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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
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(Exact name of registrant as specified in charter)
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
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(Address of principal executive offices) (Zip code)
Carl G. Verboncoeur
Rydex ETF Trust
9601 Blackwell Road, Suite 500
Rockville, Maryland 20850
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(Name and address of agent for service)
Registrant's telephone number, including area code: 1-301-296-5100
----------------
Date of fiscal year end: October 31, 2006
------------------
Date of reporting period: October 31, 2006
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. Section 3507.
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ITEM 1. REPORTS TO STOCKHOLDERS.
[Insert a copy of the report transmitted to stockholders pursuant to Rule 30e-1
under the Act (17 CFR 270.30e-1).]
October 31, 2006
RYDEX ETF TRUST
ANNUAL REPORT
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
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
[RYDEX INVESTMENTS LOGO]
ANNUAL REPORT 1
TABLE OF CONTENTS
- --------------------------------------------------------------------------------
<Table>
LETTER TO OUR SHAREHOLDERS.................................. 2
MANAGER'S ANALYSIS.......................................... 4
FEES & EXPENSES............................................. 20
PORTFOLIO SUMMARY........................................... 22
SCHEDULE OF INVESTMENTS..................................... 30
STATEMENTS OF ASSETS AND LIABILITIES........................ 72
STATEMENTS OF OPERATIONS.................................... 74
STATEMENTS OF CHANGES IN NET ASSETS......................... 76
FINANCIAL HIGHLIGHTS........................................ 81
NOTES TO FINANCIAL STATEMENTS............................... 85
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM'S REPORT...... 93
SUPPLEMENTAL INFORMATION.................................... 94
</Table>
ANNUAL REPORT 2
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER,
Stocks rallied strongly for the 12-month period ended October 31, 2006. All of
the major market averages with the exception of the Nasdaq 100 turned in strong
double digit gains, with the benchmark S&P 500 Index(R) rising +14.6% and its
counterpart the S&P Equal Weight Index rising 17.9% during the period. Overall,
the market was characterized by three distinct phases and a number of rotational
trends.
In the first phase, many of the performance trends that had been evident for a
number of years remained in place. While the major market averages actually
treaded water for much of this period, investors showed a healthy appetite for
risk as shown by the continued strong gains in small-cap. Although interest
rates rose throughout the period, they seemed to pose little threat to stock
prices.
Phase two was ushered in by an inflation scare characterized by high and rising
inflation, soaring energy prices and the prospect of additional interest rate
hikes by the Federal Reserve (Fed). The price of oil soared from $57.67/barrel
in mid-February to a peak of $77.03/barrel in mid-July. During this mini-cycle,
investors pulled back from risk in all of its various forms. Small-cap, growth,
and technology stocks fell in a rapid and dramatic sell-off. From early May
through mid-June alone, the small-cap Russell 2000(R) Index fell nearly 14%.
Interest rates rose as well, with the yield on the benchmark 10-year U.S.
Treasury Note rising from a low of 4.32% in January to 5.24% by late June.
Almost as quickly as it began, the inflation scare that characterized phase two
evaporated as energy prices retreated from their speculative highs. Phase three
began as economic growth showed unmistakable signs of slowing, relieving
pressure on the Federal Reserve (Fed) to continue raising rates. Indeed, during
the summer, the Fed paused in its two-year string of consecutive rate increases.
Despite the seemingly safer risk environment, the May to June sell-off left
investors with a diminished appetite for risk as large-cap stocks continued to
outperform small-caps and value outperformed growth
Clearly the equity markets continue to key off interest rates and, as of this
writing, stocks have continued to rally with the expectation that interest rates
are headed lower. As long as a benign interest rate outlook remains in place,
the pressure on stock prices will likely be to the upside.
ANNUAL REPORT 3
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Rydex Investments is extremely pleased with the asset growth and fund additions
over the past fiscal year ended October 31, 2006. Complementing the Rydex S&P
Equal Weight ETF and the Rydex Russell Top 50 ETF, the Rydex ETF Trust now
offers six style-box funds based on the S&P Pure Style methodology. These are
innovative benchmarks that offer an alternative to the traditional cap-weighted
benchmark.
We appreciate the trust you have placed in our firm by investing with us.
Sincerely,
/s/ DAVID C. REILLY, CFA
David C. Reilly, CFA
Director of Investment Strategy -- Rydex Investments
ANNUAL REPORT 4
RYDEX S&P EQUAL WEIGHT ETF
MANAGER'S ANALYSIS
- --------------------------------------------------------------------------------
For the year ended October 31, 2006, the Rydex S&P Equal Weight ETF, benchmarked
to the S&P Equal Weight Total Return Index, returned 17.42%, outperforming the
S&P 500 Total Return by 1.08%. Since inception in April 2003, the Rydex S&P
Equal Weight ETF, has outperformed the S&P 500 Total Return by 5.36%, returning
19.84%.
CUMULATIVE FUND PERFORMANCE: APRIL 24, 2003 - OCTOBER 31, 2006
(TO COME)
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT S&P EQUAL WEIGHT TOTAL
ETF S&P 500 TOTAL RETURN INDEX RETURN INDEX
---------------------- -------------------------- ----------------------
4/24/2003 10000 10000 10000
9845 9862 9845
10041 10039 10041
10113 10072 10113
10113 10063 10114
10091 10058 10092
10280 10210 10282
10300 10171 10303
10397 10257 10399
10341 10206 10343
10240 10104 10242
10405 10251 10408
10566 10380 10569
10566 10350 10569
10565 10320 10568
10687 10402 10691
10723 10377 10727
10417 10119 10421
10402 10108 10406
10457 10149 10461
10582 10242 10586
10646 10257 10651
10878 10458 10884
10899 10478 10905
10882 10440 10888
11089 10594 11096
11146 10631 11152
11141 10682 11148
11363 10846 11371
11455 10890 11462
11410 10864 11418
11217 10734 11225
11309 10832 11317
11492 10975 11501
11522 10987 11531
11359 10878 11368
11593 11122 11602
11588 11132 11597
11576 11116 11586
11409 10946 11418
11390 10957 11399
11185 10803 11195
11199 10823 11209
11137 10733 11146
11260 10853 11269
11176 10748 11186
11168 10729 11179
11229 10817 11239
11374 10943 11384
11287 10854 11298
11504 11060 11515
11601 11102 11613
11573 11041 11585
11386 10892 11398
11474 10997 11486
11544 11060 11555
11471 11022 11496
11389 10952 11399
11232 10817 11241
11367 10945 11377
11218 10785 11228
11358 10888 11368
11361 10893 11372
7/24/2003 11313 10816 11323
11498 11004 11509
11503 10981 11515
11427 10902 11438
11387 10884 11398
11456 10918 11468
11368 10806 11380
11363 10835 11375
11163 10645 11174
11158 10664 11169
11225 10742 11236
11261 10781 11273
11311 10816 11323
11440 10924 11452
11422 10859 11434
11518 10930 11530
11517 10934 11531
11656 11034 11671
11737 11063 11751
11749 11042 11765
11843 11075 11859
11714 10962 11730
11692 10969 11708
11728 11003 11743
11767 11005 11784
11873 11073 11890
11959 11130 11976
12124 11285 12143
12153 11336 12174
12158 11355 12178
12086 11283 12105
12215 11397 12235
12100 11303 12119
11893 11169 11909
11969 11233 11988
12009 11257 12028
11966 11215 11986
12145 11376 12166
12113 11339 12133
12263 11490 12285
12250 11454 12272
12090 11305 12112
12170 11373 12193
11948 11156 11970
11834 11091 11857
11731 11022 11754
11847 11130 11871
11751 11013 11773
11988 11260 12012
12035 11283 12059
12191 11390 12215
12257 11439 12281
12312 11494 12341
12277 11438 12301
12356 11493 12381
12352 11486 12377
12463 11567 12488
12512 11613 12538
12466 11585 12491
12503 11622 12529
12352 11503 12378
12403 11577 12429
12418 11577 12444
12240 11405 12266
12247 11443 12273
10/24/2003 12208 11389 12235
12288 11413 12315
12469 11587 12496
12527 11604 12555
12541 11594 12570
12576 11636 12605
12697 11728 12725
12643 11664 12672
12645 11650 12673
12722 11720 12752
12708 11669 12737
12590 11602 12620
12577 11596 12607
12748 11734 12779
12770 11732 12801
12648 11645 12678
12525 11570 12556
12399 11466 12429
12472 11559 12502
12384 11462 12415
12442 11480 12473
12676 11667 12708
12748 11688 12781
12827 11740 12860
12842 11738 12875
13000 11871 13035
12950 11832 12984
12928 11814 12962
12953 11870 12988
12843 11779 12877
12933 11867 12969
12811 11765 12846
12747 11755 12782
12941 11891 12977
12987 11924 13023
12883 11857 12918
12937 11935 12974
12972 11952 13009
13168 12094 13206
13166 12089 13205
13247 12137 13286
13307 12171 13346
13285 12149 13324
13314 12169 13354
13483 12325 13524
13494 12328 13535
13502 12353 13543
13449 12316 13491
13618 12469 13660
13642 12486 13684
13665 12518 13707
13766 12581 13809
13684 12469 13727
13753 12529 13796
13685 12463 13729
13816 12567 13859
13846 12584 13891
13977 12670 14022
14011 12659 14057
14085 12758 14131
14012 12717 14058
1/23/2004 13978 12691 14024
14106 12844 14148
13987 12719 14033
13801 12548 13847
13812 12613 13858
13825 12580 13872
13852 12626 13900
13854 12635 13902
13694 12531 13741
13737 12555 13784
13955 12713 14004
13952 12682 14001
14032 12746 14081
14198 12887 14248
14147 12825 14197
14047 12756 14097
14210 12887 14260
14159 12825 14210
14084 12773 14135
14013 12740 14064
13918 12706 13969
13886 12684 13938
13972 12737 14024
14035 12755 14087
14099 12755 14151
14269 12878 14323
14200 12802 14253
14218 12827 14271
14276 12870 14330
14312 12893 14368
14175 12786 14228
14052 12712 14106
13821 12527 13873
13617 12340 13668
13825 12494 13877
13599 12315 13651
13659 12385 13711
13869 12531 13923
13843 12515 13897
13722 12376 13777
13525 12215 13580
13515 12199 13570
13478 12170 13534
13722 12369 13779
13720 12357 13777
13904 12520 13961
13980 12570 14038
14003 12563 14061
14078 12629 14137
14225 12738 14285
14320 12835 14381
14295 12812 14355
14218 12728 14278
14200 12714 14261
14255 12780 14316
14029 12605 14090
13986 12591 14046
13975 12599 14036
14060 12663 14122
14067 12677 14129
13857 12480 13918
13950 12547 14034
14202 12724 14265
4/23/2004 14178 12732 14241
14095 12675 14158
14118 12704 14181
13906 12531 13968
13733 12439 13795
13646 12365 13707
13759 12479 13821
13792 12502 13855
13835 12526 13925
13705 12443 13773
13466 12273 13528
13282 12144 13342
13417 12239 13478
13422 12264 13484
13447 12255 13509
13439 12248 13502
13264 12120 13329
13386 12203 13449
13375 12173 13437
13351 12179 13414
13433 12228 13496
13509 12249 13573
13752 12446 13818
13796 12469 13862
13869 12542 13936
13896 12535 13963
13899 12541 13967
13942 12587 14010
13804 12494 13872
13891 12560 13959
14134 12761 14204
14155 12782 14226
13992 12661 14062
14055 12719 14126
13887 12598 13957
14012 12673 14083
14034 12691 14105
14020 12674 14091
14056 12707 14127
14015 12654 14087
14113 12701 14185
14269 12809 14342
14231 12773 14303
14248 12704 14322
14193 12694 14266
14232 12726 14306
14320 12779 14395
14126 12647 14207
14079 12608 14153
13921 12505 13993
13952 12532 14025
13790 12429 13862
13846 12471 13919
13843 12489 13916
13847 12498 13921
13807 12458 13880
13803 12404 13876
13717 12345 13791
13717 12339 13791
13835 12426 13909
13616 12262 13689
13609 12295 13682
7/23/2004 13481 12176 13554
13404 12152 13477
13531 12273 13605
13532 12282 13605
13655 12341 13729
13686 12356 13761
13723 12411 13799
13592 12333 13667
13562 12324 13637
13337 12123 13411
13104 11936 13172
13134 11950 13199
13333 12105 13401
13272 12076 13338
13111 11935 13173
13110 11954 13172
13323 12118 13390
13366 12145 13435
13554 12299 13630
13494 12255 13570
13607 12335 13684
13564 12306 13640
13565 12312 13640
13679 12411 13756
13682 12412 13758
13713 12444 13788
13602 12348 13671
13665 12406 13732
13708 12429 13777
13821 12568 13945
13821 12516 13890
13924 12602 13998
13827 12548 13903
13885 12572 13959
13966 12634 14041
14024 12659 14099
14035 12688 14111
13931 12598 14006
14006 12634 14082
14062 12691 14139
14009 12619 14086
14115 12699 14193
13934 12523 14012
13882 12467 13959
13899 12486 13976
13792 12412 13868
13875 12488 13953
13937 12543 14016
14021 12540 14099
14242 12731 14323
14307 12773 14389
14277 12766 14358
14381 12855 14462
14236 12728 14317
14109 12632 14190
14118 12657 14200
14068 12629 14149
13958 12538 14037
13852 12421 13932
13923 12476 14004
13975 12542 14055
13830 12420 13910
13853 12426 13933
13962 12459 14043
10/22/2004 13851 12338 13932
13866 12327 13947
14075 12511 14158
14271 12674 14356
14292 12701 14377
14352 12732 14437
14373 12735 14459
14358 12736 14444
14521 12881 14609
14772 13090 14861
14858 13141 14949
14839 13127 14930
14846 13123 14937
14854 13113 14947
15006 13232 15098
15145 13354 15238
15154 13351 15253
15059 13258 15153
15168 13333 15262
15197 13351 15292
15018 13202 15112
15137 13280 15231
15145 13277 15239
15249 13332 15345
15282 13344 15379
15237 13300 15334
15180 13247 15277
15396 13449 15495
15350 13438 15449
15378 13447 15477
15368 13437 15468
15174 13289 15273
15217 13357 15316
15293 13430 15393
15304 13416 15405
15439 13538 15541
15525 13591 15628
15591 13619 15695
15520 13591 15623
15453 13490 15557
15441 13495 15545
15581 13617 15687
15633 13668 15738
15637 13675 15743
15560 13616 15666
15692 13713 15800
15717 13714 15824
15741 13716 15848
15731 13697 15839
15538 13587 15645
15302 13430 15407
15191 13382 15295
15232 13432 15337
15204 13413 15310
15250 13459 15356
15147 13378 15252
15217 13433 15322
15128 13317 15233
15246 13397 15353
15399 13526 15507
15261 13399 15368
15145 13295 15251
15048 13210 15154
1/24/2005 14966 13163 15071
14996 13216 15103
15100 13280 15207
15144 13287 15252
15090 13252 15198
15257 13364 15367
15364 13456 15475
15424 13501 15536
15394 13467 15505
15578 13616 15691
15550 13602 15663
15565 13611 15679
15398 13498 15509
15450 13555 15562
15607 13652 15719
15601 13663 15714
15662 13709 15776
15669 13713 15783
15534 13605 15647
15531 13615 15645
15292 13418 15404
15375 13494 15488
15516 13605 15630
15674 13733 15791
15578 13645 15694
15690 13722 15807
15674 13723 15791
15693 13728 15810
15852 13860 15971
15917 13897 16037
15820 13832 15940
15659 13692 15776
15668 13718 15786
15578 13618 15696
15697 13695 15817
15575 13592 15694
15424 13483 15541
15468 13508 15585
15442 13501 15559
15402 13435 15520
15265 13298 15382
15258 13308 15374
15268 13295 15385
15269 13327 15387
15127 13229 15239
15341 13413 15459
15373 13404 15491
15299 13316 15412
15321 13354 15435
15376 13414 15491
15413 13448 15529
15509 13529 15625
15377 13416 15493
15370 13416 15486
15452 13491 15568
15236 13334 15350
15033 13201 15145
14727 12980 14837
14789 13018 14900
14926 13096 15039
14718 12923 14829
15011 13178 15125
4/22/2005 14880 13090 14993
15024 13203 15139
14873 13085 14986
14915 13140 15030
14734 12994 14845
14898 13149 15012
14968 13210 15083
14964 13198 15079
15183 13366 15301
15129 13332 15246
15143 13318 15260
15256 13403 15374
15100 13260 15218
15159 13323 15278
14990 13190 15107
14911 13132 15028
15082 13265 15201
15204 13359 15325
15408 13496 15530
15477 13559 15600
15488 13538 15612
15544 13591 15669
15536 13593 15660
15472 13548 15596
15589 13636 15715
15615 13651 15742
15568 13568 15694
15706 13695 15834
15751 13718 15879
15658 13624 15786
15682 13641 15811
15682 13640 15811
15659 13612 15784
15746 13684 15872
15717 13652 15847
15784 13687 15915
15851 13722 15983
15883 13753 16015
15956 13803 16089
16031 13871 16166
16010 13862 16145
15989 13833 16124
15998 13837 16134
15844 13690 15978
15709 13585 15842
15685 13575 15818
15875 13702 16010
15858 13684 15993
15786 13587 15921
15839 13624 15975
15984 13744 16122
15880 13633 16016
15925 13667 16062
16120 13827 16260
16245 13914 16387
16271 13946 16413
16283 13960 16413
16316 13997 16459
16333 14013 16476
16294 13935 16437
16426 14029 16571
16542 14097 16688
16400 14004 16545
7/22/2005 16513 14080 16660
16438 14027 16584
16500 14052 16647
16566 14118 16714
16678 14201 16827
16580 14092 16728
16587 14106 16736
16690 14206 16840
16695 14219 16845
16552 14115 16701
16389 14007 16536
16342 13970 16489
16427 14065 16575
16419 14045 16568
16534 14146 16684
16452 14061 16601
16522 14103 16672
16302 13937 16450
16321 13951 16469
16280 13938 16428
16315 13947 16464
16334 13970 16484
16289 13923 16453
16221 13832 16370
16275 13865 16425
16171 13781 16320
16265 13865 16415
16208 13823 16357
16399 13964 16550
16417 13978 16569
16359 13938 16511
16552 14114 16706
16607 14150 16763
16527 14097 16682
16679 14209 16836
16700 14199 16858
16590 14096 16746
16528 14050 16684
16510 14057 16666
16616 14174 16774
16485 14095 16640
16338 13984 16493
16153 13857 16305
16213 13911 16367
16272 13919 16427
16274 13922 16429
16286 13923 16441
16318 13940 16473
16453 14064 16611
16532 14077 16690
16538 14053 16697
16375 13914 16532
16085 13712 16239
15976 13656 16129
16037 13707 16192
15854 13608 16007
15776 13581 15927
15645 13500 15795
15633 13491 15782
15781 13602 15933
15851 13643 16004
15684 13506 15835
15886 13709 16040
15696 13504 15847
15748 13524 15901
10/24/2005 16020 13751 16175
15957 13719 16113
15886 13660 16041
15672 13519 15825
15933 13744 16090
16114 13842 16272
16080 13793 16238
16275 13933 16436
16334 13997 16495
16340 13999 16502
16382 14031 16545
16291 13989 16453
16330 14013 16493
16481 14134 16646
16519 14177 16685
16504 14167 16670
16434 14114 16599
16465 14143 16631
16674 14276 16842
16734 14341 16971
16821 14416 16992
16907 14490 17080
16965 14542 17138
16994 14572 17169
16841 14450 17014
16866 14453 17040
16813 14366 16986
17060 14540 17236
17078 14545 17255
17013 14511 17190
17048 14530 17225
16969 14460 17145
16970 14444 17180
17046 14485 17225
17065 14497 17245
17150 14579 17330
17150 14641 17406
17224 14621 17363
17241 14580 17334
16997 14495 17177
17004 14491 17185
17075 14528 17258
17163 14593 17346
17199 14601 17363
17025 14462 17207
17063 14483 17246
17025 14441 17207
16934 14371 17115
17186 14607 17371
17295 14663 17482
17305 14664 17492
17479 14805 17669
17576 14859 17768
17585 14855 17777
17625 14908 17818
17514 14815 17705
17532 14833 17725
17452 14779 17644
17432 14723 17624
17568 14805 17762
17289 14534 17481
17339 14561 17532
1/24/2006 17454 14596 17648
17420 14571 17614
17560 14677 17755
17685 14792 17883
17689 14810 17888
17623 14751 17821
17658 14780 17856
17504 14650 17699
17405 14573 17599
17466 14584 17662
17310 14467 17503
17434 14598 17629
17401 14577 17595
17425 14615 17620
17366 14569 17561
17539 14717 17736
17605 14772 17802
17754 14882 17954
17730 14857 17930
17670 14808 17869
17825 14921 18026
17774 14869 17974
17789 14890 17990
17853 14946 18055
17657 14791 17856
17823 14917 18025
17797 14893 18000
17758 14872 17960
17601 14768 17801
17525 14742 17723
17556 14776 17752
17486 14704 17685
17628 14812 17829
17671 14846 17874
17876 15000 18082
17992 15065 18200
18026 15092 18235
18075 15115 18285
18018 15090 18227
17902 14999 18111
18003 15090 18212
17983 15051 18193
18022 15066 18233
18005 15050 18216
17927 14953 18138
18094 15068 18305
18039 15038 18250
17974 14975 18184
17993 15010 18204
18085 15105 18298
18186 15172 18400
18168 15146 18382
17980 14990 18192
17973 15003 18186
17804 14890 18015
17834 14908 18045
17856 14919 18068
17818 14875 18030
18145 15134 18361
18208 15162 18425
18242 15180 18459
18212 15178 18430
4/24/2006 18163 15141 18380
18087 15068 18304
18138 15112 18356
18151 15166 18369
18159 15176 18378
18087 15114 18305
18193 15206 18416
18158 15147 18378
18237 15199 18457
18418 15356 18641
18434 15344 18657
18413 15350 18638
18407 15330 18632
18165 15137 18386
17942 14967 18161
17946 15006 18165
17876 14978 18095
17584 14730 17799
17475 14632 17687
17572 14693 17785
17473 14635 17686
17386 14572 17598
17394 14595 17605
17591 14763 17806
17710 14850 17927
17446 14615 17659
17629 14740 17846
17854 14921 18073
17861 14950 18081
17522 14685 17738
17471 14669 17686
17376 14582 17590
17382 14604 17596
17333 14539 17547
17066 14354 17276
16871 14211 17078
16950 14285 17159
17363 14589 17579
17238 14535 17505
17114 14402 17329
17092 14403 17307
17291 14543 17508
17199 14470 17415
17208 14457 17424
17282 14528 17500
17088 14396 17303
17163 14478 17379
17562 14790 17783
17585 14760 17807
17687 14877 17910
17507 14771 17729
17530 14812 17752
17391 14712 17612
17398 14734 17619
17466 14795 17688
17276 14635 17496
17029 14445 17245
16913 14374 17129
16887 14355 17103
16885 14382 17101
17204 14651 17425
17004 14527 17222
16826 14424 17043
7/24/2006 17119 14664 17339
17252 14757 17474
17234 14751 17455
17113 14693 17333
17332 14872 17556
17322 14851 17546
17221 14784 17441
17338 14875 17561
17417 14899 17641
17399 14889 17624
17343 14848 17567
17263 14799 17486
17162 14739 17384
17271 14810 17495
17173 14753 17397
17203 14771 17428
17482 14974 17711
17690 15093 17923
17727 15117 17960
17755 15174 17989
17655 15118 17887
17673 15133 17906
17569 15066 17800
17586 15102 17818
17571 15093 17804
17688 15171 17923
17761 15202 17997
17781 15209 18018
17808 15204 18045
17889 15288 18128
17928 15315 18168
17732 15166 17969
17643 15094 17878
17745 15151 17983
17766 15159 18005
18011 15317 18254
18101 15380 18345
18069 15360 18314
18124 15401 18370
18127 15417 18374
18072 15383 18319
18171 15464 18419
18057 15384 18304
17987 15346 18233
18172 15481 18422
18285 15598 18536
18293 15604 18544
18324 15634 18576
18258 15596 18509
18201 15543 18453
18206 15576 18460
18441 15767 18698
18525 15807 18782
18459 15764 18717
18504 15777 18762
18554 15810 18812
18514 15771 18773
18710 15921 18972
18744 15954 19006
18846 15994 19111
18749 15936 19012
18749 15960 19012
18753 15972 19016
18719 15991 18982
18831 16090 19096
18860 16094 19125
18920 16151 19186
19036 16231 19304
18877 16096 19143
18930 16104 19198
10/31/2006 18924 16104 19192
</Table>
<Table>
<Caption>
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2006
- ----------------------------------------------------------------------------
SINCE INCEPTION
ONE YEAR THREE YEAR (04/24/03)
-------- ---------- ---------------
RYDEX S&P EQUAL WEIGHT ETF........ 17.42% 14.58% 19.84%
S&P EQUAL WEIGHT TOTAL
RETURN INDEX.................... 17.94% 15.04% 20.33%
S&P 500 TOTAL RETURN INDEX........ 16.34% 11.44% 14.48%
</Table>
The returns presented above do not reflect the effect of taxes. Index returns
represent total returns. Past performance is no guarantee of future results. The
S&P Equal Weight Total Return Index and the S&P 500 Total Return Index are
unmanaged stock indices and, unlike the Fund, have no management fees or other
operating expense to reduce its reported returns. Returns are historical and
include changes in principal and reinvested dividends and capital gains.
ANNUAL REPORT 5
- --------------------------------------------------------------------------------
Rydex S&P Equal Weight ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- ------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------
AMERICAN POWER CONVERSION CORP. 0.28%
ALLEGHENY TECHNOLOGIES, INC. 0.25%
NUCOR CORP. 0.24%
HARMAN INTERNATIONAL INDUSTRIES, INC. 0.24%
REALOGY CORP. 0.23%
ALLIED WASTE INDUSTRIES, INC. 0.23%
NORFOLK SOUTHERN CORP. 0.23%
NVIDIA CORP. 0.23%
PHELPS DODGE CORP. 0.23%
AMAZON.COM, INC. 0.23%
- ------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Financials 17.47
Consumer Discretionary 17.53
Information Technology 15.40
Health Care 10.73
Industrials 10.60
Consumer Staples 7.61
Utilities 6.32
Energy 6.18
Materials 6.19
Telecommunication Services 1.97
</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 the Fund's investments
market value. These percentages may change over time.
ANNUAL REPORT 6
RYDEX RUSSELL TOP 50 ETF
MANAGER'S ANALYSIS
- --------------------------------------------------------------------------------
For the period ended October 31, 2006, the Rydex Russell Top 50 ETF returned
16.18%. Since inception in May 2005 the Rydex Russell Top 50 ETF has returned
10.85%.
CUMULATIVE FUND PERFORMANCE: MAY 4, 2005 - OCTOBER 31, 2006
(TOCOME
<Table>
<Caption>
RUSSELL TOP 50 TOTAL S&P 100 TOTAL RETURN
RYDEX RUSSELL TOP 50 ETF RETURN INDEX INDEX
------------------------ -------------------- --------------------
5/4/2005 10000 10000 10000
9976 9976 9972
9952 9953 9958
10010 10010 10014
9905 9905 9905
9954 9954 9941
9870 9870 9853
9846 9846 9824
9933 9934 9911
9990 9991 9968
10078 10079 10067
10132 10133 10117
10115 10117 10107
10151 10152 10138
10163 10165 10141
10145 10146 10113
10200 10202 10167
10204 10206 10165
10117 10118 10088
10213 10215 10179
10222 10224 10186
10130 10132 10105
10133 10135 10110
10130 10132 10118
10107 10109 10099
10152 10155 10137
10127 10129 10125
10142 10144 10143
10151 10153 10156
10222 10176 10180
10253 10207 10202
10297 10251 10237
10291 10246 10229
10272 10226 10213
10260 10214 10213
10140 10095 10101
10062 10017 10018
10056 10012 10010
10136 10091 10093
10126 10081 10092
10011 9966 9989
10032 9987 10006
10112 10067 10086
10026 9982 10005
10039 9995 10014
10163 10118 10146
10206 10161 10202
10231 10186 10222
10252 10208 10245
10300 10255 10299
10308 10264 10309
10221 10176 10228
10272 10228 10287
10310 10266 10327
10251 10207 10255
10273 10228 10291
10235 10191 10250
10243 10199 10258
10288 10244 10303
10332 10288 10351
7/29/2005 10233 10189 10263
10252 10207 10271
10330 10286 10342
10339 10295 10353
10274 10230 10281
10221 10177 10226
10195 10151 10199
10266 10222 10277
10234 10190 10248
10305 10261 10324
10239 10195 10240
10258 10214 10267
10162 10118 10164
10174 10129 10184
10175 10131 10179
10168 10124 10174
10181 10137 10190
10139 10096 10152
10059 10016 10072
10025 10036 10089
10023 9980 10033
10093 10050 10096
10066 10023 10059
10157 10114 10142
10168 10125 10141
10140 10097 10119
10267 10225 10254
10296 10254 10282
10274 10231 10249
10343 10301 10317
10327 10285 10307
10247 10205 10239
10214 10172 10201
10230 10188 10217
10280 10288 10308
10234 10241 10249
10167 10175 10177
10097 10105 10082
10126 10133 10123
10096 10104 10113
10090 10098 10109
10078 10085 10101
10087 10095 10121
10181 10190 10196
10163 10171 10196
10120 10128 10163
10035 10042 10073
9923 9930 9948
9905 9912 9924
9926 9933 9954
9883 9890 9902
9884 9891 9889
9850 9857 9856
9856 9863 9856
9911 9918 9912
9922 9929 9931
9839 9845 9843
9981 9987 9977
9816 9822 9817
9815 9822 9806
9963 9970 9964
9959 9967 9954
9924 9932 9912
9840 9847 9820
9997 10005 9986
10/31/2005 10035 10043 10027
9951 9997 9985
10064 10073 10072
10112 10121 10118
10123 10132 10129
10154 10162 10153
10138 10147 10130
10156 10165 10153
10242 10250 10233
10281 10290 10266
10266 10275 10262
10240 10249 10229
10241 10251 10233
10298 10308 10309
10362 10372 10374
10419 10430 10419
10461 10472 10468
10509 10520 10507
10534 10546 10530
10457 10469 10456
10436 10447 10453
10364 10375 10381
10454 10466 10483
10453 10465 10472
10442 10454 10453
10441 10453 10455
10389 10401 10406
10359 10371 10372
10367 10379 10385
10370 10382 10392
10431 10443 10451
10476 10489 10505
10480 10493 10499
10452 10465 10467
10435 10447 10432
10413 10425 10415
10421 10433 10429
10462 10474 10476
10465 10478 10480
10363 10376 10382
10364 10377 10388
10333 10345 10363
10284 10297 10312
10467 10480 10480
10497 10510 10509
10507 10520 10510
10603 10616 10591
10629 10641 10622
10622 10635 10611
10669 10682 10653
10599 10613 10578
10614 10627 10585
10573 10586 10534
10507 10521 10491
10543 10556 10549
10309 10323 10350
10319 10334 10369
10323 10338 10369
10322 10336 10369
10369 10383 10433
10461 10476 10519
10475 10490 10535
1/31/2006 10423 10439 10482
10449 10464 10518
10363 10378 10424
10297 10312 10372
10282 10297 10378
10217 10232 10309
10345 10360 10430
10341 10356 10428
10368 10384 10460
10329 10344 10429
10430 10445 10529
10464 10479 10570
10530 10545 10632
10516 10532 10618
10470 10487 10580
10532 10548 10633
10497 10513 10590
10510 10527 10602
10561 10578 10647
10456 10472 10550
10534 10551 10635
10502 10519 10612
10488 10505 10611
10434 10450 10555
10448 10464 10552
10482 10499 10584
10419 10435 10536
10490 10507 10620
10505 10522 10635
10589 10607 10724
10620 10638 10761
10638 10656 10779
10656 10674 10793
10663 10681 10792
10612 10631 10746
10674 10693 10817
10628 10647 10776
10636 10655 10781
10621 10640 10769
10528 10548 10681
10596 10616 10748
10581 10601 10737
10535 10555 10691
10564 10585 10721
10625 10647 10785
10653 10674 10819
10612 10633 10785
10505 10527 10672
10522 10543 10690
10461 10483 10616
10464 10486 10623
10470 10492 10632
10419 10441 10595
10576 10598 10772
10562 10585 10775
10571 10593 10794
10578 10601 10789
10557 10580 10771
10530 10552 10737
10570 10592 10783
10660 10682 10845
4/28/2006 10666 10689 10839
10609 10633 10795
10650 10674 10861
10595 10619 10811
10630 10653 10853
10734 10758 10970
10712 10736 10967
10719 10743 10984
10695 10719 10950
10571 10595 10818
10487 10511 10709
10554 10578 10753
10555 10579 10746
10392 10415 10560
10329 10352 10501
10350 10373 10530
10336 10360 10508
10303 10326 10472
10341 10365 10505
10444 10468 10608
10496 10521 10668
10332 10355 10500
10392 10417 10572
10510 10535 10682
10536 10561 10704
10369 10393 10524
10377 10401 10522
10328 10352 10459
10352 10376 10477
10289 10313 10419
10202 10225 10313
10109 10132 10199
10157 10180 10258
10317 10341 10444
10289 10314 10419
10221 10245 10342
10232 10256 10345
10307 10332 10436
10258 10282 10383
10221 10245 10359
10275 10299 10410
10205 10230 10329
10279 10304 10385
10472 10497 10590
10408 10434 10542
10507 10534 10639
10462 10488 10587
10525 10552 10634
10468 10495 10569
10478 10505 10587
10510 10537 10625
10387 10414 10504
10269 10295 10379
10217 10242 10329
10210 10236 10316
10258 10285 10348
10449 10476 10543
10379 10406 10470
10344 10370 10425
10512 10540 10592
10564 10592 10641
10585 10613 10644
10583 10611 10627
10707 10736 10748
7/31/2006 10677 10706 10722
10641 10670 10678
10699 10728 10739
10699 10728 10745
10710 10739 10736
10681 10711 10714
10665 10694 10684
10649 10678 10658
10679 10708 10708
10659 10688 10683
10674 10703 10704
10792 10822 10828
10852 10882 10900
10870 10901 10917
10934 10965 10979
10913 10944 10950
10920 10951 10956
10895 10926 10924
10939 10971 10947
10932 10963 10943
10988 11020 10993
10997 11029 11012
11003 11035 11013
10978 11010 10999
11041 11074 11064
11044 11077 11073
10957 10990 10985
10907 10939 10936
10932 10965 10972
10942 10974 10978
11038 11071 11078
11070 11103 11117
11075 11108 11111
11094 11128 11133
11107 11142 11154
11103 11137 11142
11174 11209 11212
11130 11165 11160
11110 11145 11144
11195 11230 11239
11280 11316 11335
11279 11315 11347
11291 11327 11369
11271 11307 11341
11244 11280 11327
11291 11328 11367
11424 11461 11493
11425 11461 11498
11418 11454 11478
11418 11455 11476
11439 11476 11500
11414 11451 11470
11511 11548 11568
11527 11565 11589
11522 11560 11607
11497 11535 11574
11535 11573 11602
11550 11588 11601
11618 11656 11633
11689 11728 11705
11668 11707 11703
11717 11757 11753
11764 11805 11805
11679 11719 11717
11663 11703 11711
10/31/2006 11662 11702 11717
</Table>
<Table>
<Caption>
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2006
- -----------------------------------------------------------------------------
SINCE INCEPTION
ONE YEAR (05/04/05)
-------- ---------------
RYDEX RUSSELL TOP 50 ETF........................ 16.18% 10.85%
RUSSELL TOP 50 TOTAL RETURN INDEX............... 16.52% 11.10%
S&P 100 TOTAL RETURN INDEX...................... 16.85% 11.19%
</Table>
The returns presented above do not reflect the effect of taxes. Index returns
represent total returns. Past performance is no guarantee of future results. The
Russell Top 50 Total Return Index and the S&P 100 Total Return Index are
unmanaged stock indices and, unlike the Fund, have no management fees or other
operating expense to reduce its reported returns. Returns are historical and
include changes in principal and reinvested dividends and capital gains.
ANNUAL REPORT 7
- --------------------------------------------------------------------------------
Rydex Russell Top 50 ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- ------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------
EXXON MOBIL CORP. 7.20%
GENERAL ELECTRIC CO. 6.08%
MICROSOFT CORP. 4.24%
CITIGROUP, INC. 4.15%
BANK OF AMERICA CORP. 4.09%
PROCTER & GAMBLE CO. 3.46%
JOHNSON & JOHNSON 3.32%
PFIZER, INC. 3.25%
ALTRIA GROUP, INC. 2.83%
JPMORGAN CHASE & CO. 2.75%
- ------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Financials 22.13
Information Technology 17.81
Health Care 14.80
Consumer Staples 11.65
Energy 11.34
Industrials 10.06
Telecommunication Services 6.28
Consumer Discretionary 5.93
</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 the Fund's investments
market value. These percentages may change over time.
ANNUAL REPORT 8
RYDEX S&P 500 PURE VALUE ETF
MANAGER'S ANALYSIS
- --------------------------------------------------------------------------------
Since inception in March 2006, the Rydex S&P 500 Pure Value ETF has returned
10.27% as large cap value began to outperform. Its benchmark, S&P 500/Citigroup
Pure Value Total Return Index, outperformed its counterpart index, the S&P 500
Value Total Return Index by .24% returning 10.53%.
CUMULATIVE FUND PERFORMANCE: MARCH 1, 2006 - OCTOBER 31, 2006
(TOCOME)
<Table>
<Caption>
RYDEX S&P 500 PURE VALUE S&P 500/CITIGROUP PURE S&P 500 VALUE TOTAL RETURN
ETF VALUE TOTAL RETURN INDEX INDEX
------------------------ ------------------------ --------------------------
3/1/2006 10000 10000 10000
9956 9956 9985
9937 9937 9965
9870 9870 9897
9836 9837 9877
9852 9852 9887
9821 9822 9847
3/10/2006 9921 9922 9928
9949 9950 9956
10066 10068 10070
10121 10123 10123
10173 10175 10149
10194 10196 10160
10152 10154 10133
10099 10101 10064
10162 10164 10137
10149 10151 10111
3/24/2006 10166 10169 10127
10168 10171 10128
10107 10109 10057
10184 10184 10142
10110 10110 10111
10070 10070 10076
10108 10109 10113
10181 10183 10190
10241 10243 10248
10207 10208 10231
4/7/2006 10099 10101 10125
10088 10089 10131
10006 10008 10054
10050 10052 10076
10049 10051 10082
10041 10043 10066
10241 10244 10263
10277 10280 10280
10309 10312 10298
4/21/2006 10308 10311 10305
10289 10293 10282
10228 10232 10222
10307 10311 10259
10344 10348 10308
10378 10382 10357
10350 10355 10313
10437 10442 10398
10399 10403 10373
10430 10435 10415
5/5/2006 10542 10547 10534
10565 10571 10522
10568 10574 10537
10605 10611 10535
10463 10468 10403
10322 10328 10272
10323 10329 10279
10278 10283 10266
10094 10098 10077
10032 10035 10001
5/19/2006 10105 10107 10055
10076 10078 10014
10020 10023 9971
10019 10021 9966
10169 10172 10082
10265 10268 10160
10091 10094 10002
10215 10218 10104
10360 10363 10238
6/2/2006 10366 10369 10269
10182 10186 10083
10148 10151 10061
10089 10093 9998
10113 10117 10005
10101 10106 9966
9980 9984 9838
9852 9854 9711
9877 9879 9742
10120 10125 9975
6/16/2006 10070 10075 9937
9978 9982 9845
9978 9982 9851
10075 10080 9948
10054 10060 9906
10063 10069 9895
10128 10135 9957
10024 10029 9866
10082 10088 9929
10284 10293 10148
6/30/2006 10314 10323 10138
10366 10377 10227
10272 10281 10158
10284 10293 10180
10146 10256 10118
10293 10303 10136
10317 10328 10186
10218 10227 10080
10056 10063 9929
7/14/2006 9998 10006 9882
9975 9984 9861
9989 9997 9885
10152 10162 10090
10063 10072 10002
9993 10002 9923
10147 10157 10084
10239 10250 10155
10245 10256 10157
10157 10167 10122
7/28/2006 10268 10279 10249
10262 10273 10240
10193 10204 10198
10254 10265 10261
10312 10323 10285
10297 10309 10277
10268 10279 10240
10236 10247 10197
10165 10176 10130
10202 10214 10175
8/11/2006 10161 10173 10135
10189 10201 10140
10328 10341 10288
10415 10429 10364
10416 10430 10375
10429 10443 10403
10374 10388 10368
10394 10408 10378
10331 10344 10335
10325 10339 10347
8/25/2006 10320 10334 10334
10384 10399 10384
10413 10428 10394
10393 10408 10388
10435 10450 10396
10484 10500 10453
10503 10519 10477
10423 10438 10381
10382 10397 10328
9/8/2006 10441 10458 10365
10425 10442 10351
10547 10564 10450
10603 10620 10510
10564 10581 10495
10548 10566 10510
10536 10554 10524
10516 10534 10510
10568 10586 10562
10481 10499 10506
9/22/2006 10453 10472 10494
10561 10579 10593
10642 10660 10675
10656 10675 10669
10672 10691 10691
10621 10640 10673
10626 10645 10652
10654 10673 10683
10762 10781 10795
10761 10781 10819
10/6/2006 10694 10714 10786
10733 10752 10805
10785 10805 10833
10803 10823 10814
10910 10930 10919
10951 10971 10956
10995 11015 10977
10955 10976 10937
10967 10988 10940
10966 10987 10946
10/20/2006 10958 10979 10944
11032 11053 11012
11072 11093 11029
11085 11106 11062
11135 11157 11118
11043 11064 11030
11070 11092 11033
10/31/2006 11032 11053 11029
</Table>
<Table>
<Caption>
TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2006
- -----------------------------------------------------------------------------
SINCE INCEPTION
(03/01/2006)
---------------
RYDEX S&P 500 PURE VALUE ETF............................... 10.27%
S&P 500/CITIGROUP PURE VALUE TOTAL RETURN INDEX............ 10.53%
S&P 500 VALUE TOTAL RETURN INDEX........................... 10.29%
</Table>
The returns presented above do not reflect the effect of taxes. Index returns
represent total returns. Past performance is no guarantee of future results. The
S&P 500 Pure Value Total Return Index and the S&P 500 Value Total Return Index
are unmanaged stock indices and, unlike the Fund, have no management fees or
other operating expense to reduce its reported returns. Returns are historical
and include changes in principal and reinvested dividends and capital gains.
ANNUAL REPORT 9
- --------------------------------------------------------------------------------
Rydex S&P 500 Pure Value ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- ------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------
DILLARD'S, INC. -- CLASS A 1.84%
RYDER SYSTEM, INC. 1.81%
GENERAL MOTORS CORP. 1.71%
UNITED STATES STEEL CORP. 1.71%
OFFICEMAX, INC. 1.61%
BIG LOTS, INC. 1.47%
ALLIED WASTE INDUSTRIES, INC. 1.37%
FORD MOTOR CO. 1.33%
CONOCOPHILLIPS 1.18%
SUPERVALU, INC. 1.16%
- ------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Financials 20.65
Utilities 18.40
Consumer Discretionary 16.68
Industrials 10.14
Materials 10.10
Consumer Staples 8.63
Telecommunication Services 6.25
Information Technology 4.91
Energy 3.13
Health Care 1.11
</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 the Fund's investments
market value. These percentages may change over time.
ANNUAL REPORT 10
RYDEX S&P 500 PURE GROWTH ETF
MANAGER'S ANALYSIS
- --------------------------------------------------------------------------------
Since inception in March 2006, the Rydex S&P 500 Pure Growth ETF has returned
2.77% as large caps outperformed small caps and value outperformed growth. For
the same time period, the S&P 500 Growth Total Return Index returned 5.67%.
CUMULATIVE RETURNS: MARCH 1, 2006 - OCTOBER 31, 2006
(TOCOME)
<Table>
<Caption>
RYDEX S&P 500 PURE S&P 500/CITIGROUP PURE S&P 500 GROWTH TOTAL
GROWTH ETF GROWTH TOTAL RETURN INDEX RETURN INDEX
------------------ ------------------------- --------------------
3/1/2006 10000 10000 10000
9992 9992 9983
9966 9966 9974
9888 9889 9903
9850 9850 9887
9876 9877 9923
9825 9826 9866
3/10/2006 9883 9884 9931
9902 9903 9948
10018 10019 10042
10053 10055 10076
10073 10074 10086
10085 10087 10105
10058 10060 10099
9999 10001 10045
10037 10038 10095
10035 10037 10068
3/24/2006 10059 10061 10072
10045 10048 10050
10028 10031 9992
10119 10121 10061
10104 10107 10052
10059 10062 10002
10046 10049 10012
10111 10114 10064
10131 10134 10095
10128 10131 10078
4/7/2006 10038 10042 9974
10037 10040 9985
9945 9949 9910
9955 9959 9913
9957 9961 9922
9944 9948 9880
10072 10077 10030
10108 10112 10050
10144 10149 10056
4/21/2006 10096 10100 10047
10079 10083 10022
10012 10017 9982
10019 10023 10004
9980 9984 10028
9973 9977 9994
9925 9929 9954
9947 9952 9994
9909 9913 9940
9925 9929 9967
5/5/2006 10022 10027 10059
10025 10030 10056
9997 10002 10048
9989 9994 10025
9849 9854 9897
9728 9733 9799
9746 9752 9846
9724 9729 9821
9593 9598 9677
9538 9543 9621
5/19/2006 9574 9579 9649
9525 9530 9613
9470 9475 9571
9488 9493 9607
9589 9595 9715
9629 9635 9754
9486 9492 9598
9566 9572 9663
9681 9688 9773
6/2/2006 9659 9666 9781
9481 9487 9611
9451 9458 9611
9430 9437 9558
9437 9444 9580
9403 9410 9531
9265 9273 9412
9195 9203 9346
9257 9265 9413
9468 9475 9589
6/16/2006 9432 9440 9554
9322 9330 9469
9297 9305 9463
9413 9421 9555
9359 9368 9499
9375 9383 9492
9388 9397 9526
9287 9297 9439
9328 9338 9486
9544 9554 9687
6/30/2006 9552 9563 9656
9584 9595 9725
9482 9493 9652
9495 9506 9685
9423 9434 9612
9414 9425 9623
9452 9463 9656
9337 9348 9547
9230 9241 9443
7/14/2006 9160 9171 9396
9163 9173 9390
9143 9154 9404
9312 9324 9559
9198 9209 9480
9100 9111 9422
9287 9299 9583
9377 9389 9636
9344 9356 9627
9280 9292 9584
7/28/2006 9407 9420 9697
9406 9419 9677
9360 9372 9630
9437 9450 9689
9481 9494 9698
9471 9484 9692
9436 9450 9673
9416 9430 9651
9342 9355 9637
9397 9410 9687
8/11/2006 9340 9356 9650
9330 9345 9669
9488 9505 9794
9603 9620 9876
9643 9660 9899
9659 9676 9946
9589 9607 9906
9606 9624 9916
9548 9565 9870
9566 9583 9907
8/25/2006 9557 9574 9906
9623 9642 9961
9672 9690 9992
9699 9717 10007
9701 9720 9993
9752 9772 10049
9781 9801 10061
9660 9679 9957
9614 9633 9913
9/8/2006 9671 9691 9953
9702 9721 9977
9869 9890 10090
9908 9929 10115
9885 9906 10102
9950 9972 10143
9941 9962 10150
9902 9924 10119
9960 9982 10175
9893 9914 10124
9/22/2006 9840 9862 10086
9940 9963 10168
9993 10015 10242
9984 10006 10257
9995 10018 10274
9964 9987 10242
9909 9932 10192
9895 9919 10205
10084 10107 10350
10136 10160 10378
10/6/2006 10094 10119 10354
10133 10157 10352
10140 10164 10369
10093 10118 10335
10203 10228 10433
10192 10217 10440
10233 10259 10473
10175 10200 10434
10173 10198 10462
10172 10197 10473
10/20/2006 10159 10185 10501
10220 10246 10566
10262 10288 10554
10280 10306 10598
10349 10375 10649
10244 10271 10556
10264 10291 10563
10/31/2006 10278 10304 10567
</Table>
<Table>
<Caption>
TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2006
- -----------------------------------------------------------------------------
SINCE INCEPTION
(03/01/2006)
---------------
RYDEX S&P 500 PURE GROWTH ETF.............................. 2.77%
S&P 500/CITIGROUP PURE GROWTH TOTAL RETURN................. 3.04%
S&P 500 GROWTH TOTAL RETURN................................ 5.67%
</Table>
The returns presented above do not reflect the effect of taxes. Index returns
represent total returns. Past performance is no guarantee of future results. The
S&P 500 Pure Growth Total Return Index and the S&P 500 Growth Total Return Index
are unmanaged stock indices and, unlike the Fund, have no management fees or
other operating expense to reduce its reported returns. Returns are historical
and include changes in principal and reinvested dividends and capital gains.
ANNUAL REPORT 11
- --------------------------------------------------------------------------------
Rydex S&P 500 Pure Growth ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- ------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------
NVIDIA CORP. 2.58%
INTERNATIONAL GAME TECHNOLOGY, INC. 2.12%
GOOGLE, INC. 1.89%
XTO ENERGY, INC. 1.75%
FISHER SCIENTIFIC INTERNATIONAL, INC. 1.49%
AUTOZONE, INC. 1.47%
FOREST LABORATORIES, INC. 1.43%
COACH, INC. 1.39%
CHICAGO MERCANTILE EXCHANGE HOLDINGS, INC. 1.39%
TJX COS., INC. 1.35%
- ------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 27.51
Health Care 24.26
Information Technology 17.62
Financials 9.64
Consumer Staples 8.56
Energy 7.61
Industrials 2.69
Materials 2.11
</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 the Fund's investments
market value. These percentages may change over time.
ANNUAL REPORT 12
RYDEX S&P MIDCAP 400 PURE VALUE ETF
MANAGER'S ANALYSIS
- --------------------------------------------------------------------------------
Since inception in March 2006, the Rydex S&P MidCap 400 Pure Value ETF returned
6.48%, outperforming the S&P MidCap 400 Value Total Return Index by 3.37%.
CUMULATIVE RETURN: MARCH 1, 2006 - OCTOBER 31, 2006
[LINE GRAPH]
<Table>
<Caption>
S&P MIDCAP 400/CITIGROUP
RYDEX S&P MIDCAP 400 PURE VALUE TOTAL RETURN S&P MIDCAP 400 VALUE
PURE VALUE ETF INDEX TOTAL RETURN INDEX
-------------------- ------------------------ --------------------
3/1/2006 10000 10000 10000
9903 9903 9971
9863 9864 9944
9780 9781 9866
9701 9703 9762
9709 9710 9775
9715 9716 9750
3/10/2006 9795 9797 9820
9813 9814 9847
9897 9899 9946
9964 9966 10028
9951 9954 10037
9970 9973 10064
9953 9956 10027
9864 9866 9940
9952 9955 10017
9911 9913 10014
3/24/2006 9958 9961 10057
9977 9980 10056
9903 9907 10016
10033 10037 10130
10006 10010 10119
9999 10003 10127
10030 10034 10137
10060 10064 10165
10119 10123 10235
10096 10100 10238
4/7/2006 9985 9989 10136
9942 9947 10100
9824 9829 9992
9879 9884 10033
9862 9866 10030
9851 9856 10029
10079 10085 10263
10146 10152 10358
10208 10214 10362
4/21/2006 10200 10207 10362
10164 10171 10334
10182 10189 10312
10187 10194 10296
10184 10191 10315
10180 10187 10339
10149 10157 10324
10198 10206 10371
10223 10231 10365
10310 10318 10437
5/5/2006 10406 10415 10531
10423 10432 10548
10403 10412 10530
10365 10374 10508
10205 10213 10361
10003 10011 10186
10012 10020 10138
9977 9985 10104
9798 9804 9928
9741 9747 9833
5/19/2006 9791 9797 9860
9779 9785 9789
9685 9691 9738
9748 9755 9745
9882 9890 9879
9942 9950 9944
9751 9758 9785
9886 9894 9926
10052 10062 10077
6/2/2006 10071 10081 10114
9855 9863 9880
9861 9869 9828
9793 9801 9744
9759 9768 9700
9774 9783 9687
9610 9618 9491
9474 9482 9342
9501 9510 9367
9769 9778 9660
6/16/2006 9714 9724 9609
9591 9600 9466
9592 9602 9440
9739 9749 9600
9665 9674 9539
9720 9730 9585
9801 9812 9654
9694 9704 9560
9731 9742 9587
10008 10019 9863
6/30/2006 10068 10080 9922
10122 10134 9990
10023 10035 9853
10025 10037 9876
9982 9994 9800
10016 10028 9808
10089 10102 9852
9967 9979 9736
9787 9798 9566
7/14/2006 9726 9737 9500
9695 9707 9439
9724 9736 9450
9749 9916 9667
9749 9761 9465
9665 9677 9335
9852 9865 9517
9914 9928 9618
9895 9909 9619
9802 9815 9539
7/28/2006 9935 9949 9692
9912 9926 9701
9860 9874 9643
9905 9919 9691
9970 9984 9749
9948 9963 9732
9901 9916 9664
9855 9870 9594
9747 9760 9529
9784 9798 9571
8/11/2006 9695 9709 9497
9749 9763 9512
9897 9912 9679
10010 10026 9802
10008 10024 9796
10017 10034 9814
9925 9941 9735
9948 9964 9753
9849 9864 9658
9837 9852 9646
8/25/2006 9814 9830 9636
9914 9930 9710
10000 10017 9766
10025 10042 9796
10089 10107 9845
10110 10129 9877
10153 10171 9924
10015 10033 9760
9967 9984 9696
9/8/2006 9996 10015 9710
10014 10032 9688
10171 10191 9832
10225 10245 9916
10178 10198 9861
10166 10186 9855
10119 10140 9839
10093 10114 9806
10193 10214 9875
10081 10101 9792
9/22/2006 10021 10042 9727
10117 10138 9814
10186 10207 9881
10206 10227 9911
10193 10214 9917
10124 10145 9866
10127 10148 9834
10136 10158 9816
10290 10311 9951
10368 10389 10061
10/6/2006 10305 10326 10005
10351 10372 10070
10382 10403 10100
10384 10405 10091
10523 10543 10227
10565 10586 10275
10633 10654 10343
10584 10605 10276
10582 10603 10263
10638 10659 10308
10/20/2006 10598 10620 10236
10641 10662 10282
10637 10659 10312
10690 10712 10371
10778 10800 10440
10647 10669 10322
10680 10702 10351
10/31/2006 10652 10674 10311
</Table>
<Table>
<Caption>
TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2006
- -----------------------------------------------------------------------------
SINCE INCEPTION
(03/01/2006)
---------------
RYDEX S&P MIDCAP 400 PURE VALUE ETF........................ 6.48%
S&P MIDCAP 400/CITIGROUP PURE VALUE TOTAL RETURN........... 6.74%
S&P MIDCAP 400 VALUE TOTAL RETURN.......................... 3.11%
</Table>
The returns presented above do not reflect the effect of taxes. Index returns
represent total returns. Past performance is no guarantee of future results. The
S&P MidCap 400 Pure Value Total Return Index and the S&P MidCap 400 Value Total
Return Index are unmanaged stock indices and, unlike the Fund, have no
management fees or other operating expense to reduce its reported returns.
Returns are historical and include changes in principal and reinvested dividends
and capital gains.
ANNUAL REPORT 13
- --------------------------------------------------------------------------------
Rydex S&P Midcap 400 Pure Value ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- ------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------
ATMEL CORP. 3.14%
NORTHEAST UTILITIES 2.49%
NSTAR 2.16%
PEPCO HOLDINGS, INC. 1.90%
AMERICAN FINANCIAL GROUP, INC. 1.82%
SEQUA CORP. 1.79%
LEAR CORP. 1.74%
ALASKA AIR GROUP, INC. 1.71%
ARVINMERITOR, INC. 1.65%
OGE ENERGY CORP. 1.61%
- ------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Utilities 26.71
Financials 17.05
Industrials 14.87
Consumer Discretionary 13.88
Materials 12.18
Information Technology 8.44
Consumer Staples 4.42
Telecommunication Services 1.56
Health Care 0.59
Energy 0.30
</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 the Fund's investments
market value. These percentages may change over time.
ANNUAL REPORT 14
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
MANAGER'S ANALYSIS
- --------------------------------------------------------------------------------
For the period ending October 31, 2006 the Rydex S&P MidCap 400 Pure Growth ETF
returned a -4.76% as value outperformed growth. For the same time period, the
S&P MidCap 400 Growth Total Return Index returned -1.78%.
CUMULATIVE RETURNS: MARCH 1, 2006 - OCTOBER 31, 2006
(TOCOME)
<Table>
<Caption>
S&P MIDCAP 400/CITIGROUP
RYDEX S&P MIDCAP 400 PURE GROWTH TOTAL RETURN S&P MIDCAP 400 GROWTH
PURE GROWTH ETF INDEX TOTAL RETURN INDEX
-------------------- ------------------------ ---------------------
3/1/2006 10000 10000 10000
9918 9918 9957
9883 9884 9922
9802 9802 9808
9678 9679 9683
9684 9685 9689
9618 9619 9622
3/10/2006 9690 9691 9677
9736 9737 9739
9835 9836 9849
9871 9872 9904
9850 9851 9905
9883 9885 9932
9874 9876 9903
9804 9806 9820
9886 9888 9898
9905 9907 9926
3/24/2006 9933 9936 9986
9907 9910 9979
9898 9901 9957
10023 10025 10053
10029 10032 10071
10045 10048 10069
9982 9986 10033
10037 10040 10071
10123 10126 10152
10134 10137 10161
4/7/2006 10042 10046 10062
9990 9994 10027
9890 9894 9938
9894 9898 9956
9904 9908 9976
9888 9893 9970
10098 10102 10182
10180 10185 10287
10178 10183 10291
4/21/2006 10086 10092 10255
10020 10026 10204
9990 9996 10149
9961 9967 10090
9918 9924 10078
9962 9968 10135
9898 9904 10110
9930 9936 10163
9924 9930 10143
9913 9919 10188
5/5/2006 10010 10017 10304
10008 10015 10321
9974 9981 10293
9943 9950 10277
9811 9818 10156
9647 9654 9970
9594 9602 9887
9584 9591 9874
9430 9437 9697
9381 9388 9609
5/19/2006 9430 9437 9623
9336 9344 9542
9272 9279 9498
9244 9252 9460
9335 9343 9558
9399 9408 9622
9228 9236 9470
9362 9371 9620
9507 9516 9766
6/2/2006 9520 9529 9803
9272 9280 9550
9251 9259 9494
9202 9210 9420
9176 9183 9373
9143 9150 9349
8912 8915 9115
8765 8767 8960
8833 8835 9032
9125 9132 9331
6/16/2006 9077 9083 9306
8943 8948 9143
8906 8910 9097
9072 9079 9276
9015 9021 9228
9169 9177 9359
9194 9203 9392
9091 9098 9309
9068 9075 9306
9336 9347 9588
6/30/2006 9379 9391 9629
9428 9440 9705
9277 9288 9537
9300 9311 9566
9208 9218 9459
9152 9161 9414
9186 9196 9443
9061 9069 9329
8892 8897 9170
7/14/2006 8817 8823 9100
8780 8787 9030
8782 8789 9024
8811 9031 9255
8811 8818 9028
8695 8701 8885
8928 8935 9104
9021 9029 9230
8963 8971 9218
8851 8858 9106
7/28/2006 8995 9003 9253
8994 9003 9285
8872 8880 9186
8935 8943 9264
9003 9012 9338
8918 8926 9271
8870 8878 9225
8759 8767 9132
8664 8672 9059
8733 8741 9136
8/11/2006 8642 8650 9053
8633 8641 9045
8813 8821 9224
8967 8977 9372
8977 8987 9377
9014 9024 9398
8904 8914 9306
8904 8914 9308
8836 8845 9226
8748 8757 9190
8/25/2006 8747 8756 9190
8843 8854 9264
8894 8905 9303
8925 8935 9318
8936 8946 9354
8989 9000 9418
9014 9026 9448
8864 8875 9281
8824 8835 9227
9/8/2006 8827 8839 9223
8853 8865 9222
9081 9093 9400
9136 9148 9490
9085 9097 9412
9066 9079 9402
9080 9093 9415
9067 9080 9382
9132 9145 9428
9088 9101 9382
9/22/2006 9025 9038 9304
9130 9144 9404
9213 9227 9498
9221 9235 9523
9226 9240 9534
9131 9145 9469
9092 9106 9394
9085 9100 9358
9263 9278 9532
9379 9394 9654
10/6/2006 9313 9328 9585
9376 9391 9628
9419 9435 9675
9385 9401 9640
9559 9576 9801
9600 9617 9847
9672 9690 9928
9576 9594 9822
9532 9549 9791
9549 9567 9841
10/20/2006 9504 9522 9773
9556 9574 9826
9543 9560 9846
9551 9569 9875
9668 9686 9988
9542 9560 9868
9575 9594 9879
10/31/2006 9524 9542 9822
</Table>
<Table>
<Caption>
TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2006
- -----------------------------------------------------------------------------
SINCE INCEPTION
(03/01/06)
---------------
RYDEX S&P MIDCAP 400 PURE GROWTH ETF....................... -4.76%
S&P MIDCAP 400/CITIGROUP PURE GROWTH TOTAL RETURN INDEX.... -4.58%
S&P MIDCAP 400 GROWTH TOTAL RETURN INDEX................... -1.78%
</Table>
The returns presented above do not reflect the effect of taxes. Index returns
represent total returns. Past performance is no guarantee of future results. The
S&P MidCap 400 Pure Growth Total Return Index and the S&P MidCap 400 Growth
Total Return Index are unmanaged stock indices and, unlike the Fund, have no
management fees or other operating expense to reduce its reported returns.
Returns are historical and include changes in principal and reinvested dividends
and capital gains.
ANNUAL REPORT 15
- --------------------------------------------------------------------------------
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- ------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------
COGNIZANT TECHNOLOGY SOLUTIONS CORP. 2.99%
AEROPOSTALE, INC. 2.45%
GAMESTOP CORP. -- CLASS A 2.38%
CORPORATE EXECUTIVE BOARD CO. 1.96%
ITT EDUCATIONAL SERVICES, INC. 1.95%
ABERCROMBIE & FITCH CO. -- CLASS A 1.92%
CEPHALON, INC. 1.87%
SEPRACOR, INC. 1.84%
WESTERN DIGITAL CORP. 1.83%
SEI INVESTMENTS CO. 1.78%
- ------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 30.22
Information Technology 19.31
Health Care 17.47
Industrials 14.92
Financials 8.22
Energy 7.75
Consumer Staples 2.11
</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 the Fund's investments
market value. These percentages may change over time.
ANNUAL REPORT 16
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
MANAGER'S ANALYSIS
- --------------------------------------------------------------------------------
For the majority of the fiscal year ending October 31, 2006 small caps stocks
continued to rally. In the 4(th) quarter of the fiscal year, Rydex S&P SmallCap
600 Pure Value ETF returned 8.28%. Since inception in March 2006, the Rydex S&P
SmallCap 600 Pure Value ETF has returned 5.19%.
CUMULATIVE RETURNS: MARCH 1, 2006 - OCTOBER 31, 2006
(TOCOME)
<Table>
<Caption>
S&P SMALLCAP
RYDEX S&P SMALLCAP 600 600/CITIGROUP PURE VALUE S&P SMALLCAP 600 VALUE
PURE VALUE ETF TOTAL RETURN INDEX TOTAL RETURN INDEX
---------------------- ------------------------ ----------------------
3/1/2006 10000 10000 10000
9938 9938 9980
9905 9905 9941
9855 9856 9847
9716 9717 9722
9735 9736 9727
9692 9692 9684
3/10/2006 9838 9839 9817
9846 9847 9832
9932 9933 9948
9983 9984 10026
10020 10022 10048
10077 10079 10085
10107 10109 10090
9963 9965 9981
10134 10136 10115
10169 10171 10144
3/24/2006 10235 10238 10204
10238 10241 10200
10176 10179 10154
10350 10353 10317
10319 10323 10296
10339 10343 10336
10296 10300 10288
10355 10360 10337
10373 10377 10391
10369 10373 10386
4/7/2006 10249 10253 10259
10185 10190 10214
10064 10068 10085
10120 10124 10134
10127 10132 10154
10110 10115 10154
10338 10344 10424
10451 10457 10535
10434 10440 10500
4/21/2006 10395 10401 10477
10340 10346 10407
10330 10336 10379
10348 10354 10374
10309 10316 10303
10361 10368 10351
10331 10338 10347
10451 10458 10427
10458 10465 10448
10490 10498 10566
5/5/2006 10585 10594 10651
10598 10606 10666
10590 10598 10664
10487 10496 10608
10184 10192 10358
9981 9988 10159
9951 9958 10095
9957 9964 10090
9816 9823 9937
9741 9748 9860
5/19/2006 9825 9832 9926
9788 9795 9855
9704 9711 9791
9775 9782 9824
9924 9932 9985
9889 9897 10005
9650 9657 9756
9769 9777 9880
9948 9958 10066
6/2/2006 9962 9973 10085
9690 9699 9801
9623 9631 9730
9603 9610 9688
9664 9673 9689
9586 9594 9625
9376 9380 9385
9238 9240 9272
9235 9236 9310
9526 9533 9615
6/16/2006 9440 9446 9525
9297 9300 9379
9252 9254 9334
9402 9407 9504
9439 9445 9488
9449 9455 9499
9577 9585 9626
9437 9444 9475
9486 9493 9506
9821 9835 9847
6/30/2006 9919 9935 9918
9956 9972 9986
9860 9875 9858
9914 9930 9897
9762 9775 9745
9805 9819 9771
9871 9886 9830
9679 9691 9651
9478 9486 9462
7/14/2006 9393 9403 9373
9325 9335 9293
9397 9408 9354
9446 9693 9642
9446 9457 9383
9306 9317 9221
9563 9574 9456
9671 9683 9554
9602 9614 9499
9492 9503 9388
7/28/2006 9703 9716 9588
9715 9728 9593
9562 9574 9467
9584 9596 9548
9693 9706 9676
9627 9640 9646
9576 9589 9574
9449 9462 9480
9377 9389 9398
9434 9446 9464
8/11/2006 9320 9332 9376
9372 9385 9413
9543 9557 9621
9652 9666 9770
9680 9694 9781
9713 9727 9795
9673 9688 9714
9737 9752 9744
9620 9635 9605
9581 9596 9582
8/25/2006 9594 9609 9591
9689 9704 9686
9804 9821 9796
9833 9849 9842
9839 9855 9850
9876 9893 9884
9983 10000 9985
9791 9807 9789
9690 9706 9719
9/8/2006 9718 9734 9752
9676 9692 9725
9879 9897 9942
9986 10004 10036
9928 9947 9981
9983 10002 10017
9966 9985 10015
9922 9942 9972
10025 10044 10092
9938 9958 9990
9/22/2006 9905 9925 9904
10009 10029 10015
10025 10044 10062
10096 10116 10112
10074 10094 10092
9941 9961 9977
9860 9880 9893
9914 9933 9907
10067 10078 10090
10157 10170 10211
10/6/2006 10084 10097 10155
10177 10190 10225
10206 10219 10248
10162 10174 10216
10378 10391 10416
10441 10455 10483
10525 10539 10588
10498 10511 10523
10476 10490 10474
10530 10544 10520
10/20/2006 10477 10491 10438
10500 10514 10465
10552 10566 10494
10620 10635 10573
10724 10738 10659
10580 10595 10524
10628 10643 10578
10/31/2006 10524 10538 10519
</Table>
<Table>
<Caption>
TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2006
- -----------------------------------------------------------------------------
SINCE INCEPTION
(03/01/06)
---------------
RYDEX S&P SMALLCAP 600 PURE VALUE ETF...................... 5.19%
S&P SMALLCAP 600/CITIGROUP PURE VALUE TOTAL RETURN INDEX... 5.38%
S&P SMALLCAP 600 VALUE TOTAL RETURN INDEX.................. 5.19%
</Table>
The returns presented above do not reflect the effect of taxes. Index returns
represent total returns. Past performance is no guarantee of future results. The
S&P SmallCap 600 Pure Value Total Return Index and the S&P SmallCap 600 Value
Total Return Index are unmanaged stock indices and, unlike the Fund, have no
management fees or other operating expense to reduce its reported returns.
Returns are historical and include changes in principal and reinvested dividends
and capital gains.
ANNUAL REPORT 17
- --------------------------------------------------------------------------------
Rydex S&P Smallcap 600 Pure Value ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- ------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------
ALLIANCE ONE INTERNATIONAL, INC. 1.50%
VOLT INFORMATION SCIENCES, INC. 1.47%
GROUP 1 AUTOMOTIVE, INC. 1.42%
CHAPARRAL STEEL CO. 1.37%
CENTRAL VERMONT PUBLIC SERVICE CORP. 1.34%
KELLWOOD CO. 1.30%
ROCK-TENN CO. 1.28%
SCHULMAN A, INC. 1.17%
STANDARD MOTOR PRODUCTS, INC. 1.17%
MYERS INDUSTRIES, INC. 1.13%
- ------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 21.45
Materials 19.05
Industrials 17.91
Utilities 12.66
Financials 12.44
Information Technology 8.17
Consumer Staples 5.20
Health Care 2.91
Energy 0.21
</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 the Fund's investments
market value. These percentages may change over time.
ANNUAL REPORT 18
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
MANAGER'S ANALYSIS
- --------------------------------------------------------------------------------
Since inception in March 2006 the Rydex S&P SmallCap 600 Pure Growth ETF has
returned -.55%, tracking its benchmark the S&P SmallCap 600/Citigroup Pure
Growth Index. The S&P SmallCap 600 Pure Growth Index counterpart, the S&P 600
Growth Index, returned .07% for the same time period as large caps and value
stocks outperformed.
CUMULATIVE RETURNS: MARCH 1, 2006 - OCTOBER 31, 2006
(TO COME)
<Table>
<Caption>
S&P SMALLCAP
RYDEX S&P SMALLCAP 600 600/CITIGROUP PURE GROWTH S&P SMALLCAP 600 GROWTH
PURE GROWTH ETF TOTAL RETURN INDEX TOTAL RETURN INDEX
---------------------- ------------------------- -----------------------
3/1/2006 10000 10000 10000
9970 9970 9995
9964 9964 9968
9845 9846 9842
9747 9748 9726
9776 9777 9741
9737 9737 9699
3/10/2006 9853 9854 9804
9876 9877 9838
9917 9918 9941
10014 10016 10018
10048 10050 10064
10084 10086 10079
10071 10073 10080
10046 10048 10028
10144 10146 10131
10193 10196 10170
3/24/2006 10243 10246 10218
10228 10231 10212
10178 10181 10187
10320 10323 10322
10311 10314 10308
10357 10360 10354
10252 10255 10269
10313 10316 10336
10328 10332 10370
10327 10331 10353
4/7/2006 10206 10210 10230
10172 10176 10205
10053 10057 10079
10110 10115 10128
10142 10147 10159
10145 10150 10170
10365 10370 10402
10444 10449 10507
10442 10447 10488
4/21/2006 10373 10378 10438
10365 10370 10383
10342 10348 10330
10403 10409 10338
10346 10352 10287
10395 10401 10336
10336 10342 10309
10405 10412 10362
10396 10402 10347
10473 10480 10421
5/5/2006 10605 10612 10553
10607 10615 10561
10584 10591 10554
10498 10505 10533
10253 10261 10309
10089 10097 10118
10094 10101 10094
10152 10160 10127
10012 10019 9974
9877 9883 9861
5/19/2006 9901 9908 9881
9846 9852 9808
9791 9797 9760
9790 9796 9742
9956 9963 9910
10030 10038 9959
9779 9786 9723
9904 9912 9861
10055 10064 10023
6/2/2006 10051 10061 10030
9790 9798 9754
9739 9745 9696
9705 9711 9647
9682 9688 9620
9635 9641 9590
9405 9409 9358
9264 9267 9241
9333 9337 9290
9588 9594 9565
6/16/2006 9530 9536 9510
9362 9366 9343
9320 9324 9301
9491 9496 9466
9461 9465 9428
9527 9533 9488
9598 9605 9563
9438 9443 9411
9456 9461 9436
9756 9766 9742
6/30/2006 9814 9824 9825
9907 9918 9908
9790 9801 9790
9831 9843 9804
9694 9705 9675
9648 9660 9657
9714 9725 9715
9537 9548 9563
9352 9363 9383
7/14/2006 9267 9278 9302
9195 9206 9221
9180 9191 9233
9167 9422 9478
9167 9177 9219
9060 9071 9093
9333 9345 9322
9435 9447 9419
9367 9379 9369
9242 9254 9248
7/28/2006 9420 9434 9416
9496 9510 9471
9362 9375 9356
9414 9427 9420
9477 9490 9508
9438 9452 9469
9311 9324 9388
9232 9244 9315
9148 9160 9229
9170 9182 9276
8/11/2006 9113 9125 9204
9128 9140 9214
9305 9318 9407
9408 9422 9537
9446 9460 9562
9456 9470 9571
9351 9365 9475
9392 9406 9498
9272 9285 9366
9264 9278 9356
8/25/2006 9263 9277 9360
9340 9354 9436
9408 9423 9511
9438 9453 9542
9395 9409 9536
9394 9410 9556
9413 9428 9607
9180 9194 9408
9165 9179 9376
9/8/2006 9192 9207 9391
9174 9189 9371
9402 9418 9577
9500 9516 9670
9470 9486 9616
9497 9513 9644
9513 9530 9660
9460 9477 9611
9566 9583 9683
9517 9534 9615
9/22/2006 9413 9430 9504
9513 9530 9605
9551 9569 9660
9572 9590 9677
9563 9580 9667
9463 9481 9584
9362 9379 9476
9334 9351 9452
9543 9562 9639
9643 9663 9748
10/6/2006 9596 9616 9700
9699 9720 9758
9709 9729 9780
9657 9677 9736
9830 9852 9919
9886 9908 9974
9962 9985 10082
9867 9889 9990
9865 9887 9972
9896 9919 10012
10/20/2006 9878 9901 9959
9928 9951 9980
9931 9954 9991
9978 10002 10061
10097 10122 10151
9976 10001 10034
9993 10017 10059
10/31/2006 9945 9970 10007
</Table>
<Table>
<Caption>
TOTAL RETURNS FOR THE PERIOD ENDED OCTOBER 31, 2006
- -----------------------------------------------------------------------------
SINCE INCEPTION
(03/01/2006)
---------------
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF..................... -.55%
S&P SMALLCAP 600/CITIGROUP PURE GROWTH TOTAL RETURN
INDEX.................................................... -.30%
S&P SMALLCAP 600 GROWTH TOTAL RETURN INDEX................. .07%
</Table>
The returns presented above do not reflect the effect of taxes. Index returns
represent total returns. Past performance is no guarantee of future results. The
S&P SmallCap 600/ Citigroup Pure Growth Total Return Index and the S&P SmallCap
600 Growth Total Return Index are unmanaged stock indices and, unlike the Fund,
have no management fees or other operating expense to reduce its reported
returns. Returns are historical and include changes in principal and reinvested
dividends and capital gains.
ANNUAL REPORT 19
- --------------------------------------------------------------------------------
Rydex S&P Smallcap 600 Pure Growth ETF
- --------------------------------------------------------------------------------
<Table>
<Caption>
TOP 10 HOLDINGS*
- ------------------------------------------------------------------------------
DESCRIPTION % OF NET ASSETS
- ------------------------------------------------------------------------------
COINSTAR, INC. 2.02%
CHRISTOPHER & BANKS CORP. 1.84%
j2 GLOBAL COMMUNICATIONS, INC. 1.80%
FRONTIER OIL CORP. 1.71%
CNS, INC. 1.66%
BIOLASE TECHNOLOGY, INC. 1.42%
FACTSET RESEARCH SYSTEMS, INC. 1.31%
PORTFOLIO RECOVERY ASSOCIATES, INC. 1.30%
CONNETICS CORP. 1.23%
WEBSENSE, INC. 1.23%
- ------------------------------------------------------------------------------
</Table>
SECTOR ALLOCATIONS*
(PIE CHART)
<Table>
Consumer Discretionary 26.15
Health Care 25.85
Information Technology 19.61
Financials 9.87
Energy 9.36
Industrials 5.88
Consumer Staples 2.39
Materials 0.89
</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 the Fund's investments
market value. These percentages may change over time.
ANNUAL REPORT 20
- --------------------------------------------------------------------------------
SHAREHOLDER EXPENSE EXAMPLE (UNAUDITED)
As a shareholder of the Rydex ETF Trust, you incur transaction costs such as
creation and redemption fees or brokerage charges, and ongoing costs including
advisory fees and, if applicable, distribution fees. All other Trust expenses
are paid by the advisor. This Example is intended to help you understand your
ongoing costs (in dollars) of investing in a Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
The example in the table is based on an investment of $1,000 invested on May 1,
2006 and held for the six month period ended October 31, 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 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.
ANNUAL REPORT 21
- --------------------------------------------------------------------------------
<Table>
<Caption>
BEGINNING ENDING EXPENSES PAID
ACCOUNT ACCOUNT DURING THE
VALUE VALUE SIX-MONTH PERIOD*
5/1/2006 10/31/2006 5/1/06 TO 10/31/06
--------- ---------- ------------------
ACTUAL
Rydex S&P Equal Weight ETF............. $1,000.00 $1,042.00 $2.06
Rydex Russell Top 50 ETF............... $1,000.00 $1,093.00 $1.06
Rydex S&P 500 Pure Value ETF........... $1,000.00 $1,062.60 $1.82
Rydex S&P 500 Pure Growth ETF.......... $1,000.00 $1,030.50 $1.79
Rydex S&P MidCap 400 Pure Value ETF.... $1,000.00 $1,046.00 $1.80
Rydex S&P MidCap 400 Pure Growth ETF... $1,000.00 $ 956.00 $1.73
Rydex S&P SmallCap 600 Pure Value
ETF.................................. $1,000.00 $1,015.30 $1.78
Rydex S&P SmallCap 600 Pure Growth
ETF.................................. $1,000.00 $ 956.80 $1.73
HYPOTHETICAL (ASSUMING A 5% RETURN BEFORE
EXPENSES)
Rydex S&P Equal Weight ETF............. $1,000.00 $1,023.19 $2.04
Rydex Russell Top 50 ETF............... $1,000.00 $1,024.20 $1.02
Rydex S&P 500 Pure Value ETF........... $1,000.00 $1,023.44 $1.79
Rydex S&P 500 Pure Growth ETF.......... $1,000.00 $1,023.44 $1.79
Rydex S&P MidCap 400 Pure Value ETF.... $1,000.00 $1,023.44 $1.79
Rydex S&P MidCap 400 Pure Growth ETF... $1,000.00 $1,023.44 $1.79
Rydex S&P SmallCap 600 Pure Value
ETF.................................. $1,000.00 $1,023.44 $1.79
Rydex S&P SmallCap 600 Pure Growth
ETF.................................. $1,000.00 $1,023.44 $1.79
</Table>
- ---------------
* Expenses are equal to the Fund's annualized expense ratio of 0.40%, 0.20%,
0.35%, 0.35%, 0.35%, 0.35%, 0.35%, and 0.35% respectively, multiplied by the
average account value of the period, multiplied by days in the period, divided
by 365.
ANNUAL REPORT 22
Rydex S&P Equal Weight ETF
PORTFOLIO SUMMARY October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
4/24/2003 Net Assets ($million):
$1,759.8
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
------------------
<Table>
2.0% Aerospace & Defense
0.4% Air Freight & Logistics
0.2% Airlines
0.4% Auto Components
0.6% Automobiles
1.5% Beverages
1.0% Biotechnology
0.4% Building Products
3.4% Capital Markets
2.6% Chemicals
4.1% Commercial Banks
1.9% Commercial Services & Supplies
2.2% Communications Equipment
2.2% Computers & Peripherals
0.2% Construction & Engineering
0.2% Construction Materials
0.6% Consumer Finance
1.0% Containers & Packaging
0.2% Distributors
0.3% Diversified Consumer Services
1.2% Diversified Financial Services
1.6% Diversified Telecommunication
Services
2.3% Electric Utilities
0.9% Electrical Equipment
1.4% Electronic Equipment &
Instruments
2.5% Energy Equipment & Services
1.7% Food & Staples Retailing
2.4% Food Products
0.4% Gas Utilities
2.2% Health Care Equipment &
Supplies
3.4% Health Care Providers &
Services
0.2% Health Care Technology
2.5% Hotels Restaurants & Leisure
2.5% Household Durables
0.8% Household Products
0.8% Independent Power Producers &
Energy Traders
0.8% Industrial Conglomerates
4.5% Insurance
0.2% Internet & Catalog Retail
0.8% Internet Software & Services
2.3% IT Services
0.9% Leisure Equipment & Products
1.3% Life Sciences Tools & Services
2.6% Machinery
3.5% Media
1.6% Metals & Mining
2.6% 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
2.3% Real Estate Investment Trusts
(REITs)
0.2% Real Estate Management &
Development
1.1% Road & Rail
3.6% Semiconductors & Semiconductor
Equipment
2.6% Software
3.2% Specialty Retail
1.0% Textiles, Apparel & Luxury
Goods
1.2% Thrifts & Mortgage Finance
0.6% Tobacco
0.2% Trading Companies &
Distributors
0.4% Wireless Telecommunication
Services
0.1% Short-Term Investments
0.0% Other Assets & Liabilities(a)
</Table>
(a) Amount represents less than 0.05% of net assets.
ANNUAL REPORT 23
Rydex Russell Top 50 ETF
PORTFOLIO SUMMARY October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
5/4/2005 Net Assets ($million): $364.5
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
------------------
<Table>
2.2% Aerospace & Defense
0.8% Air Freight & Logistics
3.3% Beverages
2.1% Biotechnology
3.8% Capital Markets
3.8% Commercial Banks
3.5% Communications Equipment
5.1% Computers & Peripherals
1.0% Consumer Finance
11.0% Diversified Financial Services
5.4% Diversified Telecommunication
Services
2.0% Food & Staples Retailing
1.0% Health Care Equipment &
Supplies
1.1% Health Care Providers &
Services
3.5% Household Products
7.1% Industrial Conglomerates
2.5% Insurance
1.6% Internet Software & Services
4.6% Media
11.3% Oil, Gas & Consumable Fuels
10.6% Pharmaceuticals
2.1% Semiconductors & Semiconductor
Equipment
5.5% Software
1.3% Specialty Retail
2.8% Tobacco
0.9% Wireless Telecommunication
Services
0.1% Short-Term Investments
0.0% Other Assets & Liabilities(a)
</Table>
(a) Amount represents less than 0.05% of net assets.
ANNUAL REPORT 24
Rydex S&P 500 Pure Value ETF
PORTFOLIO SUMMARY October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
3/1/2006 Net Assets ($million): $21.2
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
------------------
<Table>
1.9% Aerospace & Defense
0.9% Auto Components
3.0% Automobiles
2.1% Beverages
0.2% Building Products
0.7% Capital Markets
2.9% Chemicals
5.9% Commercial Banks
2.2% Commercial Services & Supplies
1.0% Containers & Packaging
1.9% Diversified Financial Services
6.2% Diversified Telecommunication
Services
5.5% Electric Utilities
1.3% Electronic Equipment &
Instruments
0.9% Energy Equipment & Services
3.1% Food & Staples Retailing
2.5% Food Products
1.9% Gas Utilities
1.1% Health Care Providers &
Services
2.7% Household Durables
1.6% Independent Power Producers &
Energy Traders
0.3% Industrial Conglomerates
8.7% Insurance
3.1% IT Services
0.8% Leisure Equipment & Products
2.6% Machinery
3.1% Metals & Mining
8.5% Multi-Utilities
4.2% Multiline Retail
3.1% Oil, Gas & Consumable Fuels
3.1% Paper & Forest Products
2.7% Real Estate Investment Trusts
(REITs)
3.0% Road & Rail
0.5% Semiconductors & Semiconductor
Equipment
4.1% Specialty Retail
0.9% Textiles, Apparel & Luxury
Goods
0.7% Thrifts & Mortgage Finance
0.8% Tobacco
0.0% Short-Term Investments(a)
0.3% Other Assets & Liabilities
</Table>
(a) Amount represents less than 0.05% of net assets.
ANNUAL REPORT 25
Rydex S&P 500 Pure Growth ETF
PORTFOLIO SUMMARY October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
3/1/2006 Net Assets ($million): $17.6
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
------------------
<Table>
1.2% Aerospace & Defense
0.8% Auto Components
1.2% Automobiles
1.1% Beverages
1.2% Biotechnology
1.6% Capital Markets
1.1% Chemicals
0.5% Commercial Banks
0.6% Commercial Services & Supplies
0.3% Communications Equipment
4.1% Computers & Peripherals
2.1% Consumer Finance
1.0% Containers & Packaging
1.5% Diversified Consumer Services
1.4% Diversified Financial Services
0.2% Electronic Equipment &
Instruments
0.6% Energy Equipment & Services
1.9% Food & Staples Retailing
2.8% Food Products
5.1% Health Care Equipment &
Supplies
9.1% Health Care Providers &
Services
0.7% Health Care Technology
5.4% Hotels Restaurants & Leisure
4.5% Household Durables
1.9% Household Products
1.4% Insurance
1.2% Internet & Catalog Retail
3.8% Internet Software & Services
2.0% IT Services
2.6% Life Sciences Tools & Services
0.9% Machinery
2.2% Media
1.9% Multiline Retail
7.0% Oil, Gas & Consumable Fuels
5.5% Pharmaceuticals
3.0% Semiconductors & Semiconductor
Equipment
4.2% Software
6.6% Specialty Retail
2.2% Textiles, Apparel & Luxury
Goods
2.8% Thrifts & Mortgage Finance
0.7% Tobacco
0.1% Short-Term Investments
0.0% Other Assets & Liabilities(a)
</Table>
(a) Amount represents less than 0.05% of net assets.
ANNUAL REPORT 26
Rydex S&P Midcap 400 Pure Value ETF
PORTFOLIO SUMMARY October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
3/1/2006 Net Assets ($million): $15.0
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
------------------
<Table>
1.7% Airlines
4.8% Auto Components
5.5% Chemicals
0.2% Commercial Banks
2.9% Commercial Services & Supplies
0.4% Communications Equipment
1.5% Containers & Packaging
10.5% Electric Utilities
4.3% Electronic Equipment &
Instruments
2.0% Food & Staples Retailing
1.0% Food Products
3.7% Gas Utilities
0.6% Health Care Providers &
Services
1.9% Hotels Restaurants & Leisure
2.7% Household Durables
0.5% Independent Power Producers &
Energy Traders
1.8% Industrial Conglomerates
9.9% Insurance
0.3% Leisure Equipment & Products
4.1% Machinery
0.6% Media
3.8% Metals & Mining
11.9% Multi-Utilities
0.9% Multiline Retail
0.3% Oil, Gas & Consumable Fuels
2.2% Paper & Forest Products
4.6% Real Estate Investment Trusts
(REITs)
4.0% Road & Rail
3.1% Semiconductors & Semiconductor
Equipment
0.6% Software
2.7% Specialty Retail
1.5% Thrifts & Mortgage Finance
1.4% Tobacco
0.3% Trading Companies &
Distributors
1.6% Wireless Telecommunication
Services
0.0% Short-Term Investments(a)
0.2% Other Assets & Liabilities
</Table>
(a) Amount represents less than 0.05% of net assets.
ANNUAL REPORT 27
Rydex S&P Midcap 400 Pure Growth ETF
PORTFOLIO SUMMARY October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
3/1/2006 Net Assets ($million): $22.5
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
------------------
<Table>
1.4% Aerospace & Defense
2.5% Air Freight & Logistics
2.8% Airlines
1.0% Automobiles
0.9% Beverages
2.2% Biotechnology
5.8% Capital Markets
5.1% Commercial Services & Supplies
1.6% Communications Equipment
1.8% Computers & Peripherals
0.7% Construction & Engineering
6.0% Diversified Consumer Services
2.3% Electronic Equipment &
Instruments
1.0% Energy Equipment & Services
6.6% Health Care Equipment &
Supplies
3.0% Health Care Providers &
Services
3.1% Hotels Restaurants & Leisure
3.3% Household Durables
1.2% Household Products
1.7% Insurance
7.8% IT Services
1.8% Life Sciences Tools & Services
1.7% Machinery
0.6% Media
0.3% Office Electronics
6.8% Oil, Gas & Consumable Fuels
3.9% Pharmaceuticals
2.4% Semiconductors & Semiconductor
Equipment
2.9% Software
15.3% Specialty Retail
1.0% Textiles, Apparel & Luxury
Goods
0.7% Thrifts & Mortgage Finance
0.8% Trading Companies &
Distributors
0.2% Short-Term Investments
(0.2)% Other Assets & Liabilities
</Table>
ANNUAL REPORT 28
Rydex S&P Smallcap 600 Pure Value ETF
PORTFOLIO SUMMARY October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
3/1/2006 Net Assets ($million): $6.0
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
------------------
<Table>
0.6% Aerospace & Defense
0.8% Air Freight & Logistics
0.2% Airlines
1.8% Auto Components
1.3% Automobiles
0.7% Building Products
2.0% Capital Markets
6.2% Chemicals
2.6% Commercial Banks
6.1% Commercial Services & Supplies
0.4% Communications Equipment
0.7% Computers & Peripherals
1.0% Construction & Engineering
0.3% Construction Materials
3.8% Containers & Packaging
0.1% Distributors
4.4% Electric Utilities
3.0% Electrical Equipment
5.1% Electronic Equipment &
Instruments
0.2% Energy Equipment & Services
1.7% Food & Staples Retailing
2.0% Food Products
6.4% Gas Utilities
0.8% Health Care Equipment &
Supplies
1.8% Health Care Providers &
Services
2.4% Hotels Restaurants & Leisure
3.0% Household Durables
1.6% Industrial Conglomerates
3.9% Insurance
1.4% IT Services
1.4% Leisure Equipment & Products
0.3% Life Sciences Tools & Services
2.6% Machinery
5.4% Metals & Mining
1.6% Multi-Utilities
0.5% Multiline Retail
3.3% Paper & Forest Products
3.7% Real Estate Investment Trusts
(REITs)
0.7% Road & Rail
0.3% Semiconductors & Semiconductor
Equipment
0.4% Software
7.4% Specialty Retail
3.4% Textiles, Apparel & Luxury
Goods
0.2% Thrifts & Mortgage Finance
1.5% Tobacco
0.6% Trading Companies &
Distributors
0.2% Water Utilities
0.0% Short-Term Investments(a)
0.2% Other Assets & Liabilities
</Table>
(a) Amount represents less than 0.05% of net assets.
ANNUAL REPORT 29
Rydex S&P Smallcap 600 Pure Growth ETF
PORTFOLIO SUMMARY October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
INCEPTION DATE PORTFOLIO STATISTICS
-------------- --------------------
3/1/2006 Net Assets ($million): $7.8
</Table>
INDUSTRY BREAKDOWN (AS A PERCENTAGE OF NET ASSETS)
------------------
<Table>
1.9% Aerospace & Defense
0.4% Air Freight & Logistics
0.7% Automobiles
0.3% Building Products
0.8% Capital Markets
3.4% Commercial Banks
0.6% Commercial Services & Supplies
0.4% Communications Equipment
2.2% Computers & Peripherals
0.9% Construction Materials
1.1% Consumer Finance
4.6% Diversified Consumer Services
1.3% Diversified Financial Services
3.7% Electronic Equipment &
Instruments
1.8% Energy Equipment & Services
0.7% Food Products
10.7% Health Care Equipment &
Supplies
7.9% Health Care Providers &
Services
1.2% Health Care Technology
5.9% Hotels Restaurants & Leisure
1.5% Household Durables
1.5% Insurance
1.2% Internet & Catalog Retail
5.6% Internet Software & Services
2.5% IT Services
2.4% Leisure Equipment & Products
1.0% Life Sciences Tools & Services
0.7% Machinery
1.2% Media
7.6% Oil, Gas & Consumable Fuels
1.6% Personal Products
5.0% Pharmaceuticals
2.0% Road & Rail
0.7% Semiconductors & Semiconductor
Equipment
4.5% Software
6.9% Specialty Retail
1.7% Textiles, Apparel & Luxury
Goods
1.8% Thrifts & Mortgage Finance
0.1% Short-Term Investments
0.0% Other Assets & Liabilities(a)
</Table>
(a) Amount represents less than 0.05% of net assets.
ANNUAL REPORT 30
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 2.0%
Boeing Co. ..................................... 44,711 $3,570,621
General Dynamics Corp. ......................... 47,481 3,375,899
Goodrich Corp. ................................. 88,206 3,889,003
Honeywell International, Inc. .................. 85,145 3,586,307
L-3 Communications Holdings, Inc. .............. 43,964 3,539,981
Lockheed Martin Corp. .......................... 40,631 3,532,053
Northrop Grumman Corp. ......................... 49,029 3,255,035
Raytheon Co. ................................... 71,644 3,578,618
Rockwell Collins, Inc. ......................... 62,931 3,655,033
United Technologies Corp. ...................... 53,152 3,493,149
--------------
TOTAL AEROSPACE & DEFENSE 35,475,699
--------------
AIR FREIGHT & LOGISTICS 0.4%
FedEx Corp. .................................... 31,940 3,658,408
United Parcel Service, Inc. -- Class B.......... 46,730 3,521,105
--------------
TOTAL AIR FREIGHT & LOGISTICS
7,179,513
--------------
AIRLINES 0.2%
Southwest Airlines Co. ......................... 202,746 3,047,272
--------------
TOTAL AIRLINES 3,047,272
--------------
AUTO COMPONENTS 0.4%
Goodyear Tire & Rubber Co.*..................... 225,244 3,452,991
Johnson Controls, Inc. ......................... 46,463 3,788,593
--------------
TOTAL AUTO COMPONENTS 7,241,584
--------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
AUTOMOBILES 0.6%
Ford Motor Co. ................................. 402,435 $3,332,162
General Motors Corp. ........................... 103,832 3,625,813
Harley-Davidson, Inc. .......................... 54,987 3,773,758
--------------
TOTAL AUTOMOBILES 10,731,733
--------------
BEVERAGES 1.5%
Anheuser-Busch Cos., Inc. ...................... 72,116 3,419,741
Brown-Forman Corp. -- Class B................... 44,364 3,202,637
Coca-Cola Co. (The)............................. 75,707 3,537,031
Coca-Cola Enterprises, Inc. .................... 163,144 3,267,774
Constellation Brands, Inc. -- Class A*.......... 122,310 3,362,302
Molson Coors Brewing Co. -- Class B............. 49,726 3,539,497
Pepsi Bottling Group, Inc. ..................... 98,378 3,110,712
PepsiCo, Inc. .................................. 52,138 3,307,635
--------------
TOTAL BEVERAGES 26,747,329
--------------
BIOTECHNOLOGY 1.0%
Amgen, Inc.*.................................... 48,460 3,678,598
Biogen Idec, Inc.*.............................. 77,072 3,668,627
Genzyme Corp.*.................................. 49,315 3,329,256
Gilead Sciences, Inc.*.......................... 52,728 3,632,959
Medimmune, Inc.*................................ 113,615 3,640,225
--------------
TOTAL BIOTECHNOLOGY 17,949,665
--------------
BUILDING PRODUCTS 0.4%
American Standard Cos., Inc. ................... 77,470 3,431,147
Masco Corp. .................................... 119,028 3,291,124
--------------
TOTAL BUILDING PRODUCTS 6,722,271
--------------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 31
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CAPITAL MARKETS 3.4%
Ameriprise Financial, Inc. ..................... 72,681 $3,743,072
Bank of New York Co., Inc....................... 96,666 3,322,410
Bear Stearns Cos., Inc. ........................ 24,307 3,678,864
Charles Schwab Corp. ........................... 197,200 3,592,984
E*Trade Financial Corp.*........................ 139,414 3,245,558
Lehman Brothers Holdings, Inc. ................. 46,819 3,644,391
Federated Investors, Inc. -- Class B............ 98,295 3,370,536
Franklin Resources, Inc. ....................... 32,247 3,674,868
Goldman Sachs Group, Inc. ...................... 20,824 3,952,187
Janus Capital Group, Inc. ...................... 171,284 3,439,383
Legg Mason, Inc. ............................... 33,301 2,997,756
Mellon Financial Corp. ......................... 87,413 3,391,624
Merrill Lynch & Co., Inc. ...................... 43,888 3,836,689
Morgan Stanley.................................. 47,895 3,660,615
Northern Trust Corp. ........................... 59,053 3,467,592
State Street Corp. ............................. 52,817 3,392,436
T. Rowe Price Group, Inc. ...................... 71,077 3,362,653
--------------
TOTAL CAPITAL MARKETS 59,773,618
--------------
CHEMICALS 2.6%
Air Products & Chemicals, Inc. ................. 50,783 3,538,052
Ashland, Inc. .................................. 52,560 3,106,296
Dow Chemical Co. (The).......................... 86,657 3,534,739
Du Pont (E.I.) de Nemours & Co. ................ 80,530 3,688,274
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Eastman Chemical Co. ........................... 62,823 $3,827,177
Ecolab, Inc. ................................... 80,149 3,634,757
Hercules, Inc.*................................. 210,795 3,836,469
International Flavors & Fragrances, Inc. ....... 85,227 3,620,443
Monsanto Co. ................................... 75,982 3,359,924
PPG Industries, Inc. ........................... 50,817 3,475,883
Praxair, Inc. .................................. 58,831 3,544,568
Rohm & Haas Co. ................................ 74,464 3,858,724
Sigma-Aldrich Corp. ............................ 45,993 3,454,534
--------------
TOTAL CHEMICALS 46,479,840
--------------
COMMERCIAL BANKS 4.1%
AmSouth Bancorporation.......................... 114,958 3,474,031
BB&T Corp. ..................................... 77,678 3,380,547
Comerica, Inc. ................................. 59,066 3,437,051
Commerce Bancorp, Inc. ......................... 98,214 3,429,633
Compass Bancshares, Inc. ....................... 58,270 3,278,270
Fifth Third Bancorp............................. 87,176 3,473,964
First Horizon National Corp. ................... 86,695 3,408,847
Huntington Bancshares, Inc. .................... 139,662 3,409,149
KeyCorp......................................... 90,224 3,350,919
M&T Bank Corp. ................................. 28,119 3,425,175
Marshall & Ilsley Corp. ........................ 69,888 3,350,431
National City Corp. ............................ 93,562 3,485,185
North Fork Bancorporation, Inc. ................ 120,737 3,450,663
PNC Financial Services Group, Inc. ............. 46,757 3,274,393
Regions Financial Corp. ........................ 91,574 3,475,233
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 32
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SunTrust Banks, Inc. ........................... 43,871 $3,465,370
Synovus Financial Corp. ........................ 114,106 3,352,434
U.S. Bancorp.................................... 101,741 3,442,915
Wachovia Corp. ................................. 61,815 3,430,733
Wells Fargo & Co. .............................. 94,244 3,420,115
Zions Bancorp................................... 43,702 3,513,641
--------------
TOTAL COMMERCIAL BANKS 71,728,699
--------------
COMMERCIAL SERVICES & SUPPLIES 1.9%
Allied Waste Industries, Inc.*.................. 333,230 4,048,745
Avery Dennison Corp. ........................... 56,551 3,570,630
Cintas Corp. ................................... 88,126 3,648,416
Equifax, Inc. .................................. 91,772 3,490,089
Monster Worldwide, Inc.*........................ 84,040 3,404,460
Pitney-Bowes, Inc. ............................. 76,203 3,559,442
R.R. Donnelley & Sons Co. ...................... 102,662 3,476,135
Robert Half International, Inc. ................ 104,672 3,825,762
Waste Management, Inc. ......................... 96,801 3,628,102
--------------
TOTAL COMMERCIAL SERVICES & SUPPLIES
32,651,781
--------------
COMMUNICATIONS EQUIPMENT 2.2%
Avaya, Inc.*.................................... 297,350 3,809,053
ADC Telecommunications, Inc.*................... 235,094 3,364,195
Ciena Corp.*.................................... 112,007 2,633,285
Cisco Systems, Inc.*............................ 148,390 3,580,651
Comverse Technology, Inc.*...................... 153,859 3,349,510
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Corning, Inc.*.................................. 145,597 $2,974,547
JDS Uniphase Corp.*............................. 189,540 2,754,016
Juniper Networks, Inc.*......................... 215,660 3,713,665
Lucent Technologies, Inc.*...................... 1,457,002 3,540,515
Motorola, Inc. ................................. 136,545 3,148,728
QUALCOMM, Inc. ................................. 90,816 3,304,794
Tellabs, Inc.*.................................. 314,557 3,315,431
--------------
TOTAL COMMUNICATIONS EQUIPMENT
39,488,390
--------------
COMPUTERS & PERIPHERALS 2.2%
Apple Computer, Inc.*........................... 45,383 3,679,654
Dell, Inc.*..................................... 156,146 3,799,032
EMC Corp.*...................................... 295,016 3,613,946
Hewlett-Packard Co. ............................ 92,450 3,581,513
International Business Machines Corp. .......... 40,562 3,745,089
Lexmark International, Inc. -- Class A*......... 59,076 3,756,643
NCR Corp.*...................................... 92,894 3,856,959
Network Appliance, Inc.*........................ 98,293 3,587,694
QLogic Corp.*................................... 175,539 3,612,593
SanDisk Corp.*.................................. 56,956 2,739,584
Sun Microsystems, Inc.*......................... 643,482 3,494,107
--------------
TOTAL COMPUTERS & PERIPHERALS
39,466,814
--------------
CONSTRUCTION & ENGINEERING 0.2%
Fluor Corp. .................................... 43,350 3,399,941
--------------
TOTAL CONSTRUCTION & ENGINEERING
3,399,941
--------------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 33
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION MATERIALS 0.2%
Vulcan Materials Co. ........................... 42,799 $3,487,263
--------------
TOTAL CONSTRUCTION MATERIALS
3,487,263
--------------
CONSUMER FINANCE 0.6%
American Express Co. ........................... 62,777 3,629,138
Capital One Financial Corp. .................... 44,756 3,550,494
SLM Corp. ...................................... 64,824 3,155,632
--------------
TOTAL CONSUMER FINANCE 10,335,264
--------------
CONTAINERS & PACKAGING 1.0%
Ball Corp. ..................................... 81,034 3,370,204
Bemis Co. ...................................... 103,875 3,492,277
Pactiv Corp.*................................... 120,977 3,730,931
Sealed Air Corp. ............................... 63,398 3,773,449
Temple-Inland, Inc. ............................ 81,432 3,211,678
--------------
TOTAL CONTAINERS & PACKAGING
17,578,539
--------------
DISTRIBUTORS 0.2%
Genuine Parts Co. .............................. 78,452 3,571,135
--------------
TOTAL DISTRIBUTORS 3,571,135
--------------
DIVERSIFIED CONSUMER SERVICES 0.3%
Apollo Group, Inc. -- Class A*.................. 68,146 2,518,676
H&R Block, Inc. ................................ 155,693 3,403,449
--------------
TOTAL DIVERSIFIED CONSUMER SERVICES
5,922,125
--------------
DIVERSIFIED FINANCIAL SERVICES 1.2%
Bank of America Corp. .......................... 65,056 3,504,567
Chicago Mercantile Exchange Holdings, Inc. ..... 7,163 3,588,663
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
CIT Group, Inc. ................................ 72,775 $3,787,939
Citigroup, Inc. ................................ 68,319 3,426,881
JPMorgan Chase & Co. ........................... 72,039 3,417,530
Moody's Corp. .................................. 53,047 3,517,016
--------------
TOTAL DIVERSIFIED FINANCIAL SERVICES
21,242,596
--------------
DIVERSIFIED TELECOMMUNICATION SERVICES 1.6%
AT&T Corp. ..................................... 104,894 3,592,619
BellSouth Corp. ................................ 79,986 3,607,369
CenturyTel, Inc. ............................... 84,638 3,405,833
Citizens Communications Co. .................... 246,548 3,614,394
Embarq Corp. ................................... 67,949 3,285,334
Qwest Communications International, Inc.*....... 380,390 3,282,766
Verizon Communications, Inc. ................... 93,840 3,472,080
Windstream Corp. ............................... 256,333 3,516,889
--------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES
27,777,284
--------------
ELECTRIC UTILITIES 2.3%
Allegheny Energy, Inc.*......................... 85,110 3,662,283
American Electric Power Co., Inc. .............. 92,965 3,851,540
Edison International............................ 82,049 3,646,258
Entergy Corp. .................................. 43,199 3,707,770
Exelon Corp. ................................... 57,017 3,533,914
FirstEnergy Corp. .............................. 60,310 3,549,243
FPL Group, Inc. ................................ 75,890 3,870,390
Pinnacle West Capital Corp. .................... 75,368 3,603,344
PPL Corp. ...................................... 102,627 3,542,684
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 34
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Progress Energy, Inc. .......................... 77,930 $3,584,780
Southern Co. ................................... 98,020 3,567,928
--------------
TOTAL ELECTRIC UTILITIES 40,120,134
--------------
ELECTRICAL EQUIPMENT 0.9%
American Power Conversion Corp. ................ 161,665 4,887,133
Cooper Industries Ltd., -- Class A.............. 41,049 3,671,833
Emerson Electric Co. ........................... 40,826 3,445,714
Rockwell Automation, Inc. ...................... 58,000 3,596,000
--------------
TOTAL ELECTRICAL EQUIPMENT 15,600,680
--------------
ELECTRONIC EQUIPMENT &
INSTRUMENTS 1.4%
Agilent Technologies, Inc.*..................... 109,452 3,896,491
Jabil Circuit, Inc. ............................ 123,451 3,544,278
Molex, Inc. .................................... 87,638 3,058,566
Sanmina-SCI Corp.*.............................. 960,149 3,792,589
Solectron Corp.*................................ 985,341 3,291,039
Symbol Technologies, Inc. ...................... 261,854 3,909,480
Tektronix, Inc. ................................ 119,513 3,629,610
--------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
25,122,053
--------------
ENERGY EQUIPMENT & SERVICES 2.5%
Baker Hughes, Inc. ............................. 55,048 3,801,064
BJ Services Co. ................................ 111,351 3,358,346
Duke Energy Corp. .............................. 111,407 3,524,918
Halliburton Co. ................................ 116,348 3,763,858
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Nabors Industries Ltd.*......................... 112,657 $3,478,848
National Oilwell Varco, Inc.*................... 57,859 3,494,684
Noble Corp. .................................... 53,004 3,715,580
Rowan Cos., Inc. ............................... 106,035 3,539,448
Schlumberger Ltd. .............................. 61,242 3,863,145
Smith International, Inc. ...................... 89,506 3,533,697
Transocean, Inc.*............................... 48,629 3,527,548
Weatherford International Ltd.*................. 84,910 3,488,103
--------------
TOTAL ENERGY EQUIPMENT & SERVICES
43,089,239
--------------
FOOD & STAPLES RETAILING 1.7%
Costco Wholesale Corp. ......................... 66,910 3,571,656
CVS Corp. ...................................... 95,222 2,988,066
Kroger Co. ..................................... 147,945 3,327,283
Safeway, Inc. .................................. 114,061 3,348,831
SUPERVALU, Inc. ................................ 111,868 3,736,391
Sysco Corp. .................................... 100,692 3,522,206
Wal-Mart Stores, Inc. .......................... 69,462 3,423,088
Walgreen Co. ................................... 67,307 2,939,970
Whole Foods Market, Inc. ....................... 59,393 3,791,649
--------------
TOTAL FOOD & STAPLES RETAILING
30,649,140
--------------
FOOD PRODUCTS 2.4%
Archer-Daniels-Midland Co. ..................... 87,555 3,370,868
Campbell Soup Co. .............................. 90,387 3,378,666
ConAgra Foods, Inc. ............................ 143,750 3,759,062
Dean Foods Co.*................................. 80,770 3,383,455
General Mills, Inc. ............................ 64,985 3,692,448
H.J. Heinz Co. ................................. 81,814 3,449,278
Hershey Co. (The)............................... 65,750 3,478,833
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 35
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Kellogg Co. .................................... 67,259 $3,383,800
McCormick & Co, Inc. ........................... 91,963 3,439,416
Sara Lee Corp. ................................. 226,409 3,871,594
Tyson Foods, Inc. -- Class A.................... 214,965 3,106,244
Wm. Wrigley Jr. Co. ............................ 74,104 3,849,703
--------------
TOTAL FOOD PRODUCTS 42,163,367
--------------
GAS UTILITIES 0.4%
Nicor, Inc. .................................... 77,957 3,582,904
Peoples Energy Corp. ........................... 81,011 3,539,370
--------------
TOTAL GAS UTILITIES 7,122,274
--------------
HEALTH CARE EQUIPMENT &
SUPPLIES 2.2%
Bausch & Lomb, Inc. ............................ 64,428 3,449,475
Baxter International, Inc. ..................... 74,734 3,435,522
Becton Dickinson & Co. ......................... 48,963 3,428,879
Biomet, Inc. ................................... 100,291 3,795,011
Boston Scientific Corp.*........................ 205,615 3,271,335
C.R. Bard, Inc. ................................ 44,400 3,639,024
Hospira, Inc.*.................................. 91,789 3,336,530
Medtronic, Inc. ................................ 72,729 3,540,448
St Jude Medical, Inc.*.......................... 89,742 3,082,638
Stryker Corp. .................................. 66,781 3,491,979
Zimmer Holdings, Inc.*.......................... 50,046 3,603,812
--------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES
38,074,653
--------------
HEALTH CARE PROVIDERS & SERVICES 3.4%
Aetna, Inc. .................................... 84,580 3,486,388
AmerisourceBergen Corp. ........................ 73,719 3,479,537
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Cardinal Health, Inc. .......................... 48,743 $3,190,229
Caremark Rx, Inc. .............................. 57,429 2,827,230
Cigna Corp. .................................... 28,990 3,391,250
Coventry Health Care, Inc.*..................... 60,398 2,835,686
Express Scripts, Inc.*.......................... 40,641 2,589,644
HCA, Inc. ...................................... 68,133 3,442,079
Health Management Associates, Inc. -- Class A... 162,388 3,199,044
Humana, Inc.*................................... 51,078 3,064,680
Laboratory Corp. of America Holdings*........... 50,076 3,429,705
Manor Care, Inc. ............................... 64,018 3,072,224
McKesson Corp. ................................. 62,141 3,112,643
Medco Health Solutions, Inc.*................... 54,791 2,931,318
Patterson Cos., Inc.*........................... 105,952 3,480,523
Quest Diagnostics, Inc. ........................ 53,861 2,679,046
Tenet Healthcare Corp.*......................... 404,716 2,857,295
UnitedHealth Group, Inc. ....................... 65,052 3,173,237
WellPoint, Inc.*................................ 42,847 3,270,083
--------------
TOTAL HEALTH CARE PROVIDERS & SERVICES
59,511,841
--------------
HEALTH CARE TECHNOLOGY 0.2%
IMS Health, Inc. ............................... 124,267 3,460,836
--------------
TOTAL HEALTH CARE TECHNOLOGY
3,460,836
--------------
HOTELS RESTAURANTS & LEISURE 2.5%
Carnival Corp. ................................. 77,421 3,779,693
Darden Restaurants, Inc. ....................... 86,722 3,633,652
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 36
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Harrah's Entertainment, Inc. ................... 52,959 $3,936,442
Hilton Hotels Corp. ............................ 120,447 3,483,327
International Game Technology, Inc. ............ 85,490 3,634,180
Marriott International, Inc. -- Class A......... 87,176 3,641,342
McDonald's Corp. ............................... 90,128 3,778,166
Starbucks Corp.*................................ 101,190 3,819,922
Starwood Hotels & Resorts Worldwide, Inc. ...... 56,782 3,392,157
Yum! Brands, Inc. .............................. 63,248 3,760,726
Wendy's International, Inc. .................... 111,408 3,854,717
Wyndham Worldwide Corp.*........................ 115,814 3,416,513
--------------
TOTAL HOTELS RESTAURANTS & LEISURE
44,130,837
--------------
HOUSEHOLD DURABLES 2.5%
Black & Decker Corp. ........................... 41,777 3,504,255
Centex Corp. ................................... 63,476 3,319,795
D.R. Horton, Inc. .............................. 138,312 3,240,650
Fortune Brands, Inc. ........................... 44,687 3,438,665
Harman International Industries, Inc. .......... 40,922 4,188,367
KB Home......................................... 74,894 3,365,736
Leggett & Platt, Inc. .......................... 135,792 3,170,743
Lennar Corp. -- Class A......................... 73,318 3,481,138
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Newell Rubbermaid, Inc. ........................ 117,799 $3,390,255
Pulte Homes, Inc. .............................. 106,133 3,289,062
Snap-On, Inc. .................................. 75,157 3,534,634
Stanley Works................................... 67,220 3,203,033
Whirlpool Corp. ................................ 37,893 3,294,038
--------------
TOTAL HOUSEHOLD DURABLES 44,420,371
--------------
HOUSEHOLD PRODUCTS 0.8%
Clorox Co. ..................................... 55,528 3,584,888
Colgate-Palmolive Co. .......................... 54,533 3,488,476
Kimberly-Clark Corp. ........................... 52,285 3,477,998
Procter & Gamble Co. ........................... 55,310 3,506,101
--------------
TOTAL HOUSEHOLD PRODUCTS 14,057,463
--------------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.8%
AES Corp.*...................................... 164,106 3,608,691
Constellation Energy Group, Inc. ............... 56,296 3,512,870
Dynegy, Inc. -- Class A*........................ 556,631 3,384,317
TXU Corp. ...................................... 54,603 3,447,087
--------------
TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
13,952,965
--------------
INDUSTRIAL CONGLOMERATES 0.8%
3M Co. ......................................... 45,527 3,589,349
General Electric Co. ........................... 96,614 3,392,117
Textron, Inc. .................................. 39,787 3,617,832
Tyco International Ltd. ........................ 127,903 3,764,185
--------------
TOTAL INDUSTRIAL CONGLOMERATES
14,363,483
--------------
INSURANCE 4.5%
ACE Ltd. ....................................... 60,891 3,486,010
AFLAC, Inc. .................................... 75,048 3,371,156
Allstate Corp................................... 56,188 3,447,696
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 37
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Ambac Financial Group, Inc. .................... 39,864 $3,328,245
American International Group, Inc. ............. 51,544 3,462,211
Aon Corp. ...................................... 98,877 3,439,931
Chubb Corp. .................................... 65,029 3,456,291
Cincinnati Financial Corp. ..................... 70,084 3,199,335
Genworth Financial, Inc. -- Class A............. 95,299 3,186,799
Hartford Financial Services Group, Inc. ........ 39,192 3,416,367
Lincoln National Corp. ......................... 54,782 3,468,248
Loews Corp. .................................... 87,463 3,404,060
MBIA, Inc. ..................................... 52,981 3,285,882
Marsh & McLennan Cos, Inc. ..................... 122,792 3,614,997
MetLife, Inc. .................................. 60,134 3,435,455
Principal Financial Group, Inc. ................ 62,960 3,556,610
Progressive Corp. .............................. 140,079 3,385,709
Prudential Financial, Inc. ..................... 45,801 3,523,471
SAFECO Corp. ................................... 57,565 3,349,707
St. Paul Travelers Cos., Inc. .................. 73,025 3,733,768
Torchmark Corp. ................................ 54,220 3,344,290
UnumProvident Corp. ............................ 176,663 3,494,394
XL Capital Ltd. -- Class A...................... 49,746 3,509,580
--------------
TOTAL INSURANCE 78,900,212
--------------
INTERNET & CATALOG RETAIL 0.2%
Amazon.Com, Inc.*............................... 105,743 4,027,751
--------------
TOTAL INTERNET & CATALOG RETAIL
4,027,751
--------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES 0.8%
eBay, Inc.*..................................... 119,936 $3,853,544
Google, Inc.* -- Class A........................ 8,299 3,953,560
Yahoo!, Inc.*................................... 114,733 3,022,067
VeriSign, Inc.*................................. 156,554 3,237,537
--------------
TOTAL INTERNET SOFTWARE & SERVICES
14,066,708
--------------
IT SERVICES 2.3%
Affiliated Computer Services, Inc. -- Class
A*............................................ 63,689 3,406,088
Automatic Data Processing, Inc. ................ 71,135 3,516,914
Computer Sciences Corp.*........................ 69,748 3,686,182
Convergys Corp.*................................ 161,440 3,424,142
Electronic Data Systems Corp. .................. 139,245 3,527,076
First Data Corp. ............................... 138,115 3,349,289
Fiserv, Inc.*................................... 71,641 3,539,066
Paychex, Inc. .................................. 94,498 3,730,781
Sabre Holdings Corp. -- Class A................. 149,203 3,792,740
Unisys Corp.*................................... 609,082 3,983,396
Western Union Co. (The)*........................ 169,564 3,738,886
--------------
TOTAL IT SERVICES 39,694,560
--------------
LEISURE EQUIPMENT & PRODUCTS 0.9%
Brunswick Corp. ................................ 112,379 3,539,939
Eastman Kodak Co. .............................. 152,071 3,710,532
Hasbro, Inc. ................................... 153,201 3,970,970
Mattel, Inc. ................................... 174,873 3,957,376
--------------
TOTAL LEISURE EQUIPMENT & PRODUCTS
15,178,817
--------------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 38
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
LIFE SCIENCES TOOLS & SERVICES 1.3%
Applera Corp. -- Applied Biosystems Group....... 101,328 $3,779,534
Fisher Scientific International, Inc.*.......... 42,367 3,627,463
Millipore Corp.*................................ 53,197 3,432,802
PerkinElmer, Inc. .............................. 178,450 3,811,692
Thermo Electron Corp.*.......................... 84,316 3,614,627
Waters Corp.*................................... 75,157 3,742,819
--------------
TOTAL LIFE SCIENCES TOOLS & SERVICES
22,008,937
--------------
MACHINERY 2.6%
Caterpillar, Inc. .............................. 51,254 3,111,630
Cummins, Inc. .................................. 29,865 3,792,258
Danaher Corp. .................................. 50,731 3,640,964
Deere & Co. .................................... 42,204 3,592,826
Dover Corp. .................................... 70,496 3,348,560
Eaton Corp. .................................... 48,154 3,487,794
Illinois Tool Works, Inc. ...................... 76,074 3,646,227
Ingersoll-Rand Co., Ltd. -- Class A............. 86,807 3,186,685
ITT Industries, Inc. ........................... 68,081 3,702,925
Navistar International Corp.*................... 129,974 3,604,179
PACCAR, Inc. ................................... 61,694 3,652,902
Pall Corp. ..................................... 109,803 3,502,716
Parker Hannifin Corp. .......................... 44,557 3,726,302
--------------
TOTAL MACHINERY 45,995,968
--------------
MEDIA 3.5%
CBS Corp. -- Class B............................ 117,377 3,396,890
Clear Channel Communications, Inc. ............. 114,022 3,973,667
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Comcast Corp. -- Class A*....................... 98,212 $3,994,282
EW Scripps Co. -- Class A....................... 72,920 3,606,623
Dow Jones & Co., Inc. .......................... 100,262 3,518,194
Gannett Co, Inc. ............................... 61,393 3,630,782
Interpublic Group of Cos., Inc.*................ 342,993 3,742,054
McGraw-Hill Cos., Inc. ......................... 59,543 3,820,874
Meredith Corp. ................................. 67,817 3,560,392
New York Times Co. -- Class A................... 146,354 3,537,376
News Corp. -- Class A........................... 177,083 3,692,181
Omnicom Group, Inc. ............................ 36,542 3,707,186
Time Warner, Inc. .............................. 199,074 3,983,471
Tribune Co. .................................... 106,400 3,546,312
Univision Communications, Inc. -- Class A*...... 97,096 3,404,186
Viacom, Inc. -- Class B*........................ 93,962 3,657,001
Walt Disney Co. ................................ 111,131 3,496,181
--------------
TOTAL MEDIA 62,267,652
--------------
METALS & MINING 1.6%
Alcoa, Inc. .................................... 121,069 3,500,105
Allegheny Technologies, Inc. ................... 54,979 4,328,497
Freeport-McMoRan Copper & Gold, Inc. -- Class
B............................................. 65,270 3,947,529
Newmont Mining Corp. ........................... 77,394 3,503,626
Nucor Corp. .................................... 72,593 4,240,157
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 39
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Phelps Dodge Corp. ............................. 40,152 $4,030,458
United States Steel Corp. ...................... 58,260 3,938,376
--------------
TOTAL METALS & MINING 27,488,748
--------------
MULTI-UTILITIES 2.6%
Ameren Corp. ................................... 64,353 3,481,497
CenterPoint Energy, Inc. ....................... 240,422 3,721,733
CMS Energy Corp.*............................... 234,442 3,490,841
Consolidated Edison, Inc. ...................... 73,980 3,576,933
Dominion Resources, Inc. ....................... 43,878 3,553,679
DTE Energy Co. ................................. 82,351 3,741,206
KeySpan Corp. .................................. 82,237 3,337,177
NiSource, Inc. ................................. 159,398 3,709,192
PG&E Corp. ..................................... 81,774 3,527,730
Public Service Enterprise Group, Inc. .......... 54,406 3,321,486
Sempra Energy................................... 68,667 3,642,098
TECO Energy, Inc. .............................. 218,699 3,606,347
Xcel Energy, Inc. .............................. 165,903 3,661,479
--------------
TOTAL MULTI-UTILITIES 46,371,398
--------------
MULTILINE RETAIL 2.0%
Big Lots, Inc.*................................. 170,287 3,589,650
Dillard's, Inc. -- Class A...................... 101,235 3,054,260
Dollar General Corp. ........................... 235,886 3,309,481
Family Dollar Stores, Inc. ..................... 115,762 3,409,191
Federated Department Stores, Inc. .............. 80,058 3,515,347
J.C. Penney Holding Co., Inc. .................. 51,418 3,868,176
Kohl's Corp.*................................... 49,952 3,526,611
Nordstrom, Inc. ................................ 79,883 3,782,460
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Sears Holdings Corp.*........................... 21,236 $3,705,045
Target Corp. ................................... 63,129 3,735,974
--------------
TOTAL MULTILINE RETAIL 35,496,195
--------------
OFFICE ELECTRONICS 0.2%
Xerox Corp.*.................................... 225,760 3,837,920
--------------
TOTAL OFFICE ELECTRONICS 3,837,920
--------------
OIL, GAS & CONSUMABLE FUELS 3.9%
Anadarko Petroleum Corp. ....................... 77,232 3,585,109
Apache Corp. ................................... 53,597 3,500,956
Chesapeake Energy Corp. ........................ 116,583 3,781,952
Chevron Corp. .................................. 54,703 3,676,042
ConocoPhillips.................................. 58,088 3,499,221
Consol Energy, Inc. ............................ 110,412 3,907,481
Devon Energy Corp. ............................. 52,297 3,495,531
El Paso Corp. .................................. 254,493 3,486,554
EOG Resources, Inc. ............................ 57,320 3,813,500
Exxon Mobil Corp. .............................. 52,262 3,732,552
Hess Corp. ..................................... 84,114 3,566,434
Kinder Morgan, Inc. ............................ 32,296 3,394,310
Marathon Oil Corp. ............................. 46,143 3,986,755
Murphy Oil Corp. ............................... 72,202 3,405,046
Occidental Petroleum Corp. ..................... 76,230 3,578,236
Sunoco, Inc. ................................... 54,289 3,590,132
Valero Energy Corp. ............................ 67,242 3,518,774
Williams Cos., Inc. ............................ 147,938 3,614,125
XTO Energy, Inc. ............................... 83,426 3,892,657
--------------
TOTAL OIL, GAS & CONSUMABLE FUELS
69,025,367
--------------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 40
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PAPER & FOREST PRODUCTS 0.8%
International Paper Co. ........................ 97,367 $3,247,190
Louisiana-Pacific Corp. ........................ 175,681 3,474,970
MeadWestvaco Corp. ............................. 131,404 3,616,238
Weyerhaeuser Co. ............................... 54,305 3,453,255
--------------
TOTAL PAPER & FOREST PRODUCTS
13,791,653
--------------
PERSONAL PRODUCTS 0.6%
Alberto-Culver Co. -- Class B................... 67,633 3,436,433
Avon Products, Inc. ............................ 113,699 3,457,586
Estee Lauder Cos., Inc.......................... 84,323 3,405,806
--------------
TOTAL PERSONAL PRODUCTS 10,299,825
--------------
PHARMACEUTICALS 2.7%
Abbott Laboratories............................. 68,348 3,247,214
Allergan, Inc. ................................. 30,054 3,471,237
Barr Pharmaceuticals, Inc.*..................... 62,399 3,267,836
Bristol-Myers Squibb Co. ....................... 135,688 3,358,278
Eli Lilly & Co. ................................ 61,225 3,429,212
Forest Laboratories, Inc.*...................... 67,843 3,320,236
Johnson & Johnson............................... 52,833 3,560,944
King Pharmaceuticals, Inc.*..................... 206,479 3,454,394
Merck & Co., Inc. .............................. 81,947 3,722,033
Mylan Laboratories, Inc. ....................... 159,153 3,262,637
Pfizer, Inc. ................................... 119,785 3,192,270
Schering-Plough Corp. .......................... 159,272 3,526,282
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Watson Pharmaceuticals, Inc.*................... 126,619 $3,407,317
Wyeth........................................... 67,477 3,443,351
--------------
TOTAL PHARMACEUTICALS 47,663,241
--------------
REAL ESTATE INVESTMENT TRUSTS
(REITS) 2.3%
Apartment Investment & Management Co. -- Class
A............................................. 62,914 3,606,230
Archstone-Smith Trust........................... 61,446 3,699,664
Boston Properties, Inc. ........................ 32,129 3,432,341
Equity Office Properties Trust.................. 86,930 3,694,525
Equity Residential Properties Trust............. 66,540 3,633,749
Kimco Realty Corp. ............................. 80,391 3,571,772
Plum Creek Timber Co., Inc. .................... 99,890 3,590,047
Prologis........................................ 57,705 3,650,995
Public Storage, Inc. ........................... 38,154 3,422,795
Simon Property Group, Inc. ..................... 36,917 3,584,641
Vornado Realty Trust............................ 30,775 3,669,919
--------------
TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS)
39,556,678
--------------
REAL ESTATE MANAGEMENT & DEVELOPMENT 0.2%
Realogy Corp.*.................................. 161,039 4,151,585
--------------
TOTAL REAL ESTATE MANAGEMENT & DEVELOPMENT
4,151,585
--------------
ROAD & RAIL 1.1%
Burlington Northern Santa Fe Corp. ............. 47,753 3,702,290
CSX Corp. ...................................... 104,603 3,731,189
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 41
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Norfolk Southern Corp. ......................... 76,786 $4,036,640
Ryder System, Inc. ............................. 63,761 3,357,017
Union Pacific Corp. ............................ 39,568 3,586,048
--------------
TOTAL ROAD & RAIL 18,413,184
--------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.6%
Advanced Micro Devices, Inc.*................... 123,444 2,625,654
Altera Corp.*................................... 170,314 3,140,590
Analog Devices, Inc. ........................... 106,732 3,396,212
Applied Materials, Inc. ........................ 193,391 3,363,070
Broadcom Corp. -- Class A*...................... 119,242 3,609,455
Freescale Semiconductor, Inc. -- Class A*....... 90,042 3,541,352
Intel Corp. .................................... 170,229 3,632,687
KLA-Tencor Corp. ............................... 73,248 3,601,604
Linear Technology Corp. ........................ 99,381 3,092,737
LSI Logic Corp.*................................ 394,826 3,968,001
Maxim Integrated Products, Inc. ................ 105,023 3,151,740
Micron Technology, Inc.*........................ 188,180 2,719,201
National Semiconductor Corp. ................... 134,751 3,273,102
Novellus Systems, Inc.*......................... 118,651 3,280,700
NVIDIA Corp.*................................... 115,615 4,031,495
PMC -- Sierra, Inc.*............................ 497,150 3,296,105
Teradyne, Inc.*................................. 237,919 3,335,624
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
Texas Instruments, Inc. ........................ 106,325 $3,208,889
Xilinx, Inc. ................................... 150,188 3,831,296
--------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
64,099,514
--------------
SOFTWARE 2.6%
Adobe Systems, Inc.*............................ 89,693 3,430,757
Autodesk, Inc.*................................. 94,730 3,481,328
BMC Software, Inc.*............................. 123,467 3,742,285
CA, Inc. ....................................... 139,326 3,449,712
Citrix Systems, Inc.*........................... 94,253 2,783,291
Compuware Corp.*................................ 428,830 3,447,793
Electronic Arts, Inc.*.......................... 62,307 3,295,417
Intuit, Inc.*................................... 102,423 3,615,532
Microsoft Corp. ................................ 126,555 3,633,394
Novell, Inc.*................................... 526,516 3,159,096
Oracle Corp.*................................... 205,682 3,798,947
Parametric Technology Corp.*.................... 199,380 3,895,885
Symantec Corp.*................................. 169,737 3,367,582
--------------
TOTAL SOFTWARE 45,101,019
--------------
SPECIALTY RETAIL 3.2%
AutoNation, Inc.*............................... 162,013 3,248,361
AutoZone, Inc.*................................. 35,064 3,927,168
Bed Bath & Beyond, Inc.*........................ 90,458 3,644,553
Best Buy Co., Inc. ............................. 63,693 3,519,038
Circuit City Stores, Inc. ...................... 128,033 3,454,330
Gap, Inc. ...................................... 189,049 3,973,810
Home Depot, Inc. ............................... 90,153 3,365,411
Limited Brands, Inc. ........................... 122,933 3,622,835
Lowe's Cos., Inc. .............................. 114,394 3,447,835
Office Depot, Inc.*............................. 84,999 3,569,108
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 42
RYDEX S&P EQUAL WEIGHT ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
OfficeMax, Inc. ................................ 82,279 $3,914,835
RadioShack Corp. ............................... 173,514 3,095,490
Sherwin-Williams Co. ........................... 61,495 3,642,349
Staples, Inc. .................................. 135,635 3,498,027
Tiffany & Co. .................................. 99,019 3,536,959
TJX Cos., Inc. ................................. 120,571 3,490,530
--------------
TOTAL SPECIALTY RETAIL 56,950,639
--------------
TEXTILES, APPAREL & LUXURY GOODS 1.0%
Coach, Inc.*.................................... 100,118 3,968,677
Jones Apparel Group, Inc. ...................... 103,509 3,457,201
Liz Claiborne, Inc. ............................ 86,438 3,645,090
Nike, Inc. -- Class B........................... 40,660 3,735,841
VF Corp. ....................................... 45,680 3,472,137
--------------
TOTAL TEXTILES, APPAREL & LUXURY GOODS
18,278,946
--------------
THRIFTS & MORTGAGE FINANCE 1.2%
Countrywide Financial Corp. .................... 96,748 3,688,034
Federal Home Loan Mortgage Corp. ............... 53,042 3,659,368
Federal National Mortgage Association........... 63,175 3,743,750
MGIC Investment Corp. .......................... 54,507 3,202,831
Sovereign Bancorp, Inc. ........................ 158,443 3,780,450
Washington Mutual, Inc. ........................ 79,730 3,372,579
--------------
TOTAL THRIFTS & MORTGAGE FINANCE
21,447,012
--------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------------
TOBACCO 0.6%
Altria Group, Inc. ............................. 40,618 $3,303,462
Reynolds American, Inc. ........................ 51,257 3,237,392
UST, Inc. ...................................... 62,846 3,366,032
--------------
TOTAL TOBACCO 9,906,886
--------------
TRADING COMPANIES & DISTRIBUTORS 0.2%
W.W. Grainger, Inc. ............................ 50,091 3,645,623
--------------
TOTAL TRADING COMPANIES & DISTRIBUTORS
3,645,623
--------------
WIRELESS TELECOMMUNICATION
SERVICES 0.4%
ALLTEL Corp. ................................... 59,376 3,165,335
Sprint Nextel Corp. ............................ 197,590 3,692,957
--------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES
6,858,292
--------------
TOTAL COMMON STOCKS
(Cost $1,624,584,477) 1,758,362,021
--------------
SHORT TERM INVESTMENTS 0.1%
SSgA Prime Money Market Fund.................... 739,839 739,839
--------------
TOTAL SHORT TERM INVESTMENTS
(Cost $739,839) 739,839
--------------
TOTAL INVESTMENTS 100.0%
(Cost $1,625,324,316) 1,759,101,860
--------------
OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(A)
695,248
--------------
NET ASSETS--100.0% $1,759,797,108
- ------------------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
ANNUAL REPORT 43
RYDEX RUSSELL TOP 50 ETF
SCHEDULE OF INVESTMENTS October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 2.2%
Boeing Co. ..................................... 48,530 $3,875,606
United Technologies Corp. ...................... 61,360 4,032,579
------------
TOTAL AEROSPACE & DEFENSE 7,908,185
------------
AIR FREIGHT & LOGISTICS 0.8%
United Parcel Service, Inc. -- Class B.......... 39,108 2,946,788
------------
TOTAL AIR FREIGHT & LOGISTICS 2,946,788
------------
BEVERAGES 3.3%
Coca-Cola Co (The).............................. 123,685 5,778,563
PepsiCo, Inc. .................................. 100,302 6,363,159
------------
TOTAL BEVERAGES 12,141,722
------------
BIOTECHNOLOGY 2.1%
Amgen, Inc.*.................................... 71,577 5,433,410
Genentech, Inc.*................................ 28,325 2,359,473
------------
TOTAL BIOTECHNOLOGY 7,792,883
------------
CAPITAL MARKETS 3.8%
Goldman Sachs Group, Inc. ...................... 21,583 4,096,237
Merrill Lynch & Co., Inc. ...................... 55,914 4,888,002
Morgan Stanley.................................. 65,007 4,968,485
------------
TOTAL CAPITAL MARKETS 13,952,724
------------
COMMERCIAL BANKS 3.8%
Wachovia Corp. ................................. 114,484 6,353,862
Wells Fargo & Co. .............................. 203,939 7,400,946
------------
TOTAL COMMERCIAL BANKS 13,754,808
------------
COMMUNICATIONS EQUIPMENT 3.5%
Cisco Systems, Inc.*............................ 370,519 8,940,624
QUALCOMM, Inc. ................................. 101,734 3,702,100
------------
TOTAL COMMUNICATIONS EQUIPMENT
12,642,724
------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMPUTERS & PERIPHERALS 5.1%
Dell, Inc.*..................................... 140,028 $3,406,881
Hewlett-Packard Co. ............................ 170,089 6,589,248
International Business Machines Corp. .......... 94,098 8,688,068
------------
TOTAL COMPUTERS & PERIPHERALS
18,684,197
------------
CONSUMER FINANCE 1.0%
American Express Co. ........................... 65,678 3,796,845
------------
TOTAL CONSUMER FINANCE 3,796,845
------------
DIVERSIFIED FINANCIAL SERVICES 11.0%
Bank of America Corp. .......................... 276,990 14,921,451
Citigroup, Inc. ................................ 301,730 15,134,777
JPMorgan Chase & Co. ........................... 210,877 10,004,005
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES
40,060,233
------------
DIVERSIFIED TELECOMMUNICATION SERVICES 5.4%
AT&T Corp. ..................................... 235,984 8,082,452
BellSouth Corp. ................................ 109,784 4,951,258
Verizon Communications, Inc. ................... 177,057 6,551,109
------------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES
19,584,819
------------
FOOD & STAPLES RETAILING 2.0%
Wal-Mart Stores, Inc. .......................... 149,231 7,354,104
------------
TOTAL FOOD & STAPLES RETAILING
7,354,104
------------
HEALTH CARE EQUIPMENT & SUPPLIES 1.0%
Medtronic, Inc. ................................ 73,263 3,566,443
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES
3,566,443
------------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 44
RYDEX RUSSELL TOP 50 ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HEALTH CARE PROVIDERS & SERVICES 1.1%
UnitedHealth Group, Inc. ....................... 81,757 $3,988,106
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES
3,988,106
------------
HOUSEHOLD PRODUCTS 3.5%
Procter & Gamble Co. ........................... 199,171 12,625,450
------------
TOTAL HOUSEHOLD PRODUCTS 12,625,450
------------
INDUSTRIAL CONGLOMERATES 7.1%
3M Co. ......................................... 45,760 3,607,718
General Electric Co. ........................... 631,131 22,159,010
------------
TOTAL INDUSTRIAL CONGLOMERATES
25,766,728
------------
INSURANCE 2.5%
American International Group, Inc. ............. 133,678 8,979,151
------------
TOTAL INSURANCE 8,979,151
------------
INTERNET SOFTWARE & SERVICES 1.6%
Google, Inc. -- Class A*........................ 12,672 6,036,814
------------
TOTAL INTERNET SOFTWARE & SERVICES
6,036,814
------------
MEDIA 4.6%
Comcast Corp. -- Class A*....................... 118,238 4,808,739
News Corp. -- Class A........................... 139,750 2,913,788
Time Warner, Inc. .............................. 243,065 4,863,731
Walt Disney Co. ................................ 133,218 4,191,038
------------
TOTAL MEDIA 16,777,296
------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS 11.3%
Chevron Corp. .................................. 134,521 $9,039,811
ConocoPhillips.................................. 100,180 6,034,843
Exxon Mobil Corp. .............................. 367,227 26,227,353
------------
TOTAL OIL, GAS & CONSUMABLE FUELS
41,302,007
------------
PHARMACEUTICALS 10.6%
Abbott Laboratories............................. 92,629 4,400,804
Johnson & Johnson............................... 179,714 12,112,724
Merck & Co., Inc. .............................. 132,470 6,016,787
Pfizer, Inc. ................................... 444,727 11,851,974
Wyeth........................................... 81,692 4,168,743
------------
TOTAL PHARMACEUTICALS 38,551,032
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.1%
Intel Corp. .................................... 353,068 7,534,471
------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
7,534,471
------------
SOFTWARE 5.5%
Microsoft Corp. ................................ 538,671 15,465,245
Oracle Corp.*................................... 241,220 4,455,333
------------
TOTAL SOFTWARE 19,920,578
------------
SPECIALTY RETAIL 1.3%
Home Depot, Inc. ............................... 128,544 4,798,548
------------
TOTAL SPECIALTY RETAIL 4,798,548
------------
TOBACCO 2.8%
Altria Group, Inc. ............................. 126,739 10,307,683
------------
TOTAL TOBACCO 10,307,683
------------
WIRELESS TELECOMMUNICATION SERVICES 0.9%
Sprint Nextel Corp. ............................ 175,923 3,288,001
------------
TOTAL WIRELESS TELECOMMUNICATION SERVICES
3,288,001
------------
TOTAL COMMON STOCKS
(Cost $343,381,777) 364,062,340
- --------------------------------------------------------------------------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 45
RYDEX RUSSELL TOP 50 ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
SHORT TERM INVESTMENTS 0.1%
SSgA Prime Money Market Fund.................... 426,120 $426,120
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $426,121) 426,120
------------
TOTAL INVESTMENTS 100.0%
(Cost $343,807,897) 364,488,460
------------
OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(A)
52,955
------------
NET ASSETS--100.0% $364,541,415
- --------------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
ANNUAL REPORT 46
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS 99.7%
AEROSPACE & DEFENSE 1.9%
Northrop Grumman Corp. ......................... 2,257 $149,842
Raytheon Co. ................................... 1,873 93,556
United Technologies Corp. ...................... 2,440 160,357
-----------
TOTAL AEROSPACE & DEFENSE 403,755
-----------
AUTO COMPONENTS 0.9%
Johnson Controls, Inc. ......................... 2,251 183,546
-----------
TOTAL AUTO COMPONENTS 183,546
-----------
AUTOMOBILES 3.0%
Ford Motor Co. ................................. 34,073 282,124
General Motors Corp. ........................... 10,417 363,762
-----------
TOTAL AUTOMOBILES 645,886
-----------
BEVERAGES 2.1%
Coca-Cola Enterprises, Inc. .................... 7,758 155,393
Constellation Brands, Inc. -- Class A*.......... 3,230 88,793
Molson Coors Brewing Co. -- Class B............. 2,869 204,215
-----------
TOTAL BEVERAGES 448,401
-----------
BUILDING PRODUCTS 0.2%
Masco Corp. .................................... 1,900 52,535
-----------
TOTAL BUILDING PRODUCTS 52,535
-----------
CAPITAL MARKETS 0.7%
Bear Stearns Cos., Inc. ........................ 468 70,832
Morgan Stanley.................................. 1,126 86,060
-----------
TOTAL CAPITAL MARKETS 156,892
-----------
CHEMICALS 2.9%
Ashland, Inc. .................................. 2,948 174,227
Dow Chemical Co. (The).......................... 1,301 53,068
Du Pont (E.I.) de Nemours & Co. ................ 1,682 77,035
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
Eastman Chemical Co. ........................... 2,786 $169,723
PPG Industries, Inc. ........................... 921 62,996
Rohm & Haas Co. ................................ 1,429 74,051
-----------
TOTAL CHEMICALS 611,100
-----------
COMMERCIAL BANKS 5.9%
AmSouth Bancorporation.......................... 2,652 80,143
BB&T Corp. ..................................... 1,783 77,596
Comerica, Inc. ................................. 909 52,895
First Horizon National Corp. ................... 3,460 136,047
Huntington Bancshares, Inc. .................... 4,338 105,891
KeyCorp......................................... 2,927 108,709
National City Corp. ............................ 2,913 108,509
North Fork Bancorporation, Inc. ................ 3,401 97,201
PNC Financial Services Group, Inc. ............. 1,166 81,655
Regions Financial Corp. ........................ 2,965 112,522
SunTrust Banks, Inc. ........................... 1,275 100,712
U.S. Bancorp.................................... 1,716 58,069
Wachovia Corp. ................................. 1,054 58,497
Wells Fargo & Co. .............................. 1,914 69,459
-----------
TOTAL COMMERCIAL BANKS 1,247,905
-----------
COMMERCIAL SERVICES & SUPPLIES 2.2%
Allied Waste Industries, Inc.*.................. 23,871 290,032
Avery Dennison Corp. ........................... 1,021 64,466
R.R. Donnelley & Sons Co. ...................... 3,116 105,508
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES
460,006
-----------
CONTAINERS & PACKAGING 1.0%
Bemis Co. ...................................... 3,796 127,621
Temple-Inland, Inc. ............................ 2,390 94,262
-----------
TOTAL CONTAINERS & PACKAGING 221,883
-----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 47
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED FINANCIAL SERVICES 1.9%
CIT Group, Inc. ................................ 1,703 $88,641
Citigroup, Inc. ................................ 2,307 115,719
JPMorgan Chase & Co. ........................... 4,310 204,467
-----------
TOTAL DIVERSIFIED FINANCIAL SERVICES
408,827
-----------
DIVERSIFIED TELECOMMUNICATION SERVICES 6.2%
AT&T Corp. ..................................... 6,420 219,885
BellSouth Corp. ................................ 4,829 217,788
CenturyTel, Inc. ............................... 2,531 101,847
Citizens Communications Co. .................... 10,192 149,415
Embarq Corp. ................................... 2,443 118,119
Qwest Communications International, Inc.*....... 18,997 163,944
Verizon Communications, Inc. ................... 6,055 224,035
Windstream Corp. ............................... 9,432 129,407
-----------
TOTAL DIVERSIFIED TELECOMMUNICATION SERVICES
1,324,440
-----------
ELECTRIC UTILITIES 5.5%
American Electric Power Co., Inc. .............. 3,752 155,445
Entergy Corp. .................................. 1,384 118,789
FirstEnergy Corp. .............................. 1,638 96,396
FPL Group, Inc. ................................ 1,820 92,820
Pinnacle West Capital Corp. .................... 3,412 163,128
PPL Corp. ...................................... 6,368 219,823
Progress Energy, Inc. .......................... 5,047 232,162
Southern Co. ................................... 2,526 91,947
-----------
TOTAL ELECTRIC UTILITIES 1,170,510
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 1.3%
Sanmina-SCI Corp.*.............................. 39,102 154,453
Solectron Corp.*................................ 34,117 113,951
-----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
268,404
-----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES 0.9%
Duke Energy Corp. .............................. 5,716 $180,854
-----------
TOTAL ENERGY EQUIPMENT & SERVICES
180,854
-----------
FOOD & STAPLES RETAILING 3.1%
Costco Wholesale Corp. ......................... 1,931 103,077
CVS Corp. ...................................... 4,389 137,727
Safeway, Inc. .................................. 6,165 181,004
SUPERVALU, Inc. ................................ 7,373 246,258
-----------
TOTAL FOOD & STAPLES RETAILING 668,066
-----------
FOOD PRODUCTS 2.5%
Archer-Daniels-Midland Co. ..................... 5,664 218,064
ConAgra Foods, Inc. ............................ 5,600 146,440
Tyson Foods, Inc. -- Class A.................... 11,683 168,819
-----------
TOTAL FOOD PRODUCTS 533,323
-----------
GAS UTILITIES 1.9%
Nicor, Inc. .................................... 4,005 184,070
Peoples Energy Corp. ........................... 5,107 223,125
-----------
TOTAL GAS UTILITIES 407,195
-----------
HEALTH CARE PROVIDERS & SERVICES 1.1%
McKesson Corp. ................................. 1,147 57,453
Tenet Healthcare Corp.*......................... 7,891 55,710
WellPoint, Inc.*................................ 1,596 121,807
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES
234,970
-----------
HOUSEHOLD DURABLES 2.7%
Leggett & Platt, Inc. .......................... 3,507 81,889
Newell Rubbermaid, Inc. ........................ 3,530 101,593
Pulte Homes, Inc. .............................. 3,841 119,033
Snap-On, Inc. .................................. 2,309 108,592
Whirlpool Corp. ................................ 1,954 169,861
-----------
TOTAL HOUSEHOLD DURABLES 580,968
-----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 48
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 1.6%
Constellation Energy Group, Inc. ............... 1,580 $98,592
Dynegy, Inc. -- Class A*........................ 38,909 236,567
-----------
TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
335,159
-----------
INDUSTRIAL CONGLOMERATES 0.3%
Textron, Inc. .................................. 605 55,013
-----------
TOTAL INDUSTRIAL CONGLOMERATES 55,013
-----------
INSURANCE 8.7%
ACE Ltd. ....................................... 3,971 227,340
Allstate Corp................................... 1,811 111,123
Aon Corp. ...................................... 2,301 80,052
Chubb Corp. .................................... 3,186 169,336
Genworth Financial, Inc. -- Class A............. 4,050 135,432
Hartford Financial Services Group, Inc. ........ 947 82,550
Lincoln National Corp. ......................... 1,895 119,973
Loews Corp. .................................... 2,524 98,234
MetLife, Inc. .................................. 2,287 130,656
SAFECO Corp. ................................... 1,752 101,949
St. Paul Travelers Cos., Inc. .................. 3,339 170,723
UnumProvident Corp. ............................ 9,730 192,459
XL Capital Ltd. -- Class A...................... 3,111 219,481
-----------
TOTAL INSURANCE 1,839,308
-----------
IT SERVICES 3.1%
Computer Sciences Corp.*........................ 3,512 185,609
Electronic Data Systems Corp. .................. 6,778 171,687
Sabre Holdings Corp. ........................... 4,454 113,221
Unisys Corp.*................................... 28,343 185,363
-----------
TOTAL IT SERVICES 655,880
-----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS 0.8%
Brunswick Corp. ................................ 1,137 $35,816
Eastman Kodak Co. .............................. 5,888 143,667
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS
179,483
-----------
MACHINERY 2.6%
Caterpillar, Inc. .............................. 1,674 101,628
Cummins, Inc. .................................. 1,014 128,758
Deere & Co. .................................... 1,593 135,612
Ingersoll-Rand Co., Ltd. -- Class A............. 3,607 132,413
Navistar International Corp.*................... 1,660 46,032
-----------
TOTAL MACHINERY 544,443
-----------
METALS & MINING 3.1%
Alcoa, Inc. .................................... 3,437 99,364
Nucor Corp. .................................... 1,597 93,281
Phelps Dodge Corp. ............................. 993 99,677
United States Steel Corp. ...................... 5,364 362,606
-----------
TOTAL METALS & MINING 654,928
-----------
MULTI-UTILITIES 8.5%
Ameren Corp. ................................... 2,324 125,728
CenterPoint Energy, Inc. ....................... 8,615 133,360
CMS Energy Corp.*............................... 10,679 159,010
Consolidated Edison, Inc. ...................... 3,577 172,948
Dominion Resources, Inc. ....................... 900 72,891
DTE Energy Co. ................................. 3,757 170,681
KeySpan Corp. .................................. 5,566 225,868
NiSource, Inc. ................................. 8,148 189,604
PG&E Corp. ..................................... 3,268 140,982
Public Service Enterprise Group, Inc. .......... 970 59,218
Sempra Energy................................... 2,115 112,180
TECO Energy, Inc. .............................. 2,566 42,313
Xcel Energy, Inc. .............................. 8,965 197,858
-----------
TOTAL MULTI-UTILITIES 1,802,641
-----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 49
RYDEX S&P 500 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL 4.2%
Big Lots, Inc.*................................. 14,862 $313,291
Dillard's, Inc. -- Class A...................... 12,934 390,219
Federated Department Stores, Inc. .............. 2,708 118,908
Nordstrom, Inc. ................................ 1,379 65,296
-----------
TOTAL MULTILINE RETAIL 887,714
-----------
OIL, GAS & CONSUMABLE FUELS 3.1%
El Paso Corp. .................................. 8,005 109,669
ConocoPhillips.................................. 4,152 250,117
Marathon Oil Corp. ............................. 1,733 149,731
Sunoco, Inc. ................................... 2,303 152,297
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS
661,814
-----------
PAPER & FOREST PRODUCTS 3.1%
International Paper Co. ........................ 5,912 197,165
Louisiana-Pacific Corp. ........................ 5,949 117,671
MeadWestvaco Corp. ............................. 6,136 168,863
Weyerhaeuser Co. ............................... 2,618 166,479
-----------
TOTAL PAPER & FOREST PRODUCTS 650,178
-----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 2.7%
Apartment Investment & Management Co. -- Class
A............................................. 3,114 178,494
Archstone-Smith Trust........................... 1,084 65,268
Equity Office Properties Trust.................. 3,896 165,580
Equity Residential Properties Trust............. 1,125 61,436
Kimco Realty Corp. ............................. 2,476 110,009
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS)
580,787
-----------
ROAD & RAIL 3.0%
CSX Corp. ...................................... 3,341 119,173
Ryder System, Inc. ............................. 7,320 385,398
Union Pacific Corp. ............................ 1,389 125,885
-----------
TOTAL ROAD & RAIL 630,456
-----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.5%
Micron Technology, Inc.*........................ 8,029 $116,019
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
116,019
-----------
SPECIALTY RETAIL 4.1%
AutoNation, Inc.*............................... 8,037 161,142
Circuit City Stores, Inc. ...................... 8,615 232,433
Limited Brands, Inc. ........................... 4,584 135,090
OfficeMax, Inc. ................................ 7,190 342,100
-----------
TOTAL SPECIALTY RETAIL 870,765
-----------
TEXTILES, APPAREL & LUXURY GOODS 0.9%
Jones Apparel Group, Inc. ...................... 5,505 183,867
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS
183,867
-----------
THRIFTS & MORTGAGE FINANCE 0.7%
Washington Mutual, Inc. ........................ 3,282 138,829
-----------
TOTAL THRIFTS & MORTGAGE FINANCE
138,829
-----------
TOBACCO 0.8%
Reynolds American, Inc. ........................ 2,805 177,164
-----------
TOTAL TOBACCO 177,164
-----------
TOTAL COMMON STOCKS
(Cost $20,162,938) 21,173,914
-----------
SHORT TERM INVESTMENTS 0.0%(a)
SSgA Prime Money Market Fund.................... 100 100
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $100) 100
-----------
TOTAL INVESTMENTS 99.7%
(Cost $20,163,038) 21,174,014
-----------
OTHER ASSETS IN EXCESS OF LIABILITIES--0.3%
58,175
-----------
NET ASSETS--100.0% $21,232,189
- ------------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
ANNUAL REPORT 50
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 1.2%
General Dynamics Corp. ......................... 1,510 $107,361
L-3 Communications Holdings, Inc. .............. 1,370 110,312
------------
TOTAL AEROSPACE & DEFENSE 217,673
------------
AUTO COMPONENTS 0.8%
Goodyear Tire & Rubber Co.*..................... 8,928 136,866
------------
TOTAL AUTO COMPONENTS 136,866
------------
AUTOMOBILES 1.2%
Harley-Davidson, Inc. .......................... 3,199 219,547
------------
TOTAL AUTOMOBILES 219,547
------------
BEVERAGES 1.1%
Anheuser-Busch Cos., Inc. ...................... 3,049 144,583
PepsiCo, Inc. .................................. 820 52,021
------------
TOTAL BEVERAGES 196,604
------------
BIOTECHNOLOGY 1.2%
Amgen, Inc.*.................................... 720 54,655
Gilead Sciences, Inc.*.......................... 1,520 104,728
Medimmune, Inc.*................................ 1,610 51,585
------------
TOTAL BIOTECHNOLOGY 210,968
------------
CAPITAL MARKETS 1.6%
Federated Investors, Inc. -- Class B............ 4,739 162,500
Janus Capital Group, Inc. ...................... 3,819 76,686
Legg Mason, Inc. ............................... 400 36,008
------------
TOTAL CAPITAL MARKETS 275,194
------------
CHEMICALS 1.1%
Ecolab, Inc. ................................... 2,709 122,853
Sigma-Aldrich Corp. ............................ 1,040 78,115
------------
TOTAL CHEMICALS 200,968
------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMMERCIAL BANKS 0.5%
Commerce Bancorp, Inc. ......................... 2,449 $85,519
------------
TOTAL COMMERCIAL BANKS 85,519
------------
COMMERCIAL SERVICES & SUPPLIES 0.6%
Cintas Corp. ................................... 1,150 47,610
Equifax, Inc. .................................. 1,350 51,341
------------
TOTAL COMMERCIAL SERVICES & SUPPLIES
98,951
------------
COMMUNICATIONS EQUIPMENT 0.3%
Cisco Systems, Inc.*............................ 2,010 48,501
------------
TOTAL COMMUNICATIONS EQUIPMENT
48,501
------------
COMPUTERS & PERIPHERALS 4.1%
Dell, Inc.*..................................... 4,979 121,139
International Business Machines Corp. .......... 690 63,708
Lexmark International, Inc. -- Class A*......... 2,260 143,713
Network Appliance, Inc.*........................ 3,719 135,743
QLogic Corp.*................................... 7,808 160,689
SanDisk Corp.*.................................. 2,050 98,605
------------
TOTAL COMPUTERS & PERIPHERALS
723,597
------------
CONSUMER FINANCE 2.1%
American Express Co. ........................... 760 43,936
Capital One Financial Corp. .................... 2,240 177,699
SLM Corp. ...................................... 3,019 146,965
------------
TOTAL CONSUMER FINANCE 368,600
------------
CONTAINERS & PACKAGING 1.0%
Ball Corp. ..................................... 4,109 170,893
------------
TOTAL CONTAINERS & PACKAGING 170,893
------------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 51
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
DIVERSIFIED CONSUMER SERVICES 1.5%
Apollo Group, Inc. -- Class A*.................. 3,369 $124,518
H&R Block, Inc. ................................ 6,819 149,064
------------
TOTAL DIVERSIFIED CONSUMER SERVICES
273,582
------------
DIVERSIFIED FINANCIAL SERVICES 1.4%
Chicago Mercantile Exchange Holdings, Inc. ..... 488 244,488
------------
TOTAL DIVERSIFIED FINANCIAL SERVICES
244,488
------------
ELECTRONIC EQUIPMENT & INSTRUMENTS 0.2%
Jabil Circuit, Inc. ............................ 1,480 42,491
------------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
42,491
------------
ENERGY EQUIPMENT & SERVICES 0.6%
BJ Services Co. ................................ 2,240 67,558
Nabors Industries Ltd.*......................... 1,070 33,042
------------
TOTAL ENERGY EQUIPMENT & SERVICES
100,600
------------
FOOD & STAPLES RETAILING 1.9%
Sysco Corp. .................................... 2,989 104,555
Wal-Mart Stores, Inc. .......................... 1,890 93,139
Walgreen Co. ................................... 1,920 83,866
Whole Foods Market, Inc. ....................... 960 61,286
------------
TOTAL FOOD & STAPLES RETAILING
342,846
------------
FOOD PRODUCTS 2.8%
Campbell Soup Co. .............................. 3,269 122,195
General Mills, Inc. ............................ 2,809 159,607
Kellogg Co. .................................... 1,850 93,074
McCormick & Co, Inc. ........................... 2,030 75,922
Wm. Wrigley Jr. Co. ............................ 970 50,392
------------
TOTAL FOOD PRODUCTS 501,190
------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES 5.1%
Becton Dickinson & Co. ......................... 810 $56,724
Biomet, Inc. ................................... 2,989 113,104
Boston Scientific Corp.*........................ 3,339 53,123
Hospira, Inc.*.................................. 3,899 141,729
Medtronic, Inc. ................................ 1,680 81,782
St Jude Medical, Inc.*.......................... 2,150 73,853
Stryker Corp. .................................. 3,629 189,760
Zimmer Holdings, Inc.*.......................... 2,699 194,355
------------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES
904,430
------------
HEALTH CARE PROVIDERS & SERVICES 9.1%
AmerisourceBergen Corp. ........................ 4,439 209,521
Cardinal Health, Inc. .......................... 1,680 109,956
Caremark Rx, Inc. .............................. 2,749 135,333
Coventry Health Care, Inc.*..................... 3,139 147,376
Express Scripts, Inc.*.......................... 2,699 171,980
Health Management Associates, Inc. -- Class A... 4,419 87,054
Humana, Inc.*................................... 2,599 155,940
Laboratory Corp. of America Holdings*........... 750 51,368
Manor Care, Inc. ............................... 3,499 167,917
Patterson Cos., Inc.*........................... 2,939 96,546
Quest Diagnostics, Inc. ........................ 2,100 104,454
UnitedHealth Group, Inc. ....................... 3,379 164,828
------------
TOTAL HEALTH CARE PROVIDERS & SERVICES
1,602,273
------------
HEALTH CARE TECHNOLOGY 0.7%
IMS Health, Inc. ............................... 4,609 128,361
------------
TOTAL HEALTH CARE TECHNOLOGY 128,361
------------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 52
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
HOTELS RESTAURANTS & LEISURE 5.4%
Darden Restaurants, Inc. ....................... 2,679 $112,250
International Game Technology, Inc. ............ 8,818 374,853
Starbucks Corp.*................................ 5,239 197,772
Starwood Hotels & Resorts Worldwide, Inc. ...... 1,030 61,532
Wendy's International, Inc. .................... 2,676 92,590
Yum! Brands, Inc. .............................. 1,860 110,596
------------
TOTAL HOTELS RESTAURANTS & LEISURE
949,593
------------
HOUSEHOLD DURABLES 4.5%
Black & Decker Corp. ........................... 2,360 197,957
Centex Corp. ................................... 2,220 116,106
D.R. Horton, Inc. .............................. 4,949 115,955
Fortune Brands, Inc. ........................... 1,610 123,889
Harman International Industries, Inc. .......... 890 91,092
Lennar Corp. -- Class A......................... 3,169 150,464
------------
TOTAL HOUSEHOLD DURABLES 795,463
------------
HOUSEHOLD PRODUCTS 1.9%
Clorox Co. ..................................... 2,130 137,513
Colgate-Palmolive Co. .......................... 2,230 142,653
Procter & Gamble Co. ........................... 1,000 63,390
------------
TOTAL HOUSEHOLD PRODUCTS 343,556
------------
INSURANCE 1.4%
Ambac Financial Group, Inc. .................... 1,310 109,372
Progressive Corp. .............................. 5,439 131,461
------------
TOTAL INSURANCE 240,833
------------
INTERNET & CATALOG RETAIL 1.2%
Amazon.Com, Inc.*............................... 5,469 208,314
------------
TOTAL INTERNET & CATALOG RETAIL
208,314
------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES 3.8%
eBay, Inc.*..................................... 5,079 $163,188
Google, Inc.* -- Class A........................ 700 333,473
VeriSign, Inc.*................................. 2,889 59,745
Yahoo!, Inc.*................................... 4,459 117,450
------------
TOTAL INTERNET SOFTWARE & SERVICES
673,856
------------
IT SERVICES 2.0%
Affiliated Computer Services, Inc. -- Class
A*............................................ 1,930 103,216
First Data Corp. ............................... 5,519 133,836
Fiserv, Inc.*................................... 2,220 109,668
------------
TOTAL IT SERVICES 346,720
------------
LIFE SCIENCES TOOLS & SERVICES 2.6%
Fisher Scientific International, Inc.*.......... 3,079 263,624
Millipore Corp.*................................ 769 49,624
Waters Corp.*................................... 2,819 140,386
------------
TOTAL LIFE SCIENCES TOOLS & SERVICES
453,634
------------
MACHINERY 0.9%
Danaher Corp. .................................. 1,070 76,794
ITT Industries, Inc. ........................... 1,490 81,041
------------
TOTAL MACHINERY 157,835
------------
MEDIA 2.2%
Clear Channel Communications, Inc. ............. 3,249 113,228
Dow Jones & Co., Inc. .......................... 2,320 81,409
Omnicom Group, Inc. ............................ 1,170 118,696
Univision Communications, Inc. -- Class A*...... 1,940 68,016
------------
TOTAL MEDIA 381,349
------------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 53
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MULTILINE RETAIL 1.9%
Kohl's Corp.*................................... 2,529 $178,547
Sears Holdings Corp.*........................... 530 92,469
Target Corp. ................................... 1,000 59,180
------------
TOTAL MULTILINE RETAIL 330,196
------------
OIL, GAS & CONSUMABLE FUELS 7.0%
Anadarko Petroleum Corp. ....................... 3,299 153,140
Apache Corp. ................................... 2,300 150,236
Chesapeake Energy Corp. ........................ 4,269 138,486
Devon Energy Corp. ............................. 3,409 227,857
EOG Resources, Inc. ............................ 1,820 121,085
Valero Energy Corp. ............................ 2,729 142,809
XTO Energy, Inc. ............................... 6,609 308,376
------------
TOTAL OIL, GAS & CONSUMABLE FUELS
1,241,989
------------
PHARMACEUTICALS 5.5%
Barr Pharmaceuticals, Inc.*..................... 2,519 131,920
Forest Laboratories, Inc.*...................... 5,159 252,481
Eli Lilly & Co. ................................ 830 46,488
Johnson & Johnson............................... 1,020 68,748
King Pharmaceuticals, Inc.*..................... 7,758 129,791
Mylan Laboratories, Inc. ....................... 4,339 88,950
Pfizer, Inc. ................................... 2,969 79,124
Schering-Plough Corp. .......................... 4,019 88,981
Watson Pharmaceuticals, Inc.*................... 1,460 39,289
Wyeth........................................... 1,060 54,092
------------
TOTAL PHARMACEUTICALS 979,864
------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.0%
Broadcom Corp. -- Class A*...................... 1,110 $33,599
Maxim Integrated Products, Inc. ................ 1,480 44,415
NVIDIA Corp.*................................... 13,047 454,949
------------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
532,963
------------
SOFTWARE 4.2%
Adobe Systems, Inc.*............................ 4,649 177,824
Citrix Systems, Inc.*........................... 3,579 105,688
Electronic Arts, Inc.*.......................... 1,910 101,020
Intuit, Inc.*................................... 1,910 67,423
Microsoft Corp. ................................ 2,240 64,310
Oracle Corp.*................................... 7,808 144,214
Symantec Corp.*................................. 3,959 78,547
------------
TOTAL SOFTWARE 739,026
------------
SPECIALTY RETAIL 6.6%
AutoZone, Inc.*................................. 2,310 258,720
Bed Bath & Beyond, Inc.*........................ 4,569 184,085
Best Buy Co., Inc. ............................. 3,009 166,247
Home Depot, Inc. ............................... 2,410 89,965
Lowe's Cos., Inc. .............................. 3,469 104,556
RadioShack Corp. ............................... 3,969 70,807
TJX Cos., Inc. ................................. 8,258 239,069
Tiffany & Co. .................................. 1,490 53,223
------------
TOTAL SPECIALTY RETAIL 1,166,672
------------
TEXTILES, APPAREL & LUXURY GOODS 2.2%
Coach, Inc.*.................................... 6,199 245,728
Liz Claiborne, Inc. ............................ 2,150 90,666
Nike, Inc. -- Class B........................... 590 54,209
------------
TOTAL TEXTILES, APPAREL & LUXURY GOODS
390,603
------------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 54
RYDEX S&P 500 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
THRIFTS & MORTGAGE FINANCE 2.8%
Countrywide Financial Corp. .................... 5,419 $206,572
Federal Home Loan Mortgage Corp. ............... 2,669 184,134
MGIC Investment Corp. .......................... 1,630 95,779
------------
TOTAL THRIFTS & MORTGAGE FINANCE
486,485
------------
TOBACCO 0.7%
UST, Inc. ...................................... 2,350 125,866
------------
TOTAL TOBACCO 125,866
------------
TOTAL COMMON STOCKS
(Cost $17,072,500) 17,638,959
------------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- --------------------------------------------------------------------------
SHORT TERM INVESTMENTS 0.1%
SSgA Prime Money Market Fund.................... 9,109 $9,109
------------
TOTAL SHORT TERM INVESTMENTS
(Cost $9,109) 9,109
------------
TOTAL INVESTMENTS 100.0%
(Cost $17,081,609) 17,648,068
------------
OTHER ASSETS IN EXCESS OF LIABILITIES--0.0%(A)
1,260
------------
NET ASSETS--100.0% $17,649,328
- --------------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
ANNUAL REPORT 55
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS 99.8%
AIRLINES 1.7%
Alaska Air Group, Inc.*......................... 6,383 $256,277
-----------
TOTAL AIRLINES 256,277
-----------
AUTO COMPONENTS 4.8%
ArvinMeritor, Inc. ............................. 16,472 247,409
Bandag, Inc. ................................... 2,628 115,343
BorgWarner, Inc. ............................... 934 53,705
Lear Corp. ..................................... 8,604 259,927
Modine Manufacturing Co. ....................... 1,912 45,525
-----------
TOTAL AUTO COMPONENTS 721,909
-----------
CHEMICALS 5.5%
Albemarle Corp. ................................ 1,408 91,562
Cabot Corp. .................................... 2,578 101,960
Chemtura Corp. ................................. 3,879 33,282
Ferro Corp. .................................... 7,486 147,624
Lubrizol Corp. ................................. 2,661 119,745
Lyondell Chemical Co. .......................... 2,122 54,471
RPM International, Inc. ........................ 4,380 83,877
Sensient Technologies Corp. .................... 8,036 185,230
-----------
TOTAL CHEMICALS 817,751
-----------
COMMERCIAL BANKS 0.2%
FirstMerit Corp. ............................... 1,521 35,318
-----------
TOTAL COMMERCIAL BANKS 35,318
-----------
COMMERCIAL SERVICES & SUPPLIES 2.9%
Banta Corp. .................................... 1,090 48,265
Brink's Co. (The)............................... 1,459 76,583
Kelly Services, Inc. ........................... 4,589 132,072
Manpower, Inc. ................................. 2,530 171,458
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES
428,378
-----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT 0.4%
Andrew Corp.*................................... 5,944 $55,041
-----------
TOTAL COMMUNICATIONS EQUIPMENT
55,041
-----------
CONTAINERS & PACKAGING 1.5%
Packaging Corp. of America...................... 4,825 110,830
Sonoco Products Co. ............................ 3,179 112,791
-----------
TOTAL CONTAINERS & PACKAGING 223,621
-----------
ELECTRIC UTILITIES 10.5%
Duquesne Light Holdings, Inc. .................. 7,015 139,107
Great Plains Energy, Inc........................ 5,552 180,662
Hawaiian Electric Industries, Inc. ............. 4,573 128,136
Idacorp, Inc. .................................. 4,998 197,071
Northeast Utilities............................. 14,916 373,049
Pepco Holdings, Inc. ........................... 11,162 283,738
Sierra Pacific Resources*....................... 8,591 130,240
Westar Energy, Inc. ............................ 5,742 145,387
-----------
TOTAL ELECTRIC UTILITIES 1,577,390
-----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 56
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ELECTRONIC EQUIPMENT & INSTRUMENTS 4.3%
Arrow Electronics, Inc.*........................ 3,368 $100,535
Avnet, Inc.*.................................... 4,778 113,143
Ingram Micro, Inc. -- Class A*.................. 7,046 145,218
Tech Data Corp.*................................ 4,538 178,570
Vishay Intertechnology, Inc.*................... 7,812 105,384
-----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
642,850
FOOD & STAPLES RETAILING 2.0%
BJ's Wholesale Club, Inc.*...................... 3,939 112,852
Ruddick Corp. .................................. 6,632 187,023
-----------
TOTAL FOOD & STAPLES RETAILING 299,875
-----------
FOOD PRODUCTS 1.0%
Smithfield Foods, Inc.*......................... 5,396 145,045
-----------
TOTAL FOOD PRODUCTS 145,045
-----------
GAS UTILITIES 3.7%
AGL Resources, Inc. ............................ 2,195 82,313
National Fuel Gas Co. .......................... 3,926 146,832
Oneok, Inc. .................................... 4,200 174,846
WGL Holdings, Inc. ............................. 4,496 145,895
-----------
TOTAL GAS UTILITIES 549,886
-----------
HEALTH CARE PROVIDERS & SERVICES 0.6%
Triad Hospitals, Inc.*.......................... 2,378 88,057
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES
88,057
-----------
HOTELS RESTAURANTS & LEISURE 1.9%
Bob Evans Farms, Inc. .......................... 6,170 209,225
CBRL Group, Inc. ............................... 1,715 75,305
-----------
TOTAL HOTELS RESTAURANTS & LEISURE
284,530
-----------
HOUSEHOLD DURABLES 2.7%
American Greetings Corp. -- Class A............. 1,991 47,605
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
Blyth, Inc. .................................... 4,276 $102,282
Furniture Brands International, Inc. ........... 11,980 222,828
Tupperware Brands Corp. ........................ 1,765 37,471
-----------
TOTAL HOUSEHOLD DURABLES 410,186
-----------
INDEPENDENT POWER PRODUCERS & ENERGY TRADERS 0.5%
Black Hills Corp. .............................. 2,251 77,682
-----------
TOTAL INDEPENDENT POWER PRODUCERS & ENERGY TRADERS
77,682
-----------
INDUSTRIAL CONGLOMERATES 1.8%
Sequa Corp.*.................................... 2,530 268,458
-----------
TOTAL INDUSTRIAL CONGLOMERATES 268,458
-----------
INSURANCE 9.9%
American Financial Group, Inc. ................. 5,706 273,089
AmerUs Group Co. ............................... 1,363 93,338
First American Corp. ........................... 3,056 124,777
Hanover Insurance Group, Inc. (The)............. 1,867 84,668
HCC Insurance Holdings, Inc. ................... 4,544 152,951
Horace Mann Educators Corp. .................... 5,322 107,185
Mercury General Corp. .......................... 1,431 74,083
Old Republic International Corp. ............... 6,986 157,395
Ohio Casualty Corp. ............................ 3,802 104,289
Protective Life Corp. .......................... 3,150 139,388
Stancorp Financial Group, Inc. ................. 1,854 84,709
Unitrin, Inc. .................................. 1,986 85,259
-----------
TOTAL INSURANCE 1,481,131
-----------
LEISURE EQUIPMENT & PRODUCTS 0.3%
Callaway Golf Co. .............................. 2,908 39,054
-----------
TOTAL LEISURE EQUIPMENT & PRODUCTS
39,054
-----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 57
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MACHINERY 4.1%
AGCO Corp.*..................................... 8,446 $225,931
Harsco Corp. ................................... 696 56,814
Kennametal, Inc. ............................... 1,495 92,256
SPX Corp. ...................................... 2,132 122,633
Timken Co. ..................................... 4,096 123,085
-----------
TOTAL MACHINERY 620,719
-----------
MEDIA 0.6%
Media General, Inc. -- Class A.................. 1,075 39,882
Scholastic Corp.*............................... 1,709 53,697
-----------
TOTAL MEDIA 93,579
- ------------------------------------------------------------------------
-----------
METALS & MINING 3.8%
Commercial Metals Co. .......................... 4,403 117,164
Reliance Steel & Aluminum Co. .................. 2,441 83,848
Steel Dynamics, Inc. ........................... 3,548 213,270
Worthington Industries.......................... 8,835 152,669
-----------
TOTAL METALS & MINING 566,951
-----------
MULTI-UTILITIES 11.9%
Alliant Energy Corp. ........................... 5,720 219,362
Energy East Corp. .............................. 7,096 172,504
MDU Resources Group, Inc. ...................... 1,839 47,226
NSTAR........................................... 9,293 323,303
OGE Energy Corp. ............................... 6,234 240,508
PNM Resources, Inc. ............................ 3,897 109,739
Puget Energy, Inc. ............................. 8,650 206,562
SCANA Corp. .................................... 2,607 104,176
Vectren Corp. .................................. 4,040 117,402
Wisconsin Energy Corp. ......................... 1,982 91,053
WPS Resources Corp. ............................ 2,938 156,331
-----------
TOTAL MULTI-UTILITIES 1,788,166
-----------
MULTILINE RETAIL 0.9%
Saks, Inc. ..................................... 6,556 126,793
-----------
TOTAL MULTILINE RETAIL 126,793
-----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS 0.3%
Forest Oil Corp.*............................... 1,353 $44,162
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS
44,162
-----------
PAPER & FOREST PRODUCTS 2.2%
Bowater, Inc. .................................. 5,652 118,183
Glatfelter...................................... 6,461 94,589
Potlatch Corp. ................................. 1,543 62,646
Rayonier, Inc. ................................. 1,466 60,092
-----------
TOTAL PAPER & FOREST
PRODUCTS 335,510
-----------
REAL ESTATE INVESTMENT
TRUSTS (REITS) 4.6%
AMB Property Corp. ............................. 837 48,889
Highwoods Properties, Inc. ..................... 3,793 144,893
Hospitality Properties Trust 2,000 96,920
Liberty Property Trust.......................... 1,681 81,024
Mack-Cali Realty Corp. ......................... 2,115 111,883
New Plan Excel Realty Trust..................... 4,711 135,677
United Dominion Realty Trust, Inc. ............. 1,929 62,442
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS)
681,728
-----------
ROAD & RAIL 4.0%
JB Hunt Transport Services, Inc. ............... 8,706 188,398
Swift Transportation Co, Inc.*.................. 6,596 165,889
Werner Enterprises, Inc. ....................... 5,166 94,796
YRC Worldwide, Inc.*............................ 3,925 152,055
-----------
TOTAL ROAD & RAIL 601,138
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 3.1%
Atmel Corp.*.................................... 81,798 470,339
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
470,339
-----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 58
RYDEX S&P MIDCAP 400 PURE VALUE ETF
SCHEDULE OF INVESTMENTS (continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE 0.6%
Mentor Graphics Corp.*.......................... 5,641 $95,164
-----------
TOTAL SOFTWARE 95,164
-----------
SPECIALTY RETAIL 2.7%
Borders Group, Inc.............................. 7,035 144,851
Foot Locker, Inc................................ 4,687 108,691
Payless Shoesource, Inc.*....................... 2,498 66,821
Pier 1 Imports, Inc............................. 12,064 78,899
-----------
TOTAL SPECIALTY RETAIL 399,262
-----------
THRIFTS & MORTGAGE FINANCE 1.5%
New York Community Bancorp, Inc................. 8,156 133,351
Washington Federal, Inc......................... 1,942 45,132
Webster Financial Corp.......................... 1,012 48,900
-----------
TOTAL THRIFTS & MORTGAGE FINANCE
227,383
-----------
TOBACCO 1.4%
Universal Corp.................................. 5,839 214,992
-----------
TOTAL TOBACCO 214,992
-----------
TRADING COMPANIES & DISTRIBUTORS 0.3%
GATX Corp....................................... 1,091 47,535
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS
47,535
-----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES 1.6%
Telephone & Data Systems, Inc................... 4,785 $233,747
-----------
TOTAL WIRELESS TELECOMMUNICATION SERVICES
233,747
-----------
TOTAL COMMON STOCKS
(Cost $14,297,550) 14,949,607
-----------
SHORT TERM INVESTMENTS 0.0%(A)
SSgA Prime Money Market Fund.................... 100 100
TOTAL SHORT TERM INVESTMENTS
(Cost $100) 100
-----------
TOTAL INVESTMENTS 99.8%
(Cost $14,297,650) 14,949,707
-----------
OTHER ASSETS IN EXCESS OF LIABILITIES--0.2%
22,829
-----------
NET ASSETS--100.0% $14,972,536
- ------------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
ANNUAL REPORT 59
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS 100.0%
AEROSPACE & DEFENSE 1.4%
Alliant Techsystems, Inc.*...................... 4,035 $311,542
-----------
TOTAL AEROSPACE & DEFENSE 311,542
-----------
AIR FREIGHT & LOGISTICS 2.5%
CH Robinson Worldwide, Inc. .................... 4,800 200,352
Expeditors International Washington, Inc. ...... 7,547 357,803
-----------
TOTAL AIR FREIGHT & LOGISTICS 558,155
-----------
AIRLINES 2.8%
Airtran Holdings, Inc.*......................... 27,400 273,178
JetBlue Airways Corp.*.......................... 28,994 364,165
-----------
TOTAL AIRLINES 637,343
-----------
AUTOMOBILES 1.0%
Thor Industries, Inc. .......................... 4,943 216,602
-----------
TOTAL AUTOMOBILES 216,602
-----------
BEVERAGES 0.9%
Hansen Natural Corp.*........................... 6,194 196,660
-----------
TOTAL BEVERAGES 196,660
-----------
BIOTECHNOLOGY 2.2%
Cephalon, Inc.*................................. 6,005 421,431
Martek Biosciences Corp.*....................... 2,695 63,925
-----------
TOTAL BIOTECHNOLOGY 485,356
-----------
CAPITAL MARKETS 5.8%
Eaton Vance Corp. .............................. 10,563 327,876
Investors Financial Services Corp. ............. 7,358 289,317
SEI Investments Co. ............................ 7,116 400,488
Waddell & Reed Financial, Inc. -- Class A....... 11,084 282,642
-----------
TOTAL CAPITAL MARKETS 1,300,323
-----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES 5.1%
ChoicePoint, Inc.*.............................. 1,860 $67,685
Copart, Inc.*................................... 8,441 244,198
Corporate Executive Board Co. .................. 4,934 443,172
Rollins, Inc. .................................. 6,455 139,686
Stericycle, Inc.*............................... 3,742 264,597
-----------
TOTAL COMMERCIAL SERVICES & SUPPLIES
1,159,338
-----------
COMMUNICATIONS EQUIPMENT 1.6%
F5 Networks, Inc.*.............................. 3,094 204,792
Plantronics, Inc. .............................. 7,482 157,945
-----------
TOTAL COMMUNICATIONS EQUIPMENT
362,737
-----------
COMPUTERS & PERIPHERALS 1.8%
Western Digital Corp.*.......................... 22,558 412,360
-----------
TOTAL COMPUTERS & PERIPHERALS
412,360
-----------
CONSTRUCTION & ENGINEERING 0.7%
Jacobs Engineering Group, Inc.*................. 2,058 155,461
-----------
TOTAL CONSTRUCTION & ENGINEERING
155,461
-----------
DIVERSIFIED CONSUMER SERVICES 6.0%
Career Education Corp.*......................... 8,850 197,178
Corinthian Colleges, Inc.*...................... 29,516 361,571
ITT Educational Services, Inc.*................. 6,378 439,763
Strayer Education, Inc. ........................ 3,153 356,668
-----------
TOTAL DIVERSIFIED CONSUMER SERVICES
1,355,180
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 2.3%
Amphenol Corp. ................................. 4,011 272,347
CDW Corp. ...................................... 3,893 255,653
-----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
528,000
-----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 60
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS(continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
ENERGY EQUIPMENT & SERVICES 1.0%
Grant Prideco, Inc.*............................ 2,932 $110,742
Patterson-UTI Energy, Inc. ..................... 4,511 104,655
-----------
TOTAL ENERGY EQUIPMENT & SERVICES
215,397
-----------
HEALTH CARE EQUIPMENT & SUPPLIES 6.6%
Beckman Coulter, Inc. .......................... 2,758 158,778
Cytyc Corp.*.................................... 14,561 384,702
Dentsply International, Inc. ................... 7,025 219,742
Gen-Probe, Inc.*................................ 4,698 224,893
Intuitive Surgical, Inc.*....................... 1,567 155,415
ResMed, Inc.*................................... 7,786 342,506
-----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES
1,486,036
-----------
HEALTH CARE PROVIDERS & SERVICES 3.0%
Apria Healthcare Group, Inc.*................... 9,722 226,425
Community Health Systems, Inc.*................. 3,949 128,145
LifePoint Hospitals, Inc.*...................... 3,647 129,469
Lincare Holdings, Inc.*......................... 6,016 201,897
-----------
TOTAL HEALTH CARE PROVIDERS & SERVICES
685,936
-----------
HOTELS RESTAURANTS & LEISURE 3.1%
Applebees International, Inc. .................. 7,829 178,658
Cheesecake Factory (The)*....................... 5,754 162,551
Scientific Games Corp. -- Class A*.............. 12,376 346,899
-----------
TOTAL HOTELS RESTAURANTS & LEISURE
688,108
-----------
HOUSEHOLD DURABLES 3.3%
Hovnanian Enterprises, Inc. -- Class A*......... 6,359 196,175
MDC Holdings, Inc. ............................. 4,079 203,379
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
Ryland Group, Inc. ............................. 4,173 $191,666
Toll Brothers, Inc.*............................ 5,307 153,425
-----------
TOTAL HOUSEHOLD DURABLES 744,645
-----------
HOUSEHOLD PRODUCTS 1.2%
Church & Dwight Co., Inc. ...................... 2,445 99,194
Energizer Holdings, Inc.*....................... 2,300 179,745
-----------
TOTAL HOUSEHOLD PRODUCTS 278,939
-----------
INSURANCE 1.7%
Brown & Brown, Inc. ............................ 13,394 391,909
-----------
TOTAL INSURANCE 391,909
-----------
IT SERVICES 7.8%
Alliance Data Systems Corp.*.................... 3,666 222,600
BISYS Group, Inc. (The)*........................ 12,848 141,842
Cognizant Technology Solutions Corp. -- Class
A*............................................ 8,955 674,132
CSG Systems International*...................... 9,432 254,475
DST Systems, Inc.*.............................. 3,253 201,003
Fidelity National Information Services, Inc. ... 6,472 269,041
-----------
TOTAL IT SERVICES 1,763,093
-----------
LIFE SCIENCES TOOLS & SERVICES 1.8%
Invitrogen Corp.*............................... 1,439 83,476
Pharmaceutical Product Development, Inc. ....... 5,133 162,460
Techne Corp.*................................... 2,691 150,373
-----------
TOTAL LIFE SCIENCES TOOLS & SERVICES
396,309
-----------
MACHINERY 1.7%
Donaldson Co., Inc. ............................ 3,704 139,085
Graco, Inc. .................................... 5,701 232,373
-----------
TOTAL MACHINERY 371,458
-----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 61
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS(continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
MEDIA 0.6%
Catalina Marketing Corp. ....................... 5,174 $131,161
-----------
TOTAL MEDIA 131,161
-----------
OFFICE ELECTRONICS 0.3%
Zebra Technologies Corp. -- Class A*............ 2,096 78,118
-----------
TOTAL OFFICE ELECTRONICS 78,118
-----------
OIL, GAS & CONSUMABLE FUELS 6.8%
Denbury Resources, Inc.*........................ 12,816 368,332
Newfield Exploration Co.*....................... 6,530 266,359
Noble Energy, Inc. ............................. 2,706 131,593
Pioneer Natural Resources Co. .................. 3,074 125,204
Plains Exploration & Production Co.*............ 4,129 174,615
Pogo Producing Co. ............................. 6,695 299,601
Southwestern Energy Co.*........................ 4,686 166,728
-----------
TOTAL OIL, GAS & CONSUMABLE FUELS
1,532,432
-----------
PHARMACEUTICALS 3.9%
Medicis Pharmaceutical Corp. -- Class A......... 4,219 147,834
Par Pharmaceutical Cos., Inc.*.................. 16,505 321,682
Sepracor, Inc.*................................. 8,029 415,581
-----------
TOTAL PHARMACEUTICALS 885,097
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 2.4%
Cree, Inc.*..................................... 13,245 291,258
Silicon Laboratories, Inc.*..................... 7,961 259,767
-----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
551,025
-----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
SOFTWARE 2.9%
Activision, Inc.*............................... 5,971 $92,073
Fair Isaac Corp. ............................... 1,880 68,864
Jack Henry & Associates, Inc. .................. 7,374 160,679
Macrovision Corp.*.............................. 8,754 232,944
McAfee, Inc.*................................... 3,546 102,586
-----------
TOTAL SOFTWARE 657,146
-----------
SPECIALTY RETAIL 15.3%
Abercrombie & Fitch Co. -- Class A.............. 5,640 432,306
Advance Auto Parts, Inc. ....................... 6,241 218,560
Aeropostale, Inc.*.............................. 18,843 552,288
American Eagle Outfitters....................... 7,795 357,011
Chico's FAS, Inc.*.............................. 13,069 312,741
GameStop Corp. -- Class A*...................... 10,493 535,773
Pacific Sunwear Of California*.................. 10,650 187,653
Petsmart, Inc. ................................. 9,171 263,941
Ross Stores, Inc. .............................. 10,198 300,127
Urban Outfitters, Inc.*......................... 6,440 112,700
Williams-Sonoma, Inc. .......................... 5,166 175,696
-----------
TOTAL SPECIALTY RETAIL 3,448,796
-----------
TEXTILES, APPAREL & LUXURY GOODS 1.0%
Timberland Co. -- Class A*...................... 7,933 228,867
-----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS
228,867
-----------
THRIFTS & MORTGAGE FINANCE 0.7%
Radian Group, Inc. ............................. 3,008 160,326
-----------
TOTAL THRIFTS & MORTGAGE FINANCE
160,326
-----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 62
RYDEX S&P MIDCAP 400 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS(continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
TRADING COMPANIES & DISTRIBUTORS 0.8%
Fastenal Co. ................................... 4,212 $169,491
-----------
TOTAL TRADING COMPANIES & DISTRIBUTORS
169,491
-----------
TOTAL COMMON STOCKS
(Cost $23,535,994) 22,543,346
-----------
SHORT TERM INVESTMENTS 0.2%
SSgA Prime Money Market Fund.................... 44,630 44,630
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $44,630) 44,630
-----------
TOTAL INVESTMENTS 100.2%
(Cost $23,580,624) 22,587,976
-----------
LIABILITIES IN EXCESS OF OTHER ASSETS--(0.2)%
(41,258)
-----------
NET ASSETS--100.0% $22,546,718
- ------------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
See Notes to Financial Statements.
ANNUAL REPORT 63
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS 99.8%
AEROSPACE & DEFENSE 0.6%
Cubic Corp. .................................... 978 $20,450
Triumph Group, Inc. ............................ 370 17,815
----------
TOTAL AEROSPACE & DEFENSE 38,265
----------
AIR FREIGHT & LOGISTICS 0.8%
HUB Group, Inc. -- Class A*..................... 1,873 50,871
----------
TOTAL AIR FREIGHT & LOGISTICS 50,871
----------
AIRLINES 0.2%
Frontier Airlines Holdings, Inc.*............... 1,438 11,562
----------
TOTAL AIRLINES 11,562
----------
AUTO COMPONENTS 1.8%
Standard Motor Products, Inc. .................. 6,348 70,336
Superior Industries International............... 2,285 38,616
----------
TOTAL AUTO COMPONENTS 108,952
----------
AUTOMOBILES 1.3%
Coachmen Industries, Inc. ...................... 4,317 48,264
Monaco Coach Corp. ............................. 2,704 32,286
----------
TOTAL AUTOMOBILES 80,550
----------
BUILDING PRODUCTS 0.7%
Griffon Corp.*.................................. 340 8,361
Lennox International, Inc. ..................... 694 18,710
NCI Building Systems, Inc.*..................... 285 17,057
----------
TOTAL BUILDING PRODUCTS 44,128
----------
CAPITAL MARKETS 2.0%
Piper Jaffray Cos.*............................. 920 63,618
SWS Group, Inc. ................................ 2,088 58,026
----------
TOTAL CAPITAL MARKETS 121,644
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
CHEMICALS 6.2%
Arch Chemicals, Inc. ........................... 1,450 $48,517
Georgia Gulf Corp. ............................. 1,101 23,550
HB Fuller Co. .................................. 1,461 36,218
Penford Corp. .................................. 2,707 43,989
PolyOne Corp.*.................................. 4,181 34,284
Quaker Chemical Corp. .......................... 3,067 58,365
Schulman A, Inc. ............................... 2,919 70,669
Tronox, Inc. ................................... 1,576 20,614
Wellman, Inc. .................................. 10,346 39,005
----------
TOTAL CHEMICALS 375,211
----------
COMMERCIAL BANKS 2.6%
Community Bank System, Inc. .................... 840 20,874
First Bancorp................................... 2,333 23,097
First Commonwealth Financial Corp. ............. 1,319 17,635
Provident Bankshares Corp. ..................... 412 14,890
South Financial Group, Inc. (The)............... 554 14,697
Sterling Financial Corp. ....................... 628 20,887
Susquehanna Bancshares, Inc. ................... 707 17,668
Whitney Holding Corp. .......................... 892 29,133
----------
TOTAL COMMERCIAL BANKS 158,881
----------
COMMERCIAL SERVICES & SUPPLIES 6.1%
Angelica Corp. ................................. 1,938 40,582
ABM Industries, Inc. ........................... 814 16,166
Bowne & Co, Inc. ............................... 2,092 32,698
Central Parking Corp. .......................... 853 14,629
CDI Corp. ...................................... 426 10,070
Consolidated Graphics, Inc.*.................... 269 16,724
NCO Group, Inc.*................................ 1,479 39,874
Spherion Corp.*................................. 4,974 36,061
Standard Register Co. (The)..................... 3,098 41,916
United Stationers, Inc.*........................ 360 17,190
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 64
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS(continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Viad Corp. ..................................... 317 $11,713
Volt Information Sciences, Inc.*................ 2,232 88,164
----------
TOTAL COMMERCIAL SERVICES & SUPPLIES
365,787
----------
COMMUNICATIONS EQUIPMENT 0.4%
Ditech Networks, Inc.*.......................... 3,050 24,065
----------
TOTAL COMMUNICATIONS EQUIPMENT
24,065
----------
COMPUTERS & PERIPHERALS 0.7%
Adaptec, Inc.*.................................. 8,585 38,890
----------
TOTAL COMPUTERS & PERIPHERALS 38,890
----------
CONSTRUCTION & ENGINEERING 1.0%
EMCOR Group, Inc.*.............................. 1,016 60,096
----------
TOTAL CONSTRUCTION & ENGINEERING
60,096
----------
CONSTRUCTION MATERIALS 0.3%
Texas Industries, Inc. ......................... 297 18,444
----------
TOTAL CONSTRUCTION MATERIALS 18,444
----------
CONTAINERS & PACKAGING 3.8%
Caraustar Industries, Inc.*..................... 2,323 25,158
Chesapeake Corp. ............................... 3,619 56,131
Myers Industries, Inc. ......................... 3,751 67,968
Rock-Tenn Co. .................................. 3,743 77,255
----------
TOTAL CONTAINERS & PACKAGING 226,512
----------
DISTRIBUTORS 0.1%
Audiovox Corp. -- Class A*...................... 632 8,292
----------
TOTAL DISTRIBUTORS 8,292
----------
ELECTRIC UTILITIES 4.4%
Allete, Inc. ................................... 477 21,513
Central Vermont Public Service Corp. ........... 3,565 80,462
Cleco Corp. .................................... 909 23,361
Green Mountain Power Corp. ..................... 1,336 44,930
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
UIL Holdings Corp. ............................. 1,593 $63,322
Unisource Energy Corp. ......................... 828 29,460
----------
TOTAL ELECTRIC UTILITIES 263,048
----------
ELECTRICAL EQUIPMENT 3.0%
Acuity Brands, Inc. ............................ 483 23,928
AO Smith Corp. ................................. 1,384 48,662
Belden CDT, Inc. ............................... 897 32,471
C&D Technologies, Inc. ......................... 3,039 15,073
Magnetek, Inc.*................................. 12,102 57,606
----------
TOTAL ELECTRICAL EQUIPMENT 177,740
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 5.1%
Agilysys, Inc. ................................. 1,252 18,567
Anixter International, Inc.*.................... 344 20,557
Bell Microproducts, Inc.*....................... 4,093 27,587
Benchmark Electronics, Inc.*.................... 547 14,523
Brightpoint, Inc.*.............................. 801 9,692
CTS Corp. ...................................... 1,016 14,346
Gerber Scientific, Inc.*........................ 3,991 58,309
Insight Enterprises, Inc.*...................... 1,493 32,085
Methode Electronics, Inc. ...................... 1,200 13,284
Planar Systems, Inc.*........................... 4,626 55,743
Technitrol, Inc. ............................... 1,586 39,999
----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
304,692
----------
ENERGY EQUIPMENT & SERVICES 0.2%
Lufkin Industries, Inc. ........................ 205 12,370
----------
TOTAL ENERGY EQUIPMENT & SERVICES
12,370
----------
FOOD & STAPLES RETAILING 1.7%
Casey's General Stores, Inc. ................... 823 19,974
Longs Drug Stores Corp. ........................ 615 26,470
Nash Finch Co. ................................. 1,094 28,389
Performance Food Group Co.*..................... 934 27,151
----------
TOTAL FOOD & STAPLES RETAILING 101,984
----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 65
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS(continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
FOOD PRODUCTS 2.0%
American Italian Pasta Co. -- Class A*.......... 5,379 $40,289
Corn Products International, Inc. .............. 939 33,982
Flowers Foods, Inc. ............................ 709 19,264
Lance, Inc. .................................... 1,360 26,547
----------
TOTAL FOOD PRODUCTS 120,082
----------
GAS UTILITIES 6.4%
Atmos Energy Corp. ............................. 1,630 50,090
Cascade Natural Gas Corp. ...................... 1,855 47,748
Energen Corp. .................................. 508 21,753
Laclede Group, Inc. (The)....................... 1,194 42,542
Northwest Natural Gas Co. ...................... 624 25,815
Piedmont Natural Gas Co. ....................... 805 21,735
South Jersey Industries, Inc. .................. 1,983 61,334
Southwest Gas Corp. ............................ 1,763 63,256
UGI Corp. ...................................... 1,979 52,443
----------
TOTAL GAS UTILITIES 386,716
----------
HEALTH CARE EQUIPMENT & SUPPLIES 0.8%
Datascope Corp. ................................ 986 35,368
Osteotech, Inc.*................................ 2,165 11,301
----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES
46,669
----------
HEALTH CARE PROVIDERS & SERVICES 1.8%
Chemed Corp. ................................... 431 15,296
Genesis HealthCare Corp.*....................... 731 35,402
Gentiva Health Services, Inc.*.................. 531 9,850
Hooper Holmes, Inc. ............................ 5,470 19,692
Owens & Minor, Inc. ............................ 907 28,580
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES
108,820
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
HOTELS RESTAURANTS & LEISURE 2.4%
Lone Star Steakhouse & Saloon, Inc. ............ 883 $24,106
Marcus Corp. ................................... 889 22,216
O'Charleys, Inc.*............................... 3,251 64,662
Ryan's Restaurant Group, Inc.*.................. 2,095 33,960
----------
TOTAL HOTELS RESTAURANTS & LEISURE
144,944
----------
HOUSEHOLD DURABLES 3.0%
Bassett Furniture Industries, Inc. ............. 2,270 37,500
La-Z-Boy, Inc. ................................. 2,546 31,189
Lenox Group, Inc.*.............................. 1,894 11,383
Libbey, Inc. ................................... 2,915 33,522
National Presto Industries, Inc. ............... 465 28,472
Russ Berrie & Co, Inc.*......................... 810 12,280
Standard-Pacific Corp. ......................... 1,110 26,895
----------
TOTAL HOUSEHOLD DURABLES 181,241
----------
INDUSTRIAL CONGLOMERATES 1.6%
Standex International Corp. .................... 1,314 38,263
Tredegar Corp. ................................. 3,188 55,599
----------
TOTAL INDUSTRIAL CONGLOMERATES 93,862
----------
INSURANCE 3.9%
Delphi Financial Group.......................... 461 18,094
Infinity Property & Casualty Corp. ............. 502 21,596
LandAmerica Financial Group, Inc. .............. 1,018 64,226
Presidential Life Corp. ........................ 1,087 25,653
Safety Insurance Group, Inc. ................... 696 34,807
Selective Insurance Group....................... 588 32,487
Stewart Information Services Corp. ............. 956 35,429
----------
TOTAL INSURANCE 232,292
----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 66
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS(continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
IT SERVICES 1.4%
Ciber, Inc.*.................................... 2,172 $14,878
Keane, Inc.*.................................... 1,055 12,227
Startek, Inc. .................................. 4,145 56,538
----------
TOTAL IT SERVICES 83,643
----------
LEISURE EQUIPMENT & PRODUCTS 1.4%
Jakks Pacific, Inc.*............................ 1,503 32,600
K2, Inc.*....................................... 2,847 38,890
Sturm Ruger & Co, Inc.*......................... 1,500 12,495
----------
TOTAL LEISURE EQUIPMENT & PRODUCTS
83,985
----------
LIFE SCIENCES TOOLS & SERVICES 0.3%
Cambrex Corp. .................................. 831 19,445
----------
TOTAL LIFE SCIENCES TOOLS & SERVICES
19,445
----------
MACHINERY 2.6%
Barnes Group, Inc. ............................. 603 12,090
Briggs & Stratton Corp. ........................ 613 15,625
Lydall, Inc.*................................... 3,563 32,316
Mueller Industries, Inc. ....................... 540 19,802
Robbins & Myers, Inc. .......................... 1,532 58,967
Wolverine Tube, Inc.*........................... 6,194 17,777
----------
TOTAL MACHINERY 156,577
----------
METALS & MINING 5.4%
Aleris International, Inc.*..................... 484 24,931
AM Castle & Co. ................................ 1,706 57,048
Brush Engineered Materials, Inc.*............... 1,311 44,128
Century Aluminum Co.*........................... 617 24,014
Chaparral Steel Co. ............................ 1,986 82,598
Quanex Corp. ................................... 380 12,734
Ryerson, Inc. .................................. 1,833 44,175
Steel Technologies, Inc. ....................... 1,864 35,770
----------
TOTAL METALS & MINING 325,398
----------
MULTI-UTILITIES 1.6%
Avista Corp. ................................... 2,254 58,018
CH Energy Group, Inc. .......................... 766 39,847
----------
TOTAL MULTI-UTILITIES 97,865
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
MULTILINE RETAIL 0.5%
Fred's, Inc. -- Class A......................... 2,482 $32,465
----------
TOTAL MULTILINE RETAIL 32,465
----------
PAPER & FOREST PRODUCTS 3.3%
Buckeye Technologies, Inc.*..................... 3,486 36,220
Neenah Paper, Inc. ............................. 907 33,405
Pope & Talbot, Inc.*............................ 6,881 37,501
Schweitzer-Mauduit International, Inc. ......... 2,520 58,111
Wausau Paper Corp. ............................. 2,464 33,412
----------
TOTAL PAPER & FOREST PRODUCTS 198,649
----------
REAL ESTATE INVESTMENT TRUSTS (REITS) 3.7%
Colonial Properties Trust....................... 480 24,187
Entertainment Properties Trust.................. 360 19,800
Glenborough Realty Trust, Inc. ................. 1,624 42,191
Lexington Corporate Properties Trust............ 836 17,807
Mid-America Apartment Communities, Inc. ........ 155 9,866
Parkway Properties, Inc. ....................... 582 28,716
Senior Housing Properties Trust................. 1,263 28,961
Sovran Self Storage, Inc. ...................... 340 20,053
National Retail Properties, Inc. ............... 1,365 30,672
----------
TOTAL REAL ESTATE INVESTMENT TRUSTS (REITS)
222,253
----------
ROAD & RAIL 0.7%
Arkansas Best Corp. ............................ 968 39,669
----------
TOTAL ROAD & RAIL 39,669
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.3%
Axcelis Technologies, Inc.*..................... 1,786 12,323
Photronics, Inc.*............................... 444 6,212
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
18,535
----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 67
RYDEX S&P SMALLCAP 600 PURE VALUE ETF
SCHEDULE OF INVESTMENTS(continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
SOFTWARE 0.4%
THQ, Inc.*...................................... 697 $20,959
----------
TOTAL SOFTWARE 20,959
----------
SPECIALTY RETAIL 7.4%
Cato Corp. (The) -- Class A..................... 1,631 37,334
Group 1 Automotive, Inc. ....................... 1,491 85,449
Hancock Fabrics, Inc.*.......................... 9,857 32,725
Haverty Furniture Cos., Inc. ................... 3,797 59,993
Jo-Ann Stores, Inc.*............................ 2,645 48,139
PEP Boys-Manny Moe & Jack....................... 4,191 59,428
Sonic Automotive, Inc. -- Class A............... 2,221 58,412
Stage Stores, Inc. ............................. 1,473 47,740
Zale Corp.*..................................... 525 15,141
----------
TOTAL SPECIALTY RETAIL 444,361
----------
TEXTILES, APPAREL & LUXURY GOODS 3.4%
Ashworth, Inc.*................................. 5,320 37,347
Brown Shoe Co., Inc.*........................... 1,594 62,102
Kellwood Co. ................................... 2,552 78,091
Oxford Industries, Inc. ........................ 209 11,031
Stride Rite Corp. .............................. 1,043 15,384
----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS
203,955
----------
THRIFTS & MORTGAGE FINANCE 0.2%
Brookline Bancorp, Inc. ........................ 931 12,410
----------
TOTAL THRIFTS & MORTGAGE FINANCE
12,410
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- -----------------------------------------------------------------------
TOBACCO 1.5%
Alliance One International, Inc.*............... 18,728 $90,269
----------
TOTAL TOBACCO 90,269
----------
TRADING COMPANIES & DISTRIBUTORS 0.6%
Kaman Corp. .................................... 738 15,048
Lawson Products................................. 453 21,930
----------
TOTAL TRADING COMPANIES & DISTRIBUTORS
36,978
----------
WATER UTILITIES 0.2%
American States Water Co. ...................... 308 12,937
----------
TOTAL WATER UTILITIES 12,937
----------
TOTAL COMMON STOCKS
(Cost $5,737,681) 6,006,962
----------
SHORT TERM INVESTMENTS 0.0%(A)
SSgA Prime Money Market Fund.................... 100 100
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $100) 100
----------
TOTAL INVESTMENTS 99.8%
(Cost $5,737,781) 6,007,063
----------
OTHER ASSETS IN EXCESS OF LIABILITIES--0.2%
12,032
----------
NET ASSETS--100.0% $6,019,095
- -----------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a)Amount represents less than 0.05% of net
assets.
See Notes to Financial Statements.
ANNUAL REPORT 68
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS 99.9%
AEROSPACE & DEFENSE 1.9%
Ceradyne, Inc.*................................. 2,099 $86,584
Curtiss-Wright Corp. ........................... 1,376 46,564
GenCorp, Inc.*.................................. 991 12,982
----------
TOTAL AEROSPACE & DEFENSE 146,130
----------
AIR FREIGHT & LOGISTICS 0.4%
Forward Air Corp. .............................. 1,081 35,100
----------
TOTAL AIR FREIGHT & LOGISTICS 35,100
----------
AUTOMOBILES 0.7%
Winnebago Industries............................ 1,555 51,766
----------
TOTAL AUTOMOBILES 51,766
----------
BUILDING PRODUCTS 0.3%
Simpson Manufacturing Co., Inc. ................ 780 22,144
----------
TOTAL BUILDING PRODUCTS 22,144
----------
CAPITAL MARKETS 0.8%
Investment Technology Group, Inc.*.............. 1,276 59,589
----------
TOTAL CAPITAL MARKETS 59,589
----------
COMMERCIAL BANKS 3.4%
East West Bancorp, Inc. ........................ 621 22,673
Nara Bancorp, Inc. ............................. 3,962 75,278
PrivateBancorp, Inc. ........................... 1,178 48,380
UCBH Holdings, Inc. ............................ 1,794 30,749
Wilshire Bancorp, Inc. ......................... 2,992 59,182
Wintrust Financial Corp. ....................... 584 28,184
----------
TOTAL COMMERCIAL BANKS 264,446
----------
COMMERCIAL SERVICES & SUPPLIES 0.6%
Waste Connections, Inc.*........................ 1,109 45,125
----------
TOTAL COMMERCIAL SERVICES & SUPPLIES
45,125
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT 0.4%
Comtech Telecommunications Corp.*............... 849 $30,267
----------
TOTAL COMMUNICATIONS EQUIPMENT
30,267
----------
COMPUTERS & PERIPHERALS 2.2%
Komag, Inc.*.................................... 1,819 69,577
Neoware, Inc.*.................................. 1,572 18,817
Synaptics, Inc.*................................ 2,834 80,372
----------
TOTAL COMPUTERS & PERIPHERALS 168,766
----------
CONSTRUCTION MATERIALS 0.9%
Headwaters, Inc.*............................... 2,805 69,424
----------
TOTAL CONSTRUCTION MATERIALS 69,424
----------
CONSUMER FINANCE 1.1%
World Acceptance Corp.*......................... 1,696 84,783
----------
TOTAL CONSUMER FINANCE 84,783
----------
DIVERSIFIED CONSUMER SERVICES 4.6%
Bright Horizons Family Solutions, Inc.*......... 972 37,344
Coinstar, Inc.*................................. 5,184 157,490
Pre-Paid Legal Services, Inc. .................. 2,237 94,961
Vertrue, Inc.*.................................. 1,636 73,571
----------
TOTAL DIVERSIFIED CONSUMER SERVICES
363,366
----------
DIVERSIFIED FINANCIAL SERVICES 1.3%
Portfolio Recovery Associates, Inc.*............ 2,185 101,865
----------
TOTAL DIVERSIFIED FINANCIAL SERVICES
101,865
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS 3.7%
Daktronics, Inc. ............................... 3,224 76,441
Flir Systems, Inc.*............................. 2,644 84,449
LoJack Corp.*................................... 2,087 41,656
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 69
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS(continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Mercury Computer Systems, Inc.*................. 711 $8,760
Scansource, Inc.*............................... 2,558 80,296
----------
TOTAL ELECTRONIC EQUIPMENT & INSTRUMENTS
291,602
----------
ENERGY EQUIPMENT & SERVICES 1.8%
CARBO Ceramics, Inc. ........................... 484 16,311
Hydril*......................................... 492 29,545
Unit Corp.*..................................... 727 33,725
W-H Energy Services, Inc.*...................... 1,295 60,645
----------
TOTAL ENERGY EQUIPMENT & SERVICES
140,226
----------
FOOD PRODUCTS 0.7%
Delta & Pine Land Co. .......................... 1,064 43,102
Peet's Coffee & Tea, Inc.*...................... 589 15,756
----------
TOTAL FOOD PRODUCTS 58,858
----------
HEALTH CARE EQUIPMENT & SUPPLIES 10.7%
American Medical Systems Holdings, Inc.*........ 1,758 31,310
Arthrocare Corp.*............................... 560 22,630
Biolase Technology, Inc.*....................... 17,047 110,805
Biosite, Inc.*.................................. 1,364 62,649
Cooper Cos., Inc. (The)......................... 613 35,327
Greatbatch, Inc.*............................... 1,211 27,235
ICU Medical, Inc.*.............................. 1,239 52,348
Idexx Laboratories, Inc.*....................... 443 36,862
Immucor, Inc.*.................................. 2,095 57,675
Integra LifeSciences Holdings Corp.*............ 2,274 83,979
Kensey Nash Corp.*.............................. 1,223 37,191
Mentor Corp. ................................... 707 33,088
Merit Medical Systems, Inc.*.................... 1,945 30,750
PolyMedica Corp. ............................... 1,190 49,445
Possis Medical, Inc.*........................... 7,767 84,816
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
Respironics, Inc.*.............................. 885 $31,258
SurModics, Inc.*................................ 1,369 47,778
----------
TOTAL HEALTH CARE EQUIPMENT & SUPPLIES
835,146
----------
HEALTH CARE PROVIDERS & SERVICES 7.9%
Amedisys, Inc.*................................. 698 28,318
AMERIGROUP Corp.*............................... 2,347 70,316
AMN Healthcare Services, Inc.*.................. 3,752 94,888
Amsurg Corp.*................................... 1,604 33,716
Centene Corp.*.................................. 3,419 80,654
Healthways, Inc.*............................... 1,486 62,932
Odyssey HealthCare, Inc.*....................... 6,074 80,481
Pediatrix Medical Group, Inc.*.................. 585 26,284
Sierra Health Services, Inc.*................... 1,564 53,551
Sunrise Senior Living, Inc.*.................... 1,572 49,062
United Surgical Partners International, Inc.*... 1,696 42,095
----------
TOTAL HEALTH CARE PROVIDERS & SERVICES
622,297
----------
HEALTH CARE TECHNOLOGY 1.2%
Cerner Corp.*................................... 710 34,300
Dendrite International, Inc.*................... 1,137 11,882
Per-Se Technologies, Inc.*...................... 1,867 45,704
----------
TOTAL HEALTH CARE TECHNOLOGY 91,886
----------
HOTELS RESTAURANTS & LEISURE 5.9%
CEC Entertainment, Inc.*........................ 1,093 37,676
Panera Bread Co. -- Class A*.................... 1,166 72,059
Papa John's International, Inc.*................ 1,937 71,088
PF Chang's China Bistro, Inc.*.................. 975 40,775
Multimedia Games, Inc.*......................... 9,857 92,557
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 70
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS(continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
Shuffle Master, Inc.*........................... 3,337 $93,369
Sonic Corp.*.................................... 2,526 57,466
----------
TOTAL HOTELS RESTAURANTS & LEISURE
464,990
----------
HOUSEHOLD DURABLES 1.5%
Meritage Homes Corp.*........................... 1,227 56,172
NVR, Inc.*...................................... 114 64,011
----------
TOTAL HOUSEHOLD DURABLES 120,183
----------
INSURANCE 1.5%
Hilb Rogal & Hobbs Co. ......................... 1,519 60,639
Philadelphia Consolidated Holding Co.*.......... 1,486 58,132
----------
TOTAL INSURANCE 118,771
----------
INTERNET & CATALOG RETAIL 1.2%
PetMed Express, Inc.*........................... 7,531 94,137
----------
TOTAL INTERNET & CATALOG RETAIL 94,137
----------
INTERNET SOFTWARE & SERVICES 5.6%
Bankrate, Inc.*................................. 2,379 76,009
Digital Insight Corp.*.......................... 1,028 31,642
j2 Global Communications, Inc.*................. 5,127 140,685
MIVA, Inc.*..................................... 17,571 56,052
WebEx Communications, Inc.*..................... 1,056 40,603
Websense, Inc.*................................. 3,517 96,260
----------
TOTAL INTERNET SOFTWARE & SERVICES
441,251
----------
IT SERVICES 2.5%
CACI International, Inc. -- Class A*............ 552 31,762
eFunds Corp.*................................... 2,408 59,718
Mantech International Corp. -- Class A*......... 1,580 53,815
Talx Corp. ..................................... 2,192 53,310
----------
TOTAL IT SERVICES 198,605
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS 2.4%
Nautilus, Inc. ................................. 3,962 $55,983
Polaris Industries, Inc. ....................... 983 42,092
Pool Corp. ..................................... 2,148 88,025
----------
TOTAL LEISURE EQUIPMENT & PRODUCTS
186,100
----------
LIFE SCIENCES TOOLS & SERVICES 1.0%
Dionex Corp.*................................... 902 49,069
PharmaNet Development Group, Inc.*.............. 1,523 28,480
----------
TOTAL LIFE SCIENCES TOOLS & SERVICES
77,549
----------
MACHINERY 0.7%
ASV, Inc.*...................................... 1,076 15,720
EnPro Industries, Inc.*......................... 1,190 38,080
----------
TOTAL MACHINERY 53,800
----------
MEDIA 1.2%
Advo, Inc. ..................................... 1,425 41,838
Arbitron, Inc. ................................. 1,223 51,366
----------
TOTAL MEDIA 93,204
----------
OIL, GAS & CONSUMABLE FUELS 7.6%
Cabot Oil & Gas Corp. .......................... 629 33,280
Cimarex Energy Co. ............................. 1,028 37,029
Frontier Oil Corp. ............................. 4,551 133,799
Helix Energy Solutions Group, Inc.*............. 897 28,973
Penn Virginia Corp. ............................ 792 56,668
Petroleum Development Corp.*.................... 1,150 53,072
St Mary Land & Exploration Co. ................. 2,152 80,248
Stone Energy Corp.*............................. 1,352 52,687
Swift Energy Co.*............................... 1,141 53,308
World Fuel Services Corp. ...................... 1,450 62,379
----------
TOTAL OIL, GAS & CONSUMABLE FUELS
591,443
----------
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 71
RYDEX S&P SMALLCAP 600 PURE GROWTH ETF
SCHEDULE OF INVESTMENTS(continued) October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
COMMON STOCKS (CONTINUED)
PERSONAL PRODUCTS 1.6%
NBTY, Inc.*..................................... 2,290 $63,708
USANA Health Sciences, Inc.*.................... 1,437 64,550
----------
TOTAL PERSONAL PRODUCTS 128,258
----------
PHARMACEUTICALS 5.0%
Sciele Pharma, Inc.*............................ 1,668 36,379
Bradley Pharmaceuticals, Inc.*.................. 4,616 80,319
CNS, Inc. ...................................... 3,512 130,120
Connetics Corp.*................................ 5,656 96,378
Noven Pharmaceuticals, Inc.*.................... 2,249 49,950
----------
TOTAL PHARMACEUTICALS 393,146
----------
ROAD & RAIL 2.0%
Heartland Express, Inc. ........................ 2,343 38,261
Knight Transportation, Inc. .................... 2,765 50,378
Landstar System, Inc. .......................... 1,478 68,639
----------
TOTAL ROAD & RAIL 157,278
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT 0.7%
Cabot Microelectronics Corp.*................... 1,868 53,331
----------
TOTAL SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT
53,331
----------
SOFTWARE 4.5%
Ansys, Inc.*.................................... 1,238 56,948
EPIQ Systems, Inc.*............................. 2,197 33,570
Factset Research Systems, Inc. ................. 2,014 102,512
Kronos, Inc.*................................... 702 23,798
Manhattan Associates, Inc.*..................... 1,936 57,170
Quality Systems, Inc. .......................... 1,064 45,156
Take-Two Interactive Software, Inc.*............ 2,132 29,827
----------
TOTAL SOFTWARE 348,981
----------
</Table>
<Table>
<Caption>
MARKET
SHARES VALUE
- ------------------------------------------------------------------------
SPECIALTY RETAIL 6.9%
Childrens Place Retail Stores Inc (The)*........ 857 $60,153
Christopher & Banks Corp. ...................... 5,335 143,992
Genesco, Inc.*.................................. 1,064 39,975
Guitar Center, Inc.*............................ 816 35,390
Hibbett Sporting Goods, Inc.*................... 1,729 50,556
HOT Topic, Inc.*................................ 5,574 56,353
Select Comfort Corp.*........................... 2,343 50,093
Tractor Supply Co.*............................. 889 43,045
Tween Brands, Inc.*............................. 1,389 58,088
----------
TOTAL SPECIALTY RETAIL 537,645
----------
TEXTILES, APPAREL & LUXURY GOODS 1.7%
Fossil, Inc.*................................... 2,388 52,154
K-Swiss, Inc. -- Class A........................ 2,265 80,000
----------
TOTAL TEXTILES, APPAREL & LUXURY GOODS
132,154
----------
THRIFTS & MORTGAGE FINANCE 1.8%
Flagstar Bancorp, Inc. ......................... 5,359 80,545
Fremont General Corp. .......................... 4,194 60,939
----------
TOTAL THRIFTS & MORTGAGE FINANCE
141,484
----------
TOTAL COMMON STOCKS
(Cost $7,761,485) 7,815,096
----------
SHORT TERM INVESTMENTS 0.1%
SSgA Prime Money Market Fund.................... 6,267 6,267
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $6,267) 6,267
----------
TOTAL INVESTMENTS 100.0%
(Cost $7,767,752) 7,821,363
----------
LIABILITIES IN EXCESS OF OTHER ASSETS--0.0%(A)
(1,678)
----------
NET ASSETS--100.0% $7,819,685
- ------------------------------------------------------------------------
</Table>
* Non-Income Producing Security.
(a) Amount represents less than 0.05% of net assets.
See Notes to Financial Statements.
ANNUAL REPORT 72
STATEMENTS OF ASSETS
AND LIABILITIES October 31, 2006
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX RYDEX S&P RYDEX S&P
S&P EQUAL RUSSELL TOP 500 PURE 500 PURE
WEIGHT ETF 50 ETF VALUE ETF GROWTH ETF
-------------- ------------ ----------- -----------
ASSETS
Investments at Market
Value*.............. $1,759,101,860 $364,488,460 $21,174,014 $17,648,068
Cash.................. -- -- -- --
Receivables:
Investments Sold.... -- -- 39,794 --
Dividends........... 1,278,368 304,752 29,521 6,448
-------------- ------------ ----------- -----------
TOTAL ASSETS...... 1,760,380,228 364,793,212 21,243,329 17,654,516
-------------- ------------ ----------- -----------
LIABILITIES
Payables:
Investments
Purchased......... -- 195,106 -- --
Income Dividend..... 68 159 -- --
Due to Custodian.... -- -- 5,427 --
Accrued Management
Fees.............. 583,052 56,532 5,713 5,188
-------------- ------------ ----------- -----------
TOTAL
LIABILITIES..... 583,120 251,797 11,140 5,188
-------------- ------------ ----------- -----------
NET ASSETS............ $1,759,797,108 $364,541,415 $21,232,189 $17,649,328
============== ============ =========== ===========
NET ASSETS CONSIST OF:
Paid-in Capital....... $1,642,112,784 $344,233,601 $20,211,486 $17,128,091
Undistributed Net
Investment Income... 1,095,730 430,201 62,368 6,529
Accumulated Net
Realized Loss on
Investments......... (17,188,950) (802,950) (52,641) (51,751)
Net Unrealized
Appreciation on
Investments......... 133,777,544 20,680,563 1,010,976 566,459
-------------- ------------ ----------- -----------
NET ASSETS............ $1,759,797,108 $364,541,415 $21,232,189 $17,649,328
============== ============ =========== ===========
Shares Outstanding
(Unlimited Shares
Authorized), No Par
Value............... 38,206,589 3,500,005 650,000 500,000
============== ============ =========== ===========
Net Asset Value,
Offering Price and
Repurchase Price Per
Share............... $ 46.06 $ 104.15 $ 32.66 $ 35.30
============== ============ =========== ===========
*Total Cost of
Investments......... $1,625,324,316 $343,807,897 $20,163,038 $17,081,609
============== ============ =========== ===========
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 73
STATEMENTS OF ASSETS
AND LIABILITIES October 31, 2006
- --------------------------------------------------------------------------------
<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*................ $14,949,707 $22,587,976 $6,007,063 $7,821,363
Cash.................... -- -- -- 2,006
Receivables:
Investments Sold...... 98,996 357,412 10,389 --
Dividends............. 19,286 4,187 6,090 610
----------- ----------- ---------- ----------
TOTAL ASSETS........ 15,067,989 22,949,575 6,023,542 7,823,979
----------- ----------- ---------- ----------
LIABILITIES
Payables:
Investments
Purchased........... -- 396,199 -- 2,006
Dividend Payable...... -- -- -- --
Due to Custodian...... 91,067 -- 2,686 --
Accrued Management
Fees................ 4,386 6,658 1,761 2,288
----------- ----------- ---------- ----------
TOTAL LIABILITIES... 95,453 402,857 4,447 4,294
----------- ----------- ---------- ----------
NET ASSETS.............. $14,972,536 $22,546,718 $6,019,095 $7,819,685
=========== =========== ========== ==========
NET ASSETS CONSIST OF:
Paid-in Capital......... $14,398,483 $23,560,420 $5,766,825 $7,823,705
Undistributed Net
Investment Income..... 21,957 2,363 7,703 --
Accumulated Net Realized
Loss on Investments... (99,961) (23,417) (24,715) (57,631)
Net Unrealized
Appreciation/
(Depreciation) on
Investments........... 652,057 (992,648) 269,282 53,611
----------- ----------- ---------- ----------
NET ASSETS.............. $14,972,536 $22,546,718 $6,019,095 $7,819,685
=========== =========== ========== ==========
Shares Outstanding
(Unlimited Shares
Authorized), No Par
Value................. 450,000 450,000 150,000 200,000
=========== =========== ========== ==========
Net Asset Value,
Offering Price and
Repurchase Price Per
Share................. $ 33.27 $ 50.10 $ 40.13 $ 39.10
=========== =========== ========== ==========
*Total Cost of
Investments........... $14,297,650 $23,580,624 $5,737,781 $7,767,752
=========== =========== ========== ==========
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 74
STATEMENTS OF OPERATIONS For the Year Ended
October 31, 2006
- --------------------------------------------------------------------------------
<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........... $ 24,355,871 $ 3,564,454 $ 219,473 $ 75,707
Foreign Taxes
Withheld.......... -- -- -- --
------------ ----------- ---------- --------
Total Income...... 24,355,871 3,564,454 219,473 75,707
------------ ----------- ---------- --------
EXPENSES
Management Fee...... 6,067,717 326,403 28,282 32,115
------------ ----------- ---------- --------
Net Investment
Income.............. 18,288,154 3,238,051 191,191 43,592
------------ ----------- ---------- --------
REALIZED AND
UNREALIZED
GAIN/(LOSS) ON
INVESTMENTS
Net Realized
Gain/(Loss) From:
Investments......... (11,744,562) (716,563) (56,285) (51,751)
In-kind
Redemptions....... 110,674,899 7,329,670 -- --
------------ ----------- ---------- --------
Net Realized
Gain/(Loss)..... 98,930,337 6,613,107 (56,285) (51,751)
Net Change in
Unrealized
Appreciation on
Investments......... 112,521,932 22,742,988 1,010,976 566,459
------------ ----------- ---------- --------
Net Realized and
Unrealized Gain on
Investments......... 211,452,269 29,356,095 954,691 514,708
------------ ----------- ---------- --------
NET INCREASE IN
NET ASSETS
RESULTING FROM
OPERATIONS...... $229,740,423 $32,594,146 $1,145,882 $558,300
============ =========== ========== ========
</Table>
* The Fund commenced operations on March 1, 2006.
See Notes to Financial Statements.
ANNUAL REPORT 75
STATEMENTS OF OPERATIONS For the Year Ended
October 31, 2006
- --------------------------------------------------------------------------------
<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............. $ 189,189 $ 50,353 $ 69,178 $ 14,651
Foreign Taxes
Withheld............ -- -- (48) --
--------- ----------- -------- ---------
Total Income........ 189,189 50,353 69,130 14,651
--------- ----------- -------- ---------
EXPENSES
Management Fee........ 27,406 42,331 13,382 16,689
--------- ----------- -------- ---------
Net Investment
Income/(Loss)......... 161,783 8,022 55,748 (2,038)
--------- ----------- -------- ---------
REALIZED AND UNREALIZED
GAIN/(LOSS) ON
INVESTMENTS
Net Realized Gain/(Loss)
From:
Investments........... (106,316) (23,417) (25,510) (61,118)
In-kind Redemptions... -- -- -- (178,101)
--------- ----------- -------- ---------
Net Realized Loss... (106,316) (23,417) (25,510) (239,219)
Net Change in Unrealized
Appreciation/(Depreciation)
on Investments........ 652,057 (992,648) 269,282 53,611
--------- ----------- -------- ---------
Net Realized and
Unrealized Gain/(Loss)
on Investments........ 545,741 (1,016,065) 243,772 (185,608)
--------- ----------- -------- ---------
NET
INCREASE/(DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS........ $ 707,524 $(1,008,043) $299,520 $(187,646)
========= =========== ======== =========
</Table>
* The Fund commenced operations on March 1, 2006.
See Notes to Financial Statements.
ANNUAL REPORT 76
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT ETF
-----------------------------------
YEAR ENDED YEAR ENDED
OCTOBER 31, 2006 OCTOBER 31, 2005
---------------- ----------------
OPERATIONS
Net Investment Income.................. $ 18,288,154 $ 9,400,925
Net Realized Gain...................... 98,930,337 64,487,720
Net Change in Unrealized Appreciation
on Investments....................... 112,521,932 319,080
-------------- --------------
Net Increase in Net Assets Resulting
From Operations...................... 229,740,423 74,207,725
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income.................. (17,292,008) (8,884,060)
-------------- --------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Sold.............. 1,072,339,911 673,529,856
Value of Shares Reinvested............. 114,370 --
Value of Shares Repurchased............ (596,515,156) (153,080,243)
-------------- --------------
Net Increase in Net Assets Resulting
From Share Transactions.............. 475,939,125 520,449,613
-------------- --------------
Increase in Net Assets............... 688,387,540 585,773,278
NET ASSETS--BEGINNING OF PERIOD.......... 1,071,409,568 485,636,290
-------------- --------------
NET ASSETS--END OF PERIOD(1)............. $1,759,797,108 $1,071,409,568
============== ==============
(1) Including Undistributed Net
Investment Income.................... $ 1,095,730 $ 569,892
============== ==============
CHANGES IN SHARES OUTSTANDING:
Shares Sold............................ 14,253,000 4,350,000
Shares Issued in Connection with Stock
Split................................ 27,150,006 --
Shares Reinvested...................... 2,583 --
Shares Repurchased..................... (9,950,000) (1,000,000)
Shares Outstanding, Beginning of
Year................................. 6,751,000 3,401,000
-------------- --------------
Shares Outstanding, End of Year........ 38,206,589 6,751,000
============== ==============
</Table>
See Notes to Financial Statements.
ANNUAL REPORT 77
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RUSSELL TOP 50 ETF
-----------------------------------
FOR THE PERIOD
MAY 4, 2005*
YEAR ENDED THROUGH
OCTOBER 31, 2006 OCTOBER 31, 2005
---------------- ----------------
OPERATIONS
Net Investment Income................... $ 3,238,051 $ 872,067
Net Realized Gain/(Loss)................ 6,613,107 (98,847)
Net Change in Unrealized Appreciation/
(Depreciation) on Investments......... 22,742,988 (2,062,425)
------------ ------------
Net Increase/(Decrease) in Net Assets
Resulting From Operations............. 32,594,146 (1,289,205)
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income................... (3,010,095) (669,822)
------------ ------------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Sold............... 275,530,048 143,626,041
Value of Shares Reinvested.............. 512 --
Value of Shares Repurchased............. (77,658,417) (4,581,793)
------------ ------------
Net Increase in Net Assets Resulting
From Share Transactions............... 197,872,143 139,044,248
------------ ------------
Increase in Net Assets................ 227,456,194 137,085,221
NET ASSETS--BEGINNING OF PERIOD........... 137,085,221 --
------------ ------------
NET ASSETS--END OF PERIOD(1).............. $364,541,415 $137,085,221
============ ============
(1) Including Undistributed Net Investment
Income................................ $ 430,201 $ 202,245
============ ============
CHANGES IN SHARES OUTSTANDING:
Shares Sold............................. 2,800,000 1,550,000
Shares Reinvested....................... 5 --
Shares Repurchased...................... (800,000) (50,000)
Shares Outstanding, Beginning of
Period................................ 1,500,000 --
------------ ------------
Shares Outstanding, End of Period....... 3,500,005 1,500,000
============ ============
</Table>
* The Fund commenced operations on May 4, 2005.
See Notes to Financial Statements.
ANNUAL REPORT 78
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX
S&P 500 PURE S&P 500 PURE
VALUE ETF GROWTH ETF
---------------- ----------------
FOR THE PERIOD FOR THE PERIOD
MARCH 1, 2006* MARCH 1, 2006*
THROUGH THROUGH
OCTOBER 31, 2006 OCTOBER 31, 2006
---------------- ----------------
OPERATIONS
Net Investment Income................... $ 191,191 $ 43,592
Net Realized Loss....................... (56,285) (51,751)
Net Change in Unrealized Appreciation on
Investments........................... 1,010,976 566,459
----------- -----------
Net Increase in Net Assets Resulting
From Operations....................... 1,145,882 558,300
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income................... (125,179) (37,063)
----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Sold............... 20,211,486 17,128,091
Value of Shares Reinvested.............. -- --
Value of Shares Repurchased............. -- --
----------- -----------
Net Increase in Net Assets Resulting
From Share Transactions............... 20,211,486 17,128,091
----------- -----------
Increase in Net Assets................ 21,232,189 17,649,328
NET ASSETS--BEGINNING OF PERIOD........... -- --
----------- -----------
NET ASSETS--END OF PERIOD(1).............. $21,232,189 $17,649,328
=========== ===========
(1) Including Undistributed Net Investment
Income.................................. $ 62,368 $ 6,529
=========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Sold............................. 650,000 500,000
Shares Reinvested....................... -- --
Shares Repurchased...................... -- --
Shares Outstanding, Beginning of
Period................................ -- --
----------- -----------
Shares Outstanding, End of Period....... 650,000 500,000
=========== ===========
</Table>
* The Fund commenced operations on March 1, 2006.
See Notes to Financial Statements.
ANNUAL REPORT 79
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX
S&P MIDCAP S&P MIDCAP
400 PURE 400 PURE
VALUE ETF GROWTH ETF
---------------- ----------------
FOR THE PERIOD FOR THE PERIOD
MARCH 1, 2006* MARCH 1, 2006*
THROUGH THROUGH
OCTOBER 31, 2006 OCTOBER 31, 2006
---------------- ----------------
OPERATIONS
Net Investment Income................... $ 161,783 $ 8,022
Net Realized Loss....................... (106,316) (23,417)
Net Change in Unrealized Appreciation/
(Depreciation) on Investments......... 652,057 (992,648)
----------- -----------
Net Increase/(Decrease) in Net Assets
Resulting From Operations............. 707,524 (1,008,043)
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income................... (133,471) (5,659)
----------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Sold............... 14,398,483 23,560,420
Value of Shares Reinvested.............. -- --
Value of Shares Repurchased............. -- --
----------- -----------
Net Increase in Net Assets Resulting
From Share Transactions............... 14,398,483 23,560,420
----------- -----------
Increase in Net Assets................ 14,972,536 22,546,718
NET ASSETS--BEGINNING OF PERIOD........... -- --
----------- -----------
NET ASSETS--END OF PERIOD(1).............. $14,972,536 $22,546,718
=========== ===========
(1) Including Undistributed Net Investment
Income................................ $ 21,957 $ 2,363
=========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Sold............................. 450,000 450,000
Shares Reinvested....................... -- --
Shares Repurchased...................... -- --
Shares Outstanding, Beginning of
Period................................ -- --
----------- -----------
Shares Outstanding, End of Period....... 450,000 450,000
=========== ===========
</Table>
* The Fund commenced operations on March 1, 2006.
See Notes to Financial Statements.
ANNUAL REPORT 80
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RYDEX
S&P SMALLCAP S&P SMALLCAP
600 PURE 600 PURE
VALUE ETF GROWTH ETF
---------------- ----------------
FOR THE PERIOD FOR THE PERIOD
MARCH 1, 2006* MARCH 1, 2006*
THROUGH THROUGH
OCTOBER 31, 2006 OCTOBER 31, 2006
---------------- ----------------
OPERATIONS
Net Investment Income/(Loss)........ $ 55,748 $ (2,038)
Net Realized Loss................... (25,510) (239,219)
Net Change in Unrealized
Appreciation on Investments....... 269,282 53,611
---------- -----------
Net Increase/(Decrease) in Net
Assets Resulting From
Operations........................ 299,520 (187,646)
---------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income............... (47,250) --
---------- -----------
SHAREHOLDER TRANSACTIONS
Proceeds From Shares Sold........... 5,766,825 15,469,445
Value of Shares Reinvested.......... -- --
Value of Shares Repurchased......... -- (7,462,114)
---------- -----------
Net Increase in Net Assets Resulting
From Share Transactions............. 5,766,825 8,007,331
---------- -----------
Increase in Net Assets.............. 6,019,095 7,819,685
NET ASSETS--BEGINNING OF PERIOD....... -- --
---------- -----------
NET ASSETS--END OF PERIOD(1).......... $6,019,095 $ 7,819,685
========== ===========
(1) Including Undistributed Net
Investment Income................. $ 7,703 $ --
========== ===========
CHANGES IN SHARES OUTSTANDING:
Shares Sold......................... 150,000 400,000
Shares Reinvested................... -- --
Shares Repurchased.................. -- (200,000)
Shares Outstanding, Beginning of
Period............................ -- --
---------- -----------
Shares Outstanding, End of Period... 150,000 200,000
========== ===========
</Table>
* The Fund commenced operations on March 1, 2006.
See Notes to Financial Statements.
ANNUAL REPORT 81
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P EQUAL WEIGHT ETF
----------------------------------------------------------------------------------------
FOR THE PERIOD
APRIL 24, 2003*
YEAR ENDED YEAR ENDED YEAR ENDED THROUGH
OCTOBER 31, 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**........... 0.52 0.43 0.37 0.18
Net Realized and
Unrealized Gain on
Investments........ 6.36 3.95 4.08 6.33
------------------- ------------------- ------------------- -------------------
TOTAL FROM INVESTMENT
OPERATIONS......... 6.88 4.38 4.45 6.51
------------------- ------------------- ------------------- -------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment
Income............. (0.50) (0.40) (0.36) (0.16)
------------------- ------------------- ------------------- -------------------
NET ASSET VALUE AT
END OF PERIOD...... $46.06 $39.68 $35.70 $31.61
=================== =================== =================== ===================
TOTAL RETURN***...... 17.42% 12.29% 14.11% 25.77%
RATIOS/SUPPLEMENTAL
DATA:
Net Assets at End of
Period (000's
omitted)........... $1,759,797 $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............. 1.21% 1.11% 1.09% 1.13%****
Portfolio Turnover
Rate+.............. 16% 22% 55% 42%
</Table>
* The Fund commenced operations on April 24, 2003.
** 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 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.
ANNUAL REPORT 82
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX RUSSELL TOP 50 ETF
-----------------------------------
FOR THE PERIOD
MAY 4, 2005*
YEAR ENDED THROUGH
OCTOBER 31, 2006 OCTOBER 31, 2005
---------------- ----------------
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE AT BEGINNING OF
PERIOD............................. $91.39 $91.51
---------------- ----------------
Net Investment Income**.............. 1.92 0.79
Net Realized and Unrealized
Gain/(Loss) on Investments......... 12.71 (0.46)
---------------- ----------------
TOTAL FROM INVESTMENT OPERATIONS..... 14.63 0.33
---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net Investment Income................ (1.87) (0.45)
---------------- ----------------
NET ASSET VALUE AT END OF PERIOD..... $104.15 $91.39
================ ================
TOTAL RETURN***...................... 16.18% 0.36%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period (000's
omitted)........................... $364,541 $137,085
RATIO TO AVERAGE NET ASSETS OF:
Expenses............................. 0.20% 0.20%****
Net Investment Income................ 1.98% 1.74%****
Portfolio Turnover Rate+............. 7% 1%
</Table>
* The Fund commenced operations on May 4, 2005.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment made
at the net asset value at the beginning of the period, reinvestment of
all dividends and distributions at net asset value during the period, and
redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total investment
return calculated for a period of less than one year is not annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
ANNUAL REPORT 83
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P
RYDEX S&P 500 RYDEX S&P 500 MIDCAP 400
PURE VALUE ETF PURE GROWTH ETF PURE VALUE ETF
---------------- ---------------- ----------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
MARCH 1, 2006* MARCH 1, 2006* MARCH 1, 2006*
THROUGH THROUGH THROUGH
OCTOBER 31, 2006 OCTOBER 31, 2006 OCTOBER 31, 2006
---------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING OF PERIOD...... $29.87 $34.42 $31.53
---------------- --------------- ----------------
Net Investment Income**.... 0.49 0.11 0.44
Net Realized and Unrealized
Gain on Investments...... 2.58 0.84 1.60
---------------- --------------- ----------------
TOTAL FROM INVESTMENT
OPERATIONS............... 3.07 0.95 2.04
---------------- --------------- ----------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income...... (0.28) (0.07) (0.30)
---------------- --------------- ----------------
NET ASSET VALUE AT END OF
PERIOD................... $32.66 $35.30 $33.27
================ =============== ================
TOTAL RETURN***............ 10.27% 2.77% 6.48%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of Period
(000's omitted).......... $21,232 $17,649 $14,973
RATIO TO AVERAGE NET ASSETS
OF:
Expenses................... 0.35%**** 0.35%**** 0.35%****
Net Investment Income...... 2.37%**** 0.48%**** 2.07%****
Portfolio Turnover Rate+... 4% 7% 4%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment made
at the net asset value at the beginning of the period, reinvestment of
all dividends and distributions at net asset value during the period, and
redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total investment
return calculated for a period of less than one year is not annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
ANNUAL REPORT 84
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<Table>
<Caption>
RYDEX S&P RYDEX S&P RYDEX S&P
MIDCAP 400 SMALLCAP 600 SMALLCAP 600
PURE GROWTH ETF PURE VALUE ETF PURE GROWTH ETF
---------------- ---------------- ----------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
MARCH 1, 2006* MARCH 1, 2006* MARCH 1, 2006*
THROUGH THROUGH THROUGH
OCTOBER 31, 2006 OCTOBER 31, 2006 OCTOBER 31, 2006
---------------- ---------------- ----------------
PER SHARE OPERATING
PERFORMANCE:
NET ASSET VALUE AT
BEGINNING OF PERIOD..... $52.62 $38.45 $39.31
----------- ----------- ----------
Net Investment Income
(Loss)**................ 0.02 0.37 (0.01)
Net Realized and
Unrealized Gain/(Loss)
on Investments.......... (2.53) 1.62 (0.20)
----------- ----------- ----------
TOTAL FROM INVESTMENT
OPERATIONS.............. (2.51) 1.99 (0.21)
----------- ----------- ----------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net Investment Income..... (0.01) (0.31) --
----------- ----------- ----------
NET ASSET VALUE AT END OF
PERIOD.................. $50.10 $40.13 $39.10
=========== =========== ==========
TOTAL RETURN***........... (4.76)% 5.19% (0.55)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets at End of
Period (000's
omitted)................ $22,547 $6,019 $7,820
RATIO TO AVERAGE NET
ASSETS OF:
Expenses.................. 0.35%**** 0.35%**** 0.35%****
Net Investment Income
(Loss).................. 0.07%**** 1.46%**** -0.04%****
Portfolio Turnover
Rate+................... 14% 7% 14%
</Table>
* The Fund commenced operations on March 1, 2006.
** Based on average shares outstanding.
*** Total investment return is calculated assuming an initial investment made
at the net asset value at the beginning of the period, reinvestment of
all dividends and distributions at net asset value during the period, and
redemption on the last day of the period. Transaction fees are not
reflected in the calculation of total investment return. Total investment
return calculated for a period of less than one year is not annualized.
**** Annualized.
+ Portfolio turnover is not annualized and does not include securities
received or delivered from processing creations or redemptions.
See Notes to Financial Statements.
ANNUAL REPORT 85
NOTES TO FINANCIAL STATEMENTS October 31, 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 commenced
operations on March 1, 2006.
The Funds' investment objective is to provide investment results that correspond
generally to the performance, before fees and expenses, of an index representing
publicly traded equity securities (the "Underlying Index"). The Rydex S&P Equal
Weight ETF tracks the S&P 500 Equal Weight Total Return 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 and 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 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
estimates and assumptions that affect the reported amounts of assets,
liabilities and
ANNUAL REPORT 86
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
disclosures at the date of the financial statements and accompanying notes and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Management believes that the estimates utilized in
preparing the Funds' financial statements are reasonable and prudent; however,
actual results could differ from these estimates.
A. SECURITY VALUATION
Securities listed on a domestic securities exchange are valued based on the last
sale price as of the close of regular trading hours on the New York Stock
Exchange or, in the absence of recorded sales, are valued at the most recent bid
price. Securities for which the primary market is the National Association of
Securities Dealers Automated Quotations National Market System ("NASDAQ") are
valued at the NASDAQ Official Closing Price. The Funds invest in Money Market
mutual funds, which are valued at NAV.
Securities for which market quotations are not readily available, including
investments that are subject to limitations as to their sale, are valued at fair
value as determined in good faith by the Advisor in accordance with procedures
adopted by the Board of Trustees. In determining fair value, consideration is
given to market conditions, relative benchmarks and other financial data.
In September 2006, the Financial Accounting Standards Board (FASB) issued
Statement of Financial Accounting Standards No. 157, Fair Value Measurement
("SFAS 157"). SFAS 157, which is effective for fiscal years beginning after
November 15, 2007, defines fair value, establishes a framework for measuring
fair value and expands disclosures about fair value measurements. Management is
currently evaluating the impact, if any, the adoption of SFAS 157 will have on
the Funds' financial statements.
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 advisor (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
ANNUAL REPORT 87
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
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 Advisor, liquidity or other
considerations so warrant. For the year ended October 31, 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 to 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 of America. These differences are primarily due to
differing treatments for in-kind redemptions, income reclassifications from real
estate investment trusts ("REITs") and losses deferred due to wash sales.
In order to present the tax character of paid-in-capital, undistributed net
investment income and accumulated realized gains and losses on investments on
the statement of assets and liabilities, certain adjustments have been made to
these accounts. These adjustments have no effect on net assets or net asset
value per share. The most significant of these adjustments is for net capital
gains resulting from in-kind redemptions which, because they are not taxable to
the Funds, and therefore are not distributed to existing Fund shareholders, are
reclassified to paid-in-capital. The in-kind net capital gains for the year
ended October 31, 2006 are disclosed in the Funds' Statement of Operations. For
the year ended October 31, 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.......... $110,479,931 $(470,308) $(110,009,623)
Rydex Russell Top 50 ETF............ 7,327,589 -- (7,327,589)
Rydex S&P 500 Pure Value ETF........ -- (3,644) 3,644
Rydex S&P 500 Pure Growth ETF....... -- -- --
Rydex S&P MidCap 400 Pure Value
ETF............................... -- (6,355) 6,355
Rydex S&P MidCap 400 Pure Growth
ETF............................... -- -- --
Rydex S&P SmallCap 600 Pure Value
ETF............................... -- (795) 795
Rydex S&P SmallCap 600 Pure Growth
ETF............................... (183,626) 2,038 181,588
</Table>
For the year ended October 31, 2006, there were no significant differences
between the book basis and tax basis of net unrealized appreciation
(depreciation) in value of
ANNUAL REPORT 88
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
investments other than tax deferral of losses on wash sales and the cumulative
return of capital payments on REITs.
At October 31, 2006, the Funds had capital loss carryforwards which may be
utilized to offset any net realized capital gains expiring October 31:
<Table>
<Caption>
2010 2013 2014
-------- ---------- -----------
Rydex S&P Equal Weight ETF.................. $272,282 $5,596,230 $10,726,815
Rydex Russell Top 50 ETF.................... -- 88,468 675,404
Rydex S&P 500 Pure Value ETF................ -- -- 44,302
Rydex S&P 500 Pure Growth ETF............... -- -- 28,988
Rydex S&P MidCap 400 Pure Value ETF......... -- -- 94,708
Rydex S&P MidCap 400 Pure Growth ETF........ -- -- --
Rydex S&P SmallCap 600 Pure Value ETF....... -- -- 16,696
Rydex S&P SmallCap 600 Pure Growth ETF...... -- -- 27,599
</Table>
The tax character of distributable earnings (accumulated losses) at October 31,
2006 were as follows:
<Table>
<Caption>
UNDISTRIBUTED UNREALIZED
UNDISTRIBUTED LONG-TERM CAPITAL LOSS APPRECIATION/
ORDINARY INCOME CAPITAL GAIN CARRYFORWARD (DEPRECIATION)
--------------- ------------- ------------- --------------
Rydex S&P Equal Weight
ETF.................. $1,036,695 -- $(16,595,327) $133,243,024
Rydex Russell Top 50
ETF.................. 430,360 -- (763,872) 20,641,485
Rydex S&P 500 Pure
Value ETF............ 62,368 -- (44,302) 1,002,636
Rydex S&P 500 Pure
Growth ETF........... 6,529 -- (28,988) 543,696
Rydex S&P MidCap 400
Pure Value ETF....... 21,479 -- (94,708) 647,282
Rydex S&P MidCap 400
Pure Growth ETF...... 66,570 -- -- (1,080,272)
Rydex S&P SmallCap 600
Pure Value ETF....... 6,129 -- (16,696) 262,841
Rydex S&P SmallCap 600
Pure Growth ETF...... -- -- (27,599) 23,578
</Table>
The tax character of distributions paid during 2006 were as follows:
<Table>
<Caption>
ORDINARY LONG-TERM
INCOME CAPITAL GAIN
----------- ------------
Rydex S&P Equal Weight ETF........................... $17,292,008 $ --
Rydex Russell Top 50 ETF............................. 3,010,095 --
Rydex S&P 500 Pure Value ETF......................... 125,179 --
Rydex S&P 500 Pure Growth ETF........................ 37,063 --
Rydex S&P MidCap 400 Pure Value ETF.................. 133,471 --
Rydex S&P MidCap 400 Pure Growth ETF................. 5,659 --
Rydex S&P SmallCap 600 Pure Value ETF................ 47,250 --
Rydex S&P SmallCap 600 Pure Growth ETF............... -- --
</Table>
The tax character of distributions paid during 2005 were as follows:
<Table>
<Caption>
ORDINARY LONG-TERM
INCOME CAPITAL GAIN
---------- ------------
Rydex S&P Equal Weight ETF............................ $8,884,060 $ --
Rydex Russell Top 50 ETF.............................. 669,822 --
</Table>
ANNUAL REPORT 89
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
In June 2006, FASB released FASB Interpretation No. 48 "Accounting for
Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how
uncertain tax positions should be recognized, measured, presented and disclosed
in the financial statements. FIN 48, an interpretation of Statement of Financial
Accounting Standard 109, Accounting for Income Losses, requires the evaluation
of tax positions taken or expected to be taken in the course of preparing a
fund's tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006 and is to be applied
to all open tax years as of the effective date. At this time, management is
evaluating the implications of FIN 48 and its impact on the Funds' financial
statements has not yet been determined.
E. DIVIDENDS AND DISTRIBUTIONS
The Funds declare and pay dividends from net investment income and distributions
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 as follows 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>
ANNUAL REPORT 90
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
The Advisor pays all expenses of the Funds, including the cost of transfer
agency, custody, fund administration, legal, audit and other services, except:
interest, taxes, distribution fees and extraordinary expenses.
Under an Administration Agreement, State Street Bank and Trust Company (the
"Administrator") provides various administrative and accounting services for the
maintenance and operations of the Funds. Under a Custodian Agreement with the
Trust, the Administrator maintains cash, securities and other assets of the
Trust and the Funds in separate accounts for each fund, keeps all necessary
accounts and records, and provides other services. The Administrator is
required, upon the order of the Trust, to deliver securities held by the
Custodian and to make payments for securities purchased by the Trust for the
Funds. Pursuant to a Transfer Agency and Service Agreement with the Trust, the
Administrator acts as a transfer agent for the Trust's authorized and issued
shares of beneficial interest, and as dividend disbursing agent of the Trust.
The Advisor compensates the Administrator directly for the foregoing services.
The Funds have adopted a Distribution Plan (the "Plan") that allows the Funds to
pay distribution fees to Rydex Distributors, Inc. (the "Distributor") and other
firms that provide distribution services ("Service Providers"). If a Service
Provider provides distribution services, the Funds will pay distribution fees to
the Distributor at an annual rate not to exceed 0.25% of average daily net
assets, 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 October 31, 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. 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's usual clearing process or for cash. Such transactions are
generally permitted on an in-kind basis, with a balancing cash component to
equate the transaction to the net asset value per unit of the Fund on the
transaction date. The minimum transaction fees are:
<Table>
<Caption>
MINIMUM
TRANSACTION FEE
---------------
Rydex 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>
ANNUAL REPORT 91
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
5. INVESTMENT TRANSACTIONS
For the year ended October 31, 2006 the Funds had in-kind contributions and
in-kind redemptions as follows:
<Table>
<Caption>
SUBSCRIPTIONS REDEMPTIONS
-------------- ------------
Rydex S&P Equal Weight ETF........................ $1,063,830,687 $582,388,976
Rydex Russell Top 50 ETF.......................... 273,511,180 77,498,876
Rydex S&P 500 Pure Value ETF...................... 20,174,624 --
Rydex S&P 500 Pure Growth ETF..................... 17,114,107 --
Rydex S&P MidCap 400 Pure Value ETF............... 14,349,050 --
Rydex S&P MidCap 400 Pure Growth ETF.............. 23,562,685 --
Rydex S&P SmallCap 600 Pure Value ETF............. 5,766,345 --
Rydex S&P SmallCap 600 Pure Growth ETF............ 15,474,075 7,462,925
</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......................... $250,385,193 $252,611,056
Rydex Russell Top 50 ETF........................... 13,500,106 11,784,036
Rydex S&P 500 Pure Value ETF....................... 537,955 468,622
Rydex S&P 500 Pure Growth ETF...................... 969,250 955,863
Rydex S&P MidCap 400 Pure Value ETF................ 409,467 389,798
Rydex S&P MidCap 400 Pure Growth ETF............... 2,571,375 2,374,199
Rydex S&P SmallCap 600 Pure Value ETF.............. 395,221 375,249
Rydex S&P SmallCap 600 Pure Growth ETF............. 1,065,994 972,622
</Table>
There were no purchases or sales of U.S. government or government agency
obligations for the year ended October 31, 2006.
At October 31, 2006, the identified cost of investments in securities owned by
each Fund for federal income tax purposes and the gross unrealized appreciation
and depreciation were as follows:
<Table>
<Caption>
GROSS GROSS NET UNREALIZED
IDENTIFIED UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
-------------- ------------ ------------ --------------
Rydex S&P Equal Weight
ETF..................... $1,625,858,836 $181,267,356 $48,024,332 $133,243,024
Rydex Russell Top 50
ETF..................... 343,846,975 22,687,037 2,045,552 20,641,485
Rydex S&P 500 Pure Value
ETF..................... 20,171,378 1,358,298 355,662 1,002,636
Rydex S&P 500 Pure Growth
ETF..................... 17,104,372 1,243,330 699,634 543,696
Rydex S&P MidCap 400 Pure
Value ETF............... 14,302,425 1,182,408 535,126 647,282
Rydex S&P MidCap 400 Pure
Growth ETF.............. 23,668,248 1,196,373 2,276,645 (1,080,272)
Rydex S&P SmallCap 600
Pure Value ETF.......... 5,744,222 645,793 382,952 262,841
Rydex S&P SmallCap 600
Pure Growth ETF......... 7,797,785 430,005 406,427 23,578
</Table>
ANNUAL REPORT 92
NOTES TO FINANCIAL STATEMENTS (continued)
- --------------------------------------------------------------------------------
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.
7. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees has selected Ernst & Young LLP (E&Y) to serve as the
Funds' independent registered public accounting firm for the fiscal year ended
October 31, 2006. The decision to select E&Y was recommended by the Audit
Committee and was approved by the Board on September 25, 2006. During the Funds'
fiscal years ended October 31, 2005 and October 31, 2004, none of the Funds,
their portfolios nor anyone on their behalf consulted with E&Y on items which
(i) concerned the application of accounting principles to a specified
transaction, either completed or proposed, or the type of audit opinion that
might be rendered on the Funds' financial statements; or (ii) concerned the
subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of
Regulation S-K) or reportable events (as described in paragraph (a)(1)(iv) of
said Item 304).
The selection of E&Y does not reflect any disagreements with or dissatisfaction
by the Funds or the Board with the performance of the Funds' prior auditor,
PricewaterhouseCoopers LLP (PwC). The decision to dismiss PwC effective upon its
completion of its audits for the fiscal year ended October 31, 2005 and to
select E&Y was recommended by the Funds' Audit Committee and approved by the
Funds' Board of Trustees. PwC's report on the Funds' financial statements for
the fiscal years ended October 31, 2005 and 2004 contained no adverse opinion or
disclaimer of opinion nor were they qualified or modified as to uncertainty,
audit scope or accounting principles. During the Funds' fiscal year ended
October 31, 2005 and October 31, 2004, (i) there were no disagreements with PwC
on any matter of accounting principles or practices, financial statement
disclosure or auditing scope or procedure, which disagreements, if not resolved
to the satisfaction of PwC, would have caused it to make reference to the
subject matter of the disagreements in connection with its report on the Funds'
financial statements for such years, and (ii) there were no "reportable events"
of the kind described in Item 304(a)(1)(v) of Regulation S-K under the
Securities and Exchange Act of 1934, as amended.
ANNUAL REPORT 93
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
- --------------------------------------------------------------------------------
THE BOARD OF TRUSTEES AND SHAREHOLDERS OF RYDEX ETF TRUST
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of Rydex ETF Trust (the "Trust"), comprising,
respectively, 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"), as of
October 31, 20006, and the related statements of operations and changes in net
assets, and the financial highlights for the periods indicated therein in the
year then ended. These financial statements and financial highlights are the
responsibility of the Trust's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audit. The statements of changes in net assets for the year ended October 31,
2005 and the financial highlights for each of the periods presented through
October 31, 2005 of the Rydex S&P Equal Weight ETF and the Rydex Russell Top 50
ETF were audited by other auditors whose report dated December 20, 2005,
expressed an unqualified opinion on those statements and financial highlights.
We conducted our audit in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Trust's internal control over financial
reporting. Our audit included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Trust's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of October 31, 20006, by correspondence with the custodian
and brokers or by other appropriate auditing procedures where replies from
brokers were not received. We believe that our audit provides a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Funds constituting the Rydex ETF Trust at October 31, 2006,
the results of their operations, the changes in their net assets, and the
financial highlights for the periods indicated therein in the year then ended,
in conformity with U.S. generally accepted accounting principles.
Ernst & Young LLP
Boston, Massachusetts
December 15, 2006
ANNUAL REPORT 94
SUPPLEMENTAL INFORMATION
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX INFORMATION
Percentage of ordinary distributions (net investment income plus short-term
gains) which qualify for the corporate dividends received deduction for the
fiscal year ended October 31, 2006:
<Table>
<Caption>
PERCENTAGE
----------
Rydex S&P Equal Weight ETF.................................. 100%
Rydex Russell Top 50 ETF.................................... 100%
Rydex S&P 500 Pure Value ETF................................ 100%
Rydex S&P 500 Pure Growth ETF............................... 100%
Rydex S&P MidCap 400 Pure Value ETF......................... 100%
Rydex S&P MidCap 400 Pure Growth ETF........................ 66.42%
Rydex S&P SmallCap 600 Pure Value ETF....................... 100%
Rydex S&P SmallCap 600 Pure Growth ETF...................... 0%
</Table>
For the fiscal year ended October 31, 2006, the Funds designate approximately
the following amounts pursuant to the Internal Revenue Code as qualified
dividend income eligible for reduced tax rates:
<Table>
Rydex S&P Equal Weight ETF.................................. 17,292,008
Rydex Russell Top 50 ETF.................................... 3,010,095
Rydex S&P 500 Pure Value ETF................................ 125,179
Rydex S&P 500 Pure Growth ETF............................... 37,063
Rydex S&P MidCap 400 Pure Value ETF......................... 133,471
Rydex S&P MidCap 400 Pure Growth ETF........................ 5,659
Rydex S&P SmallCap 600 Pure Value ETF....................... 47,250
Rydex S&P SmallCap 600 Pure Growth ETF...................... 0
</Table>
PROXY VOTING INFORMATION
A description of the policies and procedures that the Trust uses to determine
how to vote proxies relating to securities held in the Funds' portfolios is
available, without charge and upon request, by calling 1-800-820-0888. This
information is also available from the EDGAR database on the SEC's website at
http://www.sec.gov.
Information regarding how the Funds voted proxies for portfolio securities, if
applicable, during the most recent 12-month period ended June 30, 2006, is also
available, without charge and upon request, by (i) calling (800) 820-0888; or
accessing the Trust's 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 Trust's Forms N-Q may be reviewed
and copied at the SEC's Public Reference Room in Washington, DC, and that
information on the operation of the Public Reference Room may be obtained by
calling 1-800-SEC-0330. Copies of the portfolio holdings are also available to
shareholders, without charge and upon request, by calling 1-800-820-0888.
ANNUAL REPORT 95
SUPPLEMENTAL INFORMATION (continued)
- --------------------------------------------------------------------------------
RYDEX INVESTMENTS
BOARD REVIEW AND APPROVAL OF THE INVESTMENT ADVISORY AGREEMENT
The Investment Company Act of 1940 (the "1940 Act") requires that the initial
approval of, as well as the continuation of, a fund's investment advisory
agreement be specifically approved (1) by the vote of the trustees or by a vote
of the shareholders of the fund, and (2) by the vote of a majority of the
trustees who are not parties to the investment advisory agreement or "interested
persons" of any party (the "Independent Trustees"), cast in person at a meeting
called for the purpose of voting on such approval. In connection with such
approvals, the fund's trustees must request and evaluate, and the investment
adviser is required to furnish, such information as may be reasonably necessary
to evaluate the terms of the advisory agreement. In addition, the Securities and
Exchange Commission (the "SEC") takes the position that, as part of their
fiduciary duties with respect to fund fees, fund boards are required to evaluate
the material factors applicable to a decision to approve an investment advisory
agreement.
Consistent with these responsibilities, the Rydex 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 between Rydex ETF
Trust (the "Trust") and PADCO Advisors II, Inc., which does business under the
name Rydex Investments ("Rydex Investments"), (the "Advisory Agreement") with
respect to existing funds in the Trust, including the funds discussed in this
Annual Report (each a "Fund" and collectively, the "Funds"), and to reviewing
certain other agreements pursuant to which Rydex Investments provides investment
advisory services to certain other registered investment companies. In
preparation for the meeting, the Board requests and reviews a wide variety of
materials provided by Rydex Investments, including information about Rydex
Investments' affiliates, personnel and operations. This information is in
addition to the detailed information about the Funds that the Board reviews
during the course of each year, including information that relates to Fund
operations and performance. The Board also receives a memorandum from Fund
counsel regarding the responsibilities of the Board for the approval of
investment advisory agreements. In addition, the Independent Trustees receive
advice from independent counsel to the Independent Trustees, meet in executive
session outside the presence of fund management, and participate in question and
answer sessions with representatives of Rydex Investments.
At a meeting held on August 27 and 28, 2006, the Board approved the selection of
Rydex Investments and the continuance of the Advisory Agreement for an
additional one-year period, based on its review of qualitative and quantitative
information provided by Rydex Investments. The Board's approval of the Advisory
Agreement was based on
ANNUAL REPORT 96
SUPPLEMENTAL INFORMATION (continued)
- --------------------------------------------------------------------------------
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. The Board further noted that the Funds have met their
investment objectives consistently since their relevant inception dates. Based
on this review, the Board concluded that the nature, extent and quality of
services to be provided by Rydex Investments to the Funds under the Advisory
Agreement were appropriate and continued to support the Board's original
selection of Rydex Investments as investment adviser to the Funds.
FUND EXPENSES AND PERFORMANCE OF THE FUNDS AND RYDEX INVESTMENTS
The Board reviewed statistical information prepared by Rydex Investments
regarding the expense ratio components, including actual advisory fees,
waivers/reimbursements, and gross and net total expenses of each Fund. The Board
also reviewed comparable information for other exchange-traded funds, noting
that there were no other exchange-traded funds that pursued the same investment
objectives and strategies pursued by the Funds. 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
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, were competitive and otherwise satisfactory for the
purposes of approving the continuance of the Advisory Agreement.
ANNUAL REPORT 97
SUPPLEMENTAL INFORMATION (continued)
- --------------------------------------------------------------------------------
COSTS OF SERVICES PROVIDED TO THE FUNDS AND PROFITS REALIZED BY RYDEX
INVESTMENTS AND ITS AFFILIATES
The Board reviewed information about the profitability of the Funds to Rydex
Investments based on the advisory fees payable under the Advisory Agreement for
the last calendar year. Rydex Investments also presented the Board with material
discussing its methodology for determining the level of advisory fees assessable
to the Funds. The Board analyzed the Funds' expenses, including the investment
advisory fees paid to Rydex Investments. The Board also reviewed information
regarding direct revenue received by Rydex Investments and ancillary revenue
received by Rydex Investments and/or its affiliates in connection with the
services provided to the Funds by Rydex Investments (as discussed below) and/or
its affiliates. The Board also discussed Rydex Investments' profit margin as
reflected in Rydex Investments' profitability analysis and reviewed information
regarding economies of scale (as discussed below). Based on this review, the
Board concluded that the profits to be realized by Rydex Investments and its
affiliates under the Advisory Agreement and from other relationships between the
Funds and Rydex Investments and/or its affiliates, if any, were within the range
the Board considered reasonable and appropriate.
ECONOMIES OF SCALE
In connection with its review of the Funds' profitability analysis, the Board
reviewed information regarding economies of scale or other efficiencies that may
result from increases in the Funds' asset levels. The Board noted that the
Advisory Agreement for the Funds did not provide for any breakpoints in the
investment advisory fee rates as a result of increases in the asset levels of
such Funds. However, the Board further noted that possible future economies of
scale had been taken into consideration by fixing the investment advisory fees
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
In addition to evaluating the services provided by Rydex Investments, the Board
also considered the nature, extent, quality and cost of the administrative,
distribution, and shareholder services performed by Rydex Investments'
affiliates under separate agreements. The Board noted that Rydex Investments
reports its use of soft dollars to the Board on a quarterly basis, as well as
any portfolio transactions on behalf of the Funds placed through an affiliate of
the Funds or Rydex Investments pursuant to Rule 17e-1
ANNUAL REPORT 98
SUPPLEMENTAL INFORMATION (continued)
- --------------------------------------------------------------------------------
under the 1940 Act. Based on its review, the Board concluded that the nature and
quality of the services provided by Rydex Investments' affiliates to the Trust
will benefit the Funds' shareholders, and that any ancillary benefits would not
be disadvantageous to the Funds' shareholders, particularly in light of the
Board's view that the Funds' shareholders benefit from investing in a fund that
is part of a large family of funds offering a variety of investment strategies
and services.
Based on the above analysis, the Board determined that the Advisory Agreement,
including the investment advisory fee rates thereunder, are fair and reasonable
in light of all relevant circumstances and concluded that it is in the best
interest of the Funds and their shareholders to continue the Advisory Agreement.
ANNUAL REPORT 99
INFORMATION ON BOARD OF TRUSTEES
AND OFFICERS
- --------------------------------------------------------------------------------
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 132
Trustee, President Rydex Variable Trust - 2004
(1952) Rydex Dynamic Funds - 2004
Rydex ETF Trust - 2004
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Chief Executive Officer and
Treasurer of Rydex Specialized Products, LLC (2005 to present); 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 132
Trustee, Vice President Rydex Variable Trust - 2005
and Secretary (1970) Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Secretary of Rydex Specialized
Products, LLC (2005 to present); 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 2006); 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 125
Trustee, Chairman of the Rydex Variable Trust - 1998
Board (1940) Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Retired
---------------
<Table>
COREY A. COLEHOUR Rydex Series Funds - 1993 125
Trustee (1945) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Senior Vice President of
Marketing/Co-Owner, Schield Management Company
---------------
ANNUAL REPORT 100
INFORMATION ON BOARD OF TRUSTEES
AND OFFICERS
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES (CONT.)
<Table>
LENGTH OF SERVICE
NAME, POSITION AND AS TRUSTEE NUMBER OF FUNDS
YEAR OF BIRTH (YEAR BEGAN) OVERSEEN
- ------------------------ ---------------------------------- ---------------
J. KENNETH DALTON Rydex Series Funds - 1995 125
Trustee (1941) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Mortgage Banking Consultant and
Investor, The Dalton Group
---------------
<Table>
WERNER E. KELLER Rydex Series Funds - 2005 125
Trustee (1940) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
</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 125
Trustee (1960) Rydex Variable Trust - 2005
Rydex Dynamic Funds - 2005
Rydex ETF Trust - 2005
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: President, Global Trends
Investments
---------------
<Table>
PATRICK T. MCCARVILLE Rydex Series Funds - 1997 125
Trustee (1942) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Founder and Chief Executive
Officer, Par Industries, Inc.
---------------
<Table>
ROGER SOMERS Rydex Series Funds - 1993 125
Trustee (1944) Rydex Variable Trust - 1998
Rydex Dynamic Funds - 1999
Rydex ETF Trust - 2003
</Table>
PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS: Owner, Arrow Limousine
- --------------------------------------------------------------------------------
ANNUAL REPORT 101
INFORMATION ON BOARD OF TRUSTEES
AND OFFICERS
- --------------------------------------------------------------------------------
INDEPENDENT TRUSTEES (CONT.)
EXECUTIVE OFFICERS
<Table>
<Caption>
NAME, POSITION AND PRINCIPAL OCCUPATIONS
YEAR OF BIRTH DURING PAST FIVE YEARS
- ------------------------- --------------------------------------------------
NICK BONOS* Chief Financial Officer of Rydex Specialized
Vice President and Products, LLC (2005 to present); Vice President
Treasurer (1963) and Treasurer of Rydex Series Funds, Rydex
Variable Trust, Rydex Dynamic Funds, and Rydex ETF
Trust (2003 to present); Senior Vice President of
Rydex Fund Services, Inc. (2003 to present); Vice
President and Treasurer of Rydex Capital Partners
SPhinX Fund (2003 to 2006); 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 Assistant Variable Trust, and Rydex Dynamic Funds
and Secretary (1966) (2004 to present); Assistant Secretary of Rydex
Series Funds, Rydex Variable Trust, and Rydex
Dynamic Funds (2000 to present); Assistant
Secretary of Rydex ETF Trust (2002 to present);
Vice President of Compliance of Rydex Fund
Services, Inc. (2000 to present); Secretary of
Rydex Capital Partners SPhinX Fund (2003 to 2006)
JOSEPH ARRUDA* Assistant Treasurer of Rydex Series Funds, Rydex
Assistant Treasurer Variable Trust, Rydex Dynamic Funds, Rydex ETF
(1966) Trust (2006); Vice President of Rydex Fund
Services, Inc. (2004 to present); Director of
Accounting of Rydex Fund Services, Inc. (2003 to
2004); Vice President of Mutual Funds, State
Street Bank & Trust (2000 to 2003)
PAULA BILLOS* Controller of Rydex Series Funds, Rydex Variable
Controller (1974) Trust, Rydex Dynamic Funds, Rydex ETF Trust
(2006); Director of Fund Administration of Rydex
Fund Services, Inc. (2001 to present)
</Table>
* Trustees and Officers of the Funds are deemed to be "interested persons" of
the Trust, within the meaning of Section 2(a)(19) of the 1940 Act, inasmuch as
this person is affiliated with the Advisor.
[RYDEX INVESTMENTS LOGO]
9601 Blackwell Road o Suite 500 o Rockville, MD 20850
www.rydexinvestments.com o 800.820.0888
ETF-ANN 1206 X1207
ITEM 2. CODE OF ETHICS.
The Registrant has adopted a code of ethics that applies to the Registrant's
principal executive officer and principal financial officer. A copy of the code
of ethics is filed as an exhibit to this form N-CSR.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Trustees has determined that Werner Keller, an
"independent" Trustee serving on the registrant's audit committee, is an "audit
committee financial expert," as defined in Item 3 of Form N-CSR. Under
applicable securities laws, a person who is determined to be an audit committee
financial expert will not be deemed an "expert" for any purpose, including
without limitation for the purposes of Section 11 of the Securities Act of 1933,
as a result of being designated or identified as an audit committee financial
expert. The designation or identification of a person as an audit committee
financial expert does not impose on such person any duties, obligations, or
liabilities that are greater than the duties, obligations, and liabilities
imposed on such person as a member of the audit committee and Board of Trustees
in the absence of such designation or identification.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a)-(d) The aggregate Audit Fees billed by 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, 2006 and October 31,
2005 were $128,000 and $32,400, respectively. The aggregate Tax Fees billed by
the Trust's principal accountant 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, 2006 and
October 31, 2005 were $0 and $30,000, 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.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Schedule of Investments is included as part of the report to shareholders filed
under Item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Based on their evaluation on January 5, 2007, 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.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Rydex ETF Trust
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By (Signature and Title)* /s/ Carl G. Verboncoeur
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Carl G. Verboncoeur, President
Date January 5, 2007
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Carl G. Verboncoeur
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Carl G. Verboncoeur, President
Date January 5, 2007
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By (Signature and Title)* /s/ Nick Bonos
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Nick Bonos, Vice President and Treasurer
Date January 5, 2007
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* Print the name and title of each signing officer under his or her signature.