES 3.6%
AT&T Corp. ..................................... 78,724 2,063,356
Verizon Communications, Inc. ................... 58,706 1,939,059
------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES
4,002,415
------------
FOOD & STAPLES RETAILING 2.1%
Wal-Mart Stores, Inc. .......................... 50,485 2,273,340
------------
TOTAL FOOD & STAPLES RETAILING
2,273,340
------------
FOOD PRODUCTS 0.1%
Kraft Foods, Inc. -- Class A.................... 5,019 156,794
------------
TOTAL FOOD PRODUCTS 156,794
------------
</Table>
See Notes to Financial Statements.
RYDEX RUSSELL TOP 50 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
36
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE EQUIPMENT & SUPPLIES 1.1%
Medtronic, Inc. ................................ 24,244 $1,215,109
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES
1,215,109
------------
HEALTH CARE PROVIDERS & SERVICES 1.2%
UnitedHealth Group, Inc. ....................... 27,301 1,357,952
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES
1,357,952
------------
HOUSEHOLD PRODUCTS 3.4%
Procter & Gamble Co. ........................... 64,043 3,727,943
------------
TOTAL HOUSEHOLD PRODUCTS 3,727,943
------------
INDUSTRIAL CONGLOMERATES 7.9%
3M Co. ......................................... 15,426 1,317,843
General Electric Co. ........................... 212,593 7,353,592
------------
TOTAL INDUSTRIAL CONGLOMERATES
8,671,435
------------
INSURANCE 2.7%
American International Group, Inc. ............. 45,996 3,001,239
------------
TOTAL INSURANCE 3,001,239
------------
INTERNET SOFTWARE & SERVICES 1.2%
Google, Inc. -- Class A*........................ 3,304 1,380,874
------------
TOTAL INTERNET SOFTWARE & SERVICES
1,380,874
------------
MEDIA 5.1%
CBS Corp. --
Class B....................................... 14,269 363,431
Comcast Corp. -- Class A*....................... 40,760 1,261,522
News Corp. -- Class A........................... 46,714 801,612
Time Warner, Inc. .............................. 91,952 1,599,965
Viacom, Inc. -- Class B*........................ 14,269 568,334
Walt Disney Co. ................................ 38,558 1,078,082
------------
TOTAL MEDIA 5,672,946
------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS 11.8%
Chevron Corp. .................................. 45,425 $2,771,833
ConocoPhillips.................................. 33,483 2,240,013
Exxon Mobil Corp. .............................. 127,600 8,049,008
------------
TOTAL OIL, GAS & CONSUMABLE FUELS
13,060,854
------------
PHARMACEUTICALS 11.3%
Abbott Laboratories............................. 31,083 1,328,487
Johnson & Johnson............................... 59,604 3,493,390
Eli Lilly & Co. ................................ 19,669 1,040,884
Merck & Co., Inc. .............................. 44,161 1,520,022
Pfizer, Inc. ................................... 149,040 3,775,183
Wyeth........................................... 26,830 1,305,816
------------
TOTAL PHARMACEUTICALS 12,463,782
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.1%
Intel Corp. .................................... 116,590 2,329,468
------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
2,329,468
------------
SOFTWARE 5.1%
Microsoft Corp. ................................ 185,602 4,482,288
Oracle Corp.*................................... 78,520 1,145,607
------------
TOTAL SOFTWARE 5,627,895
------------
SPECIALTY RETAIL 1.6%
Home Depot, Inc. ............................... 43,270 1,727,771
------------
TOTAL SPECIALTY RETAIL 1,727,771
------------
</Table>
See Notes to Financial Statements.
RYDEX RUSSELL TOP 50 ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
37 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
THRIFTS & MORTGAGE FINANCE 0.9%
Federal National Mortgage Association........... 19,401 $981,691
------------
TOTAL THRIFTS & MORTGAGE FINANCE
981,691
------------
TOBACCO 2.7%
Altria Group, Inc. ............................. 41,512 3,037,018
------------
TOTAL TOBACCO 3,037,018
------------
TOTAL COMMON STOCKS
(Cost $108,131,973) 110,549,873
------------
SHORT TERM INVESTMENTS 0.0%(A)
Short-Term Investment Co. ...................... 1,000 1,000
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,000) 1,000
------------
TOTAL INVESTMENTS 100.1%
(Cost $108,132,973) 110,550,873
------------
LIABILITIES IN EXCESS OF OTHER ASSETS--(0.1)%
(124,801)
------------
NET ASSETS--100.0% $110,426,072
- --------------------------------------------------------------------------
</Table>
(a) Amount represents less than 0.05% of net assets.
* Non-Income Producing Security.
See Notes to Financial Statements.
38
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS 99.7%
AEROSPACE & DEFENSE 1.9%
Northrop Grumman Corp. ......................... 511 $34,186
Raytheon Co. ................................... 424 18,770
United Technologies Corp. ...................... 553 34,734
----------
TOTAL AEROSPACE & DEFENSE 87,690
----------
AUTO COMPONENTS 1.7%
Cooper Tire & Rubber Co. ....................... 3,139 39,865
Johnson Controls, Inc. ......................... 510 41,591
----------
TOTAL AUTO COMPONENTS 81,456
----------
AUTOMOBILES 2.3%
Ford Motor Co. ................................. 7,720 53,654
General Motors Corp. ........................... 2,360 53,997
----------
TOTAL AUTOMOBILES 107,651
----------
BEVERAGES 2.2%
Coca-Cola Enterprises, Inc. .................... 1,758 34,334
Constellation Brands, Inc. -- Class A*.......... 732 18,080
Molson Coors Brewing Co. -- Class B............. 650 48,009
----------
TOTAL BEVERAGES 100,423
----------
BUILDING PRODUCTS 0.3%
Masco Corp. .................................... 430 13,717
----------
TOTAL BUILDING PRODUCTS 13,717
----------
CAPITAL MARKETS 0.7%
Bear Stearns Cos., Inc. ........................ 106 15,106
Morgan Stanley.................................. 255 16,397
----------
TOTAL CAPITAL MARKETS 31,503
----------
CHEMICALS 3.3%
Ashland, Inc. .................................. 668 43,968
Dow Chemical Co (The)........................... 295 11,980
Du Pont (E.I.) de Nemours & Co. ................ 381 16,802
Eastman Chemical Co. ........................... 631 34,295
Engelhard Corp. ................................ 376 14,442
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
PPG Industries, Inc. ........................... 209 $14,028
Rohm & Haas Co. ................................ 324 16,394
----------
TOTAL CHEMICALS 151,909
----------
COMMERCIAL BANKS 6.1%
AmSouth Bancorporation.......................... 601 17,393
BB&T Corp. ..................................... 404 17,348
Comerica, Inc. ................................. 206 11,715
First Horizon National Corp. ................... 784 33,257
Huntington Bancshares, Inc. .................... 983 23,740
KeyCorp......................................... 663 25,340
National City Corp. ............................ 660 24,354
North Fork Bancorporation, Inc. ................ 771 23,230
PNC Financial Services Group, Inc. ............. 264 18,868
Regions Financial Corp. ........................ 672 24,535
SunTrust Banks, Inc. ........................... 289 22,348
U.S. Bancorp.................................... 389 12,230
Wachovia Corp. ................................. 239 14,304
Wells Fargo & Co. .............................. 217 14,906
----------
TOTAL COMMERCIAL BANKS 283,568
----------
COMMERCIAL SERVICES & SUPPLIES 2.5%
Allied Waste Industries, Inc.*.................. 5,408 76,577
Avery Dennison Corp. ........................... 231 14,438
R.R. Donnelley & Sons Co. ...................... 706 23,785
----------
TOTAL COMMERCIAL SERVICES & SUPPLIES
114,800
----------
COMMUNICATIONS EQUIPMENT 0.3%
Andrew Corp.*................................... 1,260 13,331
----------
TOTAL COMMUNICATIONS EQUIPMENT
13,331
----------
CONTAINERS & PACKAGING 1.1%
Bemis Co. ...................................... 860 27,056
Temple-Inland, Inc. ............................ 541 25,124
----------
TOTAL CONTAINERS & PACKAGING 52,180
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
39 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED FINANCIAL SERVICES 2.0%
CIT Group, Inc. ................................ 386 $20,848
Citigroup, Inc. ................................ 523 26,124
JPMorgan Chase & Co. ........................... 976 44,291
----------
TOTAL DIVERSIFIED FINANCIAL SERVICES
91,263
----------
DIVERSIFIED TELECOMMUNICATION SERVICES 4.3%
AT&T Corp. ..................................... 1,455 38,136
BellSouth Corp. ................................ 1,094 36,955
CenturyTel, Inc. ............................... 573 21,602
Citizens Communications Co. .................... 2,309 30,664
Qwest Communications International, Inc.*....... 4,304 28,880
Verizon Communications, Inc. ................... 1,372 45,317
----------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES
201,554
----------
ELECTRIC UTILITIES 4.9%
American Electric Power Co., Inc. .............. 850 28,441
Entergy Corp. .................................. 314 21,961
FPL Group, Inc. ................................ 412 16,315
FirstEnergy Corp. .............................. 371 18,814
PPL Corp. ...................................... 1,443 41,905
Pinnacle West Capital Corp. .................... 773 30,997
Progress Energy, Inc. .......................... 1,143 48,920
Southern Co. ................................... 572 18,436
----------
TOTAL ELECTRIC UTILITIES 225,789
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.7%
Sanmina-SCI Corp.*.............................. 8,859 45,978
Solectron Corp.*................................ 7,730 30,920
----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
76,898
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES 0.8%
Duke Energy Corp. .............................. 1,295 $37,710
----------
TOTAL ENERGY EQUIPMENT & SERVICES
37,710
----------
FOOD & STAPLES RETAILING 4.2%
Albertson's, Inc. .............................. 2,376 60,184
CVS Corp. ...................................... 994 29,542
Costco Wholesale Corp. ......................... 438 23,840
Safeway, Inc. .................................. 1,397 35,106
SUPERVALU, Inc. ................................ 1,670 48,447
----------
TOTAL FOOD & STAPLES RETAILING 197,119
----------
FOOD PRODUCTS 2.4%
Archer-Daniels-Midland Co. ..................... 1,283 46,624
ConAgra Foods, Inc. ............................ 1,269 28,781
Tyson Foods, Inc. -- Class A.................... 2,647 38,646
----------
TOTAL FOOD PRODUCTS 114,051
----------
GAS UTILITIES 1.7%
Nicor, Inc. .................................... 907 35,926
Peoples Energy Corp. ........................... 1,157 42,034
----------
TOTAL GAS UTILITIES 77,960
----------
HEALTH CARE PROVIDERS & SERVICES 1.1%
McKesson Corp. ................................. 260 12,634
Tenet Healthcare Corp.*......................... 1,788 14,876
WellPoint, Inc.*................................ 362 25,702
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES
53,212
----------
HOUSEHOLD DURABLES 2.9%
Leggett & Platt, Inc. .......................... 795 21,091
Newell Rubbermaid, Inc. ........................ 800 21,936
Pulte Homes, Inc. .............................. 870 32,495
Snap-On, Inc. .................................. 523 21,705
Whirlpool Corp. ................................ 443 39,759
----------
TOTAL HOUSEHOLD DURABLES 136,986
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
40
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 1.4%
Constellation Energy Group, Inc. ............... 358 $19,661
Dynegy, Inc. -- Class A*........................ 8,815 43,811
----------
TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
63,472
----------
INDUSTRIAL CONGLOMERATES 0.3%
Textron, Inc. .................................. 137 12,323
----------
TOTAL INDUSTRIAL CONGLOMERATES 12,323
----------
INSURANCE 8.6%
ACE Ltd. ....................................... 900 49,986
Allstate Corp................................... 410 23,161
Aon Corp. ...................................... 521 21,835
Chubb Corp. .................................... 722 37,212
Genworth Financial, Inc. -- Class A............. 918 30,478
Hartford Financial Services Group, Inc. ........ 215 19,765
Lincoln National Corp. ......................... 429 24,916
Loews Corp. .................................... 191 20,275
MetLife, Inc. .................................. 518 26,988
SAFECO Corp. ................................... 397 20,604
St. Paul Travelers Cos., Inc. .................. 757 33,331
UnumProvident Corp. ............................ 2,204 44,763
XL Capital Ltd. -- Class A...................... 705 46,452
----------
TOTAL INSURANCE 399,766
----------
IT SERVICES 3.3%
Computer Sciences Corp.*........................ 796 46,606
Electronic Data Systems Corp. .................. 1,536 41,595
Sabre Holdings Corp. ........................... 1,009 23,298
Unisys Corp.*................................... 6,422 40,073
----------
TOTAL IT SERVICES 151,572
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS 1.0%
Brunswick Corp. ................................ 258 $10,119
Eastman Kodak Co. .............................. 1,334 35,964
----------
TOTAL LEISURE EQUIPMENT & PRODUCTS
46,083
----------
MACHINERY 2.8%
Caterpillar, Inc. .............................. 379 28,705
Cummins, Inc. .................................. 230 24,035
Deere & Co. .................................... 361 31,689
Ingersoll-Rand Co., Ltd. -- Class A............. 817 35,744
Navistar International Corp.*................... 376 9,919
----------
TOTAL MACHINERY 130,092
----------
METALS & MINING 3.2%
Alcoa, Inc. .................................... 779 26,315
Nucor Corp. .................................... 181 19,696
Phelps Dodge Corp. ............................. 225 19,393
United States Steel Corp. ...................... 1,215 83,227
----------
TOTAL METALS & MINING 148,631
----------
MULTI-UTILITIES 8.0%
Ameren Corp. ................................... 527 26,545
CMS Energy Corp.*............................... 2,419 32,221
CenterPoint Energy, Inc. ....................... 1,952 23,463
Consolidated Edison, Inc. ...................... 810 34,927
DTE Energy Co. ................................. 851 34,704
Dominion Resources, Inc. ....................... 204 15,273
KeySpan Corp. .................................. 1,261 50,919
NiSource, Inc. ................................. 1,846 38,969
PG&E Corp. ..................................... 740 29,482
Public Service Enterprise Group, Inc. .......... 220 13,794
Sempra Energy................................... 479 22,044
TECO Energy, Inc. .............................. 581 9,284
Xcel Energy, Inc. .............................. 2,031 38,264
----------
TOTAL MULTI-UTILITIES 369,889
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
41 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL 3.5%
Big Lots, Inc.*................................. 3,367 $48,653
Dillard's, Inc. -- Class A...................... 2,930 76,414
Federated Department Stores, Inc. .............. 307 23,900
Nordstrom, Inc. ................................ 312 11,959
----------
TOTAL MULTILINE RETAIL 160,926
----------
OIL, GAS & CONSUMABLE FUELS 3.4%
ConocoPhillips.................................. 941 62,953
El Paso Corp. .................................. 1,814 23,419
Marathon Oil Corp. ............................. 393 31,188
Sunoco, Inc. ................................... 522 42,303
----------
TOTAL OIL, GAS & CONSUMABLE FUELS
159,863
----------
PAPER & FOREST PRODUCTS 3.6%
International Paper Co. ........................ 1,339 48,672
Louisiana-Pacific Corp. ........................ 1,348 37,178
MeadWestvaco Corp. ............................. 1,390 39,629
Weyerhaeuser Co. ............................... 593 41,789
----------
TOTAL PAPER & FOREST PRODUCTS 167,268
----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 2.2%
Apartment Investment & Management Co. -- Class
A............................................. 705 31,506
Archstone-Smith Trust........................... 246 12,025
Equity Office Properties Trust.................. 883 28,521
Equity Residential Properties Trust............. 255 11,442
Kimco Realty Corp. ............................. 568 21,090
----------
TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS)
104,584
----------
ROAD & RAIL 3.0%
CSX Corp. ...................................... 378 25,889
Ryder System, Inc. ............................. 1,658 86,465
Union Pacific Corp. ............................ 315 28,731
----------
TOTAL ROAD & RAIL 141,085
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.7%
Micron Technology, Inc.*........................ 1,819 $30,868
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
30,868
----------
SPECIALTY RETAIL 4.0%
AutoNation, Inc.*............................... 1,821 41,009
Circuit City Stores, Inc. ...................... 1,952 56,120
Limited Brands, Inc. ........................... 1,039 26,640
OfficeMax, Inc. ................................ 1,629 63,042
----------
TOTAL SPECIALTY RETAIL 186,811
----------
TEXTILES, APPAREL & LUXURY GOODS 0.9%
Jones Apparel Group, Inc. ...................... 1,247 42,834
----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS
42,834
----------
THRIFTS & MORTGAGE FINANCE 0.7%
Washington Mutual, Inc. ........................ 744 33,525
----------
TOTAL THRIFTS & MORTGAGE FINANCE
33,525
----------
TOBACCO 0.7%
Reynolds American, Inc. ........................ 318 34,869
----------
TOTAL TOBACCO 34,869
----------
TOTAL COMMON STOCKS
(Cost $4,473,843) 4,635,231
----------
SHORT TERM INVESTMENTS 0.2%
Short-Term Investment Co. ...................... 9,176 9,176
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $9,176) 9,176
----------
TOTAL INVESTMENTS 99.9%
(Cost $4,483,019) 4,644,407
----------
OTHER ASSETS IN EXCESS OF LIABILITIES--0.1%
5,884
----------
NET ASSETS--100.0% $4,650,291
- -----------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
See Notes to Financial Statements.
42
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 1.2%
General Dynamics Corp. ......................... 608 $39,897
L-3 Communications Holdings, Inc. .............. 550 44,935
----------
TOTAL AEROSPACE & DEFENSE 84,832
----------
AUTO COMPONENTS 0.7%
Goodyear Tire & Rubber Co.*..................... 3,597 50,358
----------
TOTAL AUTO COMPONENTS 50,358
----------
AUTOMOBILES 1.0%
Harley-Davidson, Inc. .......................... 1,289 65,533
----------
TOTAL AUTOMOBILES 65,533
----------
BEVERAGES 1.1%
Anheuser-Busch Cos., Inc. ...................... 1,229 54,789
PepsiCo, Inc. .................................. 331 19,277
----------
TOTAL BEVERAGES 74,066
----------
BIOTECHNOLOGY 1.1%
Amgen, Inc.*.................................... 290 19,633
Gilead Sciences, Inc.*.......................... 611 35,132
Medimmune, Inc.*................................ 649 20,424
----------
TOTAL BIOTECHNOLOGY 75,189
----------
CAPITAL MARKETS 1.7%
Federated Investors, Inc. -- Class B............ 1,907 66,936
Janus Capital Group, Inc. ...................... 1,537 29,910
Legg Mason, Inc. ............................... 163 19,312
----------
TOTAL CAPITAL MARKETS 116,158
----------
CHEMICALS 1.0%
Ecolab, Inc. ................................... 1,093 41,315
Sigma-Aldrich Corp. ............................ 420 28,816
----------
TOTAL CHEMICALS 70,131
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES 1.5%
Cendant Corp. .................................. 3,505 $61,092
Cintas Corp. ................................... 464 19,479
Equifax, Inc. .................................. 545 21,004
----------
TOTAL COMMERCIAL SERVICES & SUPPLIES
101,575
----------
COMMUNICATIONS EQUIPMENT 0.2%
Cisco Systems, Inc.*............................ 809 16,948
----------
TOTAL COMMUNICATIONS EQUIPMENT
16,948
----------
COMPUTERS & PERIPHERALS 4.3%
Dell, Inc.*..................................... 2,003 52,479
International Business Machines Corp. .......... 279 22,973
Lexmark International, Inc. -- Class A*......... 910 44,317
Network Appliance, Inc.*........................ 1,497 55,494
QLogic Corp.*................................... 3,142 65,385
SanDisk Corp.*.................................. 827 52,787
----------
TOTAL COMPUTERS & PERIPHERALS 293,435
----------
CONSUMER FINANCE 2.3%
American Express Co. ........................... 305 16,412
Capital One Financial Corp. .................... 901 78,062
SLM Corp. ...................................... 1,218 64,408
----------
TOTAL CONSUMER FINANCE 158,882
----------
CONTAINERS & PACKAGING 1.0%
Ball Corp. ..................................... 1,654 66,127
----------
TOTAL CONTAINERS & PACKAGING 66,127
----------
DIVERSIFIED CONSUMER SERVICES 2.0%
Apollo Group, Inc. -- Class A*.................. 1,357 74,147
H&R Block, Inc. ................................ 2,746 62,691
----------
TOTAL DIVERSIFIED CONSUMER SERVICES
136,838
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
43 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.3%
Jabil Circuit, Inc.*............................ 597 $23,277
----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
23,277
----------
ENERGY EQUIPMENT & SERVICES 0.7%
BJ Services Co. ................................ 901 34,283
Nabors Industries Ltd.*......................... 429 16,015
----------
TOTAL ENERGY EQUIPMENT & SERVICES
50,298
----------
FOOD & STAPLES RETAILING 1.8%
Sysco Corp. .................................... 1,205 36,017
Wal-Mart Stores, Inc. .......................... 763 34,358
Walgreen Co. ................................... 774 32,454
Whole Foods Market, Inc. ....................... 388 23,815
----------
TOTAL FOOD & STAPLES RETAILING 126,644
----------
FOOD PRODUCTS 2.7%
Campbell Soup Co. .............................. 1,315 42,264
General Mills, Inc. ............................ 1,132 55,853
Kellogg Co. .................................... 743 34,408
McCormick & Co, Inc. ........................... 819 28,526
Wm. Wrigley Jr. Co.............................. 389 18,322
Wm. Wrigley Jr. Co.* -- Class B................. 58 2,732
----------
TOTAL FOOD PRODUCTS 182,105
----------
HEALTH CARE EQUIPMENT & SUPPLIES 5.2%
Becton Dickinson & Co. ......................... 326 20,551
Biomet, Inc. ................................... 1,202 44,690
Boston Scientific Corp.*........................ 1,344 31,235
Hospira, Inc.*.................................. 1,571 60,562
Medtronic, Inc. ................................ 677 33,931
St Jude Medical, Inc.*.......................... 866 34,190
Stryker Corp. .................................. 1,463 64,006
Zimmer Holdings, Inc.*.......................... 1,087 68,372
----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES
357,537
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES 9.3%
AmerisourceBergen Corp. ........................ 1,789 $77,196
Cardinal Health, Inc. .......................... 676 45,529
Caremark Rx, Inc.*.............................. 1,109 50,515
Coventry Health Care, Inc.*..................... 1,264 62,783
Express Scripts, Inc.*.......................... 1,088 85,016
Health Management Associates, Inc. -- Class A... 1,779 36,843
Humana, Inc.*................................... 1,045 47,213
Laboratory Corp. of America Holdings*........... 302 17,244
Manor Care, Inc. ............................... 1,408 61,741
Patterson Cos., Inc.*........................... 1,183 38,542
Quest Diagnostics, Inc. ........................ 847 47,203
UnitedHealth Group, Inc. ....................... 1,361 67,696
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES
637,521
----------
HEALTH CARE TECHNOLOGY 0.7%
IMS Health, Inc. ............................... 1,854 50,392
----------
TOTAL HEALTH CARE TECHNOLOGY 50,392
----------
HOTELS RESTAURANTS & LEISURE 5.1%
Darden Restaurants, Inc. ....................... 1,077 42,649
International Game Technology, Inc. ............ 3,551 134,690
Starbucks Corp.*................................ 2,111 78,677
Starwood Hotels & Resorts Worldwide, Inc. ...... 413 23,698
Wendy's International, Inc. .................... 508 31,384
Yum! Brands, Inc. .............................. 750 38,760
----------
TOTAL HOTELS RESTAURANTS & LEISURE
349,858
----------
HOUSEHOLD DURABLES 5.1%
Black & Decker Corp. ........................... 950 88,930
Centex Corp. ................................... 895 49,762
D.R. Horton, Inc. .............................. 1,993 59,830
Fortune Brands, Inc. ........................... 648 52,034
</Table>
See Notes to Financial Statements.
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
44
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Harman International Industries, Inc. .......... 358 $31,500
Lennar Corp. -- Class A......................... 1,276 70,091
----------
TOTAL HOUSEHOLD DURABLES 352,147
----------
HOUSEHOLD PRODUCTS 1.9%
Clorox Co. ..................................... 859 55,131
Colgate-Palmolive Co. .......................... 897 53,031
Procter & Gamble Co. ........................... 402 23,400
----------
TOTAL HOUSEHOLD PRODUCTS 131,562
----------
INSURANCE 1.5%
Ambac Financial Group, Inc. .................... 526 43,321
Progressive Corp. .............................. 547 59,366
----------
TOTAL INSURANCE 102,687
----------
INTERNET & CATALOG RETAIL 1.1%
Amazon.Com, Inc.*............................... 2,203 77,568
----------
TOTAL INTERNET & CATALOG RETAIL 77,568
----------
INTERNET SOFTWARE & SERVICES 4.0%
eBay, Inc.*..................................... 2,046 70,403
Google, Inc. -- Class A*........................ 281 117,441
VeriSign, Inc.*................................. 1,161 27,307
Yahoo!, Inc.*................................... 1,795 58,840
----------
TOTAL INTERNET SOFTWARE & SERVICES
273,991
----------
IT SERVICES 2.1%
Affiliated Computer Services, Inc. -- Class
A*............................................ 777 43,325
First Data Corp. ............................... 1,211 57,753
Fiserv, Inc.*................................... 896 40,392
----------
TOTAL IT SERVICES 141,470
----------
LIFE SCIENCES TOOLS & SERVICES 2.4%
Fisher Scientific International, Inc.*.......... 1,241 87,553
Millipore Corp.*................................ 308 22,724
Waters Corp.*................................... 1,137 51,529
----------
TOTAL LIFE SCIENCES TOOLS & SERVICES
161,806
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
MACHINERY 0.9%
Danaher Corp. .................................. 431 $27,631
ITT Industries, Inc. ........................... 599 33,682
----------
TOTAL MACHINERY 61,313
----------
MEDIA 2.1%
Clear Channel Communications, Inc. ............. 1,308 37,317
Dow Jones & Co., Inc. .......................... 932 34,456
Omnicom Group, Inc. ............................ 473 42,575
Univision Communications, Inc. -- Class A*...... 780 27,838
----------
TOTAL MEDIA 142,186
----------
MULTILINE RETAIL 1.6%
Kohl's Corp.*................................... 1,017 56,789
Sears Holdings Corp.*........................... 213 30,606
Target Corp. ................................... 401 21,293
----------
TOTAL MULTILINE RETAIL 108,688
----------
OIL, GAS & CONSUMABLE FUELS 7.4%
Anadarko Petroleum Corp. ....................... 665 69,705
Apache Corp. ................................... 926 65,783
Chesapeake Energy Corp. ........................ 1,720 54,490
Devon Energy Corp. ............................. 1,374 82,591
EOG Resources, Inc. ............................ 733 51,479
Hugoton Royalty Trust........................... 152 4,214
Valero Energy Corp. ............................ 1,099 71,149
XTO Energy, Inc. ............................... 2,557 108,290
----------
TOTAL OIL, GAS & CONSUMABLE FUELS
507,701
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
45 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PHARMACEUTICALS 5.5%
Barr Pharmaceuticals, Inc.*..................... 1,015 $61,458
Forest Laboratories, Inc.*...................... 2,077 83,869
Johnson & Johnson............................... 411 24,089
King Pharmaceuticals, Inc.*..................... 3,123 54,309
Eli Lilly & Co. ................................ 334 17,675
Mylan Laboratories, Inc. ....................... 1,747 38,155
Pfizer, Inc. ................................... 1,197 30,320
Schering-Plough Corp. .......................... 1,619 31,279
Watson Pharmaceuticals, Inc.*................... 586 16,666
Wyeth........................................... 426 20,734
----------
TOTAL PHARMACEUTICALS 378,554
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.8%
Broadcom Corp. -- Class A*...................... 446 18,335
Maxim Integrated Products, Inc. ................ 594 20,944
NVIDIA Corp.*................................... 5,253 153,493
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
192,772
----------
SOFTWARE 4.2%
Adobe Systems, Inc.*............................ 1,872 73,382
Citrix Systems, Inc.*........................... 1,441 57,525
Electronic Arts, Inc.*.......................... 771 43,793
Intuit, Inc.*................................... 384 20,801
Microsoft Corp. ................................ 903 21,807
Oracle Corp.*................................... 3,144 45,871
Symantec Corp.*................................. 1,596 26,143
----------
TOTAL SOFTWARE 289,322
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
SPECIALTY RETAIL 6.4%
AutoZone, Inc.*................................. 932 $87,245
Bed Bath & Beyond, Inc.*........................ 1,841 70,602
Best Buy Co., Inc. ............................. 1,213 68,729
Home Depot, Inc. ............................... 968 38,652
Lowe's Cos., Inc. .............................. 699 44,072
RadioShack Corp. ............................... 1,599 27,183
TJX Cos, Inc. .................................. 3,325 80,232
Tiffany & Co. .................................. 601 20,969
----------
TOTAL SPECIALTY RETAIL 437,684
----------
TEXTILES, APPAREL & LUXURY GOODS 2.0%
Coach, Inc.*.................................... 2,494 82,352
Liz Claiborne, Inc. ............................ 867 33,856
Nike, Inc. -- Class B........................... 238 19,478
----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS
135,686
----------
THRIFTS & MORTGAGE FINANCE 3.4%
Countrywide Financial Corp. .................... 2,184 88,801
Federal Home Loan Mortgage Corp. ............... 1,076 65,701
Golden West Financial Corp. .................... 438 31,479
MGIC Investment Corp. .......................... 658 46,521
----------
TOTAL THRIFTS & MORTGAGE FINANCE
232,502
----------
TOBACCO 0.6%
UST, Inc. ...................................... 946 41,558
----------
TOTAL TOBACCO 41,558
----------
TOTAL COMMON STOCKS
(Cost $6,899,050) 6,856,901
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
46
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
SHORT TERM INVESTMENTS 0.2%
Short-Term Investment Co. ...................... 12,023 $12,023
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $12,023) 12,023
----------
TOTAL INVESTMENTS 100.0%
(Cost $6,911,073) 6,868,924
----------
LIABILITIES IN EXCESS OF OTHER ASSETS--(0.1)%(A)
(3,807)
----------
NET ASSETS--100.0% $6,865,117
- -----------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
47 SEMI-ANNUAL REPORT
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS 99.7%
AEROSPACE & DEFENSE 1.5%
Sequa Corp. -- Class A*......................... 846 $71,910
----------
TOTAL AEROSPACE & DEFENSE......................... 71,910
----------
AIRLINES 1.7%
Alaska Air Group, Inc.*......................... 2,133 80,969
----------
TOTAL AIRLINES 80,969
----------
AUTO COMPONENTS 4.8%
ArvinMeritor, Inc. ............................. 5,502 91,498
Bandag, Inc. ................................... 879 35,266
BorgWarner, Inc. ............................... 312 18,948
Lear Corp. ..................................... 2,874 67,769
Modine Manufacturing Co. ....................... 639 18,537
----------
TOTAL AUTO COMPONENTS 232,018
----------
CHEMICALS 5.3%
Albemarle Corp. ................................ 471 22,523
Cabot Corp. .................................... 861 30,996
Chemtura Corp. ................................. 1,296 15,811
Ferro Corp. .................................... 2,499 48,181
Lubrizol Corp. ................................. 888 38,726
Lyondell Chemical Co. .......................... 708 17,063
RPM International, Inc. ........................ 1,464 26,937
Sensient Technologies Corp. .................... 2,685 55,177
----------
TOTAL CHEMICALS 255,414
----------
COMMERCIAL BANKS 0.3%
FirstMerit Corp. ............................... 507 12,467
----------
TOTAL COMMERCIAL BANKS 12,467
----------
COMMERCIAL SERVICES & SUPPLIES 2.9%
Banta Corp. .................................... 363 18,360
Brink's Co (The)................................ 486 24,689
Kelly Services, Inc. ........................... 1,533 42,418
Manpower, Inc. ................................. 846 55,117
----------
TOTAL COMMERCIAL SERVICES & SUPPLIES
140,584
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
CONTAINERS & PACKAGING 1.5%
Packaging Corp. of America...................... 1,611 $36,215
Sonoco Products Co. ............................ 1,062 33,262
----------
TOTAL CONTAINERS & PACKAGING 69,477
----------
ELECTRIC UTILITIES 9.5%
Duquesne Light Holdings, Inc. .................. 2,343 39,761
Great Plains Energy, Inc. ...................... 1,854 52,376
Hawaiian Electric Industries, Inc. ............. 1,527 41,030
Idacorp, Inc. .................................. 1,668 56,795
Northeast Utilities............................. 4,980 100,347
Pepco Holdings, Inc. ........................... 3,726 85,996
Sierra Pacific Resources*....................... 2,868 40,496
Westar Energy, Inc. ............................ 1,917 40,142
----------
TOTAL ELECTRIC UTILITIES 456,943
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 4.6%
Arrow Electronics, Inc.*........................ 1,125 40,725
Avnet, Inc.*.................................... 1,596 41,736
Ingram Micro, Inc. -- Class A*.................. 2,352 43,253
Tech Data Corp.*................................ 1,515 55,631
Vishay Intertechnology, Inc.*................... 2,610 40,768
----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
222,113
----------
FOOD & STAPLES RETAILING 1.9%
BJ's Wholesale Club, Inc.*...................... 1,314 40,235
Ruddick Corp. .................................. 2,214 51,387
----------
TOTAL FOOD & STAPLES RETAILING 91,622
----------
FOOD PRODUCTS 1.0%
Smithfield Foods, Inc.*......................... 1,803 48,501
----------
TOTAL FOOD PRODUCTS 48,501
----------
GAS UTILITIES 3.3%
AGL Resources, Inc. ............................ 732 25,898
National Fuel Gas Co. .......................... 1,311 43,591
</Table>
See Notes to Financial Statements.
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
48
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Oneok, Inc. .................................... 1,404 $46,346
WGL Holdings, Inc. ............................. 1,500 44,130
----------
TOTAL GAS UTILITIES 159,965
----------
HEALTH CARE PROVIDERS & SERVICES 0.7%
Triad Hospitals, Inc.*.......................... 795 32,754
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES
32,754
----------
HOTELS RESTAURANTS & LEISURE 1.7%
Bob Evans Farms, Inc. .......................... 2,061 59,521
CBRL Group, Inc. ............................... 573 23,327
----------
TOTAL HOTELS RESTAURANTS & LEISURE
82,848
----------
HOUSEHOLD DURABLES 3.1%
American Greetings Corp. -- Class A............. 666 14,998
Blyth, Inc. .................................... 1,428 29,346
Furniture Brands International, Inc. ........... 3,999 91,977
Tupperware Brands Corp. ........................ 588 12,407
----------
TOTAL HOUSEHOLD DURABLES 148,728
----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.6%
Black Hills Corp. .............................. 753 27,409
----------
TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
27,409
----------
INSURANCE 10.4%
American Financial Group Inc/OH................. 1,905 84,353
AmerUs Group Co. ............................... 456 26,744
First American Corp. ........................... 1,020 43,452
HCC Insurance Holdings, Inc. ................... 1,518 50,838
Hanover Insurance Group Inc (The)............... 624 33,010
Horace Mann Educators Corp. .................... 1,776 30,920
Mercury General Corp. .......................... 477 25,457
Ohio Casualty Corp. ............................ 1,269 37,626
Old Republic International Corp. ............... 2,334 51,932
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
Protective Life Corp. .......................... 1,053 $53,071
Stancorp Financial Group, Inc. ................. 618 30,492
Unitrin, Inc. .................................. 663 32,388
----------
TOTAL INSURANCE 500,283
----------
LEISURE EQUIPMENT & PRODUCTS 0.3%
Callaway Golf Co. .............................. 972 15,533
----------
TOTAL LEISURE EQUIPMENT & PRODUCTS
15,533
----------
MACHINERY 6.2%
AGCO Corp.*..................................... 2,820 66,750
Harsco Corp. ................................... 231 19,254
Kennametal, Inc. ............................... 498 30,801
SPX Corp. ...................................... 711 38,927
Tecumseh Products Co. -- Class A................ 4,080 93,636
Timken Co. ..................................... 1,368 47,743
----------
TOTAL MACHINERY 297,111
----------
MEDIA 0.6%
Media General, Inc. -- Class A.................. 360 14,789
Scholastic Corp.*............................... 570 15,128
----------
TOTAL MEDIA 29,917
----------
METALS & MINING 2.7%
Steel Dynamics, Inc. ........................... 1,185 73,991
Worthington Industries.......................... 2,949 58,243
----------
TOTAL METALS & MINING 132,234
----------
MULTI-UTILITIES 10.8%
Alliant Energy Corp. ........................... 1,911 61,076
Energy East Corp. .............................. 2,370 57,259
MDU Resources Group, Inc. ...................... 411 15,104
NSTAR........................................... 3,102 85,770
OGE Energy Corp. ............................... 2,082 62,793
PNM Resources, Inc. ............................ 1,302 32,954
Puget Energy, Inc. ............................. 2,889 60,004
SCANA Corp. .................................... 870 34,052
Vectren Corp. .................................. 1,350 36,072
</Table>
See Notes to Financial Statements.
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
49 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
WPS Resources Corp. ............................ 981 $49,040
Wisconsin Energy Corp. ......................... 663 25,890
----------
TOTAL MULTI-UTILITIES 520,014
----------
MULTILINE RETAIL 0.9%
Saks, Inc.*..................................... 2,190 44,107
----------
TOTAL MULTILINE RETAIL 44,107
----------
OIL, GAS & CONSUMABLE FUELS 0.3%
Forest Oil Corp.*............................... 445 16,274
----------
TOTAL OIL, GAS & CONSUMABLE FUELS
16,274
----------
PAPER & FOREST PRODUCTS 2.8%
Bowater, Inc. .................................. 1,887 51,459
Glatfelter...................................... 2,157 40,379
Potlatch Corp. ................................. 516 20,093
Rayonier, Inc. ................................. 489 20,127
----------
TOTAL PAPER & FOREST PRODUCTS 132,058
----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 4.1%
AMB Property Corp. ............................. 279 13,947
Highwoods Properties, Inc. ..................... 1,266 39,930
Hospitality Properties Trust.................... 669 28,834
Liberty Property Trust.......................... 561 25,077
Mack-Cali Realty Corp. ......................... 705 31,880
New Plan Excel Realty Trust..................... 1,572 38,750
United Dominion Realty Trust, Inc. ............. 645 17,537
----------
TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS)
195,955
----------
ROAD & RAIL 4.6%
JB Hunt Transport Services, Inc. ............... 2,907 69,274
Swift Transportation Co, Inc.*.................. 2,202 65,950
Werner Enterprises, Inc. ....................... 1,725 33,085
YRC Worldwide, Inc.*............................ 1,311 55,062
----------
TOTAL ROAD & RAIL 223,371
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.0%
Atmel Corp.*.................................... 27,315 $143,131
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
143,131
----------
SOFTWARE 0.5%
Mentor Graphics Corp.*.......................... 1,884 24,737
----------
TOTAL SOFTWARE 24,737
----------
SPECIALTY RETAIL 3.3%
Borders Group, Inc. ............................ 2,349 55,436
Foot Locker, Inc. .............................. 1,566 36,300
Payless Shoesource, Inc.*....................... 834 19,157
Pier 1 Imports, Inc. ........................... 4,029 48,630
----------
TOTAL SPECIALTY RETAIL 159,523
----------
THRIFTS & MORTGAGE FINANCE 1.6%
New York Community Bancorp, Inc. ............... 2,724 46,880
Washington Federal, Inc. ....................... 648 15,500
Webster Financial Corp. ........................ 339 15,916
----------
TOTAL THRIFTS & MORTGAGE FINANCE
78,296
----------
TOBACCO 1.5%
Universal Corp/ Richmond VA..................... 1,950 74,236
----------
TOTAL TOBACCO 74,236
----------
TRADING COMPANIES & DISTRIBUTORS 0.4%
GATX Corp. ..................................... 363 16,988
----------
TOTAL TRADING COMPANIES & DISTRIBUTORS
16,988
----------
WIRELESS TELECOMMUNICATION SERVICES 1.3%
Telephone & Data Systems, Inc. ................. 1,599 62,681
----------
TOTAL WIRELESS TELECOMMUNICATION SERVICES
62,681
----------
TOTAL COMMON STOCKS
(Cost $4,728,916) 4,800,171
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
50
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
SHORT TERM INVESTMENTS 0.2%
Short-Term Investment Co. ...................... 9,954 $9,954
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $9,954) 9,954
----------
TOTAL INVESTMENTS 99.9%
(Cost $4,738,870) 4,810,125
----------
OTHER ASSETS IN EXCESS OF LIABILITIES--0.1%
4,187
----------
NET ASSETS--100.0% $4,814,312
- -----------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
See Notes to Financial Statements.
51 SEMI-ANNUAL REPORT
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS 100.0%
AEROSPACE & DEFENSE 1.3%
Alliant Techsystems, Inc.*...................... 1,300 $103,987
----------
TOTAL AEROSPACE & DEFENSE 103,987
----------
AIR FREIGHT & LOGISTICS 2.2%
CH Robinson Worldwide, Inc. .................... 1,545 68,521
Expeditors International Washington, Inc. ...... 1,215 104,016
----------
TOTAL AIR FREIGHT & LOGISTICS 172,537
----------
AIRLINES 2.8%
Airtran Holdings, Inc.*......................... 8,825 123,373
JetBlue Airways Corp.*.......................... 9,339 95,818
----------
TOTAL AIRLINES 219,191
----------
AUTOMOBILES 1.0%
Thor Industries, Inc. .......................... 1,592 80,364
----------
TOTAL AUTOMOBILES 80,364
----------
BIOTECHNOLOGY 1.9%
Cephalon, Inc.*................................. 1,934 126,986
Martek Biosciences Corp.*....................... 868 25,780
----------
TOTAL BIOTECHNOLOGY 152,766
----------
CAPITAL MARKETS 5.0%
Eaton Vance Corp. .............................. 3,402 96,855
Investors Financial Services Corp. ............. 2,370 113,428
SEI Investments Co. ............................ 2,292 98,419
Waddell & Reed Financial, Inc. -- Class A....... 3,570 83,966
----------
TOTAL CAPITAL MARKETS 392,668
----------
COMMERCIAL BANKS 0.9%
Commerce Bancorp Inc/NJ......................... 1,672 67,448
----------
TOTAL COMMERCIAL BANKS 67,448
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES 5.0%
ChoicePoint, Inc.*.............................. 599 $26,374
Copart, Inc.*................................... 2,719 73,005
Corporate Executive Board Co. .................. 1,589 170,229
Rollins, Inc. .................................. 2,079 42,100
Stericycle, Inc.*............................... 1,205 79,337
----------
TOTAL COMMERCIAL SERVICES & SUPPLIES
391,045
----------
COMMUNICATIONS EQUIPMENT 1.9%
F5 Networks, Inc.*.............................. 996 58,326
Plantronics, Inc. .............................. 2,410 90,375
----------
TOTAL COMMUNICATIONS EQUIPMENT
148,701
----------
COMPUTERS & PERIPHERALS 1.9%
Western Digital Corp.*.......................... 7,266 152,877
----------
TOTAL COMPUTERS & PERIPHERALS 152,877
----------
CONSTRUCTION & ENGINEERING 0.7%
Jacobs Engineering Group, Inc.*................. 663 54,830
----------
TOTAL CONSTRUCTION & ENGINEERING
54,830
----------
DIVERSIFIED CONSUMER SERVICES 6.1%
Career Education Corp.*......................... 2,851 105,116
Corinthian Colleges, Inc.*...................... 9,507 141,559
Education Management Corp.*..................... 2,359 100,163
ITT Educational Services, Inc.*................. 2,054 130,532
----------
TOTAL DIVERSIFIED CONSUMER SERVICES
477,370
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.9%
Amphenol Corp. ................................. 1,292 74,678
CDW Corp. ...................................... 1,254 74,638
----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
149,316
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
52
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ENERGY EQUIPMENT & SERVICES 1.2%
Grant Prideco, Inc.*............................ 944 $48,333
Patterson-UTI Energy, Inc. ..................... 1,453 47,019
----------
TOTAL ENERGY EQUIPMENT & SERVICES
95,352
----------
HEALTH CARE EQUIPMENT & SUPPLIES 4.8%
Beckman Coulter, Inc. .......................... 888 45,608
Cytyc Corp.*.................................... 4,690 121,236
Dentsply International, Inc. ................... 1,131 67,487
Gen-Probe, Inc.*................................ 1,513 80,900
Intuitive Surgical, Inc.*....................... 505 64,135
----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES
379,366
----------
HEALTH CARE PROVIDERS & SERVICES 2.9%
Apria Healthcare Group, Inc.*................... 3,131 68,569
Community Health Systems, Inc.*................. 1,272 46,097
LifePoint Hospitals, Inc.*...................... 1,175 37,248
Lincare Holdings, Inc.*......................... 1,938 76,609
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES
228,523
----------
HOTELS RESTAURANTS & LEISURE 4.4%
Applebees International, Inc. .................. 2,522 58,535
Cheesecake Factory (The)*....................... 1,853 58,481
GTECH Holdings Corp. ........................... 2,229 76,143
Scientific Games Corp. -- Class A*.............. 4,006 152,588
----------
TOTAL HOTELS RESTAURANTS & LEISURE
345,747
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
HOUSEHOLD DURABLES 3.8%
Hovnanian Enterprises, Inc. -- Class A*......... 2,048 $81,449
MDC Holdings, Inc. ............................. 1,314 75,923
Ryland Group, Inc. ............................. 1,344 84,820
Toll Brothers, Inc.*............................ 1,709 54,944
----------
TOTAL HOUSEHOLD DURABLES 297,136
----------
HOUSEHOLD PRODUCTS 0.9%
Church & Dwight Co, Inc. ....................... 789 28,933
Energizer Holdings, Inc.*....................... 741 37,902
----------
TOTAL HOUSEHOLD PRODUCTS 66,835
----------
INSURANCE 1.7%
Brown & Brown, Inc. ............................ 4,314 134,726
----------
TOTAL INSURANCE 134,726
----------
IT SERVICES 7.9%
Alliance Data Systems Corp.*.................... 1,181 64,955
Anteon International Corp.*..................... 1,622 88,642
BISYS Group Inc (The)*.......................... 4,138 65,960
CSG Systems International*...................... 3,038 76,801
Cognizant Technology Solutions Corp. -- Class
A*............................................ 2,884 183,451
DST Systems, Inc.*.............................. 1,048 64,473
Fidelity National Information Services, Inc. ... 2,085 79,230
----------
TOTAL IT SERVICES 623,512
----------
LIFE SCIENCES TOOLS & SERVICES 1.8%
Invitrogen Corp.*............................... 464 30,629
Pharmaceutical Product Development, Inc. ....... 1,653 59,293
Techne Corp.*................................... 867 49,124
----------
TOTAL LIFE SCIENCES TOOLS & SERVICES
139,046
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
53 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY 1.6%
Donaldson Co, Inc. ............................. 1,193 $39,655
Graco, Inc. .................................... 1,836 85,833
----------
TOTAL MACHINERY 125,488
----------
MEDIA 0.5%
Catalina Marketing Corp. ....................... 1,666 39,451
----------
TOTAL MEDIA 39,451
----------
OFFICE ELECTRONICS 0.3%
Zebra Technologies Corp. -- Class A*............ 675 26,791
----------
TOTAL OFFICE ELECTRONICS 26,791
----------
OIL, GAS & CONSUMABLE FUELS 7.8%
Denbury Resources, Inc.*........................ 4,128 134,573
Newfield Exploration Co.*....................... 2,103 93,794
Noble Energy, Inc. ............................. 872 39,222
Pioneer Natural Resources Co. .................. 990 42,392
Plains Exploration & Production Co.*............ 1,330 49,037
Pogo Producing Co. ............................. 2,156 107,132
Southwestern Energy Co.*........................ 1,509 54,354
Western Gas Resources, Inc. .................... 1,804 93,808
----------
TOTAL OIL, GAS & CONSUMABLE FUELS
614,312
----------
PHARMACEUTICALS 3.8%
Medicis Pharmaceutical Corp. -- Class A......... 1,359 44,684
Par Pharmaceutical Cos, Inc.*................... 5,316 136,887
Sepracor, Inc.*................................. 2,586 115,439
----------
TOTAL PHARMACEUTICALS 297,010
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 4.1%
Cabot Microelectronics Corp.*................... 2,381 $77,883
Cree, Inc.*..................................... 4,266 127,212
Silicon Laboratories, Inc.*..................... 2,564 119,508
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
324,603
----------
SOFTWARE 2.5%
Activision, Inc.*............................... 1,923 27,287
Fair Isaac Corp. ............................... 606 22,489
Jack Henry & Associates, Inc. .................. 2,375 53,319
Macrovision Corp.*.............................. 2,819 64,555
McAfee, Inc.*................................... 1,142 29,795
----------
TOTAL SOFTWARE 197,445
----------
SPECIALTY RETAIL 14.7%
Abercrombie & Fitch Co. -- Class A.............. 1,817 110,346
Advance Auto Parts, Inc. ....................... 2,010 80,842
Aeropostale, Inc.*.............................. 6,069 186,379
American Eagle Outfitters....................... 2,511 81,356
Chico's FAS, Inc.*.............................. 4,209 155,986
GameStop Corp. -- Class A*...................... 3,380 159,536
Pacific Sunwear Of California*.................. 3,430 79,919
Petsmart, Inc. ................................. 2,954 81,708
Ross Stores, Inc. .............................. 3,285 100,652
Urban Outfitters, Inc.*......................... 2,074 48,117
Williams-Sonoma, Inc. .......................... 1,664 69,672
----------
TOTAL SPECIALTY RETAIL 1,154,513
----------
TEXTILES, APPAREL & LUXURY GOODS 1.1%
Timberland Co. -- Class A*...................... 2,555 86,998
----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS
86,998
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
54
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
THRIFTS & MORTGAGE FINANCE 0.8%
Radian Group, Inc. ............................. 969 $60,776
----------
TOTAL THRIFTS & MORTGAGE FINANCE
60,776
----------
TRADING COMPANIES & DISTRIBUTORS 0.8%
Fastenal Co. ................................... 1,357 63,521
----------
TOTAL TRADING COMPANIES & DISTRIBUTORS
63,521
----------
TOTAL COMMON STOCKS
(Cost $7,894,401) 7,864,251
----------
SHORT TERM INVESTMENTS 0.0%(A)
Short-Term Investment Co. ...................... 1,832 1,832
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,832) 1,832
----------
TOTAL INVESTMENTS 100.0%
(Cost $7,896,233) 7,866,083
----------
LIABILITIES IN EXCESS OF OTHER ASSETS--0.0%(A)
(2,752)
----------
NET ASSETS--100.0% $7,863,331
- -----------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
55 SEMI-ANNUAL REPORT
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 0.9%
Cubic Corp. .................................... 955 $21,955
Kaman Corp. .................................... 721 17,520
Triumph Group, Inc.*............................ 361 16,989
----------
TOTAL AEROSPACE & DEFENSE 56,464
----------
AIR FREIGHT & LOGISTICS 0.8%
HUB Group, Inc. -- Class A*..................... 915 44,991
----------
TOTAL AIR FREIGHT & LOGISTICS 44,991
----------
AIRLINES 0.2%
Frontier Airlines Holdings, Inc.*............... 1,405 9,526
----------
TOTAL AIRLINES 9,526
----------
AUTO COMPONENTS 1.5%
Standard Motor Products, Inc. .................. 6,198 49,460
Superior Industries International............... 2,232 42,006
----------
TOTAL AUTO COMPONENTS 91,466
----------
AUTOMOBILES 1.4%
Coachmen Industries, Inc. ...................... 4,214 47,534
Monaco Coach Corp. ............................. 2,640 36,749
----------
TOTAL AUTOMOBILES 84,283
----------
BUILDING PRODUCTS 0.8%
Griffon Corp.*.................................. 332 8,855
Lennox International, Inc. ..................... 678 22,123
NCI Building Systems, Inc.*..................... 279 18,132
----------
TOTAL BUILDING PRODUCTS 49,110
----------
CAPITAL MARKETS 2.0%
Piper Jaffray Cos*.............................. 899 62,840
SWS Group, Inc. ................................ 2,039 55,848
----------
TOTAL CAPITAL MARKETS 118,688
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
CHEMICALS 6.7%
Arch Chemicals, Inc. ........................... 1,416 $41,715
Georgia Gulf Corp. ............................. 1,075 31,885
HB Fuller Co. .................................. 713 37,290
Penford Corp. .................................. 2,643 42,975
PolyOne Corp.*.................................. 4,082 36,248
Quaker Chemical Corp. .......................... 2,995 60,469
Schulman A, Inc. ............................... 2,850 68,229
Tronox, Inc.*................................... 1,539 26,625
Wellman, Inc. .................................. 10,100 55,853
----------
TOTAL CHEMICALS 401,289
----------
COMMERCIAL BANKS 2.6%
Community Bank System, Inc. .................... 820 16,835
First Bancorp/Puerto Rico....................... 2,278 24,147
First Commonwealth Financial Corp. ............. 1,288 17,233
Provident Bankshares Corp. ..................... 403 14,008
South Financial Group Inc (The)................. 540 14,650
Sterling Financial Corp/ WA..................... 613 19,708
Susquehanna Bancshares, Inc. ................... 691 16,494
Whitney Holding Corp. .......................... 871 30,973
----------
TOTAL COMMERCIAL BANKS 154,048
----------
COMMERCIAL SERVICES & SUPPLIES 6.2%
ABM Industries, Inc. ........................... 795 13,674
Angelica Corp. ................................. 1,892 38,389
Bowne & Co, Inc. ............................... 2,043 32,096
CDI Corp. ...................................... 416 11,794
Central Parking Corp. .......................... 833 12,703
Consolidated Graphics, Inc.*.................... 263 13,752
NCO Group, Inc.*................................ 1,444 30,974
Sourcecorp*..................................... 979 24,211
Spherion Corp.*................................. 4,856 51,376
Standard Register Co (The)...................... 3,025 41,291
United Stationers, Inc.*........................ 351 18,831
</Table>
See Notes to Financial Statements.
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
56
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Viad Corp. ..................................... 309 $10,157
Volt Information Sciences, Inc.*................ 2,180 68,408
----------
TOTAL COMMERCIAL SERVICES & SUPPLIES
367,656
----------
COMMUNICATIONS EQUIPMENT 0.9%
Belden CDT, Inc. ............................... 876 27,419
Ditech Communications Corp.*.................... 2,978 28,053
----------
TOTAL COMMUNICATIONS EQUIPMENT
55,472
----------
COMPUTERS & PERIPHERALS 1.2%
Adaptec, Inc.*.................................. 8,382 46,353
SBS Technologies, Inc.*......................... 1,386 22,550
----------
TOTAL COMPUTERS & PERIPHERALS 68,903
----------
CONSTRUCTION & ENGINEERING 0.8%
EMCOR Group, Inc.*.............................. 992 49,650
----------
TOTAL CONSTRUCTION & ENGINEERING
49,650
----------
CONSTRUCTION MATERIALS 0.3%
Texas Industries, Inc. ......................... 290 16,443
----------
TOTAL CONSTRUCTION MATERIALS 16,443
----------
CONTAINERS & PACKAGING 3.3%
Caraustar Industries, Inc.*..................... 2,268 22,476
Chesapeake Corp. ............................... 3,533 49,709
Myers Industries, Inc. ......................... 3,662 64,818
Rock-Tenn Co. .................................. 3,653 57,973
----------
TOTAL CONTAINERS & PACKAGING 194,976
----------
DISTRIBUTORS 0.1%
Audiovox Corp. -- Class A*...................... 617 7,490
----------
TOTAL DISTRIBUTORS 7,490
----------
ELECTRIC UTILITIES 3.8%
Allete, Inc. ................................... 466 21,795
Central Vermont Public Service Corp. ........... 3,480 69,426
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
Cleco Corp. .................................... 887 $19,958
Green Mountain Power Corp. ..................... 1,305 37,114
UIL Holdings Corp. ............................. 933 51,828
Unisource Energy Corp. ......................... 809 24,472
----------
TOTAL ELECTRIC UTILITIES 224,593
----------
ELECTRICAL EQUIPMENT 2.6%
Acuity Brands, Inc. ............................ 471 19,443
AO Smith Corp. ................................. 1,352 64,112
C&D Technologies, Inc. ......................... 2,967 23,914
Magnetek, Inc.*................................. 11,815 47,142
----------
TOTAL ELECTRICAL EQUIPMENT 154,611
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 5.1%
Agilysys, Inc. ................................. 1,222 17,695
Anixter International, Inc. .................... 336 17,082
Bell Microproducts, Inc.*....................... 3,995 25,967
Benchmark Electronics, Inc.*.................... 535 14,592
Brightpoint, Inc.*.............................. 651 21,795
CTS Corp. ...................................... 992 13,997
Gerber Scientific, Inc.*........................ 3,896 40,402
Insight Enterprises, Inc.*...................... 1,457 28,805
Methode Electronics, Inc. ...................... 1,172 11,486
Planar Systems, Inc.*........................... 4,516 73,520
Technitrol, Inc. ............................... 1,549 38,787
----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
304,128
----------
ENERGY EQUIPMENT & SERVICES 0.2%
Lufkin Industries, Inc. ........................ 201 12,876
----------
TOTAL ENERGY EQUIPMENT & SERVICES
12,876
----------
FOOD & STAPLES RETAILING 1.6%
Casey's General Stores, Inc. ................... 804 17,198
Longs Drug Stores Corp. ........................ 601 28,493
</Table>
See Notes to Financial Statements.
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
57 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Nash Finch Co. ................................. 1,068 $24,671
Performance Food Group Co.*..................... 912 27,998
----------
TOTAL FOOD & STAPLES RETAILING 98,360
----------
FOOD PRODUCTS 2.1%
American Italian Pasta Co. -- Class A........... 5,251 43,636
Corn Products International, Inc. .............. 917 25,676
Flowers Foods, Inc. ............................ 692 19,438
Lance, Inc. .................................... 1,328 33,877
----------
TOTAL FOOD PRODUCTS 122,627
----------
GAS UTILITIES 5.3%
Atmos Energy Corp. ............................. 1,592 42,252
Cascade Natural Gas Corp. ...................... 1,811 37,071
Energen Corp. .................................. 496 17,494
Laclede Group Inc (The)......................... 1,166 39,761
Northwest Natural Gas Co. ...................... 609 21,035
Piedmont Natural Gas Co. ....................... 786 19,280
South Jersey Industries, Inc. .................. 1,937 51,485
Southwest Gas Corp. ............................ 1,721 47,706
UGI Corp. ...................................... 1,932 43,277
----------
TOTAL GAS UTILITIES 319,361
----------
HEALTH CARE EQUIPMENT & SUPPLIES 0.8%
Datascope Corp. ................................ 962 37,171
Osteotech, Inc.*................................ 2,114 9,471
----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES
46,642
----------
HEALTH CARE PROVIDERS & SERVICES 1.8%
Chemed Corp. ................................... 421 22,940
Genesis HealthCare Corp.*....................... 713 33,704
Gentiva Health Services, Inc.*.................. 518 8,775
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
Hooper Holmes, Inc. ............................ 5,340 $15,753
Owens & Minor, Inc. ............................ 886 28,237
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES
109,409
----------
HOTELS RESTAURANTS & LEISURE 2.8%
Bally Total Fitness Holding Corp.*.............. 5,373 48,465
Lone Star Steakhouse & Saloon, Inc. ............ 862 23,498
Marcus Corp. ................................... 868 15,650
O'Charleys, Inc.*............................... 3,174 53,799
Ryan's Restaurant Group, Inc.*.................. 2,045 27,383
----------
TOTAL HOTELS RESTAURANTS & LEISURE
168,795
----------
HOUSEHOLD DURABLES 3.6%
Bassett Furniture Industries, Inc. ............. 2,217 40,881
La-Z-Boy, Inc. ................................. 2,486 38,086
Lenox Group, Inc.*.............................. 1,849 25,183
Libbey, Inc. ................................... 2,846 39,104
National Presto Industries, Inc. ............... 454 27,376
Russ Berrie & Co, Inc.*......................... 791 10,481
Standard-Pacific Corp. ......................... 1,084 34,374
----------
TOTAL HOUSEHOLD DURABLES 215,485
----------
INDUSTRIAL CONGLOMERATES 1.5%
Standex International Corp. .................... 1,283 36,809
Tredegar Corp. ................................. 3,112 49,979
----------
TOTAL INDUSTRIAL CONGLOMERATES 86,788
----------
INSURANCE 3.4%
Delphi Financial Group.......................... 300 15,717
Infinity Property & Casualty Corp. ............. 490 21,972
LandAmerica Financial Group, Inc. .............. 994 68,964
Presidential Life Corp. ........................ 1,062 26,178
</Table>
See Notes to Financial Statements.
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
58
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Selective Insurance Group....................... 574 $31,949
Stewart Information Services Corp. ............. 933 40,305
----------
TOTAL INSURANCE 205,085
----------
IT SERVICES 2.4%
Ciber, Inc.*.................................... 2,121 14,529
Keane, Inc.*.................................... 1,030 14,564
Pegasus Solutions, Inc.*........................ 2,566 24,223
Startek, Inc. .................................. 4,047 92,393
----------
TOTAL IT SERVICES 145,709
----------
LEISURE EQUIPMENT & PRODUCTS 1.3%
Jakks Pacific, Inc.*............................ 1,467 33,257
K2, Inc.*....................................... 2,780 32,776
Sturm Ruger & Co, Inc. ......................... 1,464 10,277
----------
TOTAL LEISURE EQUIPMENT & PRODUCTS
76,310
----------
LIFE SCIENCES TOOLS & SERVICES 0.3%
Cambrex Corp. .................................. 811 16,447
----------
TOTAL LIFE SCIENCES TOOLS & SERVICES
16,447
----------
MACHINERY 2.4%
Barnes Group, Inc. ............................. 294 13,251
Briggs & Stratton Corp. ........................ 599 20,210
Lydall, Inc.*................................... 3,479 32,389
Mueller Industries, Inc. ....................... 527 19,963
Robbins & Myers, Inc. .......................... 1,496 36,353
Wolverine Tube, Inc.*........................... 6,047 19,532
----------
TOTAL MACHINERY 141,698
----------
METALS & MINING 6.6%
Aleris International, Inc.*..................... 472 21,830
AM Castle & Co. ................................ 1,666 60,142
Brush Engineered Materials, Inc.*............... 1,280 29,837
Century Aluminum Co.*........................... 603 28,709
Chaparral Steel Co.*............................ 970 61,226
Commercial Metals Co. .......................... 729 39,658
Quanex Corp. ................................... 372 15,885
Reliance Steel & Aluminum Co. .................. 440 39,138
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
Ryerson, Inc. .................................. 1,790 $52,590
Steel Technologies, Inc. ....................... 1,820 42,279
----------
TOTAL METALS & MINING 391,294
----------
MULTI-UTILITIES 1.4%
Avista Corp. ................................... 2,201 46,243
CH Energy Group, Inc. .......................... 748 35,365
----------
TOTAL MULTI-UTILITIES 81,608
----------
MULTILINE RETAIL 0.6%
Fred's, Inc. -- Class A......................... 2,423 34,382
----------
TOTAL MULTILINE RETAIL 34,382
----------
PAPER & FOREST PRODUCTS 3.4%
Buckeye Technologies, Inc.*..................... 3,403 27,394
Neenah Paper, Inc. ............................. 885 28,400
Pope & Talbot, Inc. ............................ 6,718 54,080
Schweitzer-Mauduit International, Inc. ......... 2,461 59,581
Wausau Paper Corp. ............................. 2,406 34,598
----------
TOTAL PAPER & FOREST PRODUCTS 204,053
----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 2.6%
Colonial Properties Trust....................... 469 23,093
Commercial Net Lease Realty..................... 1,333 28,060
Entertainment Properties Trust.................. 352 14,386
Glenborough Realty Trust, Inc. ................. 1,586 33,227
Lexington Corporate Properties Trust............ 816 17,593
Parkway Properties Inc/ Md...................... 568 22,493
Sovran Self Storage, Inc. ...................... 332 16,318
----------
TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS)
155,170
----------
ROAD & RAIL 0.7%
Arkansas Best Corp. ............................ 945 40,559
----------
TOTAL ROAD & RAIL 40,559
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
59 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.3%
Axcelis Technologies, Inc.*..................... 1,744 $10,272
Photronics, Inc.*............................... 433 7,781
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
18,053
----------
SOFTWARE 0.3%
THQ, Inc.*...................................... 681 17,454
----------
TOTAL SOFTWARE 17,454
----------
SPECIALTY RETAIL 6.9%
Cato Corp (The) -- Class A...................... 1,593 36,050
Group 1 Automotive, Inc. ....................... 1,456 79,468
Hancock Fabrics, Inc./DE........................ 9,623 33,777
Haverty Furniture Cos, Inc. .................... 3,707 55,976
Jo-Ann Stores, Inc.*............................ 2,583 31,668
PEP Boys-Manny Moe & Jack....................... 4,092 60,848
Sonic Automotive, Inc. -- Class A............... 2,169 58,606
Stage Stores, Inc. ............................. 1,439 44,983
Zale Corp.*..................................... 513 12,645
----------
TOTAL SPECIALTY RETAIL 414,021
----------
TEXTILES, APPAREL & LUXURY GOODS 4.3%
Ashworth, Inc.*................................. 5,194 53,031
Brown Shoe Co, Inc. ............................ 1,557 59,194
Kellwood Co. ................................... 2,492 79,843
Oxford Industries, Inc. ........................ 204 8,915
Russell Corp. .................................. 2,458 44,490
Stride Rite Corp. .............................. 1,018 14,262
----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS
259,735
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE 0.2%
Brookline Bancorp, Inc. ........................ 909 $13,453
----------
TOTAL THRIFTS & MORTGAGE FINANCE
13,453
----------
TOBACCO 1.3%
Alliance One International, Inc. ............... 18,284 80,084
----------
TOTAL TOBACCO 80,084
----------
TRADING COMPANIES & DISTRIBUTORS 0.3%
Lawson Products................................. 442 18,750
----------
TOTAL TRADING COMPANIES & DISTRIBUTORS
18,750
----------
WATER UTILITIES 0.2%
American States Water Co. ...................... 300 11,973
----------
TOTAL WATER UTILITIES 11,973
----------
TOTAL COMMON STOCKS
(Cost $5,762,927) 5,959,968
----------
SHORT TERM INVESTMENTS 0.2%
Short-Term Investment Co. ...................... 12,922 12,922
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $12,922) 12,922
----------
TOTAL INVESTMENTS 100.0%
(Cost $5,775,849) 5,972,890
----------
OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(A)
2,282
----------
NET ASSETS--100.0% $5,975,172
- -----------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
60
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) April 30, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS 100.0%
AEROSPACE & DEFENSE 2.1%
Ceradyne, Inc.*................................. 2,069 $109,657
Curtiss-Wright Corp. ........................... 1,356 44,938
GenCorp, Inc.*.................................. 979 19,130
----------
TOTAL AEROSPACE & DEFENSE 173,725
----------
AIR FREIGHT & LOGISTICS 0.5%
Forward Air Corp. .............................. 1,065 42,781
----------
TOTAL AIR FREIGHT & LOGISTICS 42,781
----------
AUTOMOBILES 0.6%
Winnebago Industries............................ 1,535 45,206
----------
TOTAL AUTOMOBILES 45,206
----------
BEVERAGES 1.5%
Hansen Natural Corp.*........................... 960 124,282
----------
TOTAL BEVERAGES 124,282
----------
BUILDING PRODUCTS 0.4%
Simpson Manufacturing Co, Inc. ................. 768 30,712
----------
TOTAL BUILDING PRODUCTS 30,712
----------
CAPITAL MARKETS 0.8%
Investment Technology Group, Inc.*.............. 1,259 66,714
----------
TOTAL CAPITAL MARKETS 66,714
----------
COMMERCIAL BANKS 3.2%
East West Bancorp, Inc. ........................ 612 24,278
Nara Bancorp, Inc. ............................. 3,909 73,489
PrivateBancorp, Inc. ........................... 1,163 51,463
UCBH Holdings, Inc. ............................ 1,772 31,347
Wilshire Bancorp, Inc. ......................... 2,860 52,223
Wintrust Financial Corp. ....................... 576 29,808
----------
TOTAL COMMERCIAL BANKS 262,608
----------
COMMERCIAL SERVICES & SUPPLIES 2.2%
Coinstar, Inc.*................................. 5,113 139,432
Waste Connections, Inc.*........................ 1,095 42,157
----------
TOTAL COMMERCIAL SERVICES & SUPPLIES
181,589
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT 0.3%
Comtech Telecommunications Corp.*............... 837 $23,813
----------
TOTAL COMMUNICATIONS EQUIPMENT
23,813
----------
COMPUTERS & PERIPHERALS 2.2%
Komag, Inc.*.................................... 1,795 75,462
Neoware, Inc.*.................................. 1,550 33,588
Synaptics, Inc.*................................ 2,796 73,311
----------
TOTAL COMPUTERS & PERIPHERALS 182,361
----------
CONSTRUCTION MATERIALS 1.1%
Headwaters, Inc.*............................... 2,766 93,159
----------
TOTAL CONSTRUCTION MATERIALS 93,159
----------
CONSUMER FINANCE 0.6%
World Acceptance Corp.*......................... 1,673 48,166
----------
TOTAL CONSUMER FINANCE 48,166
----------
DIVERSIFIED CONSUMER SERVICES 1.7%
Pre-Paid Legal Services, Inc. .................. 2,206 74,563
Vertrue, Inc.*.................................. 1,612 66,366
----------
TOTAL DIVERSIFIED CONSUMER SERVICES
140,929
----------
DIVERSIFIED FINANCIAL SERVICES 1.4%
Portfolio Recovery Associates, Inc.*............ 2,154 110,823
----------
TOTAL DIVERSIFIED FINANCIAL SERVICES
110,823
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 3.2%
Daktronics, Inc. ............................... 1,590 62,360
Flir Systems, Inc.*............................. 2,606 63,717
LoJack Corp.*................................... 2,060 45,547
Mercury Computer Systems, Inc.*................. 700 13,342
Scansource, Inc.*............................... 1,261 78,938
----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
263,904
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
61 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ENERGY EQUIPMENT & SERVICES 2.5%
CARBO Ceramics, Inc. ........................... 478 $27,691
Helix Energy Solutions Group, Inc.*............. 884 34,317
Hydril*......................................... 483 38,717
Unit Corp.*..................................... 716 41,349
W-H Energy Services, Inc.*...................... 1,280 64,320
----------
TOTAL ENERGY EQUIPMENT & SERVICES
206,394
----------
FOOD PRODUCTS 0.6%
Delta & Pine Land Co. .......................... 1,048 31,000
Peet's Coffee & Tea, Inc.*...................... 582 18,123
----------
TOTAL FOOD PRODUCTS 49,123
----------
HEALTH CARE EQUIPMENT & SUPPLIES 13.0%
American Medical Systems Holdings, Inc.*........ 1,734 38,512
Arthrocare Corp.*............................... 554 25,113
Biolase Technology, Inc. ....................... 16,818 179,112
Biosite, Inc.*.................................. 1,347 75,971
Cooper Cos Inc (The)............................ 604 33,111
Diagnostic Products Corp. ...................... 479 27,782
Greatbatch, Inc.*............................... 1,193 29,229
ICU Medical, Inc.*.............................. 1,221 50,293
Idexx Laboratories, Inc.*....................... 436 36,280
Immucor, Inc.*.................................. 1,377 40,002
Integra LifeSciences Holdings Corp.*............ 2,241 94,032
Kensey Nash Corp.*.............................. 1,207 36,415
Mentor Corp. ................................... 695 30,114
Merit Medical Systems, Inc.*.................... 1,918 22,421
PolyMedica Corp. ............................... 1,172 48,415
Possis Medical, Inc.*........................... 7,661 74,771
Resmed, Inc.*................................... 1,963 84,703
Respironics, Inc.*.............................. 872 31,933
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
SurModics, Inc.*................................ 1,351 $48,042
Sybron Dental Specialties, Inc.*................ 1,188 55,884
----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES
1,062,135
----------
HEALTH CARE PROVIDERS & SERVICES 7.2%
Amedisys, Inc.*................................. 687 22,781
AMERIGROUP Corp.*............................... 2,317 59,848
Amsurg Corp.*................................... 1,583 40,430
Centene Corp.*.................................. 3,374 86,678
Healthways, Inc.*............................... 1,465 71,873
Odyssey HealthCare, Inc.*....................... 5,992 104,201
Pediatrix Medical Group, Inc.*.................. 580 29,359
Sierra Health Services, Inc.*................... 1,542 60,462
Sunrise Senior Living, Inc.*.................... 1,550 57,660
United Surgical Partners International, Inc.*... 1,673 55,226
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES
588,518
----------
HEALTH CARE TECHNOLOGY 1.1%
Cerner Corp.*................................... 702 27,834
Dendrite International, Inc.*................... 1,123 13,959
Per-Se Technologies, Inc.*...................... 1,843 51,512
----------
TOTAL HEALTH CARE TECHNOLOGY 93,305
----------
HOTELS RESTAURANTS & LEISURE 6.6%
CEC Entertainment, Inc.*........................ 1,077 37,803
Multimedia Games, Inc.*......................... 9,725 134,108
PF Chang's China Bistro, Inc.*.................. 962 40,991
Panera Bread Co. -- Class A*.................... 1,149 85,233
Papa John's International, Inc.*................ 1,909 63,799
Shuffle Master, Inc.*........................... 3,291 121,602
Sonic Corp.*.................................... 1,662 56,358
----------
TOTAL HOTELS RESTAURANTS & LEISURE
539,894
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
62
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD DURABLES 2.0%
Meritage Homes Corp.*........................... 1,208 $79,221
NVR, Inc.*...................................... 114 86,070
----------
TOTAL HOUSEHOLD DURABLES 165,291
----------
INSURANCE 1.4%
Hilb Rogal & Hobbs Co. ......................... 1,496 61,156
Philadelphia Consolidated Holding Co.*.......... 1,466 48,569
----------
TOTAL INSURANCE 109,725
----------
INTERNET SOFTWARE & SERVICES 4.4%
Digital Insight Corp.*.......................... 1,013 34,938
j2 Global Communications, Inc.*................. 2,529 124,149
MIVA, Inc.*..................................... 17,333 76,265
WebEx Communications, Inc.*..................... 1,042 36,835
Websense, Inc.*................................. 3,469 86,239
----------
TOTAL INTERNET SOFTWARE & SERVICES
358,426
----------
IT SERVICES 3.3%
CACI International, Inc. -- Class A*............ 545 34,084
eFunds Corp.*................................... 2,376 61,158
iPayment, Inc.*................................. 1,619 70,022
Mantech International Corp. -- Class A*......... 1,557 51,428
Talx Corp. ..................................... 2,162 56,234
----------
TOTAL IT SERVICES 272,926
----------
LEISURE EQUIPMENT & PRODUCTS 2.6%
Nautilus, Inc. ................................. 3,908 64,091
Polaris Industries, Inc. ....................... 971 46,511
SCP Pool Corp. ................................. 2,117 98,906
----------
TOTAL LEISURE EQUIPMENT & PRODUCTS
209,508
----------
LIFE SCIENCES TOOLS & SERVICES 1.1%
Dionex Corp.*................................... 888 53,387
SFBC International, Inc.*....................... 1,503 35,095
----------
TOTAL LIFE SCIENCES TOOLS & SERVICES
88,482
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
MACHINERY 0.9%
ASV, Inc.*...................................... 1,062 $26,550
EnPro Industries, Inc.*......................... 1,173 43,260
----------
TOTAL MACHINERY 69,810
----------
MEDIA 1.0%
Advo, Inc. ..................................... 1,405 39,818
Arbitron, Inc. ................................. 1,207 43,041
----------
TOTAL MEDIA 82,859
----------
OIL, GAS & CONSUMABLE FUELS 8.1%
Cabot Oil & Gas Corp. .......................... 623 30,689
Cimarex Energy Co. ............................. 1,013 43,508
Frontier Oil Corp. ............................. 2,244 135,829
Penn Virginia Corp. ............................ 783 56,595
Petroleum Development Corp.*.................... 1,132 45,291
Remington Oil & Gas Corp.*...................... 2,087 91,014
St Mary Land & Exploration Co. ................. 2,122 89,464
Stone Energy Corp.*............................. 1,335 62,879
Swift Energy Co.*............................... 1,127 47,740
World Fuel Services Corp. ...................... 1,428 57,177
----------
TOTAL OIL, GAS & CONSUMABLE FUELS
660,186
----------
PERSONAL PRODUCTS 1.3%
NBTY, Inc.*..................................... 2,258 51,144
USANA Health Sciences, Inc.*.................... 1,416 51,811
----------
TOTAL PERSONAL PRODUCTS 102,955
----------
PHARMACEUTICALS 3.7%
Bradley Pharmaceuticals, Inc.*.................. 4,554 67,581
CNS, Inc. ...................................... 3,465 74,532
Connetics Corp.*................................ 5,578 84,507
First Horizon Pharmaceutical Corp.*............. 1,645 36,634
Noven Pharmaceuticals, Inc.*.................... 2,220 41,958
----------
TOTAL PHARMACEUTICALS 305,212
----------
</Table>
See Notes to Financial Statements.
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (Unaudited) (continued) April 30, 2006
- --------------------------------------------------------------------------------
63 SEMI-ANNUAL REPORT
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ROAD & RAIL 1.9%
Heartland Express, Inc. ........................ 1,734 $42,153
Knight Transportation, Inc. .................... 2,728 53,278
Landstar System, Inc. .......................... 1,457 61,908
----------
TOTAL ROAD & RAIL 157,339
----------
SOFTWARE 4.9%
Ansys, Inc.*.................................... 1,222 68,982
EPIQ Systems, Inc.*............................. 2,168 37,745
Factset Research Systems, Inc. ................. 1,987 87,706
Internet Security Systems*...................... 2,714 60,902
Kronos Inc/MA*.................................. 692 31,583
Manhattan Associates, Inc.*..................... 1,912 41,510
Quality Systems, Inc.*.......................... 1,048 35,171
Take-Two Interactive Software, Inc.*............ 2,102 35,839
----------
TOTAL SOFTWARE 399,438
----------
SPECIALTY RETAIL 7.1%
Childrens Place Retail Stores Inc (The)*........ 844 52,142
Christopher & Banks Corp. ...................... 5,263 139,049
Genesco, Inc.*.................................. 1,049 43,355
Guitar Center, Inc.*............................ 806 43,331
Hibbett Sporting Goods, Inc.*................... 1,706 51,709
HOT Topic, Inc.*................................ 5,499 81,550
Select Comfort Corp.*........................... 1,541 61,577
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
Too, Inc.*...................................... 1,371 $52,674
Tractor Supply Co.*............................. 876 56,756
----------
TOTAL SPECIALTY RETAIL 582,143
----------
TEXTILES, APPAREL & LUXURY GOODS 1.3%
Fossil, Inc.*................................... 2,355 38,292
K-Swiss, Inc. -- Class A........................ 2,233 64,043
----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS
102,335
----------
THRIFTS & MORTGAGE FINANCE 2.2%
Flagstar Bancorp, Inc. ......................... 5,288 84,608
Fremont General Corp. .......................... 4,135 91,962
----------
TOTAL THRIFTS & MORTGAGE FINANCE
176,570
----------
TOTAL COMMON STOCKS
(Cost $7,892,840) 8,173,346
----------
SHORT TERM INVESTMENTS 0.0%(A)
Short-Term Investment Co. ...................... 818 818
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $818) 818
----------
TOTAL INVESTMENTS 100.0%
(Cost $7,893,658) 8,174,164
----------
LIABILITIES IN EXCESS OF OTHER ASSETS--0.0%(A)
(1,230)
----------
NET ASSETS--100.0% $8,172,934
- -----------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
64
STATEMENTS OF ASSETS
AND LIABILITIES April 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX
RYDEX S&P S&P 500 S&P 500
EQUAL RYDEX RUSSELL PURE PURE
WEIGHT ETF TOP 50 ETF VALUE ETF GROWTH ETF
-------------- ------------- ---------- ----------
ASSETS
Investments at Market
Value.............. $1,647,063,212 $110,550,873 $4,644,407 $6,868,924
Receivables:
Investments Sold... -- -- -- --
Dividends.......... 1,456,352 158,447 8,491 6,739
Rydex In-kind
Subscriptions.... 50,597,770 -- -- --
-------------- ------------ ---------- ----------
TOTAL ASSETS..... 1,699,117,334 110,709,320 4,652,898 6,875,663
-------------- ------------ ---------- ----------
LIABILITIES
Payables:
Investments
Purchased........ 135,644 -- -- 4,642
Rydex In-kind
Redemptions...... 50,505,416 -- -- --
Due to Custodian... 270,738 248,038 -- 2,745
Accrued Management
Fees............. 1,046,236 35,210 2,607 3,159
-------------- ------------ ---------- ----------
TOTAL
LIABILITIES.... 51,958,034 283,248 2,607 10,546
-------------- ------------ ---------- ----------
NET ASSETS........... $1,647,159,300 $110,426,072 $4,650,291 $6,865,117
============== ============ ========== ==========
NET ASSETS CONSIST
OF:
Paid-in Capital...... $1,529,635,087 $108,100,233 $4,481,070 $6,896,286
Undistributed Net
Investment Income
(Loss)............. 1,026,855 153,310 14,374 7,454
Accumulated Net
Realized Gain
(Loss) on
Investments........ (9,860,176) (245,371) (6,541) 3,526
Net Unrealized
Appreciation/
(Depreciation) on
Investments........ 126,357,534 2,417,900 161,388 (42,149)
-------------- ------------ ---------- ----------
NET ASSETS........... $1,647,159,300 $110,426,072 $4,650,291 $6,865,117
============== ============ ========== ==========
Shares Outstanding
(Unlimited Shares
Authorized), No Par
Value.............. 37,054,461 1,150,000 150,000 200,000
============== ============ ========== ==========
Net Asset Value,
Offering Price and
Repurchase Price
Per Share.......... $ 44.45 $ 96.02 $ 31.00 $ 34.33
============== ============ ========== ==========
Total Cost of
Investments........ $1,520,705,678 $108,132,973 $4,483,019 $6,911,073
============== ============ ========== ==========
</Table>
See Notes to Financial Statements.
65 SEMI-ANNUAL REPORT
STATEMENTS OF ASSETS
AND LIABILITIES April 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P RYDEX S&P RYDEX S&P
MIDCAP 400 MIDCAP 400 SMALLCAP 600 SMALLCAP 600
PURE PURE PURE PURE
VALUE ETF GROWTH ETF VALUE ETF GROWTH ETF
---------- ---------- ------------ ------------
ASSETS
Investments at Market
Value................ $4,810,125 $7,866,083 $5,972,890 $8,174,164
Receivables:
Investments Sold..... -- -- -- 54,751
Dividends............ 6,900 1,758 5,648 542
Rydex In-kind
Subscriptions...... -- -- -- --
---------- ---------- ---------- ----------
TOTAL ASSETS....... 4,817,025 7,867,841 5,978,538 8,229,457
---------- ---------- ---------- ----------
LIABILITIES
Payables:
Investments
Purchased.......... -- -- -- 52,710
Rydex In-kind
Redemptions........ -- -- -- --
Due to Custodian..... -- -- --
Accrued Management
Fees............... 2,713 4,510 3,366 3,813
---------- ---------- ---------- ----------
TOTAL
LIABILITIES...... 2,713 4,510 3,366 56,523
---------- ---------- ---------- ----------
NET ASSETS............. $4,814,312 $7,863,331 $5,975,172 $8,172,934
========== ========== ========== ==========
NET ASSETS CONSIST OF:
Paid-in Capital........ $4,729,110 $7,893,405 $5,766,825 $7,896,315
Undistributed Net
Investment Income
(Loss)............... 14,075 (779) 11,695 (1,107)
Accumulated Net
Realized Gain (Loss)
on Investments....... (128) 855 (389) (2,780)
Net Unrealized
Appreciation/
(Depreciation) on
Investments.......... 71,255 (30,150) 197,041 280,506
---------- ---------- ---------- ----------
NET ASSETS............. $4,814,312 $7,863,331 $5,975,172 $8,172,934
========== ========== ========== ==========
Shares Outstanding
(Unlimited Shares
Authorized), No Par
Value................ 150,000 150,000 150,000 200,000
========== ========== ========== ==========
Net Asset Value,
Offering Price and
Repurchase Price Per
Share................ $ 32.10 $ 52.42 $ 39.83 $ 40.86
========== ========== ========== ==========
Total Cost of
Investments.......... $4,738,870 $7,896,233 $5,775,849 $7,893,658
========== ========== ========== ==========
</Table>
See Notes to Financial Statements.
66
STATEMENTS OF OPERATIONS For the Period Ended
April 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P RYDEX S&P
EQUAL RYDEX RUSSELL 500 PURE 500 PURE
WEIGHT ETF TOP 50 ETF VALUE ETF* GROWTH ETF*
------------ ------------- ---------- -----------
INVESTMENT INCOME
Dividends.............. $ 11,415,368 $1,485,494 $ 16,981 $ 10,613
Foreign Taxes
Withheld............. -- -- -- --
------------ ---------- -------- --------
Total Income......... 11,415,368 1,485,494 16,981 10,613
------------ ---------- -------- --------
EXPENSES
Management Fee......... 2,805,658 125,503 2,607 3,159
------------ ---------- -------- --------
Net Investment Income.... 8,609,710 1,359,991 14,374 7,454
------------ ---------- -------- --------
REALIZED AND UNREALIZED
GAIN/(LOSS) ON
INVESTMENTS
Net Realized Gain/(Loss)
From:
Investments............ (3,750,512) (156,903) (6,541) 3,526
In-kind Redemptions.... 50,763,913 1,944,387 -- --
------------ ---------- -------- --------
Net Realized
Gain/(Loss)........ 47,013,401 1,787,484 (6,541) 3,526
Net Change in Unrealized
Appreciation/(Depreciation)
on Investments......... 105,101,922 4,480,325 161,388 (42,149)
------------ ---------- -------- --------
Net Realized and
Unrealized Gain/(Loss)
on Investments......... 152,115,323 6,267,809 154,847 (38,623)
------------ ---------- -------- --------
NET
INCREASE/(DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS......... $160,725,033 $7,627,800 $169,221 $(31,169)
============ ========== ======== ========
</Table>
* The Fund commenced operations on March 1, 2006.
See Notes to Financial Statements.
67 SEMI-ANNUAL REPORT
STATEMENTS OF OPERATIONS For the Period Ended
April 30, 2006 (Unaudited)
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P RYDEX S&P RYDEX S&P
MIDCAP 400 MIDCAP 400 SMALLCAP 600 SMALLCAP 600
PURE PURE PURE PURE
VALUE ETF* GROWTH ETF* VALUE ETF* GROWTH ETF*
---------- ----------- ------------ ------------
INVESTMENT INCOME
Dividends.............. $16,788 $ 3,731 $ 15,076 $ 2,706
Foreign Taxes
Withheld............. -- -- (15) --
------- -------- -------- --------
Total Income......... 16,788 3,731 15,061 2,706
------- -------- -------- --------
EXPENSES
Management Fee......... 2,713 4,510 3,366 3,813
------- -------- -------- --------
Net Investment Income.... 14,075 (779) 11,695 (1,107)
------- -------- -------- --------
REALIZED AND UNREALIZED
GAIN/(LOSS) ON
INVESTMENTS
Net Realized Gain/(Loss)
From:
Investments............ (128) 855 (389) (2,780)
In-kind Redemptions.... -- -- -- --
------- -------- -------- --------
Net Realized
Gain/(Loss)........ (128) 855 (389) (2,780)
Net Change in Unrealized
Appreciation/(Depreciation)
on Investments......... 71,255 (30,150) 197,041 280,506
------- -------- -------- --------
Net Realized and
Unrealized Gain/(Loss)
on Investments......... 71,127 (29,295) 196,652 277,726
------- -------- -------- --------
NET
INCREASE/(DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS......... $85,202 $(30,074) $208,347 $276,619
======= ======== ======== ========
</Table>
* The Fund commenced operations on March 1, 2006.
See Notes to Financial Statements.
68
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT ETF
---------------------------------
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 2006 OCTOBER 31, 2005
-------------- ----------------
OPERATIONS
Net Investment Income.......................... $ 8,609,710 $ 9,400,925
Net Realized Gain/(Loss)....................... 47,013,401 64,487,720
Net Change in Unrealized Appreciation/
(Depreciation) on Investments................ 105,101,922 319,080
-------------- --------------
Net Increase/(Decrease) in Net Assets Resulting
From Operations.............................. 160,725,033 74,207,725
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income.......................... (8,152,747) (8,884,060)
-------------- --------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Sold...................... 654,156,218 673,529,856
Value of Shares Reinvested..................... 20,482 --
Value of Shares Repurchased.................... (230,999,254) (153,080,243)
-------------- --------------
Net Increase/(Decrease) in Net Assets Resulting
From Share Transactions...................... 423,177,446 520,449,613
-------------- --------------
Increase/(Decrease) in Net Assets............ 575,749,732 585,773,278
NET ASSETS--BEGINNING OF PERIOD.................. 1,071,409,568 485,636,290
-------------- --------------
NET ASSETS--END OF PERIOD(1)..................... $1,647,159,300 $1,071,409,568
============== ==============
(1) Including Undistributed Net Investment
Income....................................... $ 1,026,855 $ 569,892
============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares Sold.................................... 4,503,000 4,350,000
Shares Issued in Connection with Stock Split... 27,150,006 --
Shares Reinvested.............................. 455 --
Shares Repurchased............................. (1,350,000) (1,000,000)
Shares Outstanding, Beginning of Period........ 6,751,000 3,401,000
-------------- --------------
Shares Outstanding, End of Period.............. 37,054,461 6,751,000
============== ==============
</Table>
See Notes to Financial Statements.
69 SEMI-ANNUAL REPORT
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RUSSELL TOP 50 ETF
---------------------------------
(UNAUDITED) FOR THE PERIOD
SIX MONTHS MAY 4, 2005*
ENDED THROUGH
APRIL 30, 2006 OCTOBER 31, 2005
-------------- ----------------
OPERATIONS
Net Investment Income................... $ 1,359,991 $ 872,067
Net Realized Gain/(Loss)................ 1,787,484 (98,847)
Net Change in Unrealized Appreciation/
(Depreciation) on Investments......... 4,480,325 (2,062,425)
------------ ------------
Net Increase/(Decrease) in Net Assets
Resulting From Operations............. 7,627,800 (1,289,205)
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income................... (1,408,926) (669,822)
------------ ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Sold............... 4,739,700 143,626,041
Value of Shares Reinvested.............. -- --
Value of Shares Repurchased............. (37,617,723) (4,581,793)
------------ ------------
Net Increase/(Decrease) in Net Assets
Resulting From Share Transactions..... (32,878,023) 139,044,248
------------ ------------
Increase/(Decrease) in Net Assets..... (26,659,149) 137,085,221
NET ASSETS--BEGINNING OF PERIOD........... 137,085,221 --
------------ ------------
NET ASSETS--END OF PERIOD(1).............. $110,426,072 $137,085,221
============ ============
(1) Including Undistributed Net Investment
Income................................ $ 153,310 $ 202,245
============ ============
CHANGES IN SHARES OUTSTANDING:
Shares Sold............................. 50,000 1,550,000
Shares Reinvested....................... --
Shares Repurchased...................... (400,000) (50,000)
Shares Outstanding, Beginning of
Period................................ 1,500,000 --
------------ ------------
Shares Outstanding, End of Period....... 1,150,000 1,500,000
============ ============
</Table>
* Commencement of investment operations.
See Notes to Financial Statements.
70
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX
RYDEX RYDEX S&P MIDCAP
S&P 500 PURE S&P 500 PURE 400 PURE
VALUE ETF GROWTH ETF VALUE ETF
-------------- -------------- --------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
MARCH 1, 2006* MARCH 1, 2006* MARCH 1, 2006*
THROUGH THROUGH THROUGH
APRIL 30, 2006 APRIL 30, 2006 APRIL 30, 2006
-------------- -------------- --------------
OPERATIONS
Net Investment Income................. $ 14,374 $ 7,454 $ 14,075
Net Realized Gain/(Loss).............. (6,541) 3,526 (128)
Net Change in Unrealized Appreciation/
(Depreciation) on Investments....... 161,388 (42,149) 71,255
---------- ---------- ----------
Net Increase/(Decrease) in Net Assets
Resulting From Operations........... 169,221 (31,169) 85,202
---------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income................. -- -- --
---------- ---------- ----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Sold............. 4,481,070 6,896,286 4,729,110
Value of Shares Reinvested............ -- -- --
Value of Shares Repurchased........... -- -- --
---------- ---------- ----------
Net Increase/(Decrease) in Net Assets
Resulting From Share Transactions... 4,481,070 6,896,286 4,729,110
---------- ---------- ----------
Increase/(Decrease) in Net Assets... 4,650,291 6,865,117 4,814,312
NET ASSETS--BEGINNING OF PERIOD......... -- -- --
---------- ---------- ----------
NET ASSETS--END OF PERIOD(1)............ $4,650,291 $6,865,117 $4,814,312
========== ========== ==========
(1) Including Undistributed Net
Investment Income..................... $ 14,374 $ 7,454 $ 14,075
========== ========== ==========
CHANGES IN SHARES OUTSTANDING:
Shares Sold........................... 150,000 200,000 150,000
Shares Reinvested..................... -- -- --
Shares Repurchased.................... -- -- --
Shares Outstanding, Beginning of
Period.............................. -- -- --
---------- ---------- ----------
Shares Outstanding, End of Period..... 150,000 200,000 150,000
========== ========== ==========
</Table>
* Commencement of investment operations.
See Notes to Financial Statements.
71 SEMI-ANNUAL REPORT
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX RYDEX
S&P MIDCAP S&P SMALLCAP S&P SMALLCAP
400 PURE 600 PURE 600 PURE
GROWTH ETF VALUE ETF GROWTH ETF
-------------- -------------- --------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
MARCH 1, 2006* MARCH 1, 2006* MARCH 1, 2006*
THROUGH THROUGH THROUGH
APRIL 30, 2006 APRIL 30, 2006 APRIL 30, 2006
-------------- -------------- --------------
OPERATIONS
Net Investment Income................. $ (779) $ 11,695 $ (1,107)
Net Realized Gain/(Loss).............. 855 (389) (2,780)
Net Change in Unrealized Appreciation/
(Depreciation) on Investments....... (30,150) 197,041 280,506
---------- ---------- ----------
Net Increase/(Decrease) in Net Assets
Resulting From Operations........... (30,074) 208,347 276,619
---------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income................. -- -- --
---------- ---------- ----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Sold............. 7,893,405 5,766,825 7,896,315
Value of Shares Reinvested............ -- -- --
Value of Shares Repurchased........... -- -- --
---------- ---------- ----------
Net Increase/(Decrease) in Net Assets
Resulting From Share Transactions... 7,893,405 5,766,825 7,896,315
---------- ---------- ----------
Increase/(Decrease) in Net Assets... 7,863,331 5,975,172 8,172,934
NET ASSETS--BEGINNING OF PERIOD......... -- -- --
---------- ---------- ----------
NET ASSETS--END OF PERIOD(1)............ $7,863,331 $5,975,172 $8,172,934
========== ========== ==========
(1) Including Undistributed Net
Investment Income..................... $ (779) $ 11,695 $ (1,107)
========== ========== ==========
CHANGES IN SHARES OUTSTANDING:
Shares Sold........................... 150,000 150,000 200,000
Shares Reinvested..................... -- -- --
Shares Repurchased.................... -- -- --
Shares Outstanding, Beginning of
Period.............................. -- -- --
---------- ---------- ----------
Shares Outstanding, End of Period..... 150,000 150,000 200,000
========== ========== ==========
</Table>
* Commencement of investment operations.
See Notes to Financial Statements.
72
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT ETF
--------------------------------------------------------------------------------------
(UNAUDITED) FOR THE PERIOD
SIX MONTHS APRIL 24, 2003*
ENDED YEAR ENDED YEAR ENDED THROUGH
APRIL 30, 2006(1) OCTOBER 31, 2005(1) OCTOBER 31, 2004(1) OCTOBER 31, 2003(1)
----------------- ------------------- ------------------- -------------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING OF
PERIOD.............. $39.68 $35.70 $31.61 $25.26
----------------- ------------------- ------------------- -------------------
Net Investment
Income**............ 0.26 0.43 0.37 0.18
Net Realized and
Unrealized
Gain/(Loss) on
Investments**....... 4.76 3.95 4.08 6.33
----------------- ------------------- ------------------- -------------------
TOTAL FROM INVESTMENT
OPERATIONS.......... 5.02 4.38 4.45 6.51
----------------- ------------------- ------------------- -------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment
Income.............. (0.25) (0.40) (0.36) (0.16)
----------------- ------------------- ------------------- -------------------
NET ASSET VALUE AT END
OF PERIOD........... $44.45 $39.68 $35.70 $31.61
================= =================== =================== ===================
TOTAL RETURN***....... 12.68% 12.29% 14.11% 25.77%
RATIOS/SUPPLEMENTAL
DATA:
Net Assets at End of
Period (000's
omitted)............ $1,647,159 $1,071,410 $485,636 $177,135
RATIO TO AVERAGE NET
ASSETS OF:
Expenses.............. 0.40%**** 0.40% 0.40% 0.40%****
Net Investment
Income.............. 1.23%**** 1.11% 1.09% 1.13%****
Portfolio Turnover
Rate+............... 7% 22% 55% 42%
</Table>
* Commencement of investment operations.
** 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 distributions at net asset value during the period, and
redemption on the last day of the period. Transaction fees and broker
commission charges 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 stock 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.
73 SEMI-ANNUAL REPORT
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RUSSELL TOP 50 ETF
------------------------------------
(UNAUDITED) FOR THE PERIOD
SIX MONTHS MAY 4, 2005*
ENDED THROUGH
APRIL 30, 2006 OCTOBER 31, 2005
-------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................ $91.39 $91.51
-------------- ----------------
Net Investment Income**............. 1.02 0.79
Net Realized and Unrealized
Gain/(Loss) on Investments**...... 4.71 (0.46)
-------------- ----------------
TOTAL FROM INVESTMENT OPERATIONS.... 5.73 0.33
-------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income............... (1.10) (0.45)
-------------- ----------------
NET ASSET VALUE AT END OF PERIOD.... $96.02 $91.39
============== ================
TOTAL RETURN***..................... 6.29% 0.36%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
omitted).......................... $110,426 $137,085
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................ 0.20%**** 0.20%****
Net Investment Income............... 2.17%**** 1.74%****
Portfolio Turnover Rate+............ 2% 1%
</Table>
* Commencement of investment operations.
** 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 distributions at net asset value during the period, and
redemption on the last day of the period. Transaction fees and broker
commission charges 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
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX RYDEX S&P
S&P 500 PURE S&P 500 PURE MIDCAP 400
VALUE ETF GROWTH ETF PURE VALUE ETF
-------------- -------------- --------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
MARCH 1, 2006* MARCH 1, 2006* MARCH 1, 2006*
THROUGH THROUGH THROUGH
APRIL 30, 2006 APRIL 30, 2006 APRIL 30, 2006
-------------- -------------- --------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT BEGINNING
OF PERIOD................... $29.87 $34.42 $31.53
-------------- -------------- --------------
Net Investment Income**....... 0.10 0.05 0.10
Net Realized and Unrealized
Gain/(Loss) on
Investments**............... 1.03 (0.14) 0.47
-------------- -------------- --------------
TOTAL FROM INVESTMENT
OPERATIONS.................. 1.13 (0.09) 0.57
-------------- -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net Investment Income......... -- -- --
-------------- -------------- --------------
NET ASSET VALUE AT END OF
PERIOD...................... $31.00 $34.33 $32.10
============== ============== ==============
TOTAL RETURN***............... 3.78% (0.26)% 1.81%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's omitted)............. $4,650 $6,865 $4,814
RATIO TO AVERAGE NET ASSETS
OF:
Expenses...................... 0.35%**** 0.35%**** 0.35%****
Net Investment Income......... 1.93%**** 0.83%**** 1.82%****
Portfolio Turnover Rate+...... 1% 4% 0%(1)
</Table>
* Commencement of investment operations.
** 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 distributions at net asset value during the period, and
redemption on the last day of the period. Transaction fees and broker
commission charges 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) Amount is less than 0.5%
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
75 SEMI-ANNUAL REPORT
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P RYDEX S&P
MIDCAP 400 PURE SMALLCAP 600 PURE SMALLCAP 600 PURE
GROWTH ETF VALUE ETF GROWTH ETF
--------------- ----------------- -----------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
MARCH 1, 2006* MARCH 1, 2006* MARCH 1, 2006*
THROUGH THROUGH THROUGH
APRIL 30, 2006 APRIL 30, 2006 APRIL 30, 2006
--------------- ----------------- -----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING OF
PERIOD............... $52.62 $38.45 $39.31
--------------- ----------------- -----------------
Net Investment
Income**............. 0.00(1) 0.08 0.00(1)
Net Realized and
Unrealized
Gain/(Loss) on
Investments**........ (0.20) 1.30 1.55
--------------- ----------------- -----------------
TOTAL FROM INVESTMENT
OPERATIONS........... (0.20) 1.38 1.55
--------------- ----------------- -----------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment
Income............... -- -- --
--------------- ----------------- -----------------
NET ASSET VALUE AT END
OF PERIOD............ $52.42 $39.83 $40.86
=============== ================= =================
TOTAL RETURN***........ (0.38%) 3.59% 3.94%
RATIOS/SUPPLEMENTAL
DATA:
Net Assets at End of
Period (000's
omitted)............. $7,863 $5,975 $8,173
RATIO TO AVERAGE NET
ASSETS OF:
Expenses............... 0.35%**** 0.35%**** 0.35%****
Net Investment
Income............... (0.06%)**** 1.22%**** (0.10%)****
Portfolio Turnover
Rate+................ 4% 2% 3%
</Table>
* Commencement of investment operations.
** 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 distributions at net asset value during the period, and
redemption on the last day of the period. Transaction fees and broker
commission charges 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) Amount is less than $0.005 per share.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
76
NOTES TO FINANCIAL STATEMENTS April 30, 2006
- --------------------------------------------------------------------------------
1. ORGANIZATION
Rydex ETF Trust (the "Trust") is an open-end management investment company
registered under the Investment Company Act of 1940, as amended (the "1940
Act"). The Trust was organized as a Delaware statutory trust on November 22,
2002. The Trust currently consists of eight series, Rydex S&P Equal Weight ETF,
Rydex Russell Top 50 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, (the "Funds"). Rydex S&P Equal Weight ETF commenced operations
on April 24, 2003 and Rydex Russell Top 50 ETF commenced operations on May 4,
2005. 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 all
commenced operations on March 1, 2006.
The Funds' investment objective is to provide investment results that correspond
generally to the price and yield performance, before fees and expenses, of an
index representing publicly traded equity securities (the "Underlying Index").
The Rydex S&P Equal Weight ETF tracks the S&P Equal Weight Index, the Rydex
Russell Top 50 ETF tracks the Russell Top 50(TM) Index, the Rydex S&P 500 Pure
Value ETF tracks the S&P 500/Citigroup Pure Value Index, the Rydex S&P 500 Pure
Growth ETF tracks the S&P 500/Citigroup Pure Growth Index, the Rydex S&P MidCap
400 Pure Value ETF tracks the S&P MidCap 400/Citigroup Pure Value Index, the
Rydex S&P MidCap 400 Pure Growth ETF tracks the S&P MidCap 400/Citigroup Pure
Growth Index, the Rydex S&P SmallCap 600 Pure Value ETF tracks the S&P SmallCap
600/Citigroup Pure Value Index, the Rydex S&P SmallCap 600 Pure Growth ETF
tracks the S&P SmallCap 600/Citigroup Pure Growth Index. The Funds seek to
achieve their objective by investing in common stocks that comprise the
Underlying Index. The Funds use a "replication" strategy to track the Underlying
Index. "Replication" refers to investing in substantially all of the securities
in the Underlying Index in approximately the same proportions as in the
Underlying Index.
The Funds operate as index funds and are not actively managed. Adverse
performance of a security in the Funds portfolio will ordinarily not result in
the elimination of the security from the Funds portfolio.
The Funds issue and redeem shares on a continuous basis, at net asset value,
only in aggregations of 50,000 shares called a "Creation Unit". Creation Units
are issued and redeemed principally in-kind for securities included in the
Underlying Index.
2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
77 SEMI-ANNUAL REPORT
estimates and assumptions that affect the reported amounts of assets,
liabilities and disclosures at the date of the financial statements and
accompanying notes. Management believes that the estimates utilized in preparing
the Funds financial statements are reasonable and prudent; however, actual
results could differ from these estimates.
A. SECURITY VALUATION
Securities listed on a domestic securities exchange are valued based on the last
sale price as of the close of regular trading hours on the New York Stock
Exchange or, in the absence of recorded sales, at the average of readily
available closing bid and asked prices on such exchange. 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.
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 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. Realized gains and losses
from portfolio fund transactions are calculated on the identified cost basis.
Dividend income is recorded on the ex-dividend date net of foreign tax
withholdings. Interest income is recorded on the accrual basis.
C. REPURCHASE AGREEMENTS
The Funds may enter into repurchase agreements with financial institutions. The
Funds follows certain procedures designed to minimize the risks inherent in such
agreements. These procedures include effecting repurchase transactions only with
large, well-capitalized and well-established financial institutions whose
condition will be continually monitored by Rydex Global Advisors, which acts as
the Funds investment adviser (the "Advisor"). In addition, the value of the
collateral underlying the repurchase agreement will always be at least equal to
the repurchase price, including any accrued interest earned on the repurchase
agreement. In the event of a default or bankruptcy by a selling financial
institution, the Funds will seek to liquidate such collateral. However, the
exercising of the Funds right to liquidate such collateral could involve certain
costs or delays and, to the extent that proceeds from any sale upon a default of
the obligation to repurchase were less than the repurchase price, the Funds
could suffer a loss. It is the current policy of the Funds not to invest in
repurchase agreements that do not mature within seven days if any such
investment, together with any other illiquid assets held by the Funds, amounts
to more than 15% of the Funds net assets. The investments of the Funds in
repurchase agreements, at times, may be substantial when, in the view of the
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
78
Advisor, liquidity or other considerations so warrant. For the six months ended
April 30, 2006, the Funds had not engaged in repurchase 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 distribute all of the taxable
income to the shareholders within the allowable time limits. Therefore, no
provision for Federal income taxes is required.
Income and capital gain distributions are determined in accordance with Federal
income tax regulations, which may differ from accounting principles generally
accepted in the United States. These differences are primarily due to differing
treatments for in-kind redemptions, income reclassifications from real estate
investment trusts, futures and options, losses deferred due to wash sales and
excise tax regulations.
For the six months ended April 30, 2006, the Funds realized net capital gains
resulting from in-kind redemptions and other transactions. Because gains from
in-kind redemptions are not taxable to the Funds, and are not distributed to
existing Fund shareholders, the gains are reclassified from accumulated net
realized gains to paid-in-capital at the end of the Funds tax year. These
reclassifications have no effect on net assets or net asset value per share. The
in-kind gains for the six months ended April 30, 2006 are disclosed in the Funds
Statement of Operations.
In order to present paid-in-capital, undistributed net investment income and
accumulated net realized losses on investments on the statement of assets and
liabilities that more closely represent their tax character, certain adjustments
have been made to paid-in-capital, undistributed net investment income and
accumulated net realized losses on investments. For the six months ended April
30, 2006, the adjustments for the Funds were as follows:
<Table>
<Caption>
UNDISTRIBUTED ACCUMULATED
PAID-IN NET INVESTMENT NET REALIZED
CAPITAL INCOME GAIN/(LOSS)
----------- -------------- ------------
Rydex S&P Equal Weight ETF............ $50,763,913 $ -- $(50,763,913)
Rydex Russell Top 50 ETF.............. 1,944,386 -- (1,944,386)
Rydex S&P 500 Pure Value ETF.......... -- -- --
Rydex S&P 500 Pure Growth ETF......... -- -- --
Rydex S&P MidCap 400 Pure Value ETF... -- -- --
Rydex S&P MidCap 400 Pure Growth
ETF................................. -- -- --
Rydex S&P SmallCap 600 Pure Value
ETF................................. -- -- --
Rydex S&P SmallCap 600 Pure Growth
ETF................................. -- -- --
</Table>
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
79 SEMI-ANNUAL REPORT
At April 30, 2006, the Funds had a capital loss carryforwards which may be
utilized to offset any net realized capital gains expiring October 31:
<Table>
<Caption>
2012 2013
-------- ----------
Rydex S&P Equal Weight ETF............................... $272,282 $5,596,230
Rydex Russell Top 50 ETF................................. -- 88,468
Rydex S&P 500 Pure Value ETF............................. -- --
Rydex S&P 500 Pure Growth ETF............................ -- --
Rydex S&P MidCap 400 Pure Value ETF...................... -- --
Rydex S&P MidCap 400 Pure Growth ETF..................... -- --
Rydex S&P SmallCap 600 Pure Value ETF.................... -- --
Rydex S&P SmallCap 600 Pure Growth ETF................... -- --
</Table>
E. DIVIDENDS AND DISTRIBUTIONS
The Funds declare and pay dividends from net investment income and distribute
from net realized capital gains at least annually.
F. RISK AND UNCERTAINTIES
The Trust invests in various investments which are exposed to risk, such as
market risk. Due to the level of risk associated with certain investments it is
at least reasonably possible that changes in the values of investment securities
will occur in the near term and that such changes could materially affect
amounts reported in the financial statements. The Rydex Russell Top 50 ETF is a
non-diversified fund, subjecting it to a greater risk than funds that are
diversified.
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
an advisory fee at the annual rate shown below of the average daily net assets
of the Funds.
<Table>
<Caption>
ADVISORY FEE
-------------
Rydex S&P Equal Weight ETF.................................. 0.40%
Rydex Russell Top 50 ETF.................................... 0.20%
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%
</Table>
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 in separate accounts cash, securities and
other assets
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
80
of the Trust and the Funds, 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 Advisor pays all expenses of the Funds, including the cost of transfer
agency, custody, fund administration, legal, audit and other services except
interest, taxes, brokerage commissions, and other expenses connected with the
execution of portfolio transactions, any future distribution fees or expenses
and extraordinary expenses.
The Funds have adopted a Distribution Plan (the "Plan") that allows the Funds to
pay distribution fees to Rydex Distributors, Inc. (the "Distributor") and other
firms that provide distribution services ("Service Providers"). If a Service
Provider provides distribution services, the Funds will pay distribution fees to
the Distributor at an annual rate not to exceed 0.25% of average daily net
assets, pursuant to Rule 12b-1 of the 1940 Act. The Distributor will, in turn,
pay the Service Provider out of its fees. No such fee is currently charged to
the Funds.
4. CAPITAL
At April 30, 2006, 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, shown
below. An additional charge of up to three times the standard transaction fee
may be imposed for purchases and redemptions effected outside the National
Securities Clearing Corporation usual clearing process or for cash. Such
transactions are generally permitted on an in-kind basis, with a balancing cash
component to equate the transaction to the net asset value per unit of the Fund
on the transaction date.
<Table>
<Caption>
MINIMUM
TRANSACTION FEE
---------------
Rydex S&P Equal Weight ETF.................................. $2,000
Rydex Russell Top 50 ETF.................................... 500
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
</Table>
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
81 SEMI-ANNUAL REPORT
5. INVESTMENT TRANSACTIONS
For the six months ended April 30, 2006 the Funds had in-kind contributions and
in-kind redemptions as follows:
<Table>
<Caption>
CONTRIBUTIONS REDEMPTIONS
------------- ------------
Rydex S&P Equal Weight ETF......................... $646,174,107 $218,307,882
Rydex Russell Top 50 ETF........................... 4,735,067 37,500,554
Rydex S&P 500 Pure Value ETF....................... 4,480,621 --
Rydex S&P 500 Pure Growth ETF...................... 6,895,882 --
Rydex S&P MidCap 400 Pure Value ETF................ 4,729,002 --
Rydex S&P MidCap 400 Pure Growth ETF............... 7,893,329 --
Rydex S&P SmallCap 600 Pure Value ETF.............. 5,766,345 --
Rydex S&P SmallCap 600 Pure Growth ETF............. 7,897,465 --
</Table>
Purchases and sales of investment securities (excluding short-term investments,
U.S. government and government agency obligations) for the Funds were as
follows:
<Table>
<Caption>
PURCHASES SALES
----------- ---------------
Rydex S&P Equal Weight ETF........................ $99,211,760 $ 101,780,673
Rydex Russell Top 50 ETF.......................... 2,120,659 2,050,977
Rydex S&P 500 Pure Value ETF...................... 61,651 63,182
Rydex S&P 500 Pure Growth ETF..................... 239,183 242,287
Rydex S&P MidCap 400 Pure Value ETF............... 4,922 4,880
Rydex S&P MidCap 400 Pure Growth ETF.............. 323,334 323,117
Rydex S&P SmallCap 600 Pure Value ETF............. 117,713 120,741
Rydex S&P SmallCap 600 Pure Growth ETF............ 174,393 176,237
</Table>
At April 30, 2006, gross unrealized appreciation of investments for the Funds
were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------------- ------------ ------------ --------------
Rydex S&P Equal Weight
ETF..................... $1,520,705,678 $171,672,205 $45,314,671 $126,357,534
Rydex Russell Top 50
ETF..................... 108,132,973 6,375,551 3,957,651 2,417,900
Rydex S&P 500 Pure Value
ETF..................... 4,483,019 243,203 81,815 161,388
Rydex S&P 500 Pure Growth
ETF..................... 6,911,073 187,428 229,577 (42,149)
Rydex S&P MidCap 400 Pure
Value ETF............... 4,738,870 177,556 106,301 71,255
Rydex S&P MidCap 400 Pure
Growth ETF.............. 7,896,233 325,118 355,268 (30,150)
Rydex S&P SmallCap 600
Pure Value ETF.......... 5,775,849 375,907 178,866 197,041
Rydex S&P SmallCap 600
Pure Growth ETF......... 7,893,658 493,227 212,721 280,506
</Table>
6. STOCK SPLIT
Effective April 26, 2006 the Rydex S&P Equal Weight ETF underwent a 4-for-1
stock split. The effect of this transaction was to multiply the number of
outstanding shares in the Rydex S&P Equal Weight ETF by four, while dividing the
net asset value by four.
82
SUPPLEMENTAL INFORMATION
- --------------------------------------------------------------------------------
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 6-month period ended April 30, is also
available, without charge and upon request, by (i) calling (800) 820-0888; or
(ii) accessing the Funds' Form N-PX on the SEC's website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULES INFORMATION
The Trust files its complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q; which are available on
the SEC's website at http://www.sec.gov. The Funds' Forms N-Q may be reviewed
and copied at the SEC's Public Reference Room in Washington, DC, and that
information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to
shareholders, without charge and upon request, by calling 1-800-820-0888.
RYDEX INVESTMENTS
BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT
The 1940 Act requires that the initial approval of, as well as the continuation
of, a fund's investment advisory agreement must be specifically approved (1) by
the vote of the trustees or by a vote of the shareholders of the fund, and (2)
by the vote of a majority of the trustees who are not parties to the investment
advisory agreement or "interested persons" of any party (the "Independent
Trustees"), cast in person at a meeting called for the purpose of voting on such
approval. In connection with such approvals, the fund's trustees must request
and evaluate, and the investment adviser is required to furnish, such
information as may be reasonably necessary to evaluate the terms of the advisory
agreement. In addition, the SEC takes the position that, as part of their
fiduciary duties with respect to fund fees, fund boards are required to evaluate
the material factors applicable to a decision to approve an investment advisory
agreement.
Consistent with these responsibilities, the Rydex ETF Trust Board of Trustees
(the "Board") calls and holds one meeting each year that is dedicated to
considering whether to renew the investment advisory agreement (the "Advisory
Agreement") between the Trust and PADCO Advisors, Inc., which does business
under the name Rydex Investments ("Rydex Investments") with respect to existing
funds in the Trust, including the funds discussed in this Annual Report (each a
"Fund" and collectively, the "Funds"), and to reviewing certain other agreements
pursuant to which Rydex
SUPPLEMENTAL INFORMATION (continued)
- --------------------------------------------------------------------------------
83 SEMI-ANNUAL REPORT
Investments provides investment advisory services to certain other registered
investment companies. In preparation for the meeting, the Board requests and
reviews a wide variety of materials provided by Rydex Investments, including
information about Rydex Investments' affiliates, personnel and operations. The
Board also receives data provided by third parties. This information is in
addition to the detailed information about the Funds that the Board reviews
during the course of each year, including information that relates to Fund
operations and performance. The Board also receives a memorandum from Fund
counsel regarding the responsibilities of the Board for the approval of
investment advisory agreements. In addition, the Independent Trustees receive
advice from independent counsel to the Independent Trustees, meet in executive
session outside the presence of fund management, if necessary, and participate
in question and answer sessions with representatives of Rydex Investments.
At a meeting held on August 28 and 29, 2005, the Board approved the selection of
Rydex Investments and the continuance of the Advisory Agreement for an
additional one-year period, based on its review of qualitative and quantitative
information provided by Rydex Investments. The Board's approval of the Advisory
Agreement was based on consideration and evaluation of a variety of specific
factors discussed at that meeting and at prior meetings, including:
NATURE, EXTENT AND QUALITY OF SERVICES PROVIDED BY RYDEX INVESTMENTS
The Board reviewed the scope of services to be provided by Rydex Investments
under the Advisory Agreement and noted that there would be no significant
differences between the scope of services required to be provided by Rydex
Investments for the past year and the scope of services required to be provided
by Rydex Investments for the upcoming year. In reviewing the scope of services
provided to the Funds by Rydex Investments, the Board reviewed and discussed
Rydex Investments' investment experience, noting that Rydex Investments and its
affiliates have committed significant resources over time to the support of the
Funds. The Board also considered Rydex Investments' compliance program and its
compliance record with respect to the Funds. In that regard, the Board noted
that Rydex Investments provides information regarding the portfolio management
and compliance to the Board on a periodic basis in connection with regularly
scheduled meetings of the Board. In addition to the above considerations, the
Board reviewed and considered Rydex Investments' investment processes and
strategies, and matters related to Rydex Investments' portfolio transaction
policies and procedures. In particular, the Board noted the substantial volume
of portfolio trades and shareholder transaction activity, in general, processed
by Rydex Investments due to the unlimited exchange policy of the majority of the
Funds. The Board further noted that the Funds had met their investment
objectives consistently since their relevant inception dates. Based on this
review, the Board concluded that the nature, extent and quality of services to
be provided by Rydex Investments to the Funds
SUPPLEMENTAL INFORMATION (continued)
- --------------------------------------------------------------------------------
84
under the Advisory Agreement were appropriate and continued to support the
Board's original selection of Rydex Investments as investment adviser to the
Funds.
FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS
The Board reviewed statistical information prepared by Rydex Investments
regarding the expense ratio components, including actual advisory fees,
waivers/reimbursements, and gross and net total expenses of each Fund. In
addition, the Board reviewed statistical information prepared by Rydex
Investments relating to the performance of each Fund, as well as each Fund's
ability to successfully track its benchmark over time, and a comparison of each
Fund's performance to funds with similar investment objectives for the same
periods and to appropriate indices/benchmarks, in light of total return, yield
and market trends. Based on this review, the Board concluded that the investment
advisory fees and expense levels and the historical performance of the Funds, as
managed by Rydex Investments, as compared to the investment advisory fees and
expense levels and performance of the peer funds, were satisfactory for the
purposes of approving the continuance of the Advisory Agreement.
COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX
INVESTMENTS AND ITS AFFILIATES
The Board reviewed information about the profitability of the Funds to Rydex
Investments based on the advisory fees payable under the Advisory Agreement for
the last calendar year. Rydex Investments also presented the Board with material
discussing its methodology for determining the level of advisory fees assessable
to the Funds. The Board analyzed the Funds' expenses, including the investment
advisory fees paid to Rydex Investments. The Board also reviewed information
regarding direct revenue received by Rydex Investments and ancillary revenue
received by Rydex Investments and/or its affiliates in connection with the
services provided to the Funds by Rydex Investments (as discussed below). The
Board also discussed Rydex Investments' profit margin as reflected in Rydex
Investments' profitability analysis and reviewed information regarding economies
of scale (as discussed below). Based on this review, the Board concluded that
the profits to be realized by Rydex Investments and its affiliates under the
Advisory Agreement and from other relationships between the Funds and Rydex
Investments and/or its affiliates, if any, were within the range the Board
considered reasonable and appropriate.
ECONOMIES OF SCALE
In connection with its review of the Funds' profitability analysis, the Board
reviewed information regarding economies of scale or other efficiencies that may
result from increases in the Funds' asset levels. The Board noted that the
Advisory Agreement for
SUPPLEMENTAL INFORMATION (continued)
- --------------------------------------------------------------------------------
85 SEMI-ANNUAL REPORT
the Funds did not provide for any breakpoints in the investment advisory fee
rates as a result of increases in the asset levels of such Funds. However, the
Board further noted that possible future economies of scale had been taken into
consideration by fixing the investment advisory fee at rates at the lower end of
the marketplace, effectively giving Fund shareholders, from inception, the
benefits of the lower average fee shareholders would have received from a fee
structure with declining breakpoints where the initial fee was higher. The Board
also reviewed Rydex Investments' historic profitability as investment adviser to
the Funds and determined that reductions in fee rates or additions of
breakpoints were not warranted at this juncture. Based on this review, the
Board, recognizing its responsibility to consider this issue at least annually,
concluded that there are limited economies of scale to share with the Funds'
shareholders.
OTHER BENEFITS TO RYDEX INVESTMENTS AND/OR ITS AFFILIATES
The Board noted that Rydex Investments reports its use of soft dollars to the
Board on a quarterly basis, as well as any portfolio transactions on behalf of
the Funds placed through an affiliate of the Funds or Rydex Investments pursuant
to Rule 17e-1 under the 1940 Act. The Board concluded that any such ancillary
benefits would not be disadvantageous to the Funds' shareholders.
Based on the above analysis, the Board determined that the Advisory Agreement,
including the investment advisory fee rates thereunder, are fair and reasonable
in light of all relevant circumstances and concluded that it is in the best
interest of the Funds and their shareholders to continue the Advisory Agreement.
INFORMATION ON BOARD OF TRUSTEES
AND OFFICERS
- --------------------------------------------------------------------------------
86
A Board of Trustees oversees all Rydex Investments, in which its members have no
stated term of service, and continue to serve after election until resignation.
The Statement of Additional Information includes further information about Fund
Trustees and Officers, and can be obtained without charge by calling
1-800-820-0888.
All Trustees and Officers may be reached c/o Rydex Investments, 9601 Blackwell
Rd., Suite 500, Rockville, MD 20850.
TRUSTEES AND OFFICERS
<Table>
<Caption>
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS
YEAR OF BIRTH (YEAR BEGAN) OVERSEEN
- ------------------------ ---------------------------------- ---------------
CARL G. VERBONCOEUR* Rydex Series Funds - 2004 120
Trustee, President Rydex Variable Trust - 2004
(1952) Rydex Dynamic Funds - 2004
Rydex ETF Trust - 2004
Rydex Capital Partners SPhinX Fund
- 2005
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer of Rydex
Fund Services, Inc., PADCO Advisors, Inc., PADCO Advisors II, Inc., and Rydex
Distributors, Inc. (2003 to present); Executive Vice President of Rydex Fund
Services, Inc. (2000 to 2003); Vice President of Rydex Fund Services, Inc. and
Rydex Distributors, Inc. (1997 to 2000)
---------------
<Table>
MICHAEL P. BYRUM* Rydex Series Funds - 2005 120
Trustee, Vice President Rydex Variable Trust - 2005
and Secretary (1970) Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
Rydex Capital Partners SPhinX Fund
- 2003
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Series Funds,
Rydex Variable Trust, and Rydex Dynamic Funds (2004 to present); Vice President
of Rydex Series Funds (1997 to present); Vice President of Rydex Variable Trust
(1998 to present); Vice President of Rydex Dynamic Funds (1999 to present); Vice
President of Rydex ETF Trust (2002 to present); President and Trustee of Rydex
Capital Partners SPhinX Fund (2003 to present); President of Rydex Global
Advisors (2004 to present); Chief Operating Officer of Rydex Global Advisors and
Rydex Distributors, Inc. (2003 to 2004)
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES
<Table>
<Caption>
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF
YEAR OF BIRTH (YEAR BEGAN) FUNDS OVERSEEN
- ------------------------ ---------------------------------- ---------------
JOHN O. DEMARET Rydex Series Funds - 1997 119
Chairman of the Board, Rydex Variable Trust - 1998
Trustee (1940) Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
Rydex Capital Partners SPhinX Fund
- 2003
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired
---------------
<Table>
COREY A. COLEHOUR Rydex Series Funds - 1993 119
Trustee (1945) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
Rydex Capital Partners SPhinX Fund
- 2005
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Senior Vice President of
Marketing/Co-Owner, Schield Management Company
---------------
INFORMATION ON BOARD OF TRUSTEES
AND OFFICERS
- --------------------------------------------------------------------------------
87 SEMI-ANNUAL REPORT
<Table>
J. KENNETH DALTON Rydex Series Funds - 1995 119
Trustee (1941) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
Rydex Capital Partners SPhinX Fund
- 2005
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and
Investor, The Dalton Group
---------------
<Table>
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS
YEAR OF BIRTH (YEAR BEGAN) OVERSEEN
- ------------------------ ---------------------------------- ---------------
WERNER E. KELLER Rydex Series Funds - 2005 119
Trustee (1940) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
Rydex Capital Partners SPhinX Fund
- 2003
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired (2001 to present);
Chairman, Centurion Capital Management (1991 to 2001)
---------------
<Table>
THOMAS F. LYDON, JR. Rydex Series Funds - 2005 119
Trustee (1960) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
Rydex Capital Partners SPhinX Fund
- 2003
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends
Investments
---------------
<Table>
PATRICK T. MCCARVILLE Rydex Series Funds - 1997 119
Trustee (1942) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
Rydex Capital Partners SPhinX Fund
- 2005
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive
Officer, Par Industries, Inc.
---------------
<Table>
ROGER SOMERS Rydex Series Funds - 1993 119
Trustee (1944) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
Rydex Capital Partners SPhinX Fund
- 2005
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine
- --------------------------------------------------------------------------------
INFORMATION ON BOARD OF TRUSTEES
AND OFFICERS
- --------------------------------------------------------------------------------
88
EXECUTIVE OFFICERS
<Table>
<Caption>
NAME, POSITION AND PRINCIPAL OCCUPATIONS
YEAR OF BIRTH DURING PAST FIVE YEARS
- ------------------------- --------------------------------------------------
NICK BONOS* Vice President and Treasurer of Rydex Series
Vice President and Funds, Rydex Variable Trust, Rydex Dynamic Funds,
Treasurer (1963) Rydex ETF Trust, and Rydex Capital Partners SPhinX
Fund (2003 to present); Senior Vice President of
Rydex Fund Services, Inc. (2003 to present); Vice
President of Accounting of Rydex Fund Services,
Inc. (2000 to 2003)
JOANNA M. HAIGNEY* Chief Compliance Officer Rydex Series Funds, Rydex
Chief Compliance Officer Variable Trust, and Rydex Dynamic Funds (2004 to
and Assistant Secretary present); Assistant Secretary of Rydex Series
(1967) Funds, Rydex Variable Trust, and Rydex Dynamic
Funds (2000 to present); Assistant Secretary of
Rydex ETF Trust (2002 to present); Secretary of
Rydex Capital Partners SPhinX Fund, (2003 to
present); Vice President of Compliance of Rydex
Fund Services, Inc. (2000 to present)
</Table>
* Officers of the Fund are deemed to be "interested persons" of the Trust,
within the meaning of Section 2(a)(19) of the 1940 Act, inasmuch as this person
is affiliated with the Advisor.
[RydexInvestments LOGO]
Essential for modern markets(TM)
9601 Blackwell Road - Suite 500 - Rockville, MD 20850
www.rydexinvestments.com - 800.820.0888
ETF-ANN 1205 X1206
ITEM 2. CODE OF ETHICS.
The Board of Trustees of the Trust has adopted a Combined Code of Ethics (the
"Code") pursuant to Rule 17j-1 under the 1940 Act. The Advisor and Distributor
are also covered by the Code. The Code applies to the personal investing
activities of trustees, directors, officers, and certain employees ("access
persons"). Rule 17j-1 and the Code are designed to prevent unlawful practices in
connection with the purchase or sale of securities by access persons. Under the
Code, access persons are permitted to engage in personal securities
transactions, but are required to report their personal securities transactions
for monitoring purposes. In addition, certain access persons are required to
obtain approval before investing in initial public offerings or private
placements. No substantive amendments were approved or waivers were granted to
the Code during the period covered by this report. The Code is filed as an
exhibit to this Form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
While the members of the audit committee have many years of experience in
business and finance, including working with fund financial statements and
auditors, they do not feel that the background and experience of any single
member would meet the qualifications necessary to be a "financial expert" as
that term is defined by the Securities and Exchange Commission. Nonetheless, the
committee has determined that, together, its collective financial experience and
expertise makes an individual financial expert unnecessary at this time.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a)-(d) The aggregate Audit Fees billed by PricewaterhouseCoopers LLP ("PWC"),
the Trust's principal accountant, for the audit of the annual financial
statements in connection with statutory and regulatory filings for the fiscal
years ended October 31, 2005 and October 31, 2004 were $32,400 and $21,200,
respectively. The aggregate Tax Fees billed by PWC for professional services
rendered for tax compliance, tax advice, and tax planning, including preparation
of tax returns and distribution assistance, for the fiscal years ended October
31, 2005 and December 31, 2004 were $30,000 and $14,840, respectively.
(e) The audit committee has adopted a policy whereby audit and non-audit
services performed by the registrant's principal accountant for the registrant,
its investment advisor, and any entity controlling, controlled by, or under
common control with the investment advisor that provides ongoing services to the
registrant require pre-approval in advance at regularly scheduled audit
committee meetings. If such service is required between regularly scheduled
audit committee meetings, the chairman of the audit committee, J. Kenneth
Dalton, is authorized to pre-approve the service with full committee approval at
the next scheduled meeting. There
shall be no waivers of the pre-approval process. No services described in
(b)-(d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of
Regulation S-X.
(f) Not applicable.
(g) Not applicable.
(h) Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The Rydex ETF Trust has a separate designated audit committee, which consists of
the independent trustees. The audit committee members are J. Kenneth Dalton,
John O. Demaret, Patrick T. McCarville, Corey A. Colehour and Roger Somers.
ITEM 6. SCHEDULE OF INVESTMENTS
Schedule of Investments is included as part of the report to shareholders filed
under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation on January 10, 2006, the President (principal
executive officer) and the Treasurer (principal financial officer) of the Rydex
ETF Trust (the "Trust") believe that there were no significant deficiencies in
the design or operation of the internal controls of the Trust or Rydex Global
Advisors ("RGA"), the investment advisor and manager of the Trust, and State
Street Bank and Trust Company (the "Administrator"), the administrator of the
Trust, or Rydex Distributors, Inc. ("RD"), which acts as distributor for the
Trust, including disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Investment
Company Act of 1940) which would have adversely affected the ability of the
Trust, the Administrator or RGA on behalf of the Trust, to record, process,
summarize, and report the subject matter contained in this Report, and the
President and Treasurer of the Trust have identified no material weaknesses in
such internal controls on behalf of the Trust.
There was no fraud, whether or not material, involving officers or employees of
RGA, the Administrator, RD or the Trust who have a significant role in the
Trust's internal controls, including disclosure controls and procedures (as
defined in Rule 30a-3(c) under the Investment Company Act of 1940) that has come
to the attention of the advisor or the officers of the Trust, including its
President and Treasurer.
(b) There were no significant changes in the Trust's and RGA's internal
controls over financial reporting, including disclosure controls and procedures
(as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that
occurred during the second fiscal quarter of the period covered by this report
that has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) The registrant's code of ethics pursuant to Item 2 of Form N-CSR is
attached.
(a)(2) Separate certifications by the President (principal executive officer)
and Treasurer (principal financial officer) of the registrant as required by
Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are attached.
(b) A certification by the registrant's President (principal executive
officer) and Treasurer (principal financial officer) as required by Rule
30a-2(b) under the Act (17 CFR 270.30a-2(b)) is attached.