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- 08821
Rydex Variable Trust
(Exact name of registrant as specified in charter)
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
Amy J. Lee
Rydex Variable Trust
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-301-296-5100
Date of fiscal year end: December 31
Date of reporting period: January 1, 2018 through June 30, 2018
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. § 3507.
Item 1. Reports to Stockholders.
The registrant’s semi-annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “Investment Company Act”), is as follows:
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6.30.2018
Rydex Variable Trust Funds Semi-Annual Report
Alternatives Funds | ||
Guggenheim Long Short Equity Fund | ||
Guggenheim Global Managed Futures Strategy Fund | ||
Guggenheim Multi-Hedge Strategies Fund | ||
Rydex Commodities Fund | ||
Rydex Commodities Strategy Fund |
GuggenheimInvestments.com | RVALTS-SEMI-0618x1218 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 6 |
LONG SHORT EQUITY FUND | 8 |
GLOBAL MANAGED FUTURES STRATEGY FUND | 21 |
MULTI-HEDGE STRATEGIES FUND | 29 |
COMMODITIES STRATEGY FUND | 46 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | 52 |
OTHER INFORMATION | 65 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 68 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 72 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
| June 30, 2018 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semiannual shareholder report for four alternative strategies funds (the “Funds”) that are part of the Rydex Variable Trust. This report covers performance of the Funds for the semiannual period ended June 30, 2018.
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
July 31, 2018
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
The Long Short Equity Fund may not be suitable for all investors. ●The Fund is subject to the risk that the Advisor’s use of a momentum-driven investment strategy may cause the Fund to underperform other types of mutual funds that use different investment strategies during periods when momentum investing is out of favor. ●It is possible that the stocks the Fund holds long will decline in value at the same time that the stocks or indices being shorted increase in value, thereby increasing potential losses to the Fund. ●The Fund’s loss on a short sale is potentially unlimited because there is no upper limit on the price a borrowed security could attain. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ●The use of derivatives, such as futures, options and swap agreements, may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ●The Fund may invest in American Depositary Receipts (“ADRs”) therefore subjecting the value of the Fund’s portfolio to fluctuations in foreign exchange rates. ● This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. See the prospectus for more information on these and additional risks.
The Global Managed Futures Strategy Fund may not be suitable for all investors. ●The Fund’s investments in securities and derivatives, in general, are subject to market risks that may cause their prices, and therefore the Fund’s value, to fluctuate over time. An investment in the Fund may lose money. ● The Fund’s investments in derivatives may pose risks in addition to those associated with investing directly in securities or other investments, including illiquidity of the derivatives, imperfect correlations with underlying investments or the Fund’s other portfolio holdings, lack of availability and counterparty risk. To the extent the Fund invests in derivatives to seek to hedge risk or limit leveraged exposure created by other investments, there is no guarantee that such hedging strategies will be effective at managing risk or limiting exposure to leveraged investments. ● The Funds use of leverage will exaggerate the effect on net asset value of any increase or decrease in the market value of the Fund’s portfolio. ●The Fund’s use of short selling involves increased risk and costs. The Fund risks paying more for a security than it received from its sale. Theoretically, securities sold short have the risk of unlimited losses. ●The Fund’s investments in fixed income securities will change in value in response to interest rate changes and other factors. In general, bond prices rise when interest rates fall and vice versa. ● The Fund‘s exposure to high yield, asset backed and mortgaged backed securities may subject the Fund to greater volatility. ●The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ●The Fund’s exposure to the commodity markets may subject the Fund to greater volatility as commodity-linked investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity such as droughts, floods, weather, embargos, tariffs and international economic, political and regulatory developments. ●The Fund may invest in securities of foreign companies directly, or indirectly through the use of other investment companies and financial instruments that are linked to the performance of foreign issuers. Foreign securities markets generally have less trading volume and less liquidity
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| June 30, 2018 |
than U.S. markets, and prices in some foreign markets may fluctuate more than those of securities traded on U.S. markets. ●This Fund is considered nondiversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ●See the prospectus for more information on these and other risks.
The Multi-Hedge Strategies Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund’s use of short selling involves increased risks and costs. The Fund risks paying more for a security than it received from its sale. ● The Fund’s investments in high yield securities and unrated securities of similar credit quality (“junk bonds”) may be subject to greater levels of interest rate, credit and liquidity risk than funds that do not invest in such securities. ● The Fund’s fixed income investments will change in value in response to interest rate changes and other factors. ● The Fund’s exposure to the commodity and currency markets may subject the Fund to greater volatility as commodity- and currency-linked derivative investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry, commodity or currency—such as droughts, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. The Fund may also incur transaction costs with the conversion between various currencies. ● The Fund’s exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the U.S. dollar will decline in value relative to the currency being hedged. ● These risks may cause the Fund to experience higher losses and/or volatility than a fund that does not invest in derivatives, use leverage or short sales or have exposure to high yield/fixed income securities, foreign currencies and/or securities. ● This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified Fund. ● Please read the prospectus for more detailed information regarding these and other risks.
The Commodities Strategy Fund may not be suitable for all investors. ● The Fund’s exposure to the commodity markets may subject the Fund to greater volatility as commodity-linked investments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates or factors affecting a particular industry or commodity—such as droughts, floods, weather, embargos, tariffs and international economic, political and regulatory developments. ● To the extent that the Fund’s investments are concentrated in energy-related commodities, the Fund is subject to the risk that this sector will underperform the market as a whole. ● The Fund’s use of derivatives, such as futures, options, structured notes and swap agreements, may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities or investments underlying those derivatives. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Fund is subject to tracking error risks, which may cause the Fund’s performance not to match that of or be lower than the Fund’s underlying benchmark. ● The Fund’s investments in other investment companies subjects the Fund to those risks affecting the investment company, including the possibility that the value of the underlying securities held by the investment company could decrease. Moreover, the Fund will incur its pro rata share of the expenses of the underlying investment companies’ expenses. ●This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● See the prospectus for more information on these and additional risks.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2018 |
As the U.S. economy powers along, with second quarter 2018 gross domestic product (“GDP”) coming in at 4.1% annualized, geopolitical risk continues to weigh on the market. Positive headlines surrounding growth and the labor market are offset by the trade war launched by the U.S. against both its rivals and its allies. In May, the Trump administration allowed the aluminum and steel tariff exemptions to expire for Canada, Mexico, and the European Union, instituting 25% tariffs on steel and 10% tariffs on aluminum imported from these regions. In June, the U.S. administration announced it would also impose 25% tariffs on $50 billion worth of Chinese imports ($34 billion of which would be tariffed beginning in July), followed by the publication of a list of $200 billion in additional Chinese goods to be targeted, to which China promised retaliation. The European Union has also announced retaliation, approving tariffs of 25% on a long list of American goods. Over this period, 10-year U.S. Treasury yields peaked at 3.1% and finished the quarter at 2.9%.
The bond market’s reaction to trade rhetoric indicates that there is a tug of war at hand. While fiscal stimulus pushed up bond yields initially, tariffs are weighing them down. Markets are right to be concerned about the consequences of a trade war in which no one wins. Outside of the U.S., this trade war will have the intended impact of squeezing economic growth in export-heavy regions, but among the losers will also be U.S. consumers. Some corporations may slow or postpone hiring as they manage for rising input costs. Others will pass higher prices on to the consumer, causing disposable incomes to suffer. In either case, tariffs reduce the benefit of the fiscal stimulus.
The U.S. Federal Reserve’s (the “Fed”) confidence in the U.S. economy seems to have sharpened in recent weeks despite trade war uncertainty. In the June Summary of Economic Projections (“SEP”), the U.S. Federal Reserve Open Market Committee’s (“FOMC”) median expectations for 2018 GDP growth rose from 2.7% to 2.8%. The FOMC now expects a lower unemployment rate, higher personal consumption expenditures inflation and a higher federal funds rate for 2018 and 2019 than previously expected. The Fed is determined to tighten financial conditions until economic growth and hiring slow to a more sustainable pace.
We believe that the net effect of all factors affecting rates—fiscal stimulus, trade war, and monetary policy tightening—will keep long-term interest rates from moving much higher than current levels. The market is currently pricing this in to the yield curve; in July the difference between 30-year and two-year U.S. Treasury yields hit its lowest level since July 2007. The bond market is sending a warning signal that makes us wary of taking on too much credit risk at this stage.
We maintain our view that a recession could come in 2020 and markets may discount this as early as 2019. In the meantime, we are watching for exogenous factors that could cause a recession to come sooner.
For the six months ended June 30, 2018, the Standard & Poor’s 500® (“S&P 500”) Index* returned 2.65%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -2.37%. The return of the MSCI Emerging Markets Index* was -6.51%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -1.62% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 0.16%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.81% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2018 |
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
S&P 500® Index is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
S&P Goldman Sachs Commodity Index (S&P GSCI®), a benchmark for investment performance in the commodity markets, measures investable commodity price movements and inflation in the world economy. The index is calculated primarily on a world production weighted basis and is comprised of the principal physical commodities that are the subject of active, liquid futures markets.
HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies, including, but not limited to, convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage and relative-value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry.
HFRX Equity Hedge Fund Index is designed to be representative of the overall composition of the equity hedge segment of the hedge fund universe. In an equity hedge strategy both long and short positions primarily in equities are maintained. Equities which are believed to be undervalued are bought and equities which are believed to be overvalued are sold.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
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All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the 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 examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning December 31, 2017 and ending June 30, 2018.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s 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 provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. 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 transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
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| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
Long Short Equity Fund | 1.59% | (7.85%) | $ 1,000.00 | $ 921.50 | $ 7.58 |
Global Managed Futures Strategy Fund | 1.61% | (3.81%) | 1,000.00 | 961.90 | 7.83 |
Multi-Hedge Strategies Fund | 1.46% | (4.95%) | 1,000.00 | 950.50 | 7.06 |
Commodities Strategy Fund | 1.66% | 9.54% | 1,000.00 | 1,095.40 | 8.62 |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Long Short Equity Fund | 1.59% | 5.00% | $ 1,000.00 | $ 1,016.91 | $ 7.95 |
Global Managed Futures Strategy Fund | 1.61% | 5.00% | 1,000.00 | 1,016.81 | 8.05 |
Multi-Hedge Strategies Fund | 1.46% | 5.00% | 1,000.00 | 1,017.55 | 7.30 |
Commodities Strategy Fund | 1.66% | 5.00% | 1,000.00 | 1,016.56 | 8.30 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest. This ratio represents net expenses, which includes dividends on short sales and prime broker interest expenses. Excluding these expenses, the operating expense ratios of the Long Short Equity Fund and the Multi-Hedge Strategies Fund would be 1.58% and 1.16%, respectively. |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies. |
3 | Actual cumulative return at net asset value for the period December 31, 2017 to June 30, 2018. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
LONG SHORT EQUITY FUND
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 1, 2002
Ten Largest Holdings (% of Total Net Assets) | |
Kimberly-Clark Corp. | 1.1% |
Apple, Inc. | 1.0% |
Chevron Corp. | 0.9% |
Verizon Communications, Inc. | 0.9% |
Regal Beloit Corp. | 0.9% |
Ingredion, Inc. | 0.9% |
Pfizer, Inc. | 0.9% |
PNM Resources, Inc. | 0.9% |
Amgen, Inc. | 0.9% |
Senior Housing Properties Trust | 0.9% |
Top Ten Total | 9.3% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Long Short Equity Fund | (7.85%) | 2.31% | 4.00% | 1.45% |
HFRX Equity Hedge Index | 0.24% | 6.28% | 3.04% | (0.43%) |
S&P 500® Index | 2.65% | 14.37% | 13.42% | 10.17% |
Morningstar Long/Short Equity Category Average | (0.39%) | 5.63% | 4.15% | 4.41% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The HFRX Equity Hedge Index and S&P 500® Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. The Morningstar Long/Short Equity Category Average is the equal-weighted, simple average daily return for all funds in the Morningstar Long/Short Equity Category. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
LONG SHORT EQUITY FUND |
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| Value | ||||||
COMMON STOCKS† - 101.5% | ||||||||
Consumer, Non-cyclical - 31.2% | ||||||||
Kimberly-Clark Corp. | 3,156 | $ | 332,453 | |||||
Ingredion, Inc. | 2,625 | 290,587 | ||||||
Pfizer, Inc. | 7,999 | 290,204 | ||||||
Amgen, Inc. | 1,549 | 285,930 | ||||||
Archer-Daniels-Midland Co.1 | 5,127 | 234,970 | ||||||
Tyson Foods, Inc. — Class A1 | 3,339 | 229,890 | ||||||
Johnson & Johnson1 | 1,889 | 229,211 | ||||||
CVS Health Corp.1 | 3,472 | 223,423 | ||||||
Medtronic plc1 | 2,602 | 222,757 | ||||||
Procter & Gamble Co.1 | 2,840 | 221,691 | ||||||
Molson Coors Brewing Co. — Class B1 | 3,223 | 219,293 | ||||||
McKesson Corp.1 | 1,597 | 213,040 | ||||||
Edgewell Personal Care Co.* | 3,989 | 201,285 | ||||||
Gilead Sciences, Inc.1 | 2,737 | 193,889 | ||||||
Cardinal Health, Inc.1 | 3,947 | 192,732 | ||||||
Kraft Heinz Co.1 | 3,024 | 189,968 | ||||||
Merck & Company, Inc.1 | 2,936 | 178,215 | ||||||
STERIS plc | 1,592 | 167,176 | ||||||
Eli Lilly & Co.1 | 1,948 | 166,223 | ||||||
Conagra Brands, Inc.1 | 4,600 | 164,358 | ||||||
JM Smucker Co.1 | 1,510 | 162,295 | ||||||
Western Union Co. | 7,758 | 157,720 | ||||||
Biogen, Inc.*,1 | 541 | 157,020 | ||||||
PepsiCo, Inc.1 | 1,419 | 154,487 | ||||||
Zimmer Biomet Holdings, Inc.1 | 1,330 | 148,215 | ||||||
Abbott Laboratories1 | 2,410 | 146,986 | ||||||
US Foods Holding Corp.* | 3,715 | 140,501 | ||||||
Danaher Corp.1 | 1,402 | 138,349 | ||||||
Bristol-Myers Squibb Co.1 | 2,348 | 129,938 | ||||||
Pilgrim’s Pride Corp.* | 6,178 | 124,363 | ||||||
CoreLogic, Inc.* | 2,355 | 122,225 | ||||||
Colgate-Palmolive Co.1 | 1,798 | 116,528 | ||||||
Charles River Laboratories International, Inc.* | 1,028 | 115,403 | ||||||
Altria Group, Inc.1 | 1,998 | 113,466 | ||||||
Boston Beer Company, Inc. — Class A* | 375 | 112,387 | ||||||
Baxter International, Inc.1 | 1,506 | 111,203 | ||||||
Travelport Worldwide Ltd. | 5,819 | 107,884 | ||||||
Hill-Rom Holdings, Inc. | 1,203 | 105,070 | ||||||
Mylan N.V.*,1 | 2,907 | 105,059 | ||||||
Thermo Fisher Scientific, Inc.1 | 494 | 102,327 | ||||||
Philip Morris International, Inc.1 | 1,261 | 101,813 | ||||||
Sanderson Farms, Inc. | 963 | 101,259 | ||||||
Prestige Brands Holdings, Inc.* | 2,599 | 99,750 | ||||||
Zoetis, Inc.1 | 1,156 | 98,480 | ||||||
Darling Ingredients, Inc.* | 4,868 | 96,776 | ||||||
Performance Food Group Co.* | 2,604 | 95,567 | ||||||
Allergan plc1 | 566 | 94,364 | ||||||
Kellogg Co.1 | 1,342 | 93,766 | ||||||
Celgene Corp.*,1 | 1,166 | 92,603 | ||||||
United Therapeutics Corp.* | 800 | 90,520 | ||||||
Quanta Services, Inc.* | 2,684 | 89,646 | ||||||
United Rentals, Inc.*,1 | 600 | 88,572 | ||||||
TreeHouse Foods, Inc.* | 1,620 | 85,066 | ||||||
Sysco Corp. | 1,212 | 82,767 | ||||||
Hologic, Inc.* | 2,030 | 80,693 | ||||||
United Natural Foods, Inc.* | 1,877 | 80,073 | ||||||
Dean Foods Co. | 7,264 | 76,345 | ||||||
Kroger Co.1 | 2,681 | 76,274 | ||||||
Humana, Inc.1 | 251 | 74,705 | ||||||
Perrigo Company plc1 | 1,010 | 73,639 | ||||||
Regeneron Pharmaceuticals, Inc.* | 210 | 72,448 | ||||||
Bruker Corp. | 2,436 | 70,742 | ||||||
Mondelez International, Inc. — Class A | 1,706 | 69,946 | ||||||
Church & Dwight Company, Inc. | 1,278 | 67,938 | ||||||
Sabre Corp. | 2,702 | 66,577 | ||||||
Lamb Weston Holdings, Inc. | 958 | 65,633 | ||||||
WellCare Health Plans, Inc.* | 264 | 65,008 | ||||||
Anthem, Inc. | 273 | 64,982 | ||||||
Hormel Foods Corp. | 1,744 | 64,894 | ||||||
Pinnacle Foods, Inc. | 992 | 64,540 | ||||||
Hershey Co. | 679 | 63,188 | ||||||
Varian Medical Systems, Inc.* | 550 | 62,546 | ||||||
ResMed, Inc. | 593 | 61,423 | ||||||
UnitedHealth Group, Inc.1 | 250 | 61,335 | ||||||
Vector Group Ltd. | 3,182 | 60,713 | ||||||
Cardtronics plc — Class A* | 2,491 | 60,232 | ||||||
AbbVie, Inc.1 | 636 | 58,925 | ||||||
Total Consumer, Non-cyclical | 9,892,469 | |||||||
Industrial - 17.6% | ||||||||
Regal Beloit Corp. | 3,570 | 292,026 | ||||||
Genesee & Wyoming, Inc. — Class A* | 2,752 | 223,793 | ||||||
Cummins, Inc.1 | 1,556 | 206,948 | ||||||
EMCOR Group, Inc. | 2,642 | 201,267 | ||||||
Greenbrier Companies, Inc. | 3,614 | 190,639 | ||||||
AECOM* | 5,601 | 185,001 | ||||||
Snap-on, Inc. | 1,019 | 163,774 | ||||||
Kansas City Southern1 | 1,521 | 161,165 | ||||||
Eaton Corporation plc1 | 2,031 | 151,797 | ||||||
Pentair plc | 3,307 | 139,159 | ||||||
Dover Corp.1 | 1,859 | 136,079 | ||||||
Arrow Electronics, Inc.* | 1,762 | 132,643 | ||||||
Union Pacific Corp.1 | 871 | 123,403 | ||||||
Masco Corp.1 | 3,257 | 121,877 | ||||||
Parker-Hannifin Corp.1 | 782 | 121,875 | ||||||
Norfolk Southern Corp.1 | 798 | 120,394 | ||||||
EnerSys | 1,567 | 116,961 | ||||||
FedEx Corp.1 | 490 | 111,260 | ||||||
Trinity Industries, Inc. | 3,147 | 107,816 | ||||||
Benchmark Electronics, Inc. | 3,395 | 98,964 | ||||||
Jabil, Inc. | 3,558 | 98,414 | ||||||
Crane Co. | 1,216 | 97,438 | ||||||
Avnet, Inc. | 2,242 | 96,159 | ||||||
Vishay Intertechnology, Inc. | 4,139 | 96,025 | ||||||
AGCO Corp. | 1,559 | 94,662 | ||||||
Gibraltar Industries, Inc.* | 2,443 | 91,612 | ||||||
Oshkosh Corp. | 1,244 | 87,478 | ||||||
Waters Corp.*,1 | 450 | 87,116 | ||||||
TE Connectivity Ltd.1 | 966 | 86,998 | ||||||
Mettler-Toledo International, Inc.*,1 | 142 | 82,165 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
LONG SHORT EQUITY FUND |
|
| Value | ||||||
Caterpillar, Inc.1 | 605 | $ | 82,081 | |||||
Owens Corning | 1,272 | 80,606 | ||||||
Acuity Brands, Inc. | 634 | 73,461 | ||||||
Spirit AeroSystems Holdings, Inc. — Class A | 851 | 73,110 | ||||||
Belden, Inc. | 1,158 | 70,777 | ||||||
Rexnord Corp.* | 2,430 | 70,616 | ||||||
CSX Corp.1 | 1,049 | 66,905 | ||||||
3M Co.1 | 327 | 64,327 | ||||||
Fluor Corp. | 1,315 | 64,146 | ||||||
Louisiana-Pacific Corp. | 2,349 | 63,940 | ||||||
Werner Enterprises, Inc. | 1,692 | 63,535 | ||||||
Ryder System, Inc. | 883 | 63,452 | ||||||
Honeywell International, Inc.1 | 436 | 62,806 | ||||||
Johnson Controls International plc | 1,877 | 62,786 | ||||||
Fortune Brands Home & Security, Inc. | 1,159 | 62,227 | ||||||
KBR, Inc. | 3,461 | 62,021 | ||||||
Huntington Ingalls Industries, Inc. | 285 | 61,785 | ||||||
Corning, Inc. | 2,217 | 60,990 | ||||||
Tech Data Corp.* | 730 | 59,948 | ||||||
Coherent, Inc.* | 379 | 59,283 | ||||||
J.B. Hunt Transport Services, Inc. | 484 | 58,830 | ||||||
Lockheed Martin Corp.1 | 196 | 57,904 | ||||||
Owens-Illinois, Inc.* | 3,426 | 57,591 | ||||||
United Parcel Service, Inc. — Class B | 535 | 56,833 | ||||||
Total Industrial | 5,584,868 | |||||||
Technology - 11.7% | ||||||||
Apple, Inc.1 | 1,764 | 326,534 | ||||||
Microsoft Corp.1 | 2,828 | 278,869 | ||||||
HP, Inc.1 | 8,954 | 203,166 | ||||||
International Business Machines Corp.1 | 1,075 | 150,178 | ||||||
Cognizant Technology Solutions Corp. — Class A1 | 1,888 | 149,133 | ||||||
Convergys Corp. | 6,093 | 148,913 | ||||||
Intel Corp.1 | 2,929 | 145,600 | ||||||
Skyworks Solutions, Inc.1 | 1,499 | 144,878 | ||||||
DXC Technology Co.1 | 1,738 | 140,100 | ||||||
Fidelity National Information Services, Inc.1 | 1,114 | 118,117 | ||||||
Cirrus Logic, Inc.* | 3,052 | 116,983 | ||||||
Accenture plc — Class A1 | 684 | 111,896 | ||||||
MAXIMUS, Inc. | 1,765 | 109,624 | ||||||
CA, Inc.1 | 3,066 | 109,303 | ||||||
Oracle Corp.1 | 2,323 | 102,351 | ||||||
ON Semiconductor Corp.*,1 | 4,488 | 99,791 | ||||||
Amdocs Ltd. | 1,472 | 97,432 | ||||||
Broadcom, Inc.1 | 383 | 92,931 | ||||||
Broadridge Financial Solutions, Inc.1 | 789 | 90,814 | ||||||
Fiserv, Inc.*,1 | 1,117 | 82,759 | ||||||
Applied Materials, Inc.1 | 1,747 | 80,694 | ||||||
Teradyne, Inc. | 2,116 | 80,556 | ||||||
Paychex, Inc. | 1,132 | 77,372 | ||||||
Lam Research Corp.1 | 434 | 75,017 | ||||||
Texas Instruments, Inc. | 636 | 70,119 | ||||||
Dell Technologies Incorporated Class V — Class V* | 820 | 69,356 | ||||||
Leidos Holdings, Inc. | 1,135 | 66,965 | ||||||
Western Digital Corp.1 | 862 | 66,727 | ||||||
NetApp, Inc.1 | 846 | 66,436 | ||||||
Kulicke & Soffa Industries, Inc. | 2,674 | 63,695 | ||||||
KLA-Tencor Corp. | 620 | 63,569 | ||||||
Seagate Technology plc1 | 1,110 | 62,682 | ||||||
Micron Technology, Inc.*,1 | 1,047 | 54,905 | ||||||
Total Technology | 3,717,465 | |||||||
Financial - 11.5% | ||||||||
Senior Housing Properties Trust REIT | 15,763 | 285,153 | ||||||
JPMorgan Chase & Co.1 | 2,059 | 214,548 | ||||||
VEREIT, Inc. REIT | 28,482 | 211,906 | ||||||
Visa, Inc. — Class A1 | 1,304 | 172,715 | ||||||
Apartment Investment & Management Co. — Class A REIT | 3,857 | 163,151 | ||||||
Bank of America Corp.1 | 5,314 | 149,802 | ||||||
Ventas, Inc. REIT1 | 2,593 | 147,671 | ||||||
Allstate Corp.1 | 1,549 | 141,377 | ||||||
Equity Commonwealth REIT* | 4,353 | 137,119 | ||||||
Park Hotels & Resorts, Inc. REIT | 4,006 | 122,704 | ||||||
Prudential Financial, Inc.1 | 1,299 | 121,469 | ||||||
Principal Financial Group, Inc.1 | 2,259 | 119,614 | ||||||
Brandywine Realty Trust REIT | 6,954 | 117,383 | ||||||
Cousins Properties, Inc. REIT | 11,877 | 115,088 | ||||||
Travelers Companies, Inc.1 | 932 | 114,021 | ||||||
Aflac, Inc.1 | 2,533 | 108,970 | ||||||
Piedmont Office Realty Trust, Inc. — Class A REIT | 5,462 | 108,858 | ||||||
Berkshire Hathaway, Inc. — Class B*,1 | 546 | 101,911 | ||||||
Host Hotels & Resorts, Inc. REIT1 | 4,681 | 98,629 | ||||||
Wells Fargo & Co.1 | 1,665 | 92,307 | ||||||
Summit Hotel Properties, Inc. REIT | 6,114 | 87,491 | ||||||
CBRE Group, Inc. — Class A* | 1,520 | 72,565 | ||||||
Hospitality Properties Trust REIT | 2,442 | 69,866 | ||||||
Mastercard, Inc. — Class A1 | 355 | 69,764 | ||||||
Ameriprise Financial, Inc. | 452 | 63,226 | ||||||
Hartford Financial Services Group, Inc. | 1,197 | 61,203 | ||||||
Northern Trust Corp. | 589 | 60,602 | ||||||
Franklin Resources, Inc. | 1,881 | 60,286 | ||||||
State Street Corp. | 646 | 60,136 | ||||||
Bank of New York Mellon Corp. | 1,103 | 59,485 | ||||||
MetLife, Inc. | 1,347 | 58,729 | ||||||
Lincoln National Corp. | 918 | 57,146 | ||||||
Total Financial | 3,624,895 | |||||||
Communications - 10.3% | ||||||||
Verizon Communications, Inc. | 5,880 | 295,823 | ||||||
Alphabet, Inc. — Class C*,1 | 201 | 224,246 | ||||||
Telephone & Data Systems, Inc. | 7,916 | 217,057 | ||||||
News Corp. — Class A | 10,978 | 170,159 | ||||||
Cisco Systems, Inc.1 | 3,874 | 166,698 | ||||||
Comcast Corp. — Class A1 | 4,913 | 161,196 | ||||||
Omnicom Group, Inc.1 | 1,975 | 150,633 | ||||||
InterDigital, Inc. | 1,660 | 134,294 | ||||||
Facebook, Inc. — Class A*,1 | 651 | 126,502 | ||||||
TEGNA, Inc. | 11,610 | 125,969 |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
LONG SHORT EQUITY FUND |
|
| Value | ||||||
Amazon.com, Inc.*,1 | 72 | $ | 122,385 | |||||
Vonage Holdings Corp.* | 8,872 | 114,360 | ||||||
MSG Networks, Inc. — Class A* | 4,518 | 108,206 | ||||||
Gray Television, Inc.* | 6,195 | 97,881 | ||||||
Juniper Networks, Inc.1 | 3,557 | 97,533 | ||||||
AMC Networks, Inc. — Class A* | 1,525 | 94,855 | ||||||
ARRIS International plc* | 3,856 | 94,260 | ||||||
Motorola Solutions, Inc.1 | 741 | 86,230 | ||||||
Gannett Company, Inc. | 7,652 | 81,876 | ||||||
New Media Investment Group, Inc. | 4,364 | 80,647 | ||||||
Scholastic Corp.2 | 1,621 | 71,827 | ||||||
F5 Networks, Inc.* | 411 | 70,877 | ||||||
CDW Corp. | 863 | 69,722 | ||||||
ORBCOMM, Inc.* | 6,605 | 66,710 | ||||||
Interpublic Group of Companies, Inc. | 2,793 | 65,468 | ||||||
Walt Disney Co.1 | 503 | 52,719 | ||||||
AT&T, Inc.1 | 1,635 | 52,500 | ||||||
Netflix, Inc.* | 116 | 45,406 | ||||||
Total Communications | 3,246,039 | |||||||
Utilities - 8.3% | ||||||||
PNM Resources, Inc. | 7,411 | 288,288 | ||||||
Portland General Electric Co. | 6,647 | 284,226 | ||||||
Exelon Corp.1 | 6,511 | 277,369 | ||||||
National Fuel Gas Co. | 5,196 | 275,180 | ||||||
El Paso Electric Co. | 3,818 | 225,644 | ||||||
Ameren Corp.1 | 3,465 | 210,845 | ||||||
Consolidated Edison, Inc.1 | 2,456 | 191,519 | ||||||
UGI Corp. | 3,598 | 187,348 | ||||||
Pinnacle West Capital Corp. | 1,490 | 120,034 | ||||||
AES Corp. | 8,122 | 108,916 | ||||||
OGE Energy Corp. | 2,405 | 84,680 | ||||||
Entergy Corp. | 1,045 | 84,426 | ||||||
FirstEnergy Corp.1 | 2,350 | 84,388 | ||||||
PG&E Corp.1 | 1,766 | 75,161 | ||||||
American Electric Power Company, Inc. | 997 | 69,042 | ||||||
Southern Co. | 1,459 | 67,566 | ||||||
Total Utilities | 2,634,632 | |||||||
Consumer, Cyclical - 5.6% | ||||||||
Allison Transmission Holdings, Inc. | 4,687 | 189,777 | ||||||
Southwest Airlines Co.1 | 3,420 | 174,010 | ||||||
PACCAR, Inc.1 | 2,625 | 162,645 | ||||||
Copa Holdings S.A. — Class A | 1,436 | 135,874 | ||||||
JetBlue Airways Corp.* | 6,824 | 129,519 | ||||||
Delta Air Lines, Inc.1 | 2,469 | 122,314 | ||||||
Lions Gate Entertainment Corp. — Class A | 4,491 | 111,466 | ||||||
Lear Corp.1 | 513 | 95,320 | ||||||
Walgreens Boots Alliance, Inc.1 | 1,526 | 91,583 | ||||||
Meritor, Inc.* | 4,368 | 89,850 | ||||||
Casey’s General Stores, Inc. | 737 | 77,444 | ||||||
Yum! Brands, Inc. | 902 | 70,555 | ||||||
Home Depot, Inc.1 | 343 | 66,919 | ||||||
Walmart, Inc.1 | 754 | 64,580 | ||||||
Alaska Air Group, Inc. | 1,058 | 63,893 | ||||||
General Motors Co. | 1,542 | 60,755 | ||||||
American Airlines Group, Inc. | 1,460 | 55,422 | ||||||
Total Consumer, Cyclical | 1,761,926 | |||||||
Energy - 3.9% | ||||||||
Chevron Corp. | 2,356 | 297,869 | ||||||
Exxon Mobil Corp.1 | 3,331 | 275,574 | ||||||
Valero Energy Corp.1 | 1,671 | 185,197 | ||||||
ConocoPhillips1 | 1,979 | 137,778 | ||||||
Occidental Petroleum Corp.1 | 1,120 | 93,721 | ||||||
Phillips 661 | 816 | 91,645 | ||||||
Williams Companies, Inc.1 | 2,835 | 76,857 | ||||||
HollyFrontier Corp.1 | 638 | 43,658 | ||||||
PBF Energy, Inc. — Class A | 985 | 41,301 | ||||||
Total Energy | 1,243,600 | |||||||
Basic Materials - 1.4% | ||||||||
LyondellBasell Industries N.V. — Class A1 | 900 | 98,865 | ||||||
Domtar Corp. | 1,910 | 91,183 | ||||||
International Paper Co. | 1,324 | 68,954 | ||||||
Huntsman Corp. | 2,197 | 64,152 | ||||||
Newmont Mining Corp. | 1,618 | 61,015 | ||||||
Alcoa Corp.* | 1,286 | 60,288 | ||||||
Total Basic Materials | 444,457 | |||||||
Total Common Stocks | ||||||||
(Cost $31,489,658) | 32,150,351 | |||||||
MONEY MARKET FUND† - 8.8% | ||||||||
Invesco Short-Term Investments Trust Treasury Obligations Portfolio — Institutional Class 1.71%3 | 2,782,786 | 2,782,786 | ||||||
Total Money Market Fund | ||||||||
(Cost $2,782,786) | 2,782,786 | |||||||
SECURITIES LENDING COLLATERAL†,4 - 0.2% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%3 | 54,979 | 54,979 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $54,979) | 54,979 | |||||||
Total Investments - 110.5% | ||||||||
(Cost $34,327,423) | $ | 34,988,116 | ||||||
Other Assets & Liabilities, net - (10.5)% | (3,329,081 | ) | ||||||
Total Net Assets - 100.0% | $ | 31,659,035 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
LONG SHORT EQUITY FUND |
Custom Basket Swap Agreements | |||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Notional | Value and | |||||||||||||||
OTC Custom Basket Swap Sold Short†† | |||||||||||||||||||||
Morgan Stanley | Long Short Equity Portfolio Short Custom Basket Swap5 | (1.52 | %) | At Maturity | 05/31/19 | $ | 31,496,404 | $ | (1,655,129 | ) | |||||||||||
OTC Custom Basket Swap†† | |||||||||||||||||||||
Morgan Stanley | Long Short Equity Portfolio Long Custom Basket Swap6 | (2.34 | %) | At Maturity | 05/31/19 | 16,100,956 | (14,932 | ) |
| Shares | Percentage | Value and | |||||||||
CUSTOM BASKET OF LONG SECURITIES6 | ||||||||||||
Boston Beer Company, Inc. — Class A* | 188 | (169.9 | %) | $ | 25,376 | |||||||
Cisco Systems, Inc. | 1,946 | (135.5 | %) | 20,241 | ||||||||
El Paso Electric Co. | 1,915 | (127.6 | %) | 19,054 | ||||||||
Senior Housing Properties Trust | 7,908 | (123.6 | %) | 18,455 | ||||||||
Valero Energy Corp. | 838 | (105.2 | %) | 15,708 | ||||||||
UGI Corp. | 1,805 | (102.4 | %) | 15,291 | ||||||||
Regal Beloit Corp. | 1,791 | (98.0 | %) | 14,641 | ||||||||
Exelon Corp. | 3,266 | (97.8 | %) | 14,602 | ||||||||
Genesee & Wyoming, Inc. — Class A* | 1,380 | (91.6 | %) | 13,685 | ||||||||
Travelport Worldwide Ltd. | 2,919 | (83.2 | %) | 12,420 | ||||||||
Ameren Corp. | 1,738 | (82.6 | %) | 12,328 | ||||||||
Chevron Corp. | 1,182 | (78.9 | %) | 11,776 | ||||||||
TreeHouse Foods, Inc.* | 813 | (78.7 | %) | 11,756 | ||||||||
Microsoft Corp. | 1,419 | (77.3 | %) | 11,548 | ||||||||
PNM Resources, Inc. | 3,718 | (77.2 | %) | 11,526 | ||||||||
Exxon Mobil Corp. | 1,671 | (76.4 | %) | 11,411 | ||||||||
Telephone & Data Systems, Inc. | 3,972 | (75.1 | %) | 11,220 | ||||||||
Gray Television, Inc.* | 3,138 | (74.9 | %) | 11,182 | ||||||||
Apple, Inc. | 885 | (74.5 | %) | 11,130 | ||||||||
Vishay Intertechnology, Inc. | 2,076 | (66.4 | %) | 9,913 | ||||||||
Occidental Petroleum Corp. | 562 | (64.0 | %) | 9,559 | ||||||||
Archer-Daniels-Midland Co. | 2,572 | (63.8 | %) | 9,529 | ||||||||
Merck & Company, Inc. | 1,481 | (59.3 | %) | 8,859 | ||||||||
Portland General Electric Co. | 3,335 | (55.4 | %) | 8,271 | ||||||||
US Foods Holding Corp.* | 1,864 | (54.0 | %) | 8,062 | ||||||||
VEREIT, Inc. | 14,290 | (53.5 | %) | 7,994 | ||||||||
Dean Foods Co. | 3,681 | (53.2 | %) | 7,943 | ||||||||
Amgen, Inc. | 777 | (52.9 | %) | 7,899 | ||||||||
Park Hotels & Resorts, Inc. | 2,010 | (50.1 | %) | 7,483 | ||||||||
Verizon Communications, Inc. | 2,950 | (49.6 | %) | 7,407 | ||||||||
Performance Food Group Co.* | 1,306 | (48.8 | %) | 7,281 | ||||||||
Dell Technologies Incorporated Class V — Class V* | 411 | (48.6 | %) | 7,263 | ||||||||
NetApp, Inc. | 424 | (48.6 | %) | 7,263 | ||||||||
AMC Networks, Inc. — Class A* | 765 | (47.2 | %) | 7,049 | ||||||||
CoreLogic, Inc.* | 1,181 | (45.8 | %) | 6,844 | ||||||||
WellCare Health Plans, Inc.* | 132 | (45.2 | %) | 6,751 | ||||||||
Alphabet, Inc. — Class C* | 100 | (44.6 | %) | 6,658 | ||||||||
ConocoPhillips | 992 | (44.1 | %) | 6,587 | ||||||||
InterDigital, Inc. | 833 | (44.1 | %) | 6,581 | ||||||||
Snap-on, Inc. | 511 | (43.8 | %) | 6,545 | ||||||||
Medtronic plc | 1,305 | (43.2 | %) | 6,449 | ||||||||
FirstEnergy Corp. | 1,179 | (40.7 | %) | 6,074 | ||||||||
Teradyne, Inc. | 1,061 | (33.0 | %) | 4,935 | ||||||||
Prestige Brands Holdings, Inc.* | 1,304 | (32.7 | %) | 4,877 | ||||||||
AES Corp. | 4,075 | (32.6 | %) | 4,866 | ||||||||
KBR, Inc. | 1,736 | (31.0 | %) | 4,626 | ||||||||
F5 Networks, Inc.* | 207 | (30.8 | %) | 4,594 | ||||||||
Pinnacle West Capital Corp. | 747 | (30.2 | %) | 4,510 | ||||||||
Skyworks Solutions, Inc. | 752 | (30.1 | %) | 4,496 | ||||||||
Norfolk Southern Corp. | 400 | (28.5 | %) | 4,254 | ||||||||
Western Union Co. | 3,892 | (27.5 | %) | 4,109 | ||||||||
Allergan plc | 284 | (26.3 | %) | 3,931 | ||||||||
Union Pacific Corp. | 437 | (26.3 | %) | 3,926 | ||||||||
Allison Transmission Holdings, Inc. | 2,351 | (25.9 | %) | 3,875 | ||||||||
STERIS plc | 799 | (25.5 | %) | 3,805 | ||||||||
Avnet, Inc. | 1,124 | (24.7 | %) | 3,694 | ||||||||
Kraft Heinz Co. | 1,517 | (24.4 | %) | 3,644 | ||||||||
Procter & Gamble Co. | 1,425 | (23.6 | %) | 3,529 | ||||||||
Juniper Networks, Inc. | 1,784 | (23.5 | %) | 3,512 | ||||||||
Regeneron Pharmaceuticals, Inc.* | 105 | (23.5 | %) | 3,502 | ||||||||
Vonage Holdings Corp.* | 4,451 | (23.2 | %) | 3,466 | ||||||||
Eli Lilly & Co. | 977 | (22.9 | %) | 3,422 | ||||||||
Ventas, Inc. | 1,301 | (22.8 | %) | 3,403 | ||||||||
Mastercard, Inc. — Class A | 178 | (22.0 | %) | 3,285 | ||||||||
Fidelity National Information Services, Inc. | 558 | (21.6 | %) | 3,232 | ||||||||
Convergys Corp. | 3,057 | (21.4 | %) | 3,195 | ||||||||
Facebook, Inc. — Class A* | 326 | (21.3 | %) | 3,181 | ||||||||
Summit Hotel Properties, Inc. | 3,120 | (20.8 | %) | 3,104 | ||||||||
PG&E Corp. | 886 | (20.3 | %) | 3,034 |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
MSG Networks, Inc. — Class A* | 2,267 | (19.6 | %) | $ | 2,934 | |||||||
American Electric Power Company, Inc. | 500 | (19.2 | %) | 2,868 | ||||||||
EnerSys | 786 | (18.7 | %) | 2,790 | ||||||||
Darling Ingredients, Inc.* | 2,467 | (17.7 | %) | 2,640 | ||||||||
New Media Investment Group, Inc. | 2,200 | (17.5 | %) | 2,607 | ||||||||
Motorola Solutions, Inc. | 371 | (17.3 | %) | 2,580 | ||||||||
Omnicom Group, Inc. | 991 | (17.2 | %) | 2,566 | ||||||||
Gibraltar Industries, Inc.* | 1,242 | (17.1 | %) | 2,546 | ||||||||
Kellogg Co. | 673 | (16.3 | %) | 2,438 | ||||||||
Domtar Corp. | 958 | (16.1 | %) | 2,403 | ||||||||
Brandywine Realty Trust | 3,489 | (16.1 | %) | 2,398 | ||||||||
Scholastic Corp. | 813 | (16.0 | %) | 2,396 | ||||||||
Church & Dwight Company, Inc. | 641 | (15.0 | %) | 2,241 | ||||||||
Apartment Investment & Management Co. — Class A | 1,935 | (14.6 | %) | 2,174 | ||||||||
Charles River Laboratories International, Inc.* | 518 | (14.5 | %) | 2,165 | ||||||||
Gannett Company, Inc. | 3,839 | (14.0 | %) | 2,092 | ||||||||
CSX Corp. | 526 | (14.0 | %) | 2,085 | ||||||||
Entergy Corp. | 524 | (13.8 | %) | 2,058 | ||||||||
Southern Co. | 732 | (12.9 | %) | 1,923 | ||||||||
UnitedHealth Group, Inc. | 125 | (12.8 | %) | 1,915 | ||||||||
Casey's General Stores, Inc. | 369 | (12.8 | %) | 1,905 | ||||||||
Greenbrier Companies, Inc. | 1,813 | (12.3 | %) | 1,841 | ||||||||
Home Depot, Inc. | 172 | (11.0 | %) | 1,637 | ||||||||
Consolidated Edison, Inc. | 1,232 | (10.9 | %) | 1,623 | ||||||||
Cardtronics plc — Class A* | 1,267 | (10.6 | %) | 1,577 | ||||||||
EMCOR Group, Inc. | 1,325 | (10.6 | %) | 1,576 | ||||||||
OGE Energy Corp. | 1,206 | (10.2 | %) | 1,522 | ||||||||
Equity Commonwealth* | 2,184 | (10.0 | %) | 1,488 | ||||||||
Sabre Corp. | 1,355 | (9.8 | %) | 1,457 | ||||||||
Piedmont Office Realty Trust, Inc. — Class A | 2,740 | (9.1 | %) | 1,367 | ||||||||
J.B. Hunt Transport Services, Inc. | 243 | (8.7 | %) | 1,301 | ||||||||
Sysco Corp. | 608 | (8.4 | %) | 1,254 | ||||||||
Lamb Weston Holdings, Inc. | 480 | (8.1 | %) | 1,204 | ||||||||
Visa, Inc. — Class A | 654 | (7.4 | %) | 1,101 | ||||||||
Colgate-Palmolive Co. | 902 | (7.3 | %) | 1,083 | ||||||||
Texas Instruments, Inc. | 322 | (6.7 | %) | 1,005 | ||||||||
Hologic, Inc.* | 1,018 | (6.2 | %) | 931 | ||||||||
Kroger Co. | 1,345 | (6.1 | %) | 918 | ||||||||
Hormel Foods Corp. | 875 | (5.7 | %) | 855 | ||||||||
Jabil, Inc. | 1,785 | (5.0 | %) | 741 | ||||||||
Acuity Brands, Inc. | 318 | (4.8 | %) | 712 | ||||||||
PepsiCo, Inc. | 712 | (4.7 | %) | 701 | ||||||||
Cognizant Technology Solutions Corp. — Class A | 947 | (4.4 | %) | 661 | ||||||||
Interpublic Group of Companies, Inc. | 1,401 | (4.4 | %) | 659 | ||||||||
Netflix, Inc.* | 58 | (4.3 | %) | 639 | ||||||||
Fluor Corp. | 659 | (3.7 | %) | 556 | ||||||||
Pinnacle Foods, Inc. | 498 | (3.4 | %) | 507 | ||||||||
Hershey Co. | 340 | (3.1 | %) | 469 | ||||||||
ORBCOMM, Inc.* | 3,314 | (3.1 | %) | 464 | ||||||||
Mondelez International, Inc. — Class A | 856 | (3.1 | %) | 463 | ||||||||
Humana, Inc. | 126 | (3.1 | %) | 457 | ||||||||
Hospitality Properties Trust | 1,225 | (2.9 | %) | 430 | ||||||||
Anthem, Inc. | 137 | (2.8 | %) | 419 | ||||||||
Ryder System, Inc. | 443 | (2.7 | %) | 398 | ||||||||
TEGNA, Inc. | 5,824 | (2.7 | %) | 397 | ||||||||
Kulicke & Soffa Industries, Inc. | 1,342 | (1.4 | %) | 208 | ||||||||
Accenture plc — Class A | 343 | (0.8 | %) | 115 | ||||||||
Cousins Properties, Inc. | 5,959 | (0.7 | %) | 105 | ||||||||
Walt Disney Co. | 252 | (0.3 | %) | 45 | ||||||||
CA, Inc. | 1,538 | 0.1 | % | (8 | ) | |||||||
Rexnord Corp.* | 1,226 | 0.4 | % | (55 | ) | |||||||
Philip Morris International, Inc. | 632 | 0.7 | % | (102 | ) | |||||||
Phillips 66 | 409 | 1.1 | % | (167 | ) | |||||||
Kansas City Southern | 763 | 1.3 | % | (188 | ) | |||||||
Amazon.com, Inc.* | 36 | 2.2 | % | (322 | ) | |||||||
CBRE Group, Inc. — Class A* | 762 | 2.4 | % | (335 | ) | |||||||
Conagra Brands, Inc. | 1,254 | 2.8 | % | (417 | ) | |||||||
United Natural Foods, Inc.* | 959 | 3.1 | % | (465 | ) | |||||||
Broadridge Financial Solutions, Inc. | 396 | 3.2 | % | (472 | ) | |||||||
Host Hotels & Resorts, Inc. | 2,348 | 3.2 | % | (481 | ) | |||||||
DXC Technology Co. | 872 | 3.5 | % | (520 | ) | |||||||
Paychex, Inc. | 568 | 3.6 | % | (539 | ) | |||||||
Trinity Industries, Inc. | 1,579 | 4.9 | % | (732 | ) | |||||||
Huntington Ingalls Industries, Inc. | 143 | 5.0 | % | (740 | ) | |||||||
Varian Medical Systems, Inc.* | 276 | 5.2 | % | (772 | ) | |||||||
Baxter International, Inc. | 755 | 6.5 | % | (970 | ) | |||||||
United Therapeutics Corp.* | 401 | 7.1 | % | (1,055 | ) | |||||||
ResMed, Inc. | 297 | 7.2 | % | (1,075 | ) | |||||||
Mettler-Toledo International, Inc.* | 71 | 7.5 | % | (1,126 | ) | |||||||
Newmont Mining Corp. | 820 | 7.9 | % | (1,178 | ) | |||||||
Hartford Financial Services Group, Inc. | 600 | 7.9 | % | (1,187 | ) | |||||||
Northern Trust Corp. | 295 | 8.0 | % | (1,199 | ) | |||||||
Corning, Inc. | 1,112 | 8.2 | % | (1,229 | ) | |||||||
Altria Group, Inc. | 1,002 | 8.2 | % | (1,231 | ) | |||||||
Vector Group Ltd. | 1,596 | 8.4 | % | (1,259 | ) | |||||||
HollyFrontier Corp. | 320 | 8.5 | % | (1,270 | ) | |||||||
Fiserv, Inc.* | 560 | 8.5 | % | (1,270 | ) | |||||||
Alcoa Corp.* | 645 | 8.6 | % | (1,286 | ) | |||||||
Thermo Fisher Scientific, Inc. | 248 | 8.7 | % | (1,303 | ) | |||||||
Williams Companies, Inc. | 1,433 | 9.6 | % | (1,440 | ) | |||||||
Ameriprise Financial, Inc. | 227 | 9.7 | % | (1,443 | ) | |||||||
Zoetis, Inc. | 580 | 10.2 | % | (1,521 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
CDW Corp. | 433 | 10.2 | % | $ | (1,527 | ) | ||||||
Leidos Holdings, Inc. | 569 | 10.9 | % | (1,628 | ) | |||||||
Louisiana-Pacific Corp. | 1,178 | 10.9 | % | (1,631 | ) | |||||||
JetBlue Airways Corp.* | 3,423 | 11.0 | % | (1,642 | ) | |||||||
State Street Corp. | 324 | 11.3 | % | (1,687 | ) | |||||||
Wells Fargo & Co. | 835 | 11.4 | % | (1,707 | ) | |||||||
Broadcom, Inc. | 192 | 11.5 | % | (1,723 | ) | |||||||
Werner Enterprises, Inc. | 849 | 11.7 | % | (1,749 | ) | |||||||
Allstate Corp. | 777 | 12.1 | % | (1,807 | ) | |||||||
Bank of New York Mellon Corp. | 553 | 12.4 | % | (1,856 | ) | |||||||
Spirit AeroSystems Holdings, Inc. — Class A | 427 | 12.6 | % | (1,889 | ) | |||||||
Franklin Resources, Inc. | 944 | 12.9 | % | (1,926 | ) | |||||||
Benchmark Electronics, Inc. | 1,733 | 13.1 | % | (1,950 | ) | |||||||
Seagate Technology plc | 557 | 13.4 | % | (1,998 | ) | |||||||
AbbVie, Inc. | 319 | 13.4 | % | (2,007 | ) | |||||||
Fortune Brands Home & Security, Inc. | 581 | 13.5 | % | (2,012 | ) | |||||||
Walmart, Inc. | 378 | 13.6 | % | (2,025 | ) | |||||||
Honeywell International, Inc. | 219 | 13.6 | % | (2,026 | ) | |||||||
Yum! Brands, Inc. | 453 | 14.0 | % | (2,095 | ) | |||||||
Quanta Services, Inc.* | 1,355 | 14.7 | % | (2,188 | ) | |||||||
Johnson Controls International plc | 945 | 15.0 | % | (2,244 | ) | |||||||
Gilead Sciences, Inc. | 1,373 | 15.1 | % | (2,249 | ) | |||||||
Caterpillar, Inc. | 303 | 15.6 | % | (2,326 | ) | |||||||
Alaska Air Group, Inc. | 530 | 15.7 | % | (2,343 | ) | |||||||
Abbott Laboratories | 1,209 | 16.0 | % | (2,393 | ) | |||||||
PBF Energy, Inc. — Class A | 494 | 16.4 | % | (2,449 | ) | |||||||
Pfizer, Inc. | 4,013 | 16.5 | % | (2,468 | ) | |||||||
MetLife, Inc. | 675 | 16.9 | % | (2,530 | ) | |||||||
Oshkosh Corp. | 624 | 17.0 | % | (2,537 | ) | |||||||
Eaton Corporation plc | 1,031 | 17.2 | % | (2,575 | ) | |||||||
Amdocs Ltd. | 738 | 17.4 | % | (2,602 | ) | |||||||
Lions Gate Entertainment Corp. — Class A | 2,253 | 17.4 | % | (2,602 | ) | |||||||
Arrow Electronics, Inc.* | 884 | 18.8 | % | (2,805 | ) | |||||||
ARRIS International plc* | 1,934 | 18.9 | % | (2,824 | ) | |||||||
Lincoln National Corp. | 460 | 19.6 | % | (2,931 | ) | |||||||
LyondellBasell Industries N.V. — Class A | 451 | 20.3 | % | (3,027 | ) | |||||||
United Parcel Service, Inc. — Class B | 268 | 20.5 | % | (3,055 | ) | |||||||
Pentair plc | 1,659 | 21.3 | % | (3,181 | ) | |||||||
Danaher Corp. | 703 | 21.3 | % | (3,186 | ) | |||||||
Hill-Rom Holdings, Inc. | 603 | 21.9 | % | (3,274 | ) | |||||||
Oracle Corp. | 1,165 | 22.3 | % | (3,329 | ) | |||||||
Comcast Corp. — Class A | 2,465 | 22.5 | % | (3,365 | ) | |||||||
Travelers Companies, Inc. | 467 | 23.1 | % | (3,451 | ) | |||||||
KLA-Tencor Corp. | 311 | 23.2 | % | (3,464 | ) | |||||||
Waters Corp.* | 226 | 23.3 | % | (3,482 | ) | |||||||
Aflac, Inc. | 1,271 | 23.5 | % | (3,503 | ) | |||||||
Lam Research Corp. | 218 | 23.5 | % | (3,510 | ) | |||||||
TE Connectivity Ltd. | 485 | 23.7 | % | (3,540 | ) | |||||||
International Paper Co. | 664 | 23.8 | % | (3,554 | ) | |||||||
Bristol-Myers Squibb Co. | 1,186 | 25.4 | % | (3,795 | ) | |||||||
AT&T, Inc. | 820 | 25.6 | % | (3,817 | ) | |||||||
American Airlines Group, Inc. | 733 | 25.7 | % | (3,836 | ) | |||||||
General Motors Co. | 773 | 25.7 | % | (3,843 | ) | |||||||
Delta Air Lines, Inc. | 1,239 | 26.0 | % | (3,879 | ) | |||||||
Huntsman Corp. | 1,102 | 26.1 | % | (3,898 | ) | |||||||
Zimmer Biomet Holdings, Inc. | 667 | 27.0 | % | (4,031 | ) | |||||||
Applied Materials, Inc. | 876 | 27.6 | % | (4,127 | ) | |||||||
Walgreens Boots Alliance, Inc. | 775 | 27.7 | % | (4,130 | ) | |||||||
Lear Corp. | 257 | 27.8 | % | (4,149 | ) | |||||||
Micron Technology, Inc.* | 525 | 27.8 | % | (4,152 | ) | |||||||
Bruker Corp. | 1,222 | 28.2 | % | (4,216 | ) | |||||||
Meritor, Inc.* | 2,191 | 28.6 | % | (4,264 | ) | |||||||
Edgewell Personal Care Co.* | 2,001 | 29.0 | % | (4,330 | ) | |||||||
Intel Corp. | 1,469 | 29.7 | % | (4,442 | ) | |||||||
ON Semiconductor Corp.* | 2,251 | 30.1 | % | (4,492 | ) | |||||||
Dover Corp. | 932 | 31.2 | % | (4,664 | ) | |||||||
Western Digital Corp. | 432 | 31.3 | % | (4,674 | ) | |||||||
Parker-Hannifin Corp. | 392 | 31.7 | % | (4,731 | ) | |||||||
MAXIMUS, Inc. | 896 | 32.4 | % | (4,836 | ) | |||||||
HP, Inc. | 4,492 | 32.6 | % | (4,874 | ) | |||||||
Perrigo Company plc | 506 | 32.8 | % | (4,903 | ) | |||||||
Johnson & Johnson | 948 | 33.7 | % | (5,038 | ) | |||||||
AECOM* | 2,810 | 34.7 | % | (5,176 | ) | |||||||
Celgene Corp.* | 585 | 35.3 | % | (5,272 | ) | |||||||
News Corp. — Class A | 5,508 | 35.6 | % | (5,312 | ) | |||||||
Kimberly-Clark Corp. | 1,583 | 35.9 | % | (5,359 | ) | |||||||
3M Co. | 165 | 37.4 | % | (5,592 | ) | |||||||
JM Smucker Co. | 757 | 38.7 | % | (5,783 | ) | |||||||
JPMorgan Chase & Co. | 1,033 | 40.3 | % | (6,018 | ) | |||||||
United Rentals, Inc.* | 301 | 40.8 | % | (6,086 | ) | |||||||
Lockheed Martin Corp. | 102 | 41.9 | % | (6,259 | ) | |||||||
AGCO Corp. | 782 | 41.9 | % | (6,259 | ) | |||||||
FedEx Corp. | 245 | 42.8 | % | (6,390 | ) | |||||||
Berkshire Hathaway, Inc. — Class B* | 276 | 44.5 | % | (6,641 | ) | |||||||
CVS Health Corp. | 1,747 | 45.6 | % | (6,806 | ) | |||||||
Masco Corp. | 1,639 | 46.5 | % | (6,946 | ) | |||||||
Belden, Inc. | 581 | 47.0 | % | (7,024 | ) | |||||||
Crane Co. | 615 | 47.3 | % | (7,056 | ) | |||||||
Mylan N.V.* | 1,458 | 47.3 | % | (7,064 | ) | |||||||
Sanderson Farms, Inc. | 483 | 50.8 | % | (7,588 | ) | |||||||
PACCAR, Inc. | 1,317 | 51.6 | % | (7,697 | ) | |||||||
National Fuel Gas Co. | 2,607 | 52.8 | % | (7,889 | ) | |||||||
Cirrus Logic, Inc.* | 1,531 | 53.9 | % | (8,050 | ) | |||||||
Tech Data Corp.* | 366 | 55.6 | % | (8,301 | ) | |||||||
Owens-Illinois, Inc.* | 1,719 | 55.7 | % | (8,316 | ) | |||||||
Bank of America Corp. | 2,666 | 56.2 | % | (8,384 | ) | |||||||
Coherent, Inc.* | 190 | 59.7 | % | (8,921 | ) | |||||||
International Business Machines Corp. | 542 | 59.9 | % | (8,939 | ) | |||||||
Prudential Financial, Inc. | 652 | 60.5 | % | (9,039 | ) | |||||||
Biogen, Inc.* | 271 | 65.8 | % | (9,823 | ) |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
Southwest Airlines Co. | 1,716 | 75.3 | % | $ | (11,245 | ) | ||||||
Principal Financial Group, Inc. | 1,133 | 79.2 | % | (11,829 | ) | |||||||
Owens Corning | 638 | 83.4 | % | (12,454 | ) | |||||||
McKesson Corp. | 801 | 95.1 | % | (14,204 | ) | |||||||
Pilgrim's Pride Corp.* | 3,099 | 114.6 | % | (17,106 | ) | |||||||
Tyson Foods, Inc. — Class A | 1,675 | 115.8 | % | (17,287 | ) | |||||||
Molson Coors Brewing Co. — Class B | 1,617 | 124.3 | % | (18,558 | ) | |||||||
Copa Holdings S.A. — Class A | 720 | 136.4 | % | (20,361 | ) | |||||||
Cummins, Inc. | 780 | 168.6 | % | (25,181 | ) | |||||||
Ingredion, Inc. | 1,325 | 178.3 | % | (26,623 | ) | |||||||
Cardinal Health, Inc. | 1,980 | 187.4 | % | (27,975 | ) | |||||||
Total Custom Basket of Long Securities | (14,932 | ) | ||||||||||
CUSTOM BASKET OF SHORT SECURITIES5 | ||||||||||||
Healthcare Services Group, Inc. | (6,053 | ) | (2.7 | %) | 44,641 | |||||||
ABM Industries, Inc. | (7,738 | ) | (2.5 | %) | 40,603 | |||||||
Albemarle Corp. | (995 | ) | (2.3 | %) | 38,384 | |||||||
Goldman Sachs Group, Inc. | (1,111 | ) | (1.8 | %) | 29,573 | |||||||
LendingTree, Inc.* | (358 | ) | (1.7 | %) | 28,710 | |||||||
National Instruments Corp. | (3,455 | ) | (1.3 | %) | 21,901 | |||||||
NewMarket Corp. | (977 | ) | (1.2 | %) | 19,264 | |||||||
Charles Schwab Corp. | (3,300 | ) | (1.0 | %) | 16,303 | |||||||
Sensient Technologies Corp. | (1,964 | ) | (0.7 | %) | 12,348 | |||||||
Robert Half International, Inc. | (2,427 | ) | (0.7 | %) | 12,050 | |||||||
Allegheny Technologies, Inc.* | (6,587 | ) | (0.7 | %) | 11,786 | |||||||
First Horizon National Corp. | (8,076 | ) | (0.7 | %) | 10,775 | |||||||
Workday, Inc. — Class A* | (806 | ) | (0.6 | %) | 10,058 | |||||||
Texas Capital Bancshares, Inc.* | (1,257 | ) | (0.6 | %) | 9,389 | |||||||
Valley National Bancorp | (17,035 | ) | (0.6 | %) | 9,104 | |||||||
Ball Corp. | (2,519 | ) | (0.5 | %) | 8,813 | |||||||
Pinnacle Financial Partners, Inc. | (2,933 | ) | (0.5 | %) | 8,784 | |||||||
SEI Investments Co. | (1,745 | ) | (0.5 | %) | 8,535 | |||||||
Marriott International, Inc. — Class A | (681 | ) | (0.5 | %) | 8,331 | |||||||
Sterling Bancorp | (6,950 | ) | (0.5 | %) | 8,174 | |||||||
Nucor Corp. | (1,689 | ) | (0.4 | %) | 6,950 | |||||||
BB&T Corp. | (1,844 | ) | (0.4 | %) | 6,885 | |||||||
Washington Federal, Inc. | (2,996 | ) | (0.4 | %) | 6,851 | |||||||
Halliburton Co. | (2,511 | ) | (0.4 | %) | 6,724 | |||||||
Compass Minerals International, Inc. | (3,640 | ) | (0.4 | %) | 6,650 | |||||||
New York Community Bancorp, Inc. | (9,717 | ) | (0.3 | %) | 5,748 | |||||||
Xylem, Inc. | (1,335 | ) | (0.3 | %) | 5,624 | |||||||
Summit Materials, Inc. — Class A* | (3,506 | ) | (0.3 | %) | 5,367 | |||||||
Synovus Financial Corp. | (1,701 | ) | (0.3 | %) | 5,273 | |||||||
Air Products & Chemicals, Inc. | (567 | ) | (0.3 | %) | 5,239 | |||||||
Mosaic Co. | (3,232 | ) | (0.3 | %) | 5,151 | |||||||
RenaissanceRe Holdings Ltd. | (1,176 | ) | (0.3 | %) | 5,002 | |||||||
Investors Bancorp, Inc. | (13,281 | ) | (0.3 | %) | 4,924 | |||||||
Sealed Air Corp. | (3,331 | ) | (0.3 | %) | 4,874 | |||||||
Huntington Bancshares, Inc. | (6,118 | ) | (0.3 | %) | 4,806 | |||||||
Aon plc | (681 | ) | (0.3 | %) | 4,406 | |||||||
Avery Dennison Corp. | (888 | ) | (0.3 | %) | 4,205 | |||||||
McDonald's Corp. | (578 | ) | (0.2 | %) | 3,922 | |||||||
JBG SMITH Properties | (4,137 | ) | (0.2 | %) | 3,921 | |||||||
Associated Banc-Corp. | (4,867 | ) | (0.2 | %) | 3,303 | |||||||
PVH Corp. | (574 | ) | (0.2 | %) | 3,298 | |||||||
Waste Management, Inc. | (1,590 | ) | (0.2 | %) | 3,217 | |||||||
Capitol Federal Financial, Inc. | (21,724 | ) | (0.2 | %) | 3,186 | |||||||
Platform Specialty Products Corp.* | (7,898 | ) | (0.2 | %) | 3,087 | |||||||
MarketAxess Holdings, Inc. | (697 | ) | (0.2 | %) | 2,839 | |||||||
TripAdvisor, Inc.* | (1,634 | ) | (0.1 | %) | 2,430 | |||||||
KAR Auction Services, Inc. | (2,490 | ) | (0.1 | %) | 2,259 | |||||||
Alleghany Corp. | (165 | ) | (0.1 | %) | 2,140 | |||||||
Martin Marietta Materials, Inc. | (591 | ) | (0.1 | %) | 2,137 | |||||||
People's United Financial, Inc. | (6,783 | ) | (0.1 | %) | 2,011 | |||||||
Intercontinental Exchange, Inc. | (1,263 | ) | (0.1 | %) | 1,849 | |||||||
Aramark | (5,260 | ) | (0.1 | %) | 1,169 | |||||||
First Republic Bank | (2,398 | ) | 0.0 | % | 738 | |||||||
Markel Corp.* | (371 | ) | 0.0 | % | 654 | |||||||
ServiceNow, Inc.* | (580 | ) | 0.0 | % | 605 | |||||||
salesforce.com, Inc.* | (1,289 | ) | 0.0 | % | 493 | |||||||
Cimpress N.V.* | (678 | ) | 0.0 | % | 445 | |||||||
Eaton Vance Corp. | (1,951 | ) | 0.0 | % | 430 | |||||||
AptarGroup, Inc. | (2,398 | ) | 0.0 | % | 380 | |||||||
Republic Services, Inc. — Class A | (1,965 | ) | 0.0 | % | 61 | |||||||
Covanta Holding Corp. | (19,555 | ) | 0.0 | % | 36 | |||||||
Parsley Energy, Inc. — Class A* | (3,327 | ) | 0.0 | % | (6 | ) | ||||||
PPG Industries, Inc. | (920 | ) | 0.0 | % | (96 | ) | ||||||
IBERIABANK Corp. | (1,408 | ) | 0.0 | % | (154 | ) | ||||||
Wendy's Co. | (10,047 | ) | 0.0 | % | (204 | ) | ||||||
Crown Castle International Corp. | (1,915 | ) | 0.0 | % | (548 | ) | ||||||
Everest Re Group Ltd. | (420 | ) | 0.1 | % | (966 | ) | ||||||
Camden Property Trust | (2,529 | ) | 0.1 | % | (988 | ) | ||||||
WR Grace & Co. | (2,911 | ) | 0.1 | % | (1,127 | ) | ||||||
Core Laboratories N.V. | (937 | ) | 0.1 | % | (1,544 | ) | ||||||
Alexandria Real Estate Equities, Inc. | (2,453 | ) | 0.1 | % | (1,613 | ) | ||||||
Essex Property Trust, Inc. | (649 | ) | 0.1 | % | (1,671 | ) | ||||||
Signature Bank* | (979 | ) | 0.1 | % | (1,873 | ) | ||||||
Royal Gold, Inc. | (1,017 | ) | 0.1 | % | (1,978 | ) | ||||||
Glacier Bancorp, Inc. | (2,793 | ) | 0.1 | % | (2,052 | ) | ||||||
FireEye, Inc.* | (5,563 | ) | 0.1 | % | (2,357 | ) | ||||||
FactSet Research Systems, Inc. | (635 | ) | 0.2 | % | (2,536 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
CyrusOne, Inc. | (2,967 | ) | 0.2 | % | $ | (2,608 | ) | |||||
Alliant Energy Corp. | (2,714 | ) | 0.2 | % | (2,784 | ) | ||||||
Multi-Color Corp. | (2,974 | ) | 0.2 | % | (2,790 | ) | ||||||
Equifax, Inc. | (882 | ) | 0.2 | % | (3,125 | ) | ||||||
Texas Roadhouse, Inc. — Class A | (1,464 | ) | 0.2 | % | (3,225 | ) | ||||||
National Oilwell Varco, Inc. | (2,784 | ) | 0.2 | % | (3,228 | ) | ||||||
Charter Communications, Inc. — Class A* | (437 | ) | 0.2 | % | (3,257 | ) | ||||||
Extraction Oil & Gas, Inc.* | (7,482 | ) | 0.2 | % | (3,820 | ) | ||||||
Diamondback Energy, Inc. | (814 | ) | 0.2 | % | (3,938 | ) | ||||||
Vulcan Materials Co. | (1,474 | ) | 0.2 | % | (3,977 | ) | ||||||
Commercial Metals Co. | (8,639 | ) | 0.2 | % | (4,193 | ) | ||||||
SBA Communications Corp.* | (954 | ) | 0.3 | % | (5,026 | ) | ||||||
Sherwin-Williams Co. | (590 | ) | 0.3 | % | (5,082 | ) | ||||||
Tesla, Inc.* | (186 | ) | 0.3 | % | (5,147 | ) | ||||||
Costco Wholesale Corp. | (465 | ) | 0.4 | % | (5,948 | ) | ||||||
Vornado Realty Trust | (3,283 | ) | 0.4 | % | (6,418 | ) | ||||||
Washington Real Estate Investment Trust | (5,099 | ) | 0.4 | % | (6,624 | ) | ||||||
Cannae Holdings, Inc.* | (7,408 | ) | 0.4 | % | (6,911 | ) | ||||||
Equinix, Inc. | (362 | ) | 0.4 | % | (7,323 | ) | ||||||
Invitation Homes, Inc. | (9,579 | ) | 0.5 | % | (7,666 | ) | ||||||
Healthcare Realty Trust, Inc. | (3,517 | ) | 0.5 | % | (7,785 | ) | ||||||
Dominion Energy, Inc. | (3,378 | ) | 0.5 | % | (7,920 | ) | ||||||
Realty Income Corp. | (3,031 | ) | 0.5 | % | (8,040 | ) | ||||||
Booking Holdings, Inc.* | (45 | ) | 0.5 | % | (8,519 | ) | ||||||
American Tower Corp. — Class A | (973 | ) | 0.5 | % | (8,881 | ) | ||||||
AvalonBay Communities, Inc. | (723 | ) | 0.5 | % | (9,121 | ) | ||||||
Terreno Realty Corp. | (9,098 | ) | 0.6 | % | (9,456 | ) | ||||||
Douglas Emmett, Inc. | (6,800 | ) | 0.6 | % | (9,503 | ) | ||||||
Federal Realty Investment Trust | (821 | ) | 0.6 | % | (9,719 | ) | ||||||
FMC Corp. | (2,221 | ) | 0.6 | % | (9,865 | ) | ||||||
Eversource Energy | (2,113 | ) | 0.6 | % | (10,042 | ) | ||||||
Boston Properties, Inc. | (1,869 | ) | 0.6 | % | (10,366 | ) | ||||||
IHS Markit Ltd.* | (9,065 | ) | 0.7 | % | (10,971 | ) | ||||||
Howard Hughes Corp.* | (1,728 | ) | 0.7 | % | (11,010 | ) | ||||||
Equity Residential | (1,484 | ) | 0.7 | % | (11,491 | ) | ||||||
TransDigm Group, Inc. | (371 | ) | 0.7 | % | (11,515 | ) | ||||||
Gartner, Inc.* | (1,154 | ) | 0.7 | % | (11,660 | ) | ||||||
NiSource, Inc. | (5,872 | ) | 0.7 | % | (11,832 | ) | ||||||
PriceSmart, Inc. | (2,579 | ) | 0.7 | % | (12,240 | ) | ||||||
Southern Copper Corp. | (6,288 | ) | 0.7 | % | (12,299 | ) | ||||||
MSA Safety, Inc. | (2,656 | ) | 0.8 | % | (12,757 | ) | ||||||
HCP, Inc. | (6,923 | ) | 0.8 | % | (12,880 | ) | ||||||
Equity LifeStyle Properties, Inc. | (3,374 | ) | 0.8 | % | (13,096 | ) | ||||||
RPM International, Inc. | (1,868 | ) | 0.8 | % | (13,627 | ) | ||||||
Tyler Technologies, Inc.* | (584 | ) | 0.8 | % | (13,708 | ) | ||||||
Hudson Pacific Properties, Inc. | (4,252 | ) | 0.8 | % | (13,794 | ) | ||||||
Digital Realty Trust, Inc. | (2,145 | ) | 0.8 | % | (13,946 | ) | ||||||
Axis Capital Holdings Ltd. | (3,729 | ) | 0.9 | % | (14,255 | ) | ||||||
Ultimate Software Group, Inc.* | (445 | ) | 0.9 | % | (14,371 | ) | ||||||
SL Green Realty Corp. | (1,854 | ) | 0.9 | % | (15,180 | ) | ||||||
Rexford Industrial Realty, Inc. | (7,103 | ) | 0.9 | % | (15,481 | ) | ||||||
Redwood Trust, Inc. | (8,606 | ) | 0.9 | % | (15,786 | ) | ||||||
SPS Commerce, Inc.* | (1,847 | ) | 1.0 | % | (16,365 | ) | ||||||
South Jersey Industries, Inc. | (4,206 | ) | 1.0 | % | (16,811 | ) | ||||||
American Campus Communities, Inc. | (6,694 | ) | 1.0 | % | (16,894 | ) | ||||||
Cornerstone OnDemand, Inc.* | (1,862 | ) | 1.0 | % | (16,942 | ) | ||||||
Ashland Global Holdings, Inc. | (1,967 | ) | 1.0 | % | (17,250 | ) | ||||||
Ecolab, Inc. | (2,511 | ) | 1.0 | % | (17,347 | ) | ||||||
Pegasystems, Inc. | (2,261 | ) | 1.0 | % | (17,363 | ) | ||||||
American Water Works Company, Inc. | (2,841 | ) | 1.1 | % | (17,695 | ) | ||||||
White Mountains Insurance Group Ltd. | (229 | ) | 1.1 | % | (18,167 | ) | ||||||
Pool Corp. | (693 | ) | 1.1 | % | (18,902 | ) | ||||||
Moody's Corp. | (1,063 | ) | 1.2 | % | (19,368 | ) | ||||||
Crocs, Inc.* | (4,925 | ) | 1.2 | % | (19,674 | ) | ||||||
Semtech Corp.* | (1,989 | ) | 1.2 | % | (19,744 | ) | ||||||
Public Storage | (935 | ) | 1.2 | % | (20,479 | ) | ||||||
Healthcare Trust of America, Inc. — Class A | (14,066 | ) | 1.3 | % | (20,844 | ) | ||||||
Under Armour, Inc. — Class A* | (5,292 | ) | 1.4 | % | (23,973 | ) | ||||||
WD-40 Co. | (742 | ) | 1.5 | % | (24,753 | ) | ||||||
Hess Corp. | (2,749 | ) | 1.6 | % | (25,993 | ) | ||||||
Duke Realty Corp. | (6,990 | ) | 1.6 | % | (27,163 | ) | ||||||
Retail Opportunity Investments Corp. | (14,824 | ) | 1.7 | % | (27,930 | ) | ||||||
Monolithic Power Systems, Inc. | (1,130 | ) | 1.7 | % | (28,327 | ) | ||||||
UDR, Inc. | (6,890 | ) | 1.7 | % | (28,862 | ) | ||||||
Sun Communities, Inc. | (4,313 | ) | 1.8 | % | (29,080 | ) | ||||||
RLI Corp. | (4,261 | ) | 1.8 | % | (29,281 | ) | ||||||
Tetra Tech, Inc. | (4,009 | ) | 1.8 | % | (29,438 | ) | ||||||
PTC, Inc.* | (1,038 | ) | 1.8 | % | (29,713 | ) | ||||||
Vail Resorts, Inc. | (467 | ) | 1.8 | % | (29,838 | ) | ||||||
MSCI, Inc. — Class A | (935 | ) | 1.9 | % | (31,908 | ) | ||||||
Ingevity Corp.* | (1,678 | ) | 1.9 | % | (31,930 | ) | ||||||
Kilroy Realty Corp. | (3,189 | ) | 1.9 | % | (32,053 | ) | ||||||
Mobile Mini, Inc. | (8,382 | ) | 2.0 | % | (33,707 | ) | ||||||
CarMax, Inc.* | (3,837 | ) | 2.1 | % | (35,080 | ) | ||||||
Ollie's Bargain Outlet Holdings, Inc.* | (1,273 | ) | 2.1 | % | (35,144 | ) | ||||||
HB Fuller Co. | (8,600 | ) | 2.2 | % | (36,252 | ) | ||||||
Shake Shack, Inc. — Class A* | (1,486 | ) | 2.2 | % | (36,688 | ) | ||||||
EastGroup Properties, Inc. | (2,886 | ) | 2.4 | % | (39,206 | ) | ||||||
ASGN, Inc.* | (4,795 | ) | 2.7 | % | (44,272 | ) | ||||||
TransUnion | (2,807 | ) | 2.7 | % | (45,443 | ) | ||||||
Insperity, Inc. | (1,606 | ) | 3.5 | % | (57,631 | ) | ||||||
Balchem Corp. | (3,633 | ) | 3.6 | % | (60,179 | ) | ||||||
Rollins, Inc. | (9,021 | ) | 3.9 | % | (64,115 | ) |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
Verisk Analytics, Inc. — Class A* | (4,290 | ) | 4.0 | % | $ | (66,578 | ) | |||||
Exponent, Inc. | (7,039 | ) | 4.3 | % | (70,726 | ) | ||||||
Cintas Corp. | (2,245 | ) | 4.6 | % | (76,677 | ) | ||||||
Team, Inc.* | (8,232 | ) | 4.7 | % | (78,330 | ) | ||||||
Copart, Inc.* | (4,478 | ) | 4.8 | % | (79,493 | ) | ||||||
CoStar Group, Inc.* | (1,089 | ) | 6.3 | % | (104,417 | ) | ||||||
Total Custom Basket of Short Securities | (1,655,129 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is pledged as custom basket swap collateral at June 30, 2018. |
2 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
3 | Rate indicated is the 7 day yield as of June 30, 2018. |
4 | Securities lending collateral — See Note 7. |
5 | Total Return based on the return of the custom short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2018. |
6 | Total Return based on the return of the custom long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2018. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 32,150,351 | $ | — | $ | — | $ | 32,150,351 | ||||||||
Money Market Fund | 2,782,786 | — | — | 2,782,786 | ||||||||||||
Securities Lending Collateral | 54,979 | — | — | 54,979 | ||||||||||||
Total Assets | $ | 34,988,116 | $ | — | $ | — | $ | 34,988,116 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Custom Basket Swap Agreements* | $ | — | $ | 1,670,061 | $ | — | $ | 1,670,061 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
LONG SHORT EQUITY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $53,837 of securities loaned (cost $34,327,423) | $ | 34,988,116 | ||
Receivables: | ||||
Dividends | 43,433 | |||
Fund shares sold | 1,022 | |||
Securities lending income | 14 | |||
Total assets | 35,032,585 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 1,670,061 | |||
Payable for: | ||||
Swap settlement | 1,547,678 | |||
Return of securities loaned | 54,979 | |||
Management fees | 23,504 | |||
Fund shares redeemed | 23,090 | |||
Investor service fees | 6,529 | |||
Transfer agent and administrative fees | 2,612 | |||
Portfolio accounting fees | 2,612 | |||
Trustees’ fees* | 871 | |||
Miscellaneous | 41,614 | |||
Total liabilities | 3,373,550 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 31,659,035 | ||
Net assets consist of: | ||||
Paid in capital | $ | 29,158,935 | ||
Undistributed net investment income | 96,158 | |||
Accumulated net realized gain on investments | 3,413,310 | |||
Net unrealized depreciation on investments | (1,009,368 | ) | ||
Net assets | $ | 31,659,035 | ||
Capital shares outstanding | 1,952,674 | |||
Net asset value per share | $ | 16.21 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $208) | $ | 379,816 | ||
Income from securities lending, net | 4,164 | |||
Total investment income | 383,980 | |||
Expenses: | ||||
Management fees | 165,555 | |||
Investor service fees | 45,987 | |||
Transfer agent and administrative fees | 18,395 | |||
Professional fees | 31,622 | |||
Portfolio accounting fees | 18,395 | |||
Trustees’ fees* | 4,340 | |||
Custodian fees | 2,856 | |||
Miscellaneous | 4,673 | |||
Total expenses | 291,823 | |||
Less: | ||||
Expenses waived by Adviser | (68 | ) | ||
Net expenses | 291,755 | |||
Net investment income | 92,225 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,451,736 | |||
Swap agreements | (2,309,548 | ) | ||
Net realized loss | (857,812 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,706,073 | ) | ||
Swap agreements | (649,992 | ) | ||
Net change in unrealized appreciation (depreciation) | (2,356,065 | ) | ||
Net realized and unrealized loss | (3,213,877 | ) | ||
Net decrease in net assets resulting from operations | $ | (3,121,652 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LONG SHORT EQUITY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 92,225 | $ | (108,977 | ) | |||
Net realized gain (loss) on investments | (857,812 | ) | 5,663,923 | |||||
Net change in unrealized appreciation (depreciation) on investments | (2,356,065 | ) | (663,755 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (3,121,652 | ) | 4,891,191 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (126,120 | ) | |||||
Total distributions to shareholders | — | (126,120 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 6,854,337 | 10,449,559 | ||||||
Distributions reinvested | — | 126,120 | ||||||
Cost of shares redeemed | (11,211,471 | ) | (8,089,622 | ) | ||||
Net increase (decrease) from capital share transactions | (4,357,134 | ) | 2,486,057 | |||||
Net increase (decrease) in net assets | (7,478,786 | ) | 7,251,128 | |||||
Net assets: | ||||||||
Beginning of period | 39,137,821 | 31,886,693 | ||||||
End of period | $ | 31,659,035 | $ | 39,137,821 | ||||
Undistributed net investment income at end of period | $ | 96,158 | $ | 3,933 | ||||
Capital share activity: | ||||||||
Shares sold | 389,913 | 649,140 | ||||||
Shares issued from reinvestment of distributions | — | 7,922 | ||||||
Shares redeemed | (661,931 | ) | (506,416 | ) | ||||
Net increase (decrease) in shares | (272,018 | ) | 150,646 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
LONG SHORT EQUITY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.59 | $ | 15.37 | $ | 15.27 | $ | 15.08 | $ | 14.67 | $ | 12.49 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .04 | (.05 | ) | .01 | (.11 | ) | (.09 | ) | (.14 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.42 | ) | 2.33 | .09 | .30 | .50 | 2.32 | |||||||||||||||||
Total from investment operations | (1.38 | ) | 2.28 | .10 | .19 | .41 | 2.18 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.06 | ) | — | — | — | (— | )c | ||||||||||||||||
Total distributions | — | (.06 | ) | — | — | — | (— | )c | ||||||||||||||||
Net asset value, end of period | $ | 16.21 | $ | 17.59 | $ | 15.37 | $ | 15.27 | $ | 15.08 | $ | 14.67 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | (7.85 | %) | 14.85 | % | 0.65 | % | 1.26 | % | 2.79 | % | 17.46 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 31,659 | $ | 39,138 | $ | 31,887 | $ | 39,120 | $ | 30,041 | $ | 45,295 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.50 | % | (0.32 | %) | 0.04 | % | (0.71 | %) | (0.63 | %) | (1.05 | %) | ||||||||||||
Total expensese,g | 1.59 | % | 1.78 | % | 2.22 | % | 2.28 | % | 2.12 | % | 2.28 | % | ||||||||||||
Net expensesf | 1.59 | % | 1.78 | % | 2.22 | % | 2.28 | % | 2.12 | % | 2.28 | % | ||||||||||||
Portfolio turnover rate | 185 | % | 258 | % | 239 | % | 244 | % | 316 | % | 292 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Distributions from net investment income are less than $0.01 per share. |
d | Total return does not reflect the impact of any additional fees charged by insurance companies. |
e | Does not include expenses of the underlying funds in which the Fund invests. |
f | Net expense information reflects the expense ratios after expense waivers, as applicable. |
g | Total expenses may include interest and dividend expense. Excluding interest and dividend expense related to short sales, net expense ratios for the periods presented would be: |
06/30/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 | 12/31/13 | ||
1.58% | 1.61% | 1.56% | 1.51% | 1.57% | 1.62% |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
GLOBAL MANAGED FUTURES STRATEGY FUND
OBJECTIVE: Seeks to achieve positive absolute returns.
Consolidated Holdings Diversification (Market Exposure as % of Net Assets)
“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: November 7, 2008
The Fund invests principally in derivative investments such as futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Variable Insurance Strategy Fund III | 42.1% |
Guggenheim Strategy Fund II | 16.8% |
Guggenheim Strategy Fund I | 12.7% |
Guggenheim Strategy Fund III | 11.6% |
Top Ten Total | 83.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 Month‡ | 1 Year | 5 Year | Since |
Global Managed Futures Strategy Fund | (3.81%) | 5.09% | 0.40% | (3.18%) |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.81% | 1.36% | 0.42% | 0.29% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 83.2% | ||||||||
Guggenheim Variable Insurance Strategy Fund III1 | 237,938 | $ | 5,965,105 | |||||
Guggenheim Strategy Fund II1 | 95,492 | 2,386,342 | ||||||
Guggenheim Strategy Fund I1 | 72,153 | 1,806,719 | ||||||
Guggenheim Strategy Fund III1 | 65,843 | 1,645,415 | ||||||
Total Mutual Funds | ||||||||
(Cost $11,726,519) | 11,803,581 |
Face | ||||||||
U.S. TREASURY BILLS†† - 11.0% | ||||||||
U.S. Treasury Bills | ||||||||
1.72% due 07/12/182,3,4 | $ | 1,556,000 | 1,555,275 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,555,151) | 1,555,275 | |||||||
REPURCHASE AGREEMENTS††,5 - 6.7% | ||||||||
JPMorgan Chase & Co. | 522,092 | 522,092 | ||||||
Barclays Capital | 256,372 | 256,372 | ||||||
Bank of America Merrill Lynch | 170,915 | 170,915 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $949,379) | 949,379 | |||||||
Total Investments - 100.9% | ||||||||
(Cost $14,231,049) | $ | 14,308,235 | ||||||
Other Assets & Liabilities, net - (0.9)% | (130,086 | ) | ||||||
Total Net Assets - 100.0% | $ | 14,178,149 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||||
Euro - OATS Futures Contracts†† | 25 | Sep 2018 | $ | 4,503,153 | $ | 51,582 | ||||||||||
Euro - Bund Futures Contracts | 12 | Sep 2018 | 2,275,852 | 11,199 | ||||||||||||
Euro - Bobl Futures Contracts | 39 | Sep 2018 | 6,016,674 | 8,578 | ||||||||||||
Euro - Schatz Futures Contracts | 109 | Sep 2018 | 14,265,203 | 4,560 | ||||||||||||
Euro - 30 year Bond Futures Contracts | 2 | Sep 2018 | 414,246 | 3,966 | ||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 2 | Sep 2018 | 318,687 | 3,653 | ||||||||||||
Canadian Government 10 Year Bond Futures Contracts†† | 8 | Sep 2018 | 831,626 | (3,337 | ) | |||||||||||
$ | 28,625,441 | $ | 80,201 | |||||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||||
WTI Crude Futures Contracts | 8 | Aug 2018 | $ | 594,400 | $ | 49,114 | ||||||||||
Brent Crude Futures Contracts | 7 | Sep 2018 | 553,560 | 18,199 | ||||||||||||
Cattle Feeder Futures Contracts | 2 | Aug 2018 | 151,325 | 5,541 | ||||||||||||
Gasoline RBOB Futures Contracts | 3 | Aug 2018 | 270,547 | 4,951 | ||||||||||||
Low Sulphur Gas Oil Futures Contracts | 2 | Aug 2018 | 135,350 | 2,227 | ||||||||||||
Cocoa Futures Contracts | 4 | Sep 2018 | 100,280 | 1,529 | ||||||||||||
Hard Red Winter Wheat Futures Contracts | 2 | Sep 2018 | 48,750 | 917 | ||||||||||||
LME Primary Aluminum Futures Contracts | 1 | Aug 2018 | 53,175 | (3,677 | ) | |||||||||||
Soybean Meal Futures Contracts | 6 | Dec 2018 | 197,520 | (5,727 | ) | |||||||||||
LME Zinc Futures Contracts | 1 | Aug 2018 | 71,563 | (8,933 | ) | |||||||||||
LME Nickel Futures Contracts | 4 | Aug 2018 | 356,772 | (17,726 | ) | |||||||||||
Cotton #2 Futures Contracts | 10 | Dec 2018 | 420,250 | (29,343 | ) | |||||||||||
$ | 2,953,492 | $ | 17,072 | |||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
New Zealand Dollar Futures Contracts | 1 | Sep 2018 | $ | 67,730 | $ | (1,611 | ) | |||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
SPI 200 Index Futures Contracts | 14 | Sep 2018 | $ | 1,600,141 | $ | 21,999 | ||||||||||
S&P/TSX 60 IX Index Futures Contracts | 4 | Sep 2018 | 586,507 | 3,057 | ||||||||||||
OMX Stockholm 30 Index Futures Contracts†† | 5 | Jul 2018 | 86,373 | (208 | ) | |||||||||||
S&P 500 Index Mini Futures Contracts | 5 | Sep 2018 | 680,187 | (1,922 | ) | |||||||||||
FTSE 100 Index Futures Contracts | 6 | Sep 2018 | 599,113 | (2,275 | ) |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased (continued) | ||||||||||||||||
Russell 2000 Index Mini Futures Contracts | 9 | Sep 2018 | $ | 741,015 | $ | (5,706 | ) | |||||||||
NASDAQ-100 Index Mini Futures Contracts | 6 | Sep 2018 | 847,470 | (10,880 | ) | |||||||||||
Hang Seng Index Futures Contracts†† | 3 | Jul 2018 | 546,853 | (11,633 | ) | |||||||||||
CAC 40 10 Euro Index Futures Contracts | 11 | Jul 2018 | 680,628 | (19,660 | ) | |||||||||||
Dow Jones Industrial Average Index Mini Futures Contracts | 7 | Sep 2018 | 849,100 | (20,310 | ) | |||||||||||
Tokyo Stock Price Index Futures Contracts | 5 | Sep 2018 | 777,708 | (22,183 | ) | |||||||||||
Amsterdam Index Futures Contracts | 8 | Jul 2018 | 1,025,689 | (29,840 | ) | |||||||||||
$ | 9,020,784 | $ | (99,561 | ) | ||||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||||
Corn Futures Contracts | 18 | Sep 2018 | $ | 323,325 | $ | 20,562 | ||||||||||
Soybean Oil Futures Contracts | 40 | Dec 2018 | 714,480 | 19,083 | ||||||||||||
Soybean Futures Contracts | 12 | Nov 2018 | 527,700 | 17,803 | ||||||||||||
Silver Futures Contracts | 3 | Sep 2018 | 242,175 | 13,881 | ||||||||||||
Coffee 'C' Futures Contracts | 10 | Sep 2018 | 430,875 | 13,202 | ||||||||||||
Wheat Futures Contracts | 4 | Sep 2018 | 100,400 | 6,074 | ||||||||||||
Platinum Futures Contracts | 3 | Oct 2018 | 128,505 | 5,211 | ||||||||||||
LME Lead Futures Contracts | 3 | Aug 2018 | 180,806 | 3,937 | ||||||||||||
Natural Gas Futures Contracts | 9 | Aug 2018 | 263,160 | 1,500 | ||||||||||||
Lean Hogs Futures Contracts | 1 | Aug 2018 | 30,550 | 1,306 | ||||||||||||
Copper Futures Contracts | 1 | Sep 2018 | 74,163 | (5 | ) | |||||||||||
Gold 100 oz. Futures Contracts | 1 | Aug 2018 | 125,380 | (252 | ) | |||||||||||
NY Harbor ULSD Futures Contracts | 2 | Aug 2018 | 185,321 | (2,577 | ) | |||||||||||
Live Cattle Futures Contracts | 16 | Aug 2018 | 683,040 | (22,726 | ) | |||||||||||
$ | 4,009,880 | $ | 76,999 | |||||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||||
DAX Index Futures Contracts | 2 | Sep 2018 | $ | 716,312 | $ | 33,921 | ||||||||||
IBEX 35 Index Futures Contracts†† | 8 | Jul 2018 | 890,841 | 25,370 | ||||||||||||
HSCEI Index Futures Contracts†† | 5 | Jul 2018 | 345,299 | 11,166 | ||||||||||||
Euro STOXX 50 Index Futures Contracts | 2 | Sep 2018 | 78,795 | 1,941 | ||||||||||||
MSCI EAFE Index Mini Futures Contracts | 1 | Sep 2018 | 53,165 | 113 | ||||||||||||
FTSE/JSE TOP 40 Index Futures Contracts†† | 3 | Sep 2018 | 112,277 | (548 | ) | |||||||||||
MSCI Taiwan Stock Index Futures Contracts | 2 | Jul 2018 | 77,540 | (1,447 | ) | |||||||||||
$ | 2,274,229 | $ | 70,516 | |||||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||||
Australian Dollar Futures Contracts | 52 | Sep 2018 | $ | 3,849,560 | $ | 49,223 | ||||||||||
Canadian Dollar Futures Contracts | 37 | Sep 2018 | 2,817,920 | 19,038 | ||||||||||||
British Pound Futures Contracts | 23 | Sep 2018 | 1,903,681 | 7,847 | ||||||||||||
Japanese Yen Futures Contracts | 2 | Sep 2018 | 226,988 | 865 | ||||||||||||
Euro FX Futures Contracts | 8 | Sep 2018 | 1,174,400 | 815 | ||||||||||||
Mexican Peso Futures Contracts | 20 | Sep 2018 | 497,300 | (20,810 | ) | |||||||||||
$ | 10,469,849 | $ | 56,978 | |||||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||||
U.S. Treasury 2 Year Note Futures Contracts | 54 | Sep 2018 | $ | 11,439,563 | $ | 1,307 | ||||||||||
U.S. Treasury Long Bond Futures Contracts | 6 | Sep 2018 | 869,250 | 792 | ||||||||||||
Euro - BTP Italian Government Bond Futures Contracts†† | 1 | Sep 2018 | 148,517 | 54 | ||||||||||||
Long Gilt Futures Contracts†† | 10 | Sep 2018 | 1,623,134 | (466 | ) | |||||||||||
Australian Government 10 Year Bond Futures Contracts | 19 | Sep 2018 | 1,819,843 | (1,170 | ) | |||||||||||
Australian Government 3 Year Bond Futures Contracts | 26 | Sep 2018 | 2,142,580 | (8,315 | ) | |||||||||||
U.S. Treasury 5 Year Note Futures Contracts | 70 | Sep 2018 | 7,952,109 | (11,795 | ) | |||||||||||
U.S. Treasury 10 Year Note Futures Contracts | 41 | Sep 2018 | 4,927,047 | (12,772 | ) | |||||||||||
$ | 30,922,043 | $ | (32,365 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | Zero coupon rate security. |
4 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
5 | Repurchase Agreements — See Note 6. |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 11,803,581 | $ | — | $ | — | $ | 11,803,581 | ||||||||
U.S. Treasury Bills | — | 1,555,275 | — | 1,555,275 | ||||||||||||
Repurchase Agreements | — | 949,379 | — | 949,379 | ||||||||||||
Commodity Futures Contracts* | 185,037 | — | — | 185,037 | ||||||||||||
Equity Futures Contracts* | 61,031 | 36,536 | — | 97,567 | ||||||||||||
Interest Rate Futures Contracts* | 34,055 | 51,636 | — | 85,691 | ||||||||||||
Currency Futures Contracts* | 77,788 | — | — | 77,788 | ||||||||||||
Total Assets | $ | 12,161,492 | $ | 2,592,826 | $ | — | $ | 14,754,318 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts* | $ | 114,223 | $ | 12,389 | $ | — | $ | 126,612 | ||||||||
Commodity Futures Contracts* | 90,966 | — | — | 90,966 | ||||||||||||
Interest Rate Futures Contracts* | 34,052 | 3,803 | — | 37,855 | ||||||||||||
Currency Futures Contracts* | 22,421 | — | — | 22,421 | ||||||||||||
Total Liabilities | $ | 261,662 | $ | 16,192 | $ | — | $ | 277,854 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the Guggenheim Investments (“GI”), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 1,786,058 | $ | 22,101 | $ | — | $ | — | $ | (1,440 | ) | $ | 1,806,719 | $ | 72,153 | $ | 22,047 | |||||||||||||||
Guggenheim Strategy Fund II | 3,349,880 | 37,979 | (1,000,000 | ) | 5,436 | (6,953 | ) | 2,386,342 | 95,492 | 37,947 | ||||||||||||||||||||||
Guggenheim Strategy Fund III | 1,627,129 | 20,264 | — | — | (1,978 | ) | 1,645,415 | 65,843 | 20,202 | |||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 5,897,587 | 77,022 | — | — | (9,504 | ) | 5,965,105 | 237,938 | 76,587 | |||||||||||||||||||||||
$ | 12,660,654 | $ | 157,366 | $ | (1,000,000 | ) | $ | 5,436 | $ | (19,875 | ) | $ | 11,803,581 | $ | 156,783 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $1,555,151) | $ | 1,555,275 | ||
Investments in affiliated issuers, at value (cost $11,726,519) | 11,803,581 | |||
Repurchase agreements, at value (cost $949,379) | 949,379 | |||
Foreign currency, at value (cost $8,292) | 8,238 | |||
Segregated cash with broker | 25,015 | |||
Receivables: | ||||
Dividends | 29,398 | |||
Fund shares sold | 920 | |||
Interest | 110 | |||
Total assets | 14,371,916 | |||
Liabilities: | ||||
Overdraft due to custodian bank | 5,807 | |||
Payable for: | ||||
Variation margin | 115,332 | |||
Securities purchased | 30,632 | |||
Management fees | 10,426 | |||
Investor service fees | 2,898 | |||
Transfer agent and administrative fees | 1,159 | |||
Portfolio accounting fees | 1,159 | |||
Fund shares redeemed | 650 | |||
Trustees’ fees* | 376 | |||
Miscellaneous | 25,328 | |||
Total liabilities | 193,767 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 14,178,149 | ||
Net assets consist of: | ||||
Paid in capital | $ | 15,152,912 | ||
Accumulated net investment loss | (453,022 | ) | ||
Accumulated net realized loss on investments | (767,140 | ) | ||
Net unrealized appreciation on investments | 245,399 | |||
Net assets | $ | 14,178,149 | ||
Capital shares outstanding | 863,863 | |||
Net asset value per share | $ | 16.41 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 156,783 | ||
Interest | 17,705 | |||
Total investment income | 174,488 | |||
Expenses: | ||||
Management fees | 69,979 | |||
Investor service fees | 18,471 | |||
Transfer agent and administrative fees | 7,388 | |||
Professional fees | 11,994 | |||
Portfolio accounting fees | 7,389 | |||
Trustees’ fees* | 1,615 | |||
Custodian fees | 984 | |||
Miscellaneous | 4,898 | |||
Total expenses | 122,718 | |||
Less: | ||||
Expenses waived by Adviser | (3,471 | ) | ||
Net expenses | 119,247 | |||
Net investment income | 55,241 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 4 | |||
Investments in affiliated issuers | 5,436 | |||
Futures contracts | (497,331 | ) | ||
Foreign currency transactions | 3,948 | |||
Net realized loss | (487,943 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 339 | |||
Investments in affiliated issuers | (19,875 | ) | ||
Futures contracts | (120,424 | ) | ||
Foreign currency translations | 220 | |||
Net change in unrealized appreciation (depreciation) | (139,740 | ) | ||
Net realized and unrealized loss | (627,683 | ) | ||
Net decrease in net assets resulting from operations | $ | (572,442 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GLOBAL MANAGED FUTURES STRATEGY FUND |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 55,241 | $ | 90,084 | ||||
Net realized gain (loss) on investments | (487,943 | ) | 1,169,869 | |||||
Net change in unrealized appreciation (depreciation) on investments | (139,740 | ) | (18,544 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (572,442 | ) | 1,241,409 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (224,098 | ) | |||||
Total distributions to shareholders | — | (224,098 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 1,970,797 | 3,928,863 | ||||||
Distributions reinvested | — | 224,098 | ||||||
Cost of shares redeemed | (2,011,675 | ) | (5,160,335 | ) | ||||
Net decrease from capital share transactions | (40,878 | ) | (1,007,374 | ) | ||||
Net increase (decrease) in net assets | (613,320 | ) | 9,937 | |||||
Net assets: | ||||||||
Beginning of period | 14,791,469 | 14,781,532 | ||||||
End of period | $ | 14,178,149 | $ | 14,791,469 | ||||
Accumulated net investment loss at end of period | $ | (453,022 | ) | $ | (508,263 | ) | ||
Capital share activity: | ||||||||
Shares sold | 114,251 | 241,110 | ||||||
Shares issued from reinvestment of distributions | — | 14,192 | ||||||
Shares redeemed | (117,474 | ) | (316,195 | ) | ||||
Net decrease in shares | (3,223 | ) | (60,893 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.06 | $ | 15.93 | $ | 19.42 | $ | 20.89 | $ | 18.60 | $ | 18.15 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .06 | .10 | .06 | (.07 | ) | (.12 | ) | (.29 | ) | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.71 | ) | 1.27 | (2.88 | ) | (.25 | ) | 2.41 | .74 | |||||||||||||||
Total from investment operations | (.65 | ) | 1.37 | (2.82 | ) | (.32 | ) | 2.29 | .45 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.24 | ) | (.67 | ) | (.48 | ) | — | — | |||||||||||||||
Net realized gains | — | — | — | (.67 | ) | — | — | |||||||||||||||||
Total distributions | — | (.24 | ) | (.67 | ) | (1.15 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 16.41 | $ | 17.06 | $ | 15.93 | $ | 19.42 | $ | 20.89 | $ | 18.60 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (3.81 | %) | 8.71 | % | (14.77 | %) | (1.55 | %) | 12.08 | % | 2.59 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,178 | $ | 14,791 | $ | 14,782 | $ | 17,536 | $ | 11,433 | $ | 9,231 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.75 | % | 0.59 | % | 0.32 | % | (0.35 | %) | (0.67 | %) | (1.60 | %) | ||||||||||||
Total expensesd | 1.66 | % | 1.69 | % | 1.69 | % | 1.65 | % | 1.67 | % | 1.76 | % | ||||||||||||
Net expensese | 1.61 | % | 1.64 | % | 1.62 | % | 1.57 | % | 1.60 | % | 1.64 | % | ||||||||||||
Portfolio turnover rate | 1 | % | 1 | % | 39 | % | 33 | % | 43 | % | — |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers. |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND
OBJECTIVE: Seeks to provide long-term capital appreciation with less risk than traditional equity funds.
Consolidated Holdings Diversification (Market Exposure as % of Net Assets)
“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: November 29, 2005
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Variable Insurance Strategy Fund III | 10.3% |
Guggenheim Strategy Fund III | 10.3% |
Guggenheim Strategy Fund II | 9.6% |
NXP Semiconductor N.V. | 1.8% |
Cavium, Inc. | 1.4% |
Capella Education Co. | 1.4% |
Guggenheim Strategy Fund I | 1.4% |
Infinity Property & Casualty Corp. | 1.0% |
Aetna, Inc. | 1.0% |
Xcerra Corp. | 1.0% |
Top Ten Total | 39.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Multi-Hedge Strategies Fund | (4.95%) | (1.63%) | 0.84% | (0.43%) |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.81% | 1.36% | 0.42% | 0.35% |
HFRX Global Hedge Fund Index | (0.85%) | 2.47% | 1.32% | (0.40%) |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The HFRX Global Hedge Fund Index, the ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
|
| Value | ||||||
COMMON STOCKS† - 20.1% | ||||||||
Technology - 4.7% | ||||||||
NXP Semiconductor N.V.* | 6,574 | $ | 718,341 | |||||
Cavium, Inc.*,1 | 6,618 | 572,457 | ||||||
Xcerra Corp.* | 27,748 | 387,640 | ||||||
VeriFone Systems, Inc.* | 6,853 | 156,385 | ||||||
salesforce.com, Inc.* | 42 | 5,729 | ||||||
Total Technology | 1,840,552 | |||||||
Financial - 4.4% | ||||||||
Infinity Property & Casualty Corp. | 2,848 | 405,413 | ||||||
Validus Holdings Ltd.1 | 5,206 | 351,926 | ||||||
MTGE Investment Corp. REIT | 15,458 | 302,977 | ||||||
XL Group Ltd. | 4,219 | 236,053 | ||||||
CoBiz Financial, Inc. | 10,260 | 220,385 | ||||||
PHH Corp.* | 14,744 | 160,120 | ||||||
Genworth Financial, Inc. — Class A* | 13,429 | 60,430 | ||||||
Total Financial | 1,737,304 | |||||||
Consumer, Non-cyclical - 4.0% | ||||||||
Capella Education Co.1 | 5,504 | 543,245 | ||||||
Aetna, Inc. | 2,195 | 402,782 | ||||||
Pinnacle Foods, Inc. | 5,599 | 364,271 | ||||||
Envision Healthcare Corp.* | 3,256 | 143,297 | ||||||
NxStage Medical, Inc.*,1 | 4,860 | 135,594 | ||||||
Total Consumer, Non-cyclical | 1,589,189 | |||||||
Consumer, Cyclical - 1.7% | ||||||||
Pinnacle Entertainment, Inc.*,1 | 11,483 | 387,322 | ||||||
ILG, Inc. | 8,882 | 293,372 | ||||||
Total Consumer, Cyclical | 680,694 | |||||||
Utilities - 1.6% | ||||||||
WGL Holdings, Inc.1 | 3,198 | 283,823 | ||||||
Vectren Corp. | 2,169 | 154,975 | ||||||
Avista Corp.1 | 2,407 | 126,753 | ||||||
Connecticut Water Service, Inc. | 1,255 | 81,977 | ||||||
Total Utilities | 647,528 | |||||||
Energy - 1.5% | ||||||||
RSP Permian, Inc.* | 6,883 | 302,990 | ||||||
Rice Midstream Partners, LP | 17,005 | 289,425 | ||||||
Total Energy | 592,415 | |||||||
Communications - 1.3% | ||||||||
Hawaiian Telcom Holdco, Inc.*,1 | 6,191 | 179,044 | ||||||
Sprint Corp.*,2 | 22,267 | 121,132 | ||||||
Tribune Media Co. — Class A1 | 3,131 | 119,823 | ||||||
Oclaro, Inc.* | 8,661 | 77,343 | ||||||
AT&T, Inc. | 1 | 23 | ||||||
Total Communications | 497,365 | |||||||
Industrial - 0.9% | ||||||||
KapStone Paper and Packaging Corp.1 | 5,148 | 177,606 | ||||||
Rockwell Collins, Inc.1 | 1,247 | 167,946 | ||||||
Total Industrial | 345,552 | |||||||
Total Common Stocks | ||||||||
(Cost $7,641,431) | 7,930,599 | |||||||
RIGHTS† - 0.0% | ||||||||
Royce Value Trust | ||||||||
Expires 07/03/18 | 770 | 19 | ||||||
Total Rights | ||||||||
(Cost $—) | 19 | |||||||
MUTUAL FUNDS† - 31.6% | ||||||||
Guggenheim Variable Insurance Strategy Fund III3 | 162,705 | 4,079,004 | ||||||
Guggenheim Strategy Fund III3 | 163,108 | 4,076,058 | ||||||
Guggenheim Strategy Fund II3 | 151,539 | 3,786,962 | ||||||
Guggenheim Strategy Fund I3 | 21,525 | 538,990 | ||||||
Total Mutual Funds | ||||||||
(Cost $12,499,047) | 12,481,014 | |||||||
CLOSED-END FUNDS† - 8.8% | ||||||||
Dividend and Income Fund | 12,822 | 158,095 | ||||||
RMR Real Estate Income Fund | 7,931 | 145,058 | ||||||
GDL Fund | 12,243 | 112,391 | ||||||
Eagle Growth & Income Opportunities Fund2 | 6,625 | 101,893 | ||||||
Herzfeld Caribbean Basin Fund, Inc. | 10,020 | 66,232 | ||||||
Boulder Growth & Income Fund, Inc. | 5,334 | 54,834 | ||||||
Adams Natural Resources Fund, Inc. | 2,667 | 53,580 | ||||||
First Trust High Income Long/Short Fund | 3,408 | 50,199 | ||||||
Gabelli Healthcare & WellnessRx Trust | 4,805 | 48,146 | ||||||
Nuveen New Jersey Quality Municipal Income Fund | 3,689 | 48,141 | ||||||
General American Investors Company, Inc. | 1,388 | 47,664 | ||||||
Eaton Vance California Municipal Income Trust | 3,743 | 42,904 | ||||||
BrandywineGLOBAL Global Income Opportunities Fund, Inc. | 3,054 | 34,785 | ||||||
Adams Diversified Equity Fund, Inc. | 2,236 | 34,479 | ||||||
Franklin Universal Trust | 5,082 | 33,948 | ||||||
Neuberger Berman California Intermediate Municipal Fund, Inc. | 2,706 | 33,879 | ||||||
Cushing Energy Income Fund | 3,604 | 33,373 | ||||||
Neuberger Berman High Yield Strategies Fund, Inc. | 2,952 | 31,941 | ||||||
PGIM Global Short Duration High Yield Fund, Inc. | 2,325 | 31,759 | ||||||
Bancroft Fund Ltd. | 1,354 | 29,626 | ||||||
Nuveen Connecticut Quality Municipal Income Fund | 2,398 | 28,488 | ||||||
Templeton Dragon Fund, Inc. | 1,284 | 27,362 | ||||||
Mexico Fund, Inc. | 1,800 | 27,252 | ||||||
PGIM Short Duration High Yield Fund, Inc. | 1,896 | 26,544 |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
|
| Value | ||||||
Nuveen Texas Quality Municipal Income Fund | 2,060 | $ | 26,327 | |||||
Mexico Equity & Income Fund, Inc. | 2,533 | 26,166 | ||||||
Brookfield Global Listed Infrastructure Income Fund, Inc. | 2,156 | 26,066 | ||||||
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 3,889 | 26,056 | ||||||
Eaton Vance Limited Duration Income Fund | 2,030 | 25,537 | ||||||
Western Asset Emerging Markets Debt Fund, Inc. | 1,921 | 25,492 | ||||||
Latin American Discovery Fund, Inc. | 2,646 | 25,243 | ||||||
Invesco High Income Trust II | 1,860 | 25,091 | ||||||
Morgan Stanley Asia-Pacific Fund, Inc. | 1,450 | 24,766 | ||||||
Taiwan Fund, Inc. | 1,209 | 24,325 | ||||||
Eaton Vance New York Municipal Income Trust | 1,987 | 24,241 | ||||||
Morgan Stanley Emerging Markets Fund, Inc. | 1,490 | 24,198 | ||||||
Nuveen Global High Income Fund | 1,566 | 24,179 | ||||||
Morgan Stanley Emerging Markets Debt Fund, Inc. | 2,740 | 23,975 | ||||||
AllianceBernstein Global High Income Fund, Inc. | 2,066 | 23,842 | ||||||
Western Asset Global High Income Fund, Inc. | 2,604 | 23,748 | ||||||
Western Asset Inflation - Linked Securities & Income Fund3 | 2,052 | 23,454 | ||||||
First Trust Aberdeen Global Opportunity Income Fund | 2,337 | 23,440 | ||||||
BlackRock Credit Allocation Income Trust | 1,923 | 23,230 | ||||||
Templeton Emerging Markets Fund/United States | 1,579 | 23,227 | ||||||
Principal Real Estate Income Fund | 1,298 | 23,040 | ||||||
Western Asset Inflation-Linked Opportunities & Income Fund3 | 2,042 | 22,768 | ||||||
Central and Eastern Europe Fund, Inc. | 980 | 22,716 | ||||||
Aberdeen Asia-Pacific Income Fund, Inc. | 5,229 | 22,589 | ||||||
India Fund, Inc. | 929 | 22,575 | ||||||
Ellsworth Growth and Income Fund Ltd. | 2,389 | 22,552 | ||||||
Macquarie Global Infrastructure Total Return Fund, Inc. | 997 | 22,472 | ||||||
Nuveen AMT-Free Quality Municipal Income Fund | 1,713 | 22,286 | ||||||
AllianzGI NFJ Dividend Interest & Premium Strategy Fund | 1,763 | 22,249 | ||||||
First Trust Aberdeen Emerging Opportunity Fund | 1,620 | 22,032 | ||||||
Nuveen Real Asset Income and Growth Fund | 1,346 | 21,751 | ||||||
CBRE Clarion Global Real Estate Income Fund | 2,875 | 21,677 | ||||||
Templeton Emerging Markets Income Fund | 2,103 | 21,598 | ||||||
Cohen & Steers REIT and Preferred Income Fund, Inc. | 1,099 | 21,343 | ||||||
Cushing Renaissance Fund | 1,163 | 21,050 | ||||||
Japan Smaller Capitalization Fund, Inc. | 1,806 | 21,040 | ||||||
Tri-Continental Corp. | 791 | 20,969 | ||||||
BlackRock Corporate High Yield Fund, Inc. | 2,002 | 20,941 | ||||||
Western Asset High Income Fund II, Inc. | 3,235 | 20,833 | ||||||
Source Capital, Inc. | 519 | 20,739 | ||||||
Salient Midstream & MLP Fund | 2,066 | 20,577 | ||||||
Aberdeen Japan Equity Fund, Inc. | 2,327 | 20,571 | ||||||
Nuveen Multi-Market Income Fund | 2,937 | 20,530 | ||||||
Nuveen Credit Strategies Income Fund | 2,576 | 20,479 | ||||||
Eaton Vance New York Municipal Bond Fund II | 1,903 | 20,438 | ||||||
BlackRock Limited Duration Income Trust | 1,369 | 20,357 | ||||||
Tortoise Power and Energy Infrastructure Fund, Inc. | 1,075 | 20,232 | ||||||
Wells Fargo Income Opportunities Fund | 2,532 | 20,231 | ||||||
European Equity Fund, Inc. | 2,150 | 20,189 | ||||||
Aberdeen Total Dynamic Dividend Fund | 2,307 | 20,186 | ||||||
Western Asset High Income Opportunity Fund, Inc. | 4,180 | 20,148 | ||||||
Gabelli Global Utility & Income Trust | 1,078 | 20,083 | ||||||
Duff & Phelps Global Utility Income Fund, Inc. | 1,393 | 20,017 | ||||||
Tekla Healthcare Opportunities Fund | 1,164 | 19,835 | ||||||
MFS Multimarket Income Trust | 3,498 | 19,764 | ||||||
Voya Asia Pacific High Dividend Equity Income Fund | 1,965 | 19,650 | ||||||
Western Asset High Yield Defined Opportunity Fund, Inc. | 1,344 | 19,609 | ||||||
Ivy High Income Opportunities Fund | 1,368 | 19,603 | ||||||
Korea Fund, Inc. | 506 | 19,258 | ||||||
New Germany Fund, Inc. | 1,055 | 19,243 | ||||||
BlackRock Resources & Commodities Strategy Trust | 2,063 | 19,165 | ||||||
BlackRock Debt Strategies Fund, Inc. | 1,714 | 19,163 | ||||||
Pioneer High Income Trust | 2,056 | 19,101 | ||||||
MFS Charter Income Trust | 2,399 | 19,024 | ||||||
Clough Global Opportunities Fund | 1,713 | 18,809 | ||||||
LMP Capital and Income Fund, Inc. | 1,448 | 18,607 | ||||||
Western Asset Global Corporate Defined Opportunity Fund, Inc. | 1,105 | 18,509 | ||||||
BlackRock Enhanced International Dividend Trust | 3,196 | 18,345 | ||||||
Royce Value Trust, Inc.2 | 1,160 | 18,331 | ||||||
AllianzGI Equity & Convertible Income Fund | 820 | 18,245 | ||||||
Swiss Helvetia Fund, Inc. | 1,452 | 17,932 | ||||||
Aberdeen Global Dynamic Dividend Fund | 1,734 | 17,774 | ||||||
China Fund, Inc. | 848 | 17,723 | ||||||
Ares Dynamic Credit Allocation Fund, Inc. | 1,094 | 17,602 | ||||||
Lazard World Dividend & Income Fund, Inc. | 1,696 | 17,571 | ||||||
Morgan Stanley India Investment Fund, Inc. | 678 | 17,560 | ||||||
Clough Global Equity Fund | 1,223 | 17,501 | ||||||
BlackRock Multi-Sector Income Trust | 1,024 | 17,500 | ||||||
Sprott Focus Trust, Inc. | 2,243 | 17,495 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
|
| Value | ||||||
Royce Micro-Capital Trust, Inc. | 1,739 | $ | 17,365 | |||||
Aberdeen Global Premier Properties Fund | 2,717 | 17,334 | ||||||
BlackRock Enhanced Global Dividend Trust | 1,540 | 17,125 | ||||||
Wells Fargo Multi-Sector Income Fund | 1,366 | 17,048 | ||||||
Cohen & Steers Global Income Builder, Inc. | 1,782 | 16,929 | ||||||
Aberdeen Income Credit Strategies Fund | 1,217 | 16,807 | ||||||
Gabelli Dividend & Income Trust | 744 | 16,785 | ||||||
Clough Global Dividend and Income Fund | 1,327 | 16,521 | ||||||
Morgan Stanley China A Share Fund, Inc. | 712 | 16,433 | ||||||
BlackRock Enhanced Equity Dividend Trust | 1,789 | 16,423 | ||||||
Eaton Vance Tax-Advantaged Global Dividend Income Fund | 964 | 16,388 | ||||||
Brookfield Real Assets Income Fund, Inc. | 720 | 16,344 | ||||||
Cohen & Steers Closed-End Opportunity Fund, Inc. | 1,268 | 16,294 | ||||||
Lazard Global Total Return and Income Fund, Inc. | 880 | 16,157 | ||||||
ClearBridge American Energy MLP Fund, Inc. | 2,139 | 16,149 | ||||||
Voya Global Advantage and Premium Opportunity Fund | 1,381 | 15,992 | ||||||
BlackRock Enhanced Capital and Income Fund, Inc. | 977 | 15,847 | ||||||
Neuberger Berman Real Estate Securities Income Fund, Inc. | 3,064 | 15,749 | ||||||
Cohen & Steers Infrastructure Fund, Inc. | 693 | 15,731 | ||||||
First Trust Enhanced Equity Income Fund | 999 | 15,724 | ||||||
Wells Fargo Global Dividend Opportunity Fund | 2,796 | 15,630 | ||||||
Asia Pacific Fund, Inc. | 1,128 | 15,612 | ||||||
Liberty All-Star Equity Fund | 2,432 | 15,565 | ||||||
Putnam High Income Securities Fund | 1,659 | 15,478 | ||||||
Nuveen Tax-Advantaged Total Return Strategy Fund | 1,196 | 15,393 | ||||||
Delaware Enhanced Global Dividend & Income Fund | 1,352 | 15,318 | ||||||
Nuveen Tax-Advantaged Dividend Growth Fund | 919 | 15,154 | ||||||
Aberdeen Emerging Markets Equity Income Fund, Inc. | 2,156 | 15,092 | ||||||
Advent Claymore Convertible Securities and Income Fund II3 | 2,090 | 11,683 | ||||||
Advent Claymore Convertible Securities and Income Fund3 | 764 | 11,682 | ||||||
Advent/Claymore Enhanced Growth & Income Fund3 | 1,457 | 11,292 | ||||||
Total Closed-End Funds | ||||||||
(Cost $3,304,914) | 3,466,397 |
| Face | |||||||
U.S. TREASURY BILLS†† - 24.9% | ||||||||
U.S. Treasury Bills | ||||||||
1.87% due 09/13/184,5 | $ | 8,500,000 | 8,467,596 | |||||
1.72% due 07/12/184,5,14 | 1,387,000 | 1,386,354 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $9,853,134) | 9,853,950 | |||||||
REPURCHASE AGREEMENTS††,6 - 9.3% | ||||||||
JPMorgan Chase & Co. | 2,011,752 | 2,011,752 | ||||||
Barclays Capital | 987,865 | 987,865 | ||||||
Bank of America Merrill Lynch | 658,577 | 658,577 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $3,658,194) | 3,658,194 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,7 - 0.5% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%8 | 183,989 | 183,989 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $183,989) | 183,989 | |||||||
Total Investments - 95.2% | ||||||||
(Cost $37,140,709) | $ | 37,574,162 | ||||||
COMMON STOCKS SOLD SHORT† - (8.0)% | ||||||||
Industrial - (0.1)% | ||||||||
United Technologies Corp. | 359 | (44,886 | ) | |||||
Utilities - (0.2)% | ||||||||
Vistra Energy Corp.* | 1 | (24 | ) | |||||
SJW Group | 1,252 | (82,908 | ) | |||||
Total Utilities | (82,932 | ) | ||||||
Communications - (0.6)% | ||||||||
Sinclair Broadcast Group, Inc. — Class A | 720 | (23,148 | ) | |||||
Cincinnati Bell, Inc.* | 4,038 | (63,397 | ) | |||||
T-Mobile US, Inc.* | 2,285 | (136,529 | ) | |||||
Total Communications | (223,074 | ) | ||||||
Consumer, Cyclical - (0.8)% | ||||||||
Penn National Gaming, Inc.* | 4,823 | (162,005 | ) | |||||
Marriott Vacations Worldwide Corp. | 1,466 | (165,599 | ) | |||||
Total Consumer, Cyclical | (327,604 | ) |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
|
| Value | ||||||
Technology - (1.3)% | ||||||||
Lumentum Holdings, Inc.* | 500 | $ | (28,950 | ) | ||||
Cohu, Inc. | 5,852 | (143,432 | ) | |||||
Marvell Technology Group Ltd. | 14,399 | (308,715 | ) | |||||
Total Technology | (481,097 | ) | ||||||
Financial - (1.5)% | ||||||||
Annaly Capital Management, Inc. | 14,698 | (151,243 | ) | |||||
BOK Financial Corp. | 1,744 | (163,954 | ) | |||||
Kemper Corp. | 3,423 | (258,950 | ) | |||||
Total Financial | (574,147 | ) | ||||||
Energy - (1.5)% | ||||||||
Equities Midstream Partners, LP | 5,644 | (291,174 | ) | |||||
Concho Resources, Inc.* | 2,203 | (304,785 | ) | |||||
Total Energy | (595,959 | ) | ||||||
Consumer, Non-cyclical - (2.0)% | ||||||||
CVS Health Corp. | 1,839 | (118,340 | ) | |||||
Conagra Brands, Inc. | 3,636 | (129,914 | ) | |||||
Strayer Education, Inc. | 4,816 | (544,256 | ) | |||||
Total Consumer, Non-cyclical | (792,510 | ) | ||||||
Total Common Stocks Sold Short | ||||||||
(Proceeds $2,980,559) | (3,122,209 | ) | ||||||
EXCHANGE-TRADED FUNDS SOLD SHORT† - (8.9)% | ||||||||
iShares Russell 1000 Growth ETF | 52 | (7,478 | ) | |||||
iShares MSCI South Korea ETF | 215 | (14,558 | ) | |||||
Technology Select Sector SPDR Fund | 269 | (18,687 | ) | |||||
iShares MSCI Japan ETF | 559 | (32,372 | ) | |||||
iShares MSCI Taiwan ETF | 1,098 | (39,528 | ) | |||||
iShares China Large-Capital ETF | 1,005 | (43,185 | ) | |||||
VanEck Vectors Gold Miners ETF | 2,337 | (52,139 | ) | |||||
Industrial Select Sector SPDR Fund | 818 | (58,593 | ) | |||||
iShares MSCI Emerging Markets ETF | 1,397 | (60,532 | ) | |||||
iShares Russell 1000 Value ETF | 504 | (61,175 | ) | |||||
iShares 20+ Year Treasury Bond ETF | 545 | (66,337 | ) | |||||
Utilities Select Sector SPDR Fund | 1,488 | (77,317 | ) | |||||
VanEck Vectors Russia ETF | 3,860 | (81,986 | ) | |||||
iShares MSCI United Kingdom ETF | 2,382 | (82,846 | ) | |||||
iShares MSCI Australia ETF | 3,746 | (84,697 | ) | |||||
Invesco QQQ Trust Series 1 | 494 | (84,795 | ) | |||||
Materials Select Sector SPDR Fund | 1,504 | (87,337 | ) | |||||
Consumer Staples Select Sector SPDR Fund | 1,771 | (91,260 | ) | |||||
Consumer Discretionary Select Sector SPDR Fund | 952 | (104,054 | ) | |||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 918 | (105,175 | ) | |||||
Health Care Select Sector SPDR Fund | 1,503 | (125,440 | ) | |||||
iShares Core U.S. Aggregate Bond ETF | 1,217 | (129,391 | ) | |||||
iShares MSCI EAFE ETF | 2,006 | (134,342 | ) | |||||
Financial Select Sector SPDR Fund | 5,418 | (144,065 | ) | |||||
iShares MSCI Mexico ETF | 3,420 | (161,219 | ) | |||||
iShares Russell 2000 Index ETF | 991 | (162,296 | ) | |||||
iShares TIPS Bond ETF | 1,469 | (165,806 | ) | |||||
Energy Select Sector SPDR Fund | 2,541 | (192,964 | ) | |||||
iShares U.S. Real Estate ETF | 3,226 | (259,951 | ) | |||||
iShares 7-10 Year Treasury Bond ETF | 3,330 | (341,358 | ) | |||||
SPDR Bloomberg Barclays High Yield Bond ETF | 12,654 | (448,964 | ) | |||||
Total Exchange-Traded Funds Sold Short | ||||||||
(Proceeds $3,591,085) | (3,519,847 | ) | ||||||
Total Securities Sold Short - (16.9)% | ||||||||
(Proceeds $6,571,644) | $ | (6,642,056 | ) | |||||
Other Assets & Liabilities, net - 21.7% | 8,563,029 | |||||||
Total Net Assets - 100.0% | $ | 39,495,135 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||||
Euro - OATS Futures Contracts†† | 56 | Sep 2018 | $ | 10,087,062 | $ | 117,942 | ||||||||||
Euro - 30 year Bond Futures Contracts | 4 | Sep 2018 | 828,491 | 10,454 | ||||||||||||
Euro - Bund Futures Contracts | 4 | Sep 2018 | 758,618 | 4,178 | ||||||||||||
Canadian Government 10 Year Bond Futures Contracts†† | 19 | Sep 2018 | 1,975,111 | (1,102 | ) | |||||||||||
$ | 13,649,282 | $ | 131,472 | |||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
CBOE Volatility Index Futures Contracts | 88 | Nov 2018 | $ | 1,501,280 | $ | 59,656 | ||||||||||
CBOE Volatility Index Futures Contracts | 17 | Aug 2018 | 279,650 | 36,479 | ||||||||||||
SPI 200 Index Futures Contracts | 6 | Sep 2018 | 685,775 | 8,772 | ||||||||||||
CBOE Volatility Index Futures Contracts | 14 | Dec 2018 | 238,140 | 6,233 | ||||||||||||
FTSE MIB Index Futures Contracts†† | 1 | Sep 2018 | 125,467 | 1,276 | ||||||||||||
S&P/TSX 60 IX Index Futures Contracts | 3 | Sep 2018 | 439,880 | 101 | ||||||||||||
Russell 2000 Index Mini Futures Contracts | 4 | Sep 2018 | 329,340 | (18 | ) | |||||||||||
S&P 500 Index Mini Futures Contracts | 2 | Sep 2018 | 272,075 | (89 | ) | |||||||||||
Nikkei 225 (OSE) Index Futures Contracts | 1 | Sep 2018 | 200,705 | (98 | ) | |||||||||||
NASDAQ-100 Index Mini Futures Contracts | 2 | Sep 2018 | 282,490 | (150 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
OMX Stockholm 30 Index Futures Contracts†† | 11 | Jul 2018 | $ | 190,020 | $ | (509 | ) | |||||||||
CBOE Volatility Index Futures Contracts | 3 | Jul 2018 | 48,300 | (658 | ) | |||||||||||
FTSE 100 Index Futures Contracts | 2 | Sep 2018 | 199,704 | (918 | ) | |||||||||||
Tokyo Stock Price Index Futures Contracts | 1 | Sep 2018 | 155,541 | (4,455 | ) | |||||||||||
Amsterdam Index Futures Contracts | 2 | Jul 2018 | 256,422 | (5,094 | ) | |||||||||||
CAC 40 10 Euro Index Futures Contracts | 3 | Jul 2018 | 185,626 | (5,362 | ) | |||||||||||
$ | 5,390,415 | $ | 95,166 | |||||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||||
WTI Crude Futures Contracts | 6 | Aug 2018 | $ | 445,800 | $ | 42,308 | ||||||||||
Brent Crude Futures Contracts | 6 | Sep 2018 | 474,480 | 13,688 | ||||||||||||
Cattle Feeder Futures Contracts | 4 | Aug 2018 | 302,650 | 11,083 | ||||||||||||
Gasoline RBOB Futures Contracts | 5 | Aug 2018 | 450,912 | 8,682 | ||||||||||||
Lean Hogs Futures Contracts | 8 | Aug 2018 | 244,400 | 4,260 | ||||||||||||
Wheat Futures Contracts | 1 | Sep 2018 | 25,100 | 664 | ||||||||||||
Cocoa Futures Contracts | 3 | Sep 2018 | 75,210 | (1,176 | ) | |||||||||||
Cotton #2 Futures Contracts | 4 | Dec 2018 | 168,100 | (1,616 | ) | |||||||||||
LME Nickel Futures Contracts | 1 | Aug 2018 | 89,193 | (4,432 | ) | |||||||||||
LME Primary Aluminum Futures Contracts | 2 | Aug 2018 | 106,350 | (6,379 | ) | |||||||||||
Soybean Meal Futures Contracts | 14 | Dec 2018 | 460,880 | (12,603 | ) | |||||||||||
$ | 2,843,075 | $ | 54,479 | |||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
Canadian Dollar Futures Contracts | 12 | Sep 2018 | $ | 913,920 | $ | 11,116 | ||||||||||
New Zealand Dollar Futures Contracts | 1 | Sep 2018 | 67,730 | (1,611 | ) | |||||||||||
Japanese Yen Futures Contracts | 3 | Sep 2018 | 340,481 | (1,636 | ) | |||||||||||
$ | 1,322,131 | $ | 7,869 | |||||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||||
Soybean Futures Contracts | 16 | Nov 2018 | $ | 703,600 | $ | 44,499 | ||||||||||
Soybean Oil Futures Contracts | 49 | Dec 2018 | 875,238 | 22,700 | ||||||||||||
Corn Futures Contracts | 10 | Sep 2018 | 179,625 | 13,090 | ||||||||||||
Silver Futures Contracts | 2 | Sep 2018 | 161,450 | 9,254 | ||||||||||||
Coffee 'C' Futures Contracts | 6 | Sep 2018 | 258,525 | 8,304 | ||||||||||||
Sugar #11 Futures Contracts | 11 | Oct 2018 | 150,304 | 6,863 | ||||||||||||
Natural Gas Futures Contracts | 13 | Aug 2018 | 380,120 | 5,386 | ||||||||||||
Hard Red Winter Wheat Futures Contracts | 1 | Sep 2018 | 24,375 | 3,372 | ||||||||||||
LME Zinc Futures Contracts | 2 | Aug 2018 | 143,125 | 2,933 | ||||||||||||
Copper Futures Contracts | 2 | Sep 2018 | 148,325 | (11 | ) | |||||||||||
Gold 100 oz. Futures Contracts | 3 | Aug 2018 | 376,140 | (756 | ) | |||||||||||
NY Harbor ULSD Futures Contracts | 4 | Aug 2018 | 370,642 | (4,654 | ) | |||||||||||
Low Sulphur Gas Oil Futures Contracts | 5 | Aug 2018 | 338,375 | (4,977 | ) | |||||||||||
Live Cattle Futures Contracts | 18 | Aug 2018 | 768,420 | (25,783 | ) | |||||||||||
$ | 4,878,264 | $ | 80,220 | |||||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||||
Australian Dollar Futures Contracts | 38 | Sep 2018 | $ | 2,813,140 | $ | 51,577 | ||||||||||
British Pound Futures Contracts | 18 | Sep 2018 | 1,489,837 | 8,085 | ||||||||||||
Euro FX Futures Contracts | 5 | Sep 2018 | 734,000 | (7,279 | ) | |||||||||||
$ | 5,036,977 | $ | 52,383 | |||||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||||
U.S. Treasury 10 Year Note Futures Contracts | 45 | Sep 2018 | $ | 5,407,734 | $ | 5,141 | ||||||||||
Long Gilt Futures Contracts†† | 32 | Sep 2018 | 5,194,029 | 350 | ||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 3 | Sep 2018 | 478,031 | 276 | ||||||||||||
U.S. Treasury Long Bond Futures Contracts | 6 | Sep 2018 | 869,250 | 177 | ||||||||||||
Euro - BTP Italian Government Bond Futures Contracts†† | 1 | Sep 2018 | 148,517 | 55 | ||||||||||||
Australian Government 10 Year Bond Futures Contracts | 63 | Sep 2018 | 6,034,217 | (6,360 | ) | |||||||||||
$ | 18,131,778 | $ | (361 | ) |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||||
DAX Index Futures Contracts | 1 | Sep 2018 | $ | 358,156 | $ | 16,061 | ||||||||||
IBEX 35 Index Futures Contracts†† | 2 | Jul 2018 | 222,710 | 3,067 | ||||||||||||
Euro STOXX 50 Index Futures Contracts | 2 | Sep 2018 | 78,795 | 2,701 | ||||||||||||
CBOE Volatility Index Futures Contracts | 97 | Oct 2018 | 1,658,700 | (10,036 | ) | |||||||||||
CBOE Volatility Index Futures Contracts | 18 | Sep 2018 | 301,500 | (13,995 | ) | |||||||||||
$ | 2,619,861 | $ | (2,202 | ) |
Custom Basket Swap Agreements | |||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Notional | Value and | |||||||||||||||
OTC Custom Basket Swap†† | |||||||||||||||||||||
Morgan Stanley | Multi-Hedge Portfolio Long Custom Basket Swap9 | 2.37 | % | At Maturity | 08/31/18 | $ | 13,711,670 | $ | 366,468 | ||||||||||||
Morgan Stanley | Multi-Hedge Portfolio Long Custom Basket Swap10 | 2.37 | % | At Maturity | 08/31/18 | 16,679,211 | 266,307 | ||||||||||||||
Morgan Stanley | Multi-Hedge Portfolio Long Custom Basket Swap11 | 2.37 | % | At Maturity | 09/06/19 | 511,192 | 11,383 | ||||||||||||||
$ | 30,902,073 | $ | 644,158 | ||||||||||||||||||
OTC Custom Basket Swap Sold Short†† | |||||||||||||||||||||
Morgan Stanley | Multi-Hedge Portfolio Short Custom Basket Swap12 | (1.54 | %) | At Maturity | 08/31/18 | $ | 13,530,843 | $ | (823,534 | ) | |||||||||||
Morgan Stanley | Multi-Hedge Portfolio Short Custom Basket Swap13 | (1.48 | %) | At Maturity | 08/31/18 | 13,688,852 | (252,834 | ) | |||||||||||||
$ | 27,219,695 | $ | (1,076,368 | ) |
|
| Percentage | Value and | |||||||||
CUSTOM BASKET OF LONG SECURITIES10 | ||||||||||||
Boston Beer Company, Inc. — Class A* | 262 | 13.5 | % | $ | 36,069 | |||||||
US Foods Holding Corp.* | 2,477 | 10.1 | % | 26,894 | ||||||||
Valero Energy Corp. | 907 | 9.8 | % | 26,108 | ||||||||
El Paso Electric Co. | 2,810 | 9.6 | % | 25,612 | ||||||||
Travelport Worldwide Ltd. | 4,107 | 8.2 | % | 21,902 | ||||||||
Senior Housing Properties Trust | 9,708 | 7.9 | % | 21,083 | ||||||||
UGI Corp. | 2,598 | 7.9 | % | 20,914 | ||||||||
NetApp, Inc. | 513 | 7.8 | % | 20,695 | ||||||||
Archer-Daniels-Midland Co. | 3,441 | 7.3 | % | 19,381 | ||||||||
HP, Inc. | 5,357 | 6.6 | % | 17,596 | ||||||||
Cisco Systems, Inc. | 1,566 | 6.4 | % | 17,008 | ||||||||
Genesee & Wyoming, Inc. — Class A* | 1,859 | 6.3 | % | 16,761 | ||||||||
Greenbrier Companies, Inc. | 2,569 | 6.0 | % | 15,873 | ||||||||
Gray Television, Inc.* | 3,920 | 5.5 | % | 14,633 | ||||||||
Vishay Intertechnology, Inc. | 2,752 | 5.3 | % | 14,237 | ||||||||
Regal Beloit Corp. | 2,256 | 5.3 | % | 14,021 | ||||||||
Chevron Corp. | 1,148 | 5.1 | % | 13,692 | ||||||||
Exelon Corp. | 3,584 | 5.0 | % | 13,448 | ||||||||
Performance Food Group Co.* | 1,497 | 4.8 | % | 12,676 | ||||||||
WellCare Health Plans, Inc.* | 163 | 4.5 | % | 11,963 | ||||||||
Sabre Corp. | 1,938 | 4.5 | % | 11,921 | ||||||||
Amgen, Inc. | 842 | 4.4 | % | 11,838 | ||||||||
TreeHouse Foods, Inc.* | 997 | 4.2 | % | 11,154 | ||||||||
AMC Networks, Inc. — Class A* | 970 | 4.2 | % | 11,065 | ||||||||
ON Semiconductor Corp.* | 2,822 | 4.1 | % | 10,940 | ||||||||
EMCOR Group, Inc. | 1,618 | 3.9 | % | 10,400 | ||||||||
InterDigital, Inc. | 1,183 | 3.8 | % | 10,252 | ||||||||
Exxon Mobil Corp. | 1,323 | 3.8 | % | 10,155 | ||||||||
Tailored Brands, Inc. | 818 | 3.8 | % | 10,106 | ||||||||
Dean Foods Co. | 4,628 | 3.7 | % | 9,743 | ||||||||
Dell Technologies Incorporated Class V — Class V* | 550 | 3.6 | % | 9,720 | ||||||||
Occidental Petroleum Corp. | 542 | 3.6 | % | 9,637 | ||||||||
CoreLogic, Inc.* | 1,431 | 3.6 | % | 9,610 | ||||||||
Cardtronics plc — Class A* | 1,596 | 3.5 | % | 9,426 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
|
| Percentage | Value and | |||||||||
Park Hotels & Resorts, Inc. | 2,498 | 3.5 | % | $ | 9,375 | |||||||
Kroger Co. | 1,612 | 3.4 | % | 9,170 | ||||||||
EnerSys | 1,174 | 3.4 | % | 9,088 | ||||||||
Snap-on, Inc. | 641 | 3.4 | % | 8,953 | ||||||||
Verizon Communications, Inc. | 2,930 | 3.4 | % | 8,939 | ||||||||
HollyFrontier Corp. | 392 | 3.2 | % | 8,539 | ||||||||
Medtronic plc | 1,441 | 3.2 | % | 8,513 | ||||||||
Allison Transmission Holdings, Inc. | 3,054 | 3.1 | % | 8,264 | ||||||||
Merck & Company, Inc. | 1,378 | 3.1 | % | 8,202 | ||||||||
Gibraltar Industries, Inc.* | 1,496 | 3.0 | % | 7,972 | ||||||||
Procter & Gamble Co. | 1,366 | 2.9 | % | 7,795 | ||||||||
Darling Ingredients, Inc.* | 3,062 | 2.9 | % | 7,610 | ||||||||
Charles River Laboratories International, Inc.* | 635 | 2.8 | % | 7,366 | ||||||||
PBF Energy, Inc. — Class A | 606 | 2.7 | % | 7,277 | ||||||||
Ameren Corp. | 2,459 | 2.6 | % | 7,031 | ||||||||
Rexnord Corp.* | 1,488 | 2.5 | % | 6,725 | ||||||||
New Media Investment Group, Inc. | 2,673 | 2.5 | % | 6,639 | ||||||||
AES Corp. | 5,574 | 2.4 | % | 6,444 | ||||||||
Western Union Co. | 5,191 | 2.3 | % | 6,144 | ||||||||
United Natural Foods, Inc.* | 1,162 | 2.3 | % | 6,048 | ||||||||
F5 Networks, Inc.* | 243 | 2.2 | % | 5,871 | ||||||||
Scholastic Corp. | 1,022 | 2.2 | % | 5,868 | ||||||||
Juniper Networks, Inc. | 2,264 | 2.2 | % | 5,786 | ||||||||
Teradyne, Inc. | 1,426 | 2.1 | % | 5,623 | ||||||||
CA, Inc. | 1,785 | 1.9 | % | 5,171 | ||||||||
Norfolk Southern Corp. | 467 | 1.9 | % | 5,043 | ||||||||
Convergys Corp. | 4,666 | 1.9 | % | 5,030 | ||||||||
Prestige Brands Holdings, Inc.* | 1,594 | 1.9 | % | 5,030 | ||||||||
Pinnacle West Capital Corp. | 913 | 1.9 | % | 5,005 | ||||||||
STERIS plc | 852 | 1.7 | % | 4,605 | ||||||||
Skyworks Solutions, Inc. | 917 | 1.7 | % | 4,598 | ||||||||
Fidelity National Information Services, Inc. | 601 | 1.7 | % | 4,524 | ||||||||
Kulicke & Soffa Industries, Inc. | 1,721 | 1.7 | % | 4,408 | ||||||||
Omnicom Group, Inc. | 1,098 | 1.6 | % | 4,369 | ||||||||
Kraft Heinz Co. | 1,952 | 1.5 | % | 4,052 | ||||||||
Pfizer, Inc. | 3,940 | 1.4 | % | 3,837 | ||||||||
Regeneron Pharmaceuticals, Inc.* | 126 | 1.4 | % | 3,690 | ||||||||
PG&E Corp. | 1,168 | 1.4 | % | 3,633 | ||||||||
Ventas, Inc. | 1,571 | 1.4 | % | 3,630 | ||||||||
Motorola Solutions, Inc. | 455 | 1.4 | % | 3,623 | ||||||||
Allergan plc | 303 | 1.3 | % | 3,563 | ||||||||
Union Pacific Corp. | 413 | 1.3 | % | 3,509 | ||||||||
Gannett Company, Inc. | 5,744 | 1.3 | % | 3,391 | ||||||||
Bristol-Myers Squibb Co. | 1,035 | 1.3 | % | 3,390 | ||||||||
Avnet, Inc. | 1,095 | 1.1 | % | 2,924 | ||||||||
Domtar Corp. | 1,182 | 1.1 | % | 2,900 | ||||||||
Mylan N.V.* | 1,756 | 1.1 | % | 2,829 | ||||||||
Vonage Holdings Corp.* | 5,312 | 1.0 | % | 2,720 | ||||||||
FirstEnergy Corp. | 1,532 | 1.0 | % | 2,674 | ||||||||
Entergy Corp. | 638 | 1.0 | % | 2,581 | ||||||||
Brandywine Realty Trust | 3,409 | 1.0 | % | 2,550 | ||||||||
PepsiCo, Inc. | 636 | 0.9 | % | 2,508 | ||||||||
Kellogg Co. | 750 | 0.9 | % | 2,426 | ||||||||
Casey's General Stores, Inc. | 429 | 0.8 | % | 2,260 | ||||||||
CSX Corp. | 586 | 0.8 | % | 2,178 | ||||||||
Fluor Corp. | 783 | 0.8 | % | 2,062 | ||||||||
KBR, Inc. | 2,305 | 0.7 | % | 1,969 | ||||||||
Telephone & Data Systems, Inc. | 4,869 | 0.7 | % | 1,809 | ||||||||
Church & Dwight Company, Inc. | 524 | 0.7 | % | 1,778 | ||||||||
MSG Networks, Inc. — Class A* | 1,890 | 0.6 | % | 1,685 | ||||||||
Apartment Investment & Management Co. — Class A | 2,266 | 0.6 | % | 1,670 | ||||||||
Lions Gate Entertainment Corp. — Class A | 3,289 | 0.6 | % | 1,645 | ||||||||
LyondellBasell Industries N.V. — Class A | 503 | 0.6 | % | 1,612 | ||||||||
Equity Commonwealth* | 2,511 | 0.6 | % | 1,494 | ||||||||
J.B. Hunt Transport Services, Inc. | 298 | 0.6 | % | 1,486 | ||||||||
Humana, Inc. | 141 | 0.5 | % | 1,311 | ||||||||
Interpublic Group of Companies, Inc. | 1,663 | 0.5 | % | 1,288 | ||||||||
Colgate-Palmolive Co. | 887 | 0.5 | % | 1,265 | ||||||||
Sysco Corp. | 592 | 0.5 | % | 1,216 | ||||||||
Crane Co. | 748 | 0.4 | % | 1,150 | ||||||||
Lamb Weston Holdings, Inc. | 396 | 0.4 | % | 1,039 | ||||||||
Eaton Corporation plc | 1,132 | 0.4 | % | 952 | ||||||||
OGE Energy Corp. | 1,233 | 0.3 | % | 809 | ||||||||
ConocoPhillips | 655 | 0.3 | % | 690 | ||||||||
Acuity Brands, Inc. | 405 | 0.2 | % | 515 | ||||||||
Cognizant Technology Solutions Corp. — Class A | 959 | 0.2 | % | 501 | ||||||||
Altria Group, Inc. | 947 | 0.2 | % | 431 | ||||||||
Hershey Co. | 283 | 0.1 | % | 266 | ||||||||
Accenture plc — Class A | 248 | 0.1 | % | 239 | ||||||||
Philip Morris International, Inc. | 502 | 0.0 | % | 17 | ||||||||
Broadridge Financial Solutions, Inc. | 350 | 0.0 | % | 4 | ||||||||
ORBCOMM, Inc.* | 4,021 | 0.0 | % | 0 | ||||||||
Spirit AeroSystems Holdings, Inc. — Class A | 539 | 0.0 | % | (2 | ) | |||||||
Gilead Sciences, Inc. | 1,486 | 0.0 | % | (63 | ) | |||||||
Cousins Properties, Inc. | 7,125 | 0.0 | % | (67 | ) | |||||||
Comcast Corp. — Class A | 2,072 | 0.0 | % | (88 | ) | |||||||
Hologic, Inc.* | 1,142 | 0.0 | % | (91 | ) | |||||||
Biogen, Inc.* | 301 | (0.1 | %) | (184 | ) | |||||||
Trinity Industries, Inc. | 1,869 | (0.1 | %) | (381 | ) | |||||||
CBRE Group, Inc. — Class A* | 858 | (0.2 | %) | (444 | ) |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
|
| Percentage | Value and | |||||||||
Paychex, Inc. | 607 | (0.2 | %) | $ | (637 | ) | ||||||
Johnson & Johnson | 712 | (0.2 | %) | (646 | ) | |||||||
Consolidated Edison, Inc. | 1,644 | (0.3 | %) | (676 | ) | |||||||
Conagra Brands, Inc. | 2,546 | (0.3 | %) | (841 | ) | |||||||
Quanta Services, Inc.* | 1,588 | (0.3 | %) | (916 | ) | |||||||
Eli Lilly & Co. | 1,025 | (0.3 | %) | (918 | ) | |||||||
Host Hotels & Resorts, Inc. | 2,774 | (0.4 | %) | (986 | ) | |||||||
Mettler-Toledo International, Inc.* | 75 | (0.4 | %) | (997 | ) | |||||||
Baxter International, Inc. | 698 | (0.4 | %) | (1,015 | ) | |||||||
Seagate Technology plc | 683 | (0.4 | %) | (1,041 | ) | |||||||
Werner Enterprises, Inc. | 995 | (0.4 | %) | (1,051 | ) | |||||||
Alcoa Corp.* | 791 | (0.4 | %) | (1,058 | ) | |||||||
Western Digital Corp. | 517 | (0.4 | %) | (1,096 | ) | |||||||
Waters Corp.* | 214 | (0.4 | %) | (1,175 | ) | |||||||
ResMed, Inc. | 364 | (0.4 | %) | (1,180 | ) | |||||||
Visa, Inc. — Class A | 473 | (0.5 | %) | (1,223 | ) | |||||||
Microsoft Corp. | 435 | (0.5 | %) | (1,237 | ) | |||||||
Leidos Holdings, Inc. | 631 | (0.5 | %) | (1,279 | ) | |||||||
Alphabet, Inc. — Class C* | 34 | (0.5 | %) | (1,281 | ) | |||||||
Zoetis, Inc. | 491 | (0.5 | %) | (1,290 | ) | |||||||
Fiserv, Inc.* | 541 | (0.5 | %) | (1,321 | ) | |||||||
Newmont Mining Corp. | 1,005 | (0.5 | %) | (1,329 | ) | |||||||
Allstate Corp. | 960 | (0.5 | %) | (1,341 | ) | |||||||
TEGNA, Inc. | 8,232 | (0.5 | %) | (1,378 | ) | |||||||
Phillips 66 | 354 | (0.5 | %) | (1,416 | ) | |||||||
Franklin Resources, Inc. | 1,145 | (0.5 | %) | (1,421 | ) | |||||||
Apple, Inc. | 250 | (0.5 | %) | (1,463 | ) | |||||||
CDW Corp. | 471 | (0.6 | %) | (1,485 | ) | |||||||
Jabil, Inc. | 2,536 | (0.6 | %) | (1,489 | ) | |||||||
Oshkosh Corp. | 670 | (0.6 | %) | (1,631 | ) | |||||||
Kansas City Southern | 995 | (0.6 | %) | (1,671 | ) | |||||||
Thermo Fisher Scientific, Inc. | 199 | (0.6 | %) | (1,721 | ) | |||||||
Louisiana-Pacific Corp. | 1,606 | (0.7 | %) | (1,759 | ) | |||||||
Abbott Laboratories | 975 | (0.7 | %) | (1,830 | ) | |||||||
Corning, Inc. | 1,376 | (0.7 | %) | (1,857 | ) | |||||||
United Therapeutics Corp.* | 555 | (0.7 | %) | (1,877 | ) | |||||||
Bank of America Corp. | 1,522 | (0.7 | %) | (1,996 | ) | |||||||
Oracle Corp. | 946 | (0.8 | %) | (2,037 | ) | |||||||
VEREIT, Inc. | 17,497 | (0.8 | %) | (2,148 | ) | |||||||
Pentair plc | 1,585 | (0.8 | %) | (2,261 | ) | |||||||
Huntsman Corp. | 1,479 | (0.9 | %) | (2,285 | ) | |||||||
Caterpillar, Inc. | 250 | (0.9 | %) | (2,291 | ) | |||||||
Yum! Brands, Inc. | 469 | (0.9 | %) | (2,389 | ) | |||||||
International Business Machines Corp. | 516 | (0.9 | %) | (2,438 | ) | |||||||
Summit Hotel Properties, Inc. | 3,548 | (0.9 | %) | (2,485 | ) | |||||||
Danaher Corp. | 667 | (1.0 | %) | (2,588 | ) | |||||||
Williams Companies, Inc. | 1,537 | (1.0 | %) | (2,636 | ) | |||||||
Amdocs Ltd. | 772 | (1.1 | %) | (2,822 | ) | |||||||
Varian Medical Systems, Inc.* | 318 | (1.1 | %) | (2,852 | ) | |||||||
DXC Technology Co. | 1,039 | (1.1 | %) | (2,887 | ) | |||||||
Dover Corp. | 937 | (1.1 | %) | (2,925 | ) | |||||||
Hill-Rom Holdings, Inc. | 602 | (1.1 | %) | (3,027 | ) | |||||||
Zimmer Biomet Holdings, Inc. | 826 | (1.1 | %) | (3,062 | ) | |||||||
JPMorgan Chase & Co. | 808 | (1.2 | %) | (3,188 | ) | |||||||
Tyson Foods, Inc. — Class A | 2,104 | (1.2 | %) | (3,238 | ) | |||||||
Delta Air Lines, Inc. | 1,464 | (1.2 | %) | (3,258 | ) | |||||||
JetBlue Airways Corp.* | 4,594 | (1.2 | %) | (3,270 | ) | |||||||
Applied Materials, Inc. | 892 | (1.3 | %) | (3,331 | ) | |||||||
Arrow Electronics, Inc.* | 951 | (1.3 | %) | (3,520 | ) | |||||||
Aflac, Inc. | 1,345 | (1.3 | %) | (3,544 | ) | |||||||
KLA-Tencor Corp. | 344 | (1.4 | %) | (3,602 | ) | |||||||
General Motors Co. | 883 | (1.4 | %) | (3,635 | ) | |||||||
Travelers Companies, Inc. | 550 | (1.4 | %) | (3,647 | ) | |||||||
International Paper Co. | 773 | (1.4 | %) | (3,733 | ) | |||||||
Bruker Corp. | 1,208 | (1.5 | %) | (3,899 | ) | |||||||
Broadcom, Inc. | 155 | (1.5 | %) | (3,912 | ) | |||||||
Meritor, Inc.* | 3,130 | (1.5 | %) | (3,973 | ) | |||||||
Tech Data Corp.* | 449 | (1.5 | %) | (4,032 | ) | |||||||
Walgreens Boots Alliance, Inc. | 816 | (1.6 | %) | (4,167 | ) | |||||||
Lam Research Corp. | 238 | (1.6 | %) | (4,183 | ) | |||||||
Icad, Inc.* | 5,848 | (1.6 | %) | (4,292 | ) | |||||||
Lear Corp. | 268 | (1.7 | %) | (4,483 | ) | |||||||
TE Connectivity Ltd. | 497 | (1.7 | %) | (4,614 | ) | |||||||
Masco Corp. | 1,939 | (1.7 | %) | (4,659 | ) | |||||||
Benchmark Electronics, Inc. | 2,069 | (1.8 | %) | (4,834 | ) | |||||||
Perrigo Company plc | 644 | (1.8 | %) | (4,924 | ) | |||||||
PNM Resources, Inc. | 4,333 | (1.9 | %) | (5,029 | ) | |||||||
MAXIMUS, Inc. | 1,102 | (1.9 | %) | (5,058 | ) | |||||||
Kimberly-Clark Corp. | 1,883 | (1.9 | %) | (5,123 | ) | |||||||
United Rentals, Inc.* | 321 | (2.0 | %) | (5,420 | ) | |||||||
Celgene Corp.* | 609 | (2.0 | %) | (5,446 | ) | |||||||
Prudential Financial, Inc. | 637 | (2.1 | %) | (5,537 | ) | |||||||
Intel Corp. | 1,023 | (2.2 | %) | (5,841 | ) | |||||||
Parker-Hannifin Corp. | 447 | (2.2 | %) | (5,885 | ) | |||||||
Southwest Airlines Co. | 2,179 | (2.2 | %) | (5,944 | ) | |||||||
Alaska Air Group, Inc. | 706 | (2.3 | %) | (6,055 | ) | |||||||
News Corp. — Class A | 6,763 | (2.3 | %) | (6,099 | ) | |||||||
AGCO Corp. | 1,070 | (2.3 | %) | (6,215 | ) | |||||||
ARRIS International plc* | 2,392 | (2.4 | %) | (6,462 | ) | |||||||
JM Smucker Co. | 970 | (2.5 | %) | (6,564 | ) | |||||||
Portland General Electric Co. | 4,319 | (2.9 | %) | (7,694 | ) | |||||||
Cirrus Logic, Inc.* | 2,218 | (3.3 | %) | (8,861 | ) | |||||||
Belden, Inc. | 727 | (3.3 | %) | (8,920 | ) | |||||||
Sanderson Farms, Inc. | 649 | (3.5 | %) | (9,339 | ) | |||||||
National Fuel Gas Co. | 3,569 | (3.6 | %) | (9,463 | ) | |||||||
Coherent, Inc.* | 233 | (3.6 | %) | (9,552 | ) | |||||||
FedEx Corp. | 269 | (3.7 | %) | (9,783 | ) | |||||||
PACCAR, Inc. | 1,543 | (3.8 | %) | (10,117 | ) | |||||||
Owens-Illinois, Inc.* | 2,107 | (3.9 | %) | (10,274 | ) | |||||||
Principal Financial Group, Inc. | 1,150 | (3.9 | %) | (10,501 | ) | |||||||
AECOM* | 3,718 | (4.0 | %) | (10,602 | ) | |||||||
McKesson Corp. | 893 | (4.9 | %) | (13,063 | ) | |||||||
CVS Health Corp. | 1,959 | (5.5 | %) | (14,627 | ) | |||||||
Owens Corning | 791 | (5.7 | %) | (15,258 | ) | |||||||
Edgewell Personal Care Co.* | 2,799 | (5.9 | %) | (15,759 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
|
| Percentage | Value and | |||||||||
Molson Coors Brewing Co. — Class B | 2,102 | (6.0 | %) | $ | (15,873 | ) | ||||||
Cummins, Inc. | 891 | (8.8 | %) | (23,492 | ) | |||||||
Copa Holdings S.A. — Class A | 886 | (9.1 | %) | (24,274 | ) | |||||||
Cardinal Health, Inc. | 2,428 | (11.3 | %) | (30,150 | ) | |||||||
Pilgrim's Pride Corp.* | 4,404 | (11.5 | %) | (30,498 | ) | |||||||
Ingredion, Inc. | 1,648 | (12.1 | %) | (32,325 | ) | |||||||
Total Custom Basket of Long Securities | 266,307 | |||||||||||
CUSTOM BASKET OF SHORT SECURITIES12 | ||||||||||||
Healthcare Services Group, Inc. | (2,687 | ) | (2.5 | %) | 20,327 | |||||||
ABM Industries, Inc. | (3,363 | ) | (1.8 | %) | 14,900 | |||||||
Albemarle Corp. | (410 | ) | (1.7 | %) | 13,997 | |||||||
Goldman Sachs Group, Inc. | (524 | ) | (1.5 | %) | 12,112 | |||||||
LendingTree, Inc.* | (147 | ) | (1.4 | %) | 11,183 | |||||||
National Instruments Corp. | (1,382 | ) | (0.9 | %) | 7,160 | |||||||
Charles Schwab Corp. | (1,580 | ) | (0.6 | %) | 5,204 | |||||||
Compass Minerals International, Inc. | (1,557 | ) | (0.6 | %) | 4,767 | |||||||
Nucor Corp. | (776 | ) | (0.6 | %) | 4,558 | |||||||
Robert Half International, Inc. | (888 | ) | (0.5 | %) | 4,179 | |||||||
Texas Capital Bancshares, Inc.* | (518 | ) | (0.5 | %) | 4,084 | |||||||
CyrusOne, Inc. | (1,290 | ) | (0.5 | %) | 4,043 | |||||||
Marriott International, Inc. — Class A | (327 | ) | (0.5 | %) | 4,037 | |||||||
SEI Investments Co. | (636 | ) | (0.5 | %) | 4,026 | |||||||
Halliburton Co. | (1,356 | ) | (0.5 | %) | 3,775 | |||||||
Workday, Inc. — Class A* | (328 | ) | (0.4 | %) | 3,432 | |||||||
First Horizon National Corp. | (2,704 | ) | (0.4 | %) | 3,151 | |||||||
Pinnacle Financial Partners, Inc. | (1,130 | ) | (0.4 | %) | 3,015 | |||||||
Ball Corp. | (1,015 | ) | (0.4 | %) | 2,886 | |||||||
FireEye, Inc.* | (2,244 | ) | (0.3 | %) | 2,812 | |||||||
Capitol Federal Financial, Inc. | (8,905 | ) | (0.3 | %) | 2,791 | |||||||
Markel Corp.* | (162 | ) | (0.3 | %) | 2,700 | |||||||
Air Products & Chemicals, Inc. | (267 | ) | (0.3 | %) | 2,606 | |||||||
Sterling Bancorp | (2,439 | ) | (0.3 | %) | 2,531 | |||||||
Valley National Bancorp | (5,438 | ) | (0.3 | %) | 2,469 | |||||||
Palo Alto Networks, Inc.* | (189 | ) | (0.3 | %) | 2,143 | |||||||
Sealed Air Corp. | (1,218 | ) | (0.2 | %) | 2,000 | |||||||
salesforce.com, Inc.* | (747 | ) | (0.2 | %) | 1,990 | |||||||
Summit Materials, Inc. — Class A* | (1,437 | ) | (0.2 | %) | 1,885 | |||||||
Investors Bancorp, Inc. | (5,376 | ) | (0.2 | %) | 1,858 | |||||||
Mosaic Co. | (1,325 | ) | (0.2 | %) | 1,847 | |||||||
New York Community Bancorp, Inc. | (3,312 | ) | (0.2 | %) | 1,727 | |||||||
BB&T Corp. | (821 | ) | (0.2 | %) | 1,698 | |||||||
McDonald's Corp. | (313 | ) | (0.2 | %) | 1,689 | |||||||
Avery Dennison Corp. | (385 | ) | (0.2 | %) | 1,532 | |||||||
Aon plc | (284 | ) | (0.2 | %) | 1,518 | |||||||
Huntington Bancshares, Inc. | (2,578 | ) | (0.2 | %) | 1,501 | |||||||
RenaissanceRe Holdings Ltd. | (439 | ) | (0.2 | %) | 1,382 | |||||||
JBG SMITH Properties | (1,130 | ) | (0.2 | %) | 1,239 | |||||||
TripAdvisor, Inc.* | (670 | ) | (0.1 | %) | 1,180 | |||||||
Associated Banc-Corp. | (1,746 | ) | (0.1 | %) | 1,073 | |||||||
Schlumberger Ltd. | (762 | ) | (0.1 | %) | 1,015 | |||||||
Waste Management, Inc. | (509 | ) | (0.1 | %) | 949 | |||||||
MarketAxess Holdings, Inc. | (334 | ) | (0.1 | %) | 909 | |||||||
Nielsen Holdings plc | (1,241 | ) | (0.1 | %) | 595 | |||||||
Crown Castle International Corp. | (916 | ) | (0.1 | %) | 525 | |||||||
Intercontinental Exchange, Inc. | (518 | ) | (0.1 | %) | 494 | |||||||
First Republic Bank | (975 | ) | 0.0 | % | 379 | |||||||
Charter Communications, Inc. — Class A* | (179 | ) | 0.0 | % | 227 | |||||||
Alleghany Corp. | (67 | ) | 0.0 | % | 204 | |||||||
Multi-Color Corp. | (805 | ) | 0.0 | % | 183 | |||||||
Duke Energy Corp. | (539 | ) | 0.0 | % | 158 | |||||||
Aramark | (2,613 | ) | 0.0 | % | 64 | |||||||
Wendy's Co. | (4,869 | ) | 0.0 | % | 17 | |||||||
Camden Property Trust | (1,031 | ) | 0.0 | % | 6 | |||||||
Sensient Technologies Corp. | (804 | ) | 0.0 | % | (10 | ) | ||||||
IBERIABANK Corp. | (559 | ) | 0.0 | % | (30 | ) | ||||||
Royal Gold, Inc. | (424 | ) | 0.0 | % | (37 | ) | ||||||
Platform Specialty Products Corp.* | (3,235 | ) | 0.0 | % | (77 | ) | ||||||
PPG Industries, Inc. | (379 | ) | 0.0 | % | (104 | ) | ||||||
WR Grace & Co. | (1,078 | ) | 0.0 | % | (161 | ) | ||||||
Alliant Energy Corp. | (1,161 | ) | 0.0 | % | (172 | ) | ||||||
Allegheny Technologies, Inc.* | (3,123 | ) | 0.0 | % | (172 | ) | ||||||
ServiceNow, Inc.* | (253 | ) | 0.0 | % | (246 | ) | ||||||
Essex Property Trust, Inc. | (252 | ) | 0.0 | % | (320 | ) | ||||||
Republic Services, Inc. — Class A | (610 | ) | 0.1 | % | (501 | ) | ||||||
Signature Bank* | (334 | ) | 0.1 | % | (644 | ) | ||||||
NewMarket Corp. | (412 | ) | 0.1 | % | (697 | ) | ||||||
AptarGroup, Inc. | (992 | ) | 0.1 | % | (706 | ) | ||||||
KAR Auction Services, Inc. | (1,021 | ) | 0.1 | % | (720 | ) | ||||||
Everest Re Group Ltd. | (172 | ) | 0.1 | % | (789 | ) | ||||||
Marsh & McLennan Companies, Inc. | (478 | ) | 0.1 | % | (808 | ) | ||||||
Washington Federal, Inc. | (1,214 | ) | 0.1 | % | (1,000 | ) | ||||||
Commercial Metals Co. | (3,934 | ) | 0.1 | % | (1,018 | ) | ||||||
MSA Safety, Inc. | (907 | ) | 0.1 | % | (1,086 | ) | ||||||
Equifax, Inc. | (354 | ) | 0.2 | % | (1,451 | ) | ||||||
National Oilwell Varco, Inc. | (1,290 | ) | 0.2 | % | (1,718 | ) | ||||||
People's United Financial, Inc. | (2,178 | ) | 0.2 | % | (1,789 | ) | ||||||
Sherwin-Williams Co. | (252 | ) | 0.3 | % | (2,090 | ) | ||||||
Equinix, Inc. | (162 | ) | 0.3 | % | (2,093 | ) | ||||||
Tesla, Inc.* | (76 | ) | 0.3 | % | (2,105 | ) | ||||||
Texas Roadhouse, Inc. — Class A | (644 | ) | 0.3 | % | (2,187 | ) | ||||||
NiSource, Inc. | (1,863 | ) | 0.3 | % | (2,219 | ) | ||||||
Invitation Homes, Inc. | (3,616 | ) | 0.3 | % | (2,423 | ) |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
|
| Percentage | Value and | |||||||||
Extraction Oil & Gas, Inc.* | (3,654 | ) | 0.3 | % | $ | (2,446 | ) | |||||
Dominion Energy, Inc. | (1,500 | ) | 0.3 | % | (2,493 | ) | ||||||
Cannae Holdings, Inc.* | (3,068 | ) | 0.3 | % | (2,505 | ) | ||||||
Vornado Realty Trust | (1,232 | ) | 0.3 | % | (2,540 | ) | ||||||
Eaton Vance Corp. | (810 | ) | 0.3 | % | (2,594 | ) | ||||||
DTE Energy Co. | (408 | ) | 0.3 | % | (2,754 | ) | ||||||
SBA Communications Corp.* | (446 | ) | 0.3 | % | (2,767 | ) | ||||||
American Tower Corp. — Class A | (487 | ) | 0.3 | % | (2,803 | ) | ||||||
Costco Wholesale Corp. | (191 | ) | 0.3 | % | (2,829 | ) | ||||||
Alexandria Real Estate Equities, Inc. | (1,012 | ) | 0.3 | % | (2,838 | ) | ||||||
Realty Income Corp. | (1,183 | ) | 0.4 | % | (2,922 | ) | ||||||
Amazon.com, Inc.* | (25 | ) | 0.4 | % | (2,938 | ) | ||||||
FactSet Research Systems, Inc. | (303 | ) | 0.4 | % | (3,195 | ) | ||||||
WEC Energy Group, Inc. | (661 | ) | 0.4 | % | (3,271 | ) | ||||||
Martin Marietta Materials, Inc. | (281 | ) | 0.4 | % | (3,273 | ) | ||||||
Eversource Energy | (749 | ) | 0.4 | % | (3,573 | ) | ||||||
Douglas Emmett, Inc. | (2,519 | ) | 0.4 | % | (3,581 | ) | ||||||
Parsley Energy, Inc. — Class A* | (1,400 | ) | 0.4 | % | (3,669 | ) | ||||||
IHS Markit Ltd.* | (3,677 | ) | 0.5 | % | (3,722 | ) | ||||||
Federal Realty Investment Trust | (336 | ) | 0.5 | % | (3,843 | ) | ||||||
Glacier Bancorp, Inc. | (1,146 | ) | 0.5 | % | (4,155 | ) | ||||||
TransDigm Group, Inc. | (172 | ) | 0.5 | % | (4,265 | ) | ||||||
Rexford Industrial Realty, Inc. | (2,931 | ) | 0.5 | % | (4,297 | ) | ||||||
AvalonBay Communities, Inc. | (321 | ) | 0.5 | % | (4,401 | ) | ||||||
Vulcan Materials Co. | (673 | ) | 0.6 | % | (4,676 | ) | ||||||
Boston Properties, Inc. | (866 | ) | 0.6 | % | (4,743 | ) | ||||||
Terreno Realty Corp. | (3,778 | ) | 0.6 | % | (4,772 | ) | ||||||
Equity Residential | (639 | ) | 0.6 | % | (5,161 | ) | ||||||
HCP, Inc. | (2,571 | ) | 0.6 | % | (5,195 | ) | ||||||
Booking Holdings, Inc.* | (29 | ) | 0.7 | % | (5,407 | ) | ||||||
Ellie Mae, Inc.* | (351 | ) | 0.7 | % | (5,515 | ) | ||||||
Diamondback Energy, Inc. | (416 | ) | 0.7 | % | (5,534 | ) | ||||||
RPM International, Inc. | (765 | ) | 0.7 | % | (5,620 | ) | ||||||
FMC Corp. | (948 | ) | 0.7 | % | (5,625 | ) | ||||||
Gartner, Inc.* | (493 | ) | 0.7 | % | (5,981 | ) | ||||||
Ashland Global Holdings, Inc. | (805 | ) | 0.7 | % | (6,011 | ) | ||||||
Hudson Pacific Properties, Inc. | (1,990 | ) | 0.7 | % | (6,118 | ) | ||||||
American Campus Communities, Inc. | (2,360 | ) | 0.7 | % | (6,163 | ) | ||||||
SL Green Realty Corp. | (784 | ) | 0.8 | % | (6,222 | ) | ||||||
Redwood Trust, Inc. | (3,554 | ) | 0.8 | % | (6,261 | ) | ||||||
Pegasystems, Inc. | (965 | ) | 0.8 | % | (6,367 | ) | ||||||
Axis Capital Holdings Ltd. | (1,748 | ) | 0.8 | % | (6,526 | ) | ||||||
Equity LifeStyle Properties, Inc. | (1,568 | ) | 0.8 | % | (6,556 | ) | ||||||
Covanta Holding Corp. | (10,874 | ) | 0.8 | % | (6,594 | ) | ||||||
American Water Works Company, Inc. | (1,138 | ) | 0.8 | % | (6,752 | ) | ||||||
Digital Realty Trust, Inc. | (998 | ) | 0.8 | % | (6,919 | ) | ||||||
Cornerstone OnDemand, Inc.* | (911 | ) | 0.9 | % | (7,436 | ) | ||||||
South Jersey Industries, Inc. | (1,729 | ) | 0.9 | % | (7,551 | ) | ||||||
Howard Hughes Corp.* | (779 | ) | 0.9 | % | (7,577 | ) | ||||||
White Mountains Insurance Group Ltd. | (111 | ) | 0.9 | % | (7,583 | ) | ||||||
PriceSmart, Inc. | (1,262 | ) | 1.0 | % | (8,012 | ) | ||||||
Southern Copper Corp. | (3,039 | ) | 1.0 | % | (8,445 | ) | ||||||
Tyler Technologies, Inc.* | (308 | ) | 1.0 | % | (8,475 | ) | ||||||
Healthcare Trust of America, Inc. — Class A | (5,742 | ) | 1.0 | % | (8,507 | ) | ||||||
Under Armour, Inc. — Class A* | (2,168 | ) | 1.0 | % | (8,640 | ) | ||||||
Semtech Corp.* | (984 | ) | 1.1 | % | (9,424 | ) | ||||||
Ecolab, Inc. | (1,217 | ) | 1.2 | % | (9,942 | ) | ||||||
Public Storage | (422 | ) | 1.2 | % | (9,973 | ) | ||||||
Moody's Corp. | (524 | ) | 1.2 | % | (9,993 | ) | ||||||
Ultimate Software Group, Inc.* | (211 | ) | 1.3 | % | (10,653 | ) | ||||||
WD-40 Co. | (310 | ) | 1.3 | % | (10,727 | ) | ||||||
Duke Realty Corp. | (2,953 | ) | 1.3 | % | (10,768 | ) | ||||||
Ingevity Corp.* | (669 | ) | 1.3 | % | (10,785 | ) | ||||||
RLI Corp. | (1,750 | ) | 1.3 | % | (10,880 | ) | ||||||
SPS Commerce, Inc.* | (747 | ) | 1.4 | % | (11,687 | ) | ||||||
Hess Corp. | (1,356 | ) | 1.5 | % | (11,990 | ) | ||||||
Ollie's Bargain Outlet Holdings, Inc.* | (522 | ) | 1.5 | % | (12,470 | ) | ||||||
Monolithic Power Systems, Inc. | (618 | ) | 1.5 | % | (12,691 | ) | ||||||
HB Fuller Co. | (3,523 | ) | 1.6 | % | (12,950 | ) | ||||||
Kilroy Realty Corp. | (1,318 | ) | 1.6 | % | (13,023 | ) | ||||||
Vail Resorts, Inc. | (208 | ) | 1.6 | % | (13,043 | ) | ||||||
Sun Communities, Inc. | (1,779 | ) | 1.6 | % | (13,398 | ) | ||||||
Retail Opportunity Investments Corp. | (6,123 | ) | 1.6 | % | (13,466 | ) | ||||||
UDR, Inc. | (3,312 | ) | 1.7 | % | (13,876 | ) | ||||||
Mobile Mini, Inc. | (3,440 | ) | 1.7 | % | (13,951 | ) | ||||||
MSCI, Inc. — Class A | (445 | ) | 1.8 | % | (14,596 | ) | ||||||
Tetra Tech, Inc. | (1,680 | ) | 1.8 | % | (15,021 | ) | ||||||
EastGroup Properties, Inc. | (1,200 | ) | 1.8 | % | (15,155 | ) | ||||||
PTC, Inc.* | (489 | ) | 1.9 | % | (15,717 | ) | ||||||
Crocs, Inc.* | (2,018 | ) | 1.9 | % | (15,825 | ) | ||||||
CarMax, Inc.* | (1,731 | ) | 1.9 | % | (15,850 | ) | ||||||
Pool Corp. | (382 | ) | 2.0 | % | (16,836 | ) | ||||||
TransUnion | (1,216 | ) | 2.5 | % | (20,367 | ) | ||||||
Shake Shack, Inc. — Class A* | (812 | ) | 2.5 | % | (20,411 | ) | ||||||
ASGN, Inc.* | (2,201 | ) | 2.6 | % | (21,751 | ) | ||||||
Insperity, Inc. | (746 | ) | 3.1 | % | (25,863 | ) | ||||||
Rollins, Inc. | (3,695 | ) | 3.2 | % | (26,597 | ) | ||||||
Verisk Analytics, Inc. — Class A* | (1,783 | ) | 3.4 | % | (28,266 | ) | ||||||
Balchem Corp. | (1,471 | ) | 3.5 | % | (28,831 | ) | ||||||
Cintas Corp. | (994 | ) | 4.0 | % | (32,612 | ) | ||||||
Exponent, Inc. | (3,194 | ) | 4.0 | % | (33,203 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
|
| Percentage | Value and | |||||||||
Copart, Inc.* | (1,907 | ) | 4.1 | % | $ | (34,105 | ) | |||||
Team, Inc.* | (3,854 | ) | 4.4 | % | (36,554 | ) | ||||||
CoStar Group, Inc.* | (462 | ) | 5.2 | % | (43,025 | ) | ||||||
Total Custom Basket of Short Securities | (823,534 | ) | ||||||||||
CUSTOM BASKET OF LONG SECURITIES9 | ||||||||||||
HCP, Inc. | 19,840 | 15.6 | % | 57,071 | ||||||||
EastGroup Properties, Inc. | 5,957 | 11.9 | % | 43,725 | ||||||||
Corporate Office Properties Trust | 17,105 | 10.2 | % | 37,518 | ||||||||
Sun Communities, Inc. | 5,458 | 10.1 | % | 37,142 | ||||||||
MGM Growth Properties LLC — Class A | 22,395 | 8.5 | % | 30,978 | ||||||||
JBG SMITH Properties | 13,184 | 8.4 | % | 30,883 | ||||||||
Rexford Industrial Realty, Inc. | 17,299 | 6.9 | % | 25,350 | ||||||||
Healthcare Realty Trust, Inc. | 17,272 | 6.5 | % | 23,912 | ||||||||
Equity LifeStyle Properties, Inc. | 4,502 | 3.9 | % | 14,164 | ||||||||
Sunstone Hotel Investors, Inc. | 19,349 | 3.7 | % | 13,399 | ||||||||
Alexandria Real Estate Equities, Inc. | 3,860 | 3.6 | % | 13,010 | ||||||||
Regency Centers Corp. | 8,414 | 3.2 | % | 11,751 | ||||||||
American Tower Corp. — Class A | 2,281 | 2.9 | % | 10,780 | ||||||||
Crown Castle International Corp. | 3,135 | 2.5 | % | 9,044 | ||||||||
Equinix, Inc. | 1,161 | 2.2 | % | 7,888 | ||||||||
Alexander & Baldwin, Inc. | 14,506 | 1.7 | % | 6,266 | ||||||||
Ventas, Inc. | 8,710 | 1.6 | % | 6,040 | ||||||||
Weyerhaeuser Co. | 9,084 | 1.5 | % | 5,671 | ||||||||
STORE Capital Corp. | 17,922 | 1.5 | % | 5,445 | ||||||||
Life Storage, Inc. | 5,065 | 0.8 | % | 2,879 | ||||||||
CoreCivic, Inc. | 14,060 | 0.6 | % | 2,368 | ||||||||
Liberty Property Trust | 11,016 | (0.1 | %) | (328 | ) | |||||||
Empire State Realty Trust, Inc. — Class A | 18,970 | (0.2 | %) | (776 | ) | |||||||
Urban Edge Properties | 21,330 | (0.3 | %) | (1,090 | ) | |||||||
Apartment Investment & Management Co. — Class A | 11,450 | (0.4 | %) | (1,431 | ) | |||||||
GEO Group, Inc. | 12,270 | (0.4 | %) | (1,639 | ) | |||||||
Essex Property Trust, Inc. | 1,378 | (0.8 | %) | (3,096 | ) | |||||||
Apple Hospitality REIT, Inc. | 17,879 | (0.9 | %) | (3,175 | ) | |||||||
Healthcare Trust of America, Inc. — Class A | 18,731 | (1.0 | %) | (3,541 | ) | |||||||
Taubman Centers, Inc. | 4,063 | (1.5 | %) | (5,425 | ) | |||||||
Retail Properties of America, Inc. — Class A | 37,367 | (2.3 | %) | (8,314 | ) | |||||||
Total Custom Basket of Long Securities | 366,468 | |||||||||||
CUSTOM BASKET OF SHORT SECURITIES13 | ||||||||||||
VEREIT, Inc. | (42,979 | ) | (14.9 | %) | 37,684 | |||||||
Lexington Realty Trust | (36,312 | ) | (14.0 | %) | 35,514 | |||||||
Senior Housing Properties Trust | (35,124 | ) | (7.1 | %) | 17,903 | |||||||
Government Properties Income Trust | (5,621 | ) | (5.2 | %) | 13,131 | |||||||
iShares U.S. Real Estate ETF | (22,532 | ) | (4.4 | %) | 11,036 | |||||||
Jones Lang LaSalle, Inc. | (2,013 | ) | (3.1 | %) | 7,855 | |||||||
Kimco Realty Corp. | (32,672 | ) | (2.3 | %) | 5,725 | |||||||
Realogy Holdings Corp. | (13,395 | ) | (1.9 | %) | 4,758 | |||||||
Omega Healthcare Investors, Inc. | (17,922 | ) | (0.4 | %) | 1,051 | |||||||
Paramount Group, Inc. | (36,580 | ) | (0.3 | %) | 713 | |||||||
Sabra Health Care REIT, Inc. | (14,531 | ) | (0.1 | %) | 376 | |||||||
Howard Hughes Corp.* | (2,453 | ) | 0.2 | % | (596 | ) | ||||||
Chesapeake Lodging Trust | (10,342 | ) | 0.5 | % | (1,212 | ) | ||||||
UDR, Inc. | (8,665 | ) | 0.6 | % | (1,523 | ) | ||||||
Industrial Logistics Properties Trust | (17,642 | ) | 0.8 | % | (2,119 | ) | ||||||
Mid-America Apartment Communities, Inc. | (4,877 | ) | 1.7 | % | (4,298 | ) | ||||||
PS Business Parks, Inc. | (3,830 | ) | 2.4 | % | (6,048 | ) | ||||||
Americold Realty Trust | (15,493 | ) | 2.7 | % | (6,757 | ) | ||||||
CBRE Group, Inc. — Class A* | (7,028 | ) | 3.9 | % | (9,761 | ) | ||||||
Piedmont Office Realty Trust, Inc. — Class A | (30,609 | ) | 6.1 | % | (15,538 | ) | ||||||
Global Net Lease, Inc. | (20,204 | ) | 7.1 | % | (17,959 | ) | ||||||
Welltower, Inc. | (5,084 | ) | 7.2 | % | (18,141 | ) | ||||||
Digital Realty Trust, Inc. | (4,505 | ) | 9.8 | % | (24,744 | ) | ||||||
STAG Industrial, Inc. | (12,348 | ) | 9.9 | % | (25,071 | ) | ||||||
American Assets Trust, Inc. | (14,538 | ) | 10.1 | % | (25,423 | ) | ||||||
Acadia Realty Trust | (17,100 | ) | 11.3 | % | (28,508 | ) | ||||||
Washington Prime Group, Inc. | (29,828 | ) | 14.8 | % | (37,531 | ) | ||||||
Hersha Hospitality Trust | (15,077 | ) | 20.2 | % | (50,958 | ) | ||||||
Hospitality Properties Trust | (16,410 | ) | 21.2 | % | (53,512 | ) | ||||||
Columbia Property Trust, Inc. | (26,910 | ) | 23.3 | % | (58,885 | ) | ||||||
Total Custom Basket of Short Securities | (252,834 | ) | ||||||||||
CUSTOM BASKET OF LONG SECURITIES11 | ||||||||||||
Avista Corp. | 5,152 | 58.0 | % | 6,604 | ||||||||
magicJack VocalTec Ltd.* | 28,057 | 42.0 | % | 4,780 | ||||||||
Total Custom Basket of Long Securities | 11,383 |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is pledged as short security collateral at June 30, 2018. |
2 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
3 | Affiliated issuer. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7 day yield as of June 30, 2018. |
9 | Total Return based on the return of the custom Equity Market Neutral (“MNRE”) long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2018. |
10 | Total Return based on the return of the custom Long/Short Equity (“SMQLS”) long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2018. |
11 | Total Return based on the return of the custom Merger Arbitrage (“MRGR”) long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2018. |
12 | Total Return based on the return of the custom SMQLS short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2018. |
13 | Total Return based on the return of the custom MNRE short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2018. |
14 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
REIT — Real Estate Investment Trust | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 7,930,599 | $ | — | $ | — | $ | 7,930,599 | ||||||||
Rights | 19 | — | — | 19 | ||||||||||||
Mutual Funds | 12,481,014 | — | — | 12,481,014 | ||||||||||||
Closed-End Funds | 3,466,397 | — | — | 3,466,397 | ||||||||||||
U.S. Treasury Bills | — | 9,853,950 | — | 9,853,950 | ||||||||||||
Repurchase Agreements | — | 3,658,194 | — | 3,658,194 | ||||||||||||
Securities Lending Collateral | 183,989 | — | — | 183,989 | ||||||||||||
Commodity Futures Contracts* | 197,086 | — | — | 197,086 | ||||||||||||
Interest Rate Futures Contracts* | 20,226 | 118,347 | — | 138,573 | ||||||||||||
Equity Futures Contracts* | 130,003 | 4,343 | — | 134,346 | ||||||||||||
Currency Futures Contracts* | 70,778 | — | — | 70,778 | ||||||||||||
Custom Basket Swap Agreements* | — | 644,158 | — | 644,158 | ||||||||||||
Total Assets | $ | 24,480,111 | $ | 14,278,992 | $ | — | $ | 38,759,103 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 3,122,209 | $ | — | $ | — | $ | 3,122,209 | ||||||||
Exchange-Traded Funds | 3,519,847 | — | — | 3,519,847 | ||||||||||||
Commodity Futures Contracts* | 62,387 | — | — | 62,387 | ||||||||||||
Equity Futures Contracts* | 40,873 | 509 | — | 41,382 | ||||||||||||
Currency Futures Contracts* | 10,526 | — | — | 10,526 | ||||||||||||
Interest Rate Futures Contracts* | 6,360 | 1,102 | — | 7,462 | ||||||||||||
Custom Basket Swap Agreements* | — | 1,076,368 | — | 1,076,368 | ||||||||||||
Total Liabilities | $ | 6,762,202 | $ | 1,077,979 | $ | — | $ | 7,840,181 |
* | This derivative is reported as unrealized gain/loss at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
MULTI-HEDGE STRATEGIES FUND |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 2,025,802 | $ | 13,020 | $ | (1,500,000 | ) | $ | (1,206 | ) | $ | 1,374 | $ | 538,990 | 21,525 | $ | 13,074 | |||||||||||||||
Guggenheim Strategy Fund II | 3,742,223 | 47,773 | — | — | (3,034 | ) | 3,786,962 | 151,539 | 47,643 | |||||||||||||||||||||||
Guggenheim Strategy Fund III | 4,030,761 | 50,198 | — | — | (4,901 | ) | 4,076,058 | 163,108 | 50,045 | |||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 4,032,835 | 52,668 | — | — | (6,499 | ) | 4,079,004 | 162,705 | 52,371 | |||||||||||||||||||||||
Closed End Funds | ||||||||||||||||||||||||||||||||
Advent Claymore Convertible Securities and Income Fund | 22,216 | 4,031 | (13,727 | ) | (759 | ) | (79 | ) | 11,682 | 764 | 953 | |||||||||||||||||||||
Advent Claymore Convertible Securities and Income Fund II | 22,079 | 4,690 | (13,706 | ) | (1,199 | ) | (181 | ) | 11,683 | 2,090 | 1,034 | |||||||||||||||||||||
Advent/Claymore Enhanced Growth & Income Fund | 21,959 | 4,817 | (14,119 | ) | (1,155 | ) | (210 | ) | 11,292 | 1,457 | 1,090 | |||||||||||||||||||||
Guggenheim Enhanced Equity Income Fund | 21,387 | — | (20,134 | ) | (469 | ) | (784 | ) | — | — | — | |||||||||||||||||||||
Western Asset Inflation-Linked Securities & Income Fund | 23,580 | 10,719 | (10,182 | ) | 208 | (871 | ) | 23,454 | 2,052 | 390 | ||||||||||||||||||||||
Western Asset Inflation-Linked Opportunities & Income Fund | 23,400 | 10,757 | (10,974 | ) | (187 | ) | (228 | ) | 22,768 | 2,042 | 402 | |||||||||||||||||||||
$ | 13,966,242 | $ | 198,673 | $ | (1,582,842 | ) | $ | (4,767 | ) | $ | (15,413 | ) | $ | 12,561,893 | $ | 167,002 |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MULTI-HEDGE STRATEGIES FUND |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $176,704 of securities loaned (cost $20,902,697) | $ | 21,354,072 | ||
Investments in affiliated issuers, at value (cost $12,579,818) | 12,561,893 | |||
Repurchase agreements, at value (cost $3,658,194) | 3,658,194 | |||
Foreign currency, at value (cost $29,729) | 29,760 | |||
Cash | 10,714,890 | |||
Segregated cash with broker | 123,168 | |||
Unrealized appreciation on swap agreements | 644,158 | |||
Receivables: | ||||
Securities sold | 321,571 | |||
Dividends | 47,326 | |||
Fund shares sold | 2,444 | |||
Interest | 424 | |||
Securities lending income | 258 | |||
Other assets | 10,091 | |||
Total assets | 49,468,249 | |||
Liabilities: | ||||
Securities sold short, at value (proceeds $6,571,644) | 6,642,056 | |||
Unrealized depreciation on swap agreements | 1,076,368 | |||
Payable for: | ||||
Swap settlement | 1,305,791 | |||
Securities purchased | 692,456 | |||
Return of securities loaned | 183,988 | |||
Management fees | 37,301 | |||
Variation margin | 16,002 | |||
Fund shares redeemed | 6,197 | |||
Miscellaneous | 12,955 | |||
Total liabilities | 9,973,114 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 39,495,135 | ||
Net assets consist of: | ||||
Paid in capital | $ | 42,230,251 | ||
Accumulated net investment loss | (975,516 | ) | ||
Accumulated net realized loss on investments | (2,109,516 | ) | ||
Net unrealized appreciation on investments | 349,916 | |||
Net assets | $ | 39,495,135 | ||
Capital shares outstanding | 1,673,838 | |||
Net asset value per share | $ | 23.60 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 161,019 | ||
Dividends from securities of affiliated issuers | 167,002 | |||
Interest | 157,199 | |||
Income from securities lending, net | 1,024 | |||
Total investment income | 486,244 | |||
Expenses: | ||||
Management fees | 241,516 | |||
Short sales dividend expense | 61,972 | |||
Custodian fees | 225 | |||
Miscellaneous | 1,315 | |||
Total expenses | 305,028 | |||
Less: | ||||
Expenses waived by Adviser | (4,190 | ) | ||
Net expenses | 300,838 | |||
Net investment income | 185,406 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 87,396 | |||
Investments in affiliated issuers | (4,767 | ) | ||
Swap agreements | (471,786 | ) | ||
Futures contracts | 537,535 | |||
Foreign currency transactions | 1,238 | |||
Securities sold short | (412,108 | ) | ||
Net realized loss | (262,492 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (212,814 | ) | ||
Investments in affiliated issuers | (15,413 | ) | ||
Securities sold short | 201,631 | |||
Swap agreements | (1,015,373 | ) | ||
Futures contracts | (1,040,462 | ) | ||
Foreign currency translations | 292 | |||
Net change in unrealized appreciation (depreciation) | (2,082,139 | ) | ||
Net realized and unrealized loss | (2,344,631 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,159,225 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
MULTI-HEDGE STRATEGIES FUND |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 185,406 | $ | (172,085 | ) | |||
Net realized gain (loss) on investments | (262,492 | ) | 1,212,047 | |||||
Net change in unrealized appreciation (depreciation) on investments | (2,082,139 | ) | 514,183 | |||||
Net increase (decrease) in net assets resulting from operations | (2,159,225 | ) | 1,554,145 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,693,611 | 5,817,462 | ||||||
Cost of shares redeemed | (4,734,448 | ) | (11,629,769 | ) | ||||
Net decrease from capital share transactions | (2,040,837 | ) | (5,812,307 | ) | ||||
Net decrease in net assets | (4,200,062 | ) | (4,258,162 | ) | ||||
Net assets: | ||||||||
Beginning of period | 43,695,197 | 47,953,359 | ||||||
End of period | $ | 39,495,135 | $ | 43,695,197 | ||||
Accumulated net investment loss at end of period | $ | (975,516 | ) | $ | (1,160,923 | ) | ||
Capital share activity: | ||||||||
Shares sold | 108,991 | 240,735 | ||||||
Shares redeemed | (194,714 | ) | (483,666 | ) | ||||
Net decrease in shares | (85,723 | ) | (242,931 | ) |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MULTI-HEDGE STRATEGIES FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.83 | $ | 23.95 | $ | 24.09 | $ | 23.82 | $ | 22.75 | $ | 22.38 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .11 | (.09 | ) | (.16 | ) | (.15 | ) | (.18 | ) | (.15 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.34 | ) | .97 | .04 | .58 | 1.25 | .52 | |||||||||||||||||
Total from investment operations | (1.23 | ) | .88 | (.12 | ) | .43 | 1.07 | .37 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.02 | ) | (.16 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (.02 | ) | (.16 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 23.60 | $ | 24.83 | $ | 23.95 | $ | 24.09 | $ | 23.82 | $ | 22.75 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (4.95 | %) | 3.67 | % | (0.48 | %) | 1.85 | % | 4.66 | % | 1.65 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 39,495 | $ | 43,695 | $ | 47,953 | $ | 52,281 | $ | 42,725 | $ | 22,809 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.90 | % | (0.39 | %) | (0.66 | %) | (0.62 | %) | (0.79 | %) | (0.65 | %) | ||||||||||||
Total expensesd | 1.48 | % | 1.88 | % | 2.27 | % | 2.38 | % | 2.50 | % | 2.51 | % | ||||||||||||
Net expensese | 1.46 | % | 1.85 | % | 2.23 | % | 2.34 | % | 2.45 | % | 2.44 | % | ||||||||||||
Portfolio turnover rate | 57 | % | 158 | % | 119 | % | 160 | % | 245 | % | 324 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Net expense information reflects the expense ratios after expense waivers, and may include interest and dividend expense. Excluding interest and dividend expense, net expense ratios for the periods presented would be: |
06/30/18 | 2017 | 2016 | 2015 | 2014 | 2013 | ||
1.16% | 1.16% | 1.17% | 1.18% | 1.17% | 1.15% |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
COMMODITIES STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a benchmark for commodities. The Fund’s current benchmark is the S&P Goldman Sachs Commodity Index (“GSCI” or “Index”).
Consolidated Holdings Diversification (Market Exposure as % of Net Assets)
“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: September 30, 2005
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 28.2% |
Guggenheim Strategy Fund I | 28.1% |
Total | 56.3% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Commodities Strategy Fund | 9.54% | 27.76% | (10.54%) | (14.18%) |
S&P Goldman Sachs Commodity Index | 10.36% | 30.04% | (9.41%) | (12.36%) |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P Goldman Sachs Commodity Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
COMMODITIES STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 56.3% | ||||||||
Guggenheim Strategy Fund II1 | 87,888 | $ | 2,196,326 | |||||
Guggenheim Strategy Fund I1 | 87,282 | 2,185,544 | ||||||
Total Mutual Funds | ||||||||
(Cost $4,372,735) | 4,381,870 |
Face | ||||||||
FEDERAL AGENCY NOTES†† - 13.5% | ||||||||
Freddie Mac2 | ||||||||
0.80% due 07/11/18 | $ | 400,000 | 399,890 | |||||
Federal Farm Credit Bank3 | ||||||||
0.75% due 07/18/18 | 250,000 | 249,876 | ||||||
2.04% (1 Month USD LIBOR + (0.05%)) due 01/23/194 | 100,000 | 100,045 | ||||||
Total Federal Farm Credit Bank | 349,921 | |||||||
Fannie Mae2 | ||||||||
1.13% due 12/14/18 | 200,000 | 199,096 | ||||||
1.13% due 07/20/18 | 100,000 | 99,961 | ||||||
Total Fannie Mae | 299,057 | |||||||
Total Federal Agency Notes | ||||||||
(Cost $1,049,082) | 1,048,868 | |||||||
U.S. TREASURY BILLS†† - 4.2% | ||||||||
U.S. Treasury Bills | ||||||||
1.72% due 07/12/185,6 | 327,000 | 326,848 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $326,822) | 326,848 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 3.9% | ||||||||
Federal Home Loan Bank3 | ||||||||
1.85% due 07/06/185,6 | 300,000 | 299,923 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $299,923) | 299,923 | |||||||
REPURCHASE AGREEMENTS††,7 - 21.5% | ||||||||
JPMorgan Chase & Co. | 917,082 | 917,082 | ||||||
Barclays Capital | 450,331 | 450,331 | ||||||
Bank of America Merrill Lynch | 300,220 | 300,220 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,667,633) | 1,667,633 | |||||||
Total Investments - 99.4% | ||||||||
(Cost $7,716,195) | $ | 7,725,142 | ||||||
Other Assets & Liabilities, net - 0.6% | 46,057 | |||||||
Total Net Assets - 100.0% | $ | 7,771,199 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||||
Goldman Sachs Commodity Index Futures Contracts | 65 | Jul 2018 | $ | 7,917,000 | $ | 202,838 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | Variable rate security. Rate indicated is the rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | Zero coupon rate security. |
7 | Repurchase Agreements — See Note 6. |
LIBOR — London Interbank Offered Rate | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
COMMODITIES STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 4,381,870 | $ | — | $ | — | $ | 4,381,870 | ||||||||
Federal Agency Notes | — | 1,048,868 | — | 1,048,868 | ||||||||||||
U.S. Treasury Bills | — | 326,848 | — | 326,848 | ||||||||||||
Federal Agency Discount Notes | — | 299,923 | — | 299,923 | ||||||||||||
Repurchase Agreements | — | 1,667,633 | — | 1,667,633 | ||||||||||||
Commodity Futures Contracts* | 202,838 | — | — | 202,838 | ||||||||||||
Total Assets | $ | 4,584,708 | $ | 3,343,272 | $ | — | $ | 7,927,980 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 1,410,574 | $ | 2,726,971 | $ | (1,950,000 | ) | $ | (1,812 | ) | $ | (189 | ) | $ | 2,185,544 | 87,282 | $ | 26,869 | ||||||||||||||
Guggenheim Strategy Fund II | 1,419,739 | 2,329,123 | (1,550,000 | ) | (1,373 | ) | (1,163 | ) | 2,196,326 | 87,888 | 29,011 | |||||||||||||||||||||
$ | 2,830,313 | $ | 5,056,094 | $ | (3,500,000 | ) | $ | (3,185 | ) | $ | (1,352 | ) | $ | 4,381,870 | $ | 55,880 |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
COMMODITIES STRATEGY FUND |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $1,675,827) | $ | 1,675,639 | ||
Investments in affiliated issuers, at value (cost $4,372,735) | 4,381,870 | |||
Repurchase agreements, at value (cost $1,667,633) | 1,667,633 | |||
Segregated cash with broker | 64,830 | |||
Receivables: | ||||
Variation margin | 99,938 | |||
Dividends | 12,972 | |||
Interest | 3,208 | |||
Total assets | 7,906,090 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 101,976 | |||
Securities purchased | 13,326 | |||
Management fees | 4,768 | |||
Transfer agent and administrative fees | 1,533 | |||
Investor service fees | 1,533 | |||
Portfolio accounting fees | 613 | |||
Trustees’ fees* | 258 | |||
Miscellaneous | 10,884 | |||
Total liabilities | 134,891 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 7,771,199 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,668,806 | ||
Accumulated net investment loss | (1,712,371 | ) | ||
Accumulated net realized gain on investments | 602,979 | |||
Net unrealized appreciation on investments | 211,785 | |||
Net assets | $ | 7,771,199 | ||
Capital shares outstanding | 81,136 | |||
Net asset value per share | $ | 95.78 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 55,880 | ||
Interest | 18,766 | |||
Total investment income | 74,646 | |||
Expenses: | ||||
Management fees | 29,424 | |||
Investor service fees | 8,584 | |||
Transfer agent and administrative fees | 8,584 | |||
Professional fees | 4,153 | |||
Portfolio accounting fees | 3,434 | |||
Trustees’ fees* | 561 | |||
Custodian fees | 456 | |||
Miscellaneous | 5,368 | |||
Total expenses | 60,563 | |||
Less: | ||||
Expenses waived by Adviser | (3,703 | ) | ||
Net expenses | 56,861 | |||
Net investment income | 17,785 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (3,185 | ) | ||
Futures contracts | 612,847 | |||
Net realized gain | 609,662 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (188 | ) | ||
Investments in affiliated issuers | (1,352 | ) | ||
Futures contracts | (38,463 | ) | ||
Net change in unrealized appreciation (depreciation) | (40,003 | ) | ||
Net realized and unrealized gain | 569,659 | |||
Net increase in net assets resulting from operations | $ | 587,444 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
COMMODITIES STRATEGY FUND |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 17,785 | $ | 160 | ||||
Net realized gain on investments | 609,662 | 74,631 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (40,003 | ) | 140,973 | |||||
Net increase in net assets resulting from operations | 587,444 | 215,764 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 29,564,228 | 22,269,307 | ||||||
Cost of shares redeemed | (27,111,746 | ) | (22,252,087 | ) | ||||
Net increase from capital share transactions | 2,452,482 | 17,220 | ||||||
Net increase in net assets | 3,039,926 | 232,984 | ||||||
Net assets: | ||||||||
Beginning of period | 4,731,273 | 4,498,289 | ||||||
End of period | $ | 7,771,199 | $ | 4,731,273 | ||||
Accumulated net investment loss at end of period | $ | (1,712,371 | ) | $ | (1,730,156 | ) | ||
Capital share activity: | ||||||||
Shares sold | 323,428 | 284,878 | ||||||
Shares redeemed | (296,401 | ) | (284,484 | ) | ||||
Net increase in shares | 27,027 | 394 |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
COMMODITIES STRATEGY FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 87.44 | $ | 83.74 | $ | 75.82 | $ | 114.64 | $ | 173.54 | $ | 179.38 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .23 | — | c | (.03 | ) | (1.12 | ) | (1.76 | ) | (2.56 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.11 | 3.70 | 7.95 | (37.70 | ) | (57.14 | ) | (3.28 | ) | |||||||||||||||
Total from investment operations | 8.34 | 3.70 | 7.92 | (38.82 | ) | (58.90 | ) | (5.84 | ) | |||||||||||||||
Net asset value, end of period | $ | 95.78 | $ | 87.44 | $ | 83.74 | $ | 75.82 | $ | 114.64 | $ | 173.54 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | 9.54 | % | 4.43 | % | 10.40 | % | (33.80 | %) | (34.01 | %) | (3.21 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,771 | $ | 4,731 | $ | 4,498 | $ | 2,671 | $ | 4,662 | $ | 6,170 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.52 | % | — | e | (0.48 | %) | (1.16 | %) | (1.04 | %) | (1.50 | %) | ||||||||||||
Total expensesf | 1.76 | % | 1.82 | % | 1.80 | % | 1.75 | % | 1.71 | % | 1.65 | % | ||||||||||||
Net expensesg | 1.66 | % | 1.72 | % | 1.67 | % | 1.63 | % | 1.62 | % | 1.55 | % | ||||||||||||
Portfolio turnover rate | 85 | % | 107 | % | 231 | % | 198 | % | 202 | % | — |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any additional fees charged by insurance companies. |
e | Less than 0.01%. |
f | Does not include expenses of the underlying funds in which the Fund invests. |
g | Net expense information reflects the expense ratios after expense waivers. |
h | Reverse Share Split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:16 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization, Consolidation of Subsidiary and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. At June 30, 2018, the Trust consisted of forty-nine funds. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.
This report covers the Long Short Equity Fund, Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund, and Commodities Strategy Fund (the “Funds”), each a non-diversified investment company.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Consolidation of Subsidiary
Each of the consolidated financial statements of the Funds includes the accounts of a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). Significant inter-company accounts and transactions have been eliminated in consolidation for the Funds.
Each Fund may invest up to 25% of its total assets in its Subsidiary which acts as an investment vehicle in order to effect certain investments consistent with the Fund’s investment objectives and policies.
A summary of each Fund’s investment in its respective Subsidiary is as follows:
Fund | Inception | Subsidiary | % of Net | |||||||||
Global Managed Futures Strategy Fund | 11/07/08 | $ | 732,082 | 5.2 | % | |||||||
Multi-Hedge Strategies Fund | 04/15/09 | 863,847 | 2.2 | % | ||||||||
Commodities Strategy Fund | 07/21/09 | 991,342 | 12.8 | % |
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The net asset value per share (“NAV”) of a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, by the number of outstanding shares of that fund.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE,
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
Open-end investment companies (“mutual funds”) are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds (“ETFs”) and closed-end investment companies (“CEFs”) are valued at the last quoted sale price.
U.S. Government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value. Money market funds are valued at their NAV.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The values of over-the-counter (“OTC”) swap agreements entered into by a Fund are accounted for using the unrealized gains or losses on the agreements that are determined by marking the agreements to the last quoted value of the index that the swaps pertain to at the close of the NYSE. The swaps’ values are then adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreements.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the valuation committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
(b) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(c) Short Sales
When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(d) Futures Contracts
Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(e) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
(f) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2018, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(g) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Amendment fees are earned as compensation for evaluating and accepting changes to the original loan agreement and are recognized when received. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(h) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all such distributions of a Fund will automatically be reinvested without charge in additional shares of the same Fund. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
(i) Cash
The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 1.91% at June 30, 2018.
(j) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(k) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds utilize short sales and derivative instruments. These investments involve, to varying degrees, elements of market risk and risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds utilized derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
Hedge: an investment made in order to reduce the risk of adverse price movements in a security, by taking an offsetting position to protect against broad market moves.
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact.
Speculation: the use of an instrument to express macro-economic and other investment views.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of futures on a quarterly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Global Managed Futures Strategy Fund | Hedge, Leverage, Liquidity, Speculation | $ | 42,336,194 | $ | 53,340,960 | ||||
Multi-Hedge Strategies Fund | Duration, Hedge, Index exposure, Leverage, Liquidity, Speculation, Income | 24,705,769 | 28,748,501 | ||||||
Commodities Strategy Fund | Index exposure, Liquidity | 6,844,463 | — |
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing OTC swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral of other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like an exchange-traded futures contract. Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin payments or receipts are made or received by the Fund, depending on fluctuations in the fair value of the reference entity. The exchange bears the risk of loss for interest rate swaps.
Total return swaps and custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange, with the swap value being adjusted to include dividends accrued, financing charges and/or interest associated with the swap agreement. A fund utilizing a total return index swap bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying index declines in value.
The following table represents the Funds’ use and volume of total return swaps on a quarterly basis for the period ended June 30, 2018:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Long-Short Equity Fund | Index exposure, Liquidity | $ | 18,522,612 | $ | 34,651,904 | ||||
Multi-Hedge Strategies Fund | Hedge, Index exposure, Leverage, Liquidity, Speculation | 30,800,582 | 26,870,988 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of June 30, 2018:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency/Interest Rate/Commodity contracts | Variation margin | Variation margin |
Equity Contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2018:
Asset Derivative Investments Value | ||||||||||||||||||||||||
Fund | Futures | Futures | Futures | Futures | Equity | Total Value at | ||||||||||||||||||
Global Managed Futures Strategy Fund | $ | 97,567 | $ | 77,788 | $ | 85,691 | $ | 185,037 | $ | — | $ | 446,083 | ||||||||||||
Multi-Hedge Strategies Fund | 134,346 | 70,778 | 138,573 | 197,086 | 644,158 | 1,184,941 | ||||||||||||||||||
Commodities Strategy Fund | — | — | — | 202,838 | — | 202,838 |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Liability Derivative Investments Value | ||||||||||||||||||||||||
Fund | Futures | Futures | Futures | Futures | Equity | Total Value at | ||||||||||||||||||
Long Short Equity Fund | $ | — | $ | — | $ | — | $ | — | $ | 1,670,061 | $ | 1,670,061 | ||||||||||||
Global Managed Futures Strategy Fund | 126,612 | 22,421 | 37,855 | 90,966 | — | 277,854 | ||||||||||||||||||
Multi-Hedge Strategies Fund | 41,382 | 10,526 | 7,462 | 62,387 | 1,076,368 | 1,198,125 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended June 30, 2018:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Currency/Interest Rate/Commodity contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
Equity Contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended June 30, 2018:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||
Fund | Futures | Equity | Futures | Futures | Futures | Total | ||||||||||||||||||
Long Short Equity Fund | $ | — | $ | (2,309,548 | ) | $ | — | $ | — | $ | — | $ | (2,309,548 | ) | ||||||||||
Global Managed Futures Strategy Fund | (167,998 | ) | — | (210,550 | ) | 140,301 | (259,084 | ) | (497,331 | ) | ||||||||||||||
Multi-Hedge Strategies Fund | 339,340 | (471,786 | ) | 72,887 | 261,382 | (136,074 | ) | 65,749 | ||||||||||||||||
Commodities Strategy Fund | — | — | — | — | 612,847 | 612,847 |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||||||
Fund | Futures | Equity | Futures | Futures | Futures | Total | ||||||||||||||||||
Long-Short Equity Fund | $ | — | $ | (649,992 | ) | $ | — | $ | — | $ | — | $ | (649,992 | ) | ||||||||||
Global Managed Futures Strategy Fund | (91,682 | ) | — | 4,236 | (3,623 | ) | (29,355 | ) | (120,424 | ) | ||||||||||||||
Multi-Hedge Strategies Fund | (1,217,843 | ) | (1,015,373 | ) | 28,166 | 148,091 | 1,124 | (2,055,835 | ) | |||||||||||||||
Commodities Strategy Fund | — | — | — | — | (38,463 | ) | (38,463 | ) |
In conjunction with the use of short sales and derivative instruments, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 3 – Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Multi-Hedge Strategies Fund | Swap equity contracts | $ | 644,158 | $ | — | $ | 644,158 | $ | (644,158 | ) | $ | — | $ | — |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Long Short Equity Fund | Swap equity contracts | $ | 1,670,061 | $ | — | $ | 1,670,061 | $ | (1,670,061 | ) | $ | — | $ | — | |||||||||||
Multi-Hedge Strategies Fund | Swap equity contracts | 1,076,368 | — | 1,076,368 | (644,158 | ) | — | 432,210 |
1 | Exchange-traded futures are excluded from these reported amounts. |
The following table presents deposits held by others in connection with derivative investments as of June 30, 2018. The derivatives tables following the Schedule of Investments list each counterparty for which cash collateral may have been pledged or received at period end. The Funds have the right to offset these deposits against any related liabilities outstanding with each counterparty.
Fund | Counterparty/ | Asset Type | Cash | Cash | ||||||
Global Managed Futures Strategy Fund | Goldman Sachs Group | Futures contracts | $ | 25,015 | $ | — | ||||
Global Managed Futures Strategy Fund Total |
|
| 25,015 | — | ||||||
Multi-Hedge Strategies Fund | Goldman Sachs Group | Futures contracts | 123,168 | — | ||||||
Multi-Hedge Strategies Fund Total |
|
| 123,168 | — | ||||||
Commodities Strategy Fund | Goldman Sachs Group | Futures contracts | 64,830 | — | ||||||
Commodities Strategy Fund Total |
|
| 64,830 | — |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees |
Long Short Equity Fund | 0.90% |
Global Managed Futures Strategy Fund | 0.90% |
Multi-Hedge Strategies Fund | 1.15% |
Commodities Strategy Fund | 0.75% |
GI has contractually agreed to waive the management fee it receives from each Subsidiary in an amount equal to the management fee paid to GI by the Subsidiary. This undertaking will continue in effect for so long as the Funds invest in the Subsidiary, and may not be terminated by GI unless GI obtains the prior approval of the Funds’ Board of Trustees for such termination. For the period ended June 30, 2018, the Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund, and Commodities Strategy Fund waived $3,471, $4,133 and $3,703 respectively, related to investments in the Subsidiary.
As part of its agreement with the Trust, GI will pay all expenses of the Multi-Hedge Strategies Fund, including the cost of transfer agency, custody, fund administration, legal, audit and other services, except interest expense, taxes (expected to be de minimis), brokerage commissions and other expenses connected with execution of portfolio transactions, short dividend expenses, subsidiary expenses and extraordinary expenses.
GI engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted an Investor Services Plan for which GFD and other firms that provide investor services (“Service Providers”) may receive compensation. The Funds will pay investor service fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for investor services it performs. Fees related to Multi-Hedge Strategies Fund are paid by GI, as previously stated.
If a Fund invests in an affiliated fund, the investing Fund’s adviser has agreed to waive fees at the investing fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2018, the Long Short Equity Fund and Multi-Hedge Strategies Fund waived $68 and $57, respectively, related to investments in affiliated funds.
Certain officers and trustees of the Trust are also officers of GI and GFD. The Trust does not compensate its officers or trustees who are officers, directors, and/or employees of GI and GDF.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Fund’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. The U.S Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. As securities lending agent, U.S. Bank is responsible for executing the lending of portfolio securities to creditworthy borrowers. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of each Fund’s average daily managed assets and out of pocket expenses.
Note 6 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The joint account includes other Funds in the Guggenheim complex not covered in this report. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2018, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price |
| Collateral | Par Value | Fair Value | ||||||||||||
JPMorgan Chase & Co. | U.S. Treasury Notes | |||||||||||||||||
2.10% | 1.88% - 2.50% | |||||||||||||||||
Due 07/02/18 | $ | 47,042,511 | $ | 47,050,743 | 08/31/22 - 08/15/25 | $ | 46,464,300 | $ | 45,313,928 | |||||||||
U.S. Treasury Bonds | ||||||||||||||||||
3.00% - 3.38% | ||||||||||||||||||
05/15/44 - 05/15/47 | 2,559,600 | 2,582,788 | ||||||||||||||||
47,896,716 | ||||||||||||||||||
Barclays Capital | U.S. TIP Notes | |||||||||||||||||
2.07% | 0.39% - 1.00% | |||||||||||||||||
Due 07/02/18 | 23,100,095 | 23,104,080 | 01/15/26 - 02/15/46 | 18,009,827 | 17,794,154 | |||||||||||||
U.S. Treasury Note | ||||||||||||||||||
1.88% | ||||||||||||||||||
03/31/22 | 5,903,500 | 5,752,223 | ||||||||||||||||
23,546,377 | ||||||||||||||||||
Bank of America Merrill Lynch | U.S. Treasury Note | |||||||||||||||||
2.08% | 4.00% | |||||||||||||||||
Due 07/02/18 | 15,400,064 | 15,402,733 | 08/15/18 | 15,438,500 | 15,658,625 |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment adviser, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
Note 7 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund - Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering their securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
At June 30, 2018, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the | Securities Lending Collateral | ||||||||||||||||||||||||
Fund | Value of | Collateral | Net | Cash | Cash | Total | |||||||||||||||||||
Long Short Equity Fund | $ | 53,837 | $ | (53,837 | ) | $ | — | $ | 54,979 | $ | — | $ | 54,979 | ||||||||||||
Multi-Hedge Strategies Fund | 176,704 | (176,704 | ) | — | 183,989 | — | 183,989 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to overcollateralization. |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
Note 8 – Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
The Funds intend to invest up to 25% of their assets in the Subsidiary which is expected to provide the Funds with exposure to the commodities markets within the limitations of the federal tax requirements under Subchapter M of the Internal Revenue Code. The Funds have received a private letter ruling from the IRS that concludes that the income the Funds receive from the Subsidiary will constitute qualifying income for purposes of Subchapter M of the Internal Revenue Code. The Subsidiary will be classified as a corporation for U.S. federal income tax purposes. A foreign corporation, such as the Subsidiary, will generally not be subject to U.S. federal income taxation unless it is deemed to be engaged in a U.S. trade or business.
At June 30, 2018, the cost of securities for federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value were as follows:
Fund | Tax | Tax | Tax | Net | ||||||||||||
Long Short Equity Fund | $ | 34,763,452 | $ | 1,408,509 | $ | (2,853,906 | ) | $ | (1,445,397 | ) | ||||||
Global Managed Futures Strategy Fund | 14,425,146 | 329,171 | (277,853 | ) | 51,318 | |||||||||||
Multi-Hedge Strategies Fund | 30,586,103 | 1,883,896 | (1,551,077 | ) | 332,819 | |||||||||||
Commodities Strategy Fund | 7,772,600 | 157,029 | (1,649 | ) | 155,380 |
Note 9 – Securities Transactions
For the period ended June 30, 2018, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
Long Short Equity Fund | $ | 69,329,824 | $ | 75,178,335 | ||||
Global Managed Futures Strategy Fund | 157,365 | 1,000,000 | ||||||
Multi-Hedge Strategies Fund | 19,183,840 | 22,071,994 | ||||||
Commodities Strategy Fund | 5,056,095 | 3,500,000 |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended June 30, 2018, the Funds did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $75,000,000 line of credit from U.S. Bank, N.A., which expires June 09, 2019. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 2.66% for the period ended June 30, 2018. The Funds did not have any borrowings outstanding under this agreement at June 30, 2018.
The average daily balances borrowed for the period ended June 30, 2018, were as follows:
Fund | Average Daily Balance | |||
Multi-Hedge Strategies Fund | $ | 16 |
Note 11 – Legal Proceedings
Tribune Company
Rydex Variable Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Variable Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Variable Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Variable Trust has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order. On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. On April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.”
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(concluded) |
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. The Court concluded that the plaintiff had failed to allege that Tribune entered the LBO with actual intent to hinder, delay, or defraud its creditors, and therefore the complaint failed to state a claim. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law. On March 8, 2018, the plaintiff renewed his request for leave to file a motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
None of these lawsuits alleges any wrongdoing on the part of Rydex Variable Trust. The following series of Rydex Variable Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 2x Strategy Fund, Multi-Cap Core Equity Fund, S&P 500 Pure Value Fund, Hedged Equity Fund and Multi-Hedge Strategies Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $12,580, $2,380, $1,360, $148,376, $2,720, and $119,034, respectively. At this stage of the proceedings, Rydex Variable Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Variable Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 21, 2018, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 25, 2018 (together, with the May 21st meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 25th meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the Investment Advisory Agreement the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements, and participated in discussions with representatives of the Advisor during which the representatives answered the Independent Trustees’ questions and agreed to provide certain additional information for their consideration. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund
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OTHER INFORMATION (Unaudited)(continued) |
performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In its deliberations, the Trustees did not identify any particular factor or factors as controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to each Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board, however, examined whether the loss of certain advisory personnel in connection with the recent sale of the Guggenheim ETF business might affect the services provided by the Advisor to the remaining Funds. The Board was assured that such personnel were not previously involved in the management of the Funds and that their departure would not affect the nature, extent or quality of the services provided by the Advisor. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the FUSE reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies, index rebalance frequency, and, in certain cases, the Fund’s tradability feature) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. With respect to the Funds that track an underlying index (“Index Funds”), the Board also discussed the correlation between an Index Fund’s assets under management and tracking error, noting that an Index Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Index Fund’s size. The Board also considered and requested information detailing the effect of the recent sale of the Guggenheim ETF business on the expense allocation methodology employed by the Advisor. After reviewing the additional information provided by the Advisor, the Board determined the impact on the Funds would be minimal. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. The Board also considered the effect of the recent sale of the Guggenheim ETF business on the Advisor’s and its affiliates’ profitability, and similar to its conclusion with respect to expenses, determined that the impact would be minimal. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(concluded) |
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds, the current expectation that assets levels are likely to remain the same or decline in the near future due to changes in demand for variable insurance products, and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited trading that is permitted among most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be derived by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the investor services agreement and investor services plan with respect to the Funds, and under separate distribution agreements, Distribution Plans and Distribution and Shareholder Services Plans pursuant to Rule 12b-1 of the 1940 Act with respect to other of the funds in the Funds’ family of funds. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the Investment Advisory Agreement was in the best interests of each Fund and its shareholders.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, 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 visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and | Position(s) Held with the | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | ||||
Amy J. Lee** (1961) | Trustee (February 2018-present) and President (2017-present) | Current: Interested Trustee, certain other funds in the Fund Complex (February 2018-present); Chief Legal Officer and Vice President, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-February 2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 165 | None. |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, and Member of the Compliance and Risk Oversight Committee from 2016 to present; and Member of the Governance and Nominating Committee and Chairwoman of the Compliance and Risk Oversight Committee from 2017 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm)
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 110 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 110 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 110 | Epiphany Funds (2) (2009-present). |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and | Position(s) Held with the | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret (1940) | Trustee and Member of the Audit Committee from 1997 to present; Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 110 | None. |
Werner E. Keller (1940) | Chairman of the Board from 2014 to present; Trustee and Member of the Audit Committee from 2005 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 110 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; Chairman and Member of the Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2018 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 110 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trust (3) (2017-present). |
Patrick T. McCarville (1942) | Trustee and Member of the Audit Committee from 1998 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 110 | None. |
Sandra G. Sponem (1958) | Trustee, Member of the Audit Committee and Chairwoman and Member of the Investment and Performance Committee from 2016 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 110 | None. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (1999-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); Senior Managing Director, Guggenheim Investments (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present) and Director and Chairman, Advisory Research Center, Inc. (2006-present).
Former: Manager, Guggenheim Specialized Products, LLC (2005-April 2018); Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC (now MUFG Investor Services (US), LLC); Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present).
Former: Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-April 2018); Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Mark E. Mathiasen (1978) | Secretary (2017-present) | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2007-present).
Former: Tax Compliance Manager, Ernst & Young, LLP (1996-2009). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: CCO, Security Investors, LLC (2012-2018); CCO, Guggenheim Funds Investment Advisors, LLC (2012-2018); CCO, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS - concluded | ||
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer (2017-present) | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present).
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”) (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | This Trustee is an “interested person” (as defined in Section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of her affiliation with Guggenheim Investments. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The Affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
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6.30.2018
Rydex Variable Trust Semi-Annual Report
Domestic Equity Funds |
Nova Fund |
Inverse S&P 500® Strategy Fund |
NASDAQ-100® Fund |
Inverse NASDAQ-100® Strategy Fund |
S&P 500® 2x Strategy Fund |
NASDAQ-100® 2x Strategy Fund |
Mid-Cap 1.5x Strategy Fund |
Inverse Mid-Cap Strategy Fund |
Russell 2000® 2x Strategy Fund |
Russell 2000® 1.5x Strategy Fund |
Inverse Russell 2000® Strategy Fund |
Dow 2x Strategy Fund |
Inverse Dow 2x Strategy Fund |
Fixed Income Funds |
Government Long Bond 1.2x Strategy Fund |
Inverse Government Long Bond Strategy Fund |
High Yield Strategy Fund |
Money Market Fund |
U.S. Government Money Market Fund |
GuggenheimInvestments.com | RVATB1-SEMI-0618x1218 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS | 6 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 7 |
NOVA FUND | 9 |
INVERSE S&P 500® STRATEGY FUND | 20 |
NASDAQ-100® FUND | 26 |
INVERSE NASDAQ-100® STRATEGY FUND | 34 |
S&P 500® 2x STRATEGY FUND | 40 |
NASDAQ-100® 2x STRATEGY FUND | 51 |
MID-CAP 1.5x STRATEGY FUND | 59 |
INVERSE MID-CAP STRATEGY FUND | 69 |
RUSSELL 2000® 2x STRATEGY FUND | 75 |
RUSSELL 2000® 1.5x STRATEGY FUND | 100 |
INVERSE RUSSELL 2000® STRATEGY FUND | 125 |
DOW 2x STRATEGY FUND | 132 |
INVERSE DOW 2x STRATEGY FUND | 139 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | 145 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | 151 |
HIGH YIELD STRATEGY FUND | 157 |
U.S. GOVERNMENT MONEY MARKET FUND | 164 |
NOTES TO FINANCIAL STATEMENTS | 170 |
OTHER INFORMATION | 187 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 190 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 194 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
| June 30, 2018 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for 17 of our Funds (the “Funds”) that are part of the Rydex Variable Trust. This report covers performance of the Funds for the semi-annual period ended June 30, 2018.
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
July 31, 2018
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
Inverse and leveraged Funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● Inverse Funds involve certain risks, which include increased volatility due to the Funds’ possible use of short sales of securities and derivatives, such as options and futures. ● The Funds’ use of derivatives, such as futures, options and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Short-selling involves increased risks and costs. You risk paying more for a security than you received from its sale. ● Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the Funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those Funds that use leverage as part of their investment strategy, may prevent a Fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse Funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. For those Funds that consistently apply leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a Fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse Funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the prospectus.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| June 30, 2018 |
The NASDAQ-100® Fund may not be suitable for all investors. ● Investing in Rydex NASDAQ-100® Fund involves certain risks, which may include increased volatility due to the use of futures and the possibility that companies in which the Fund invests may not be commercially successful or may become obsolete more quickly. ● There are no assurances that any Rydex Fund will achieve its objective and/or strategy. This Fund is subject to active trading and tracking error risks, which may increase volatility, impact the Fund’s ability to achieve its investment objective and may decrease the Fund’s performance. ● This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus.
The Government Long Bond 1.2x Strategy and Inverse Government Long Bond Strategy Funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, and (c) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Funds’ use of derivatives, such as futures, options and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the Funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those Funds that use leverage as part of their investment strategy, may prevent a Fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged Funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. For those Funds that consistently apply leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a Fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged Funds’ holdings consistent with their strategies, as frequently as daily. ● In general, bond prices rise when interest rates fall, and vice versa. Moreover, while securities with longer maturities tend to produce higher yields, the price of longer maturity securities is also subject to greater fluctuations as a result of changes in interest rates. ● It is important to note that the Funds are not guaranteed by the U.S. government. ● There are no assurances that any Guggenheim Fund will achieve its objective and/or strategy. These Funds are subject to active trading and tracking error risks, which may increase volatility, impact the Fund’s ability to achieve its investment objective, and may decrease the Fund’s performance. ● For more on these and other risks, please read the prospectus.
The High Yield Strategy Fund may not be suitable for all investors. ● The Fund’s use of derivatives such as futures, options, and swap agreements will expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● A highly liquid secondary market may not exist for the credit default swaps the Fund invests in, and there can be no assurance that a highly liquid secondary market will develop. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. ● You may have a gain or loss when you sell your shares. ● In general, bond prices rise when interest rates fall, and vice versa. ● The Fund’s exposure to the high yield bond market may subject the Fund to greater volatility because (i) it will be affected by the ability of high yield security issuers’ ability to make principal and interest payments and (ii) the prices of derivatives linked to high yield bonds may fluctuate unpredictably and not necessarily in relation to interest rates. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective.
The U.S. Government Money Market Fund may not be suitable for all investors. ● You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2018 |
As the U.S. economy powers along, with second quarter 2018 gross domestic product (“GDP”) coming in at 4.1% annualized, geopolitical risk continues to weigh on the market. Positive headlines surrounding growth and the labor market are offset by the trade war launched by the U.S. against both its rivals and its allies. In May, the Trump administration allowed the aluminum and steel tariff exemptions to expire for Canada, Mexico, and the European Union, instituting 25% tariffs on steel and 10% tariffs on aluminum imported from these regions. In June, the U.S. administration announced it would also impose 25% tariffs on $50 billion worth of Chinese imports ($34 billion of which would be tariffed beginning in July), followed by the publication of a list of $200 billion in additional Chinese goods to be targeted, to which China promised retaliation. The European Union has also announced retaliation, approving tariffs of 25% on a long list of American goods. Over this period, 10-year U.S. Treasury yields peaked at 3.1% and finished the quarter at 2.9%.
The bond market’s reaction to trade rhetoric indicates that there is a tug of war at hand. While fiscal stimulus pushed up bond yields initially, tariffs are weighing them down. Markets are right to be concerned about the consequences of a trade war in which no one wins. Outside of the U.S., this trade war will have the intended impact of squeezing economic growth in export-heavy regions, but among the losers will also be U.S. consumers. Some corporations may slow or postpone hiring as they manage for rising input costs. Others will pass higher prices on to the consumer, causing disposable incomes to suffer. In either case, tariffs reduce the benefit of the fiscal stimulus.
The U.S. Federal Reserve’s (the “Fed”) confidence in the U.S. economy seems to have sharpened in recent weeks despite trade war uncertainty. In the June Summary of Economic Projections (“SEP”), the U.S. Federal Reserve Open Market Committee’s (“FOMC”) median expectations for 2018 GDP growth rose from 2.7% to 2.8%. The FOMC now expects a lower unemployment rate, higher personal consumption expenditures inflation and a higher federal funds rate for 2018 and 2019 than previously expected. The Fed is determined to tighten financial conditions until economic growth and hiring slow to a more sustainable pace.
We believe that the net effect of all factors affecting rates—fiscal stimulus, trade war, and monetary policy tightening—will keep long-term interest rates from moving much higher than current levels. The market is currently pricing this in to the yield curve; in July the difference between 30-year and two-year U.S. Treasury yields hit its lowest level since July 2007. The bond market is sending a warning signal that makes us wary of taking on too much credit risk at this stage.
We maintain our view that a recession could come in 2020 and markets may discount this as early as 2019. In the meantime, we are watching for exogenous factors that could cause a recession to come sooner.
For the six months ended June 30, 2018, the Standard & Poor’s 500® (“S&P 500”) Index* returned 2.65%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -2.37%. The return of the MSCI Emerging Markets Index* was -6.51%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -1.62% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 0.16%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.81% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Long Treasury Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of 10 or more years, are rated investment grade, and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars and must be fixed rate and nonconvertible. The Long U.S. Treasury Index is market capitalization weighted and the securities in the index are updated on the last business day of each month.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
Dow Jones Industrial Average® is a price-weighted average of 30 significant stocks traded on the New York Stock Exchange and the NASDAQ. The DJIA was invented by Charles Dow back in 1896.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2018 |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
NASDAQ-100® Index includes 100 of the largest domestic and international non-financial securities listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology. It does not contain securities of financial companies including investment companies.
Russell 2000® Index measures the performance of the small-cap value segment of the U.S. equity universe.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
S&P MidCap 400® Index provides investors with a benchmark for mid-sized companies. The index covers approximately 7% of the U.S. equity market, and seeks to remain an accurate measure of mid-sized companies, reflecting the risk and return characteristics of the broader mid-cap universe on an on-going basis.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) |
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Many of the Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in-line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period on a cumulative basis. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0% — in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
| Index | Index | Fund | Fund | Fund | Assessment |
Start | 100 | $ 10.00 |
| |||
Day 1 | 106 | 6.0% | 9.0% | $ 10.90 | 9.0% | In line |
Day 2 | 99 | -6.6% | -9.9% | $ 9.82 | -9.9% | In line |
Cumulative | -1.0% | -1.5% | -1.8% | -0.3% |
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.
Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. For those funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus.
In general, any change in direction in an index will produce compounding that seems to work against an investor. Were the index to move in the same direction (either up or down) for two or more periods in a row, the compounding of those returns would work in an investor’s favor, causing the fund to seemingly beat its benchmark.
As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less leverage will generally produce results that are more in line with expectations. In addition, periods of high volatility in an underlying index will also cause the effects of compounding to be more pronounced, while lower volatility will produce a more muted effect.
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
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All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the 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 examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning December 31, 2017 and ending June 30, 2018.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s 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 provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. 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 transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
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| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
Nova Fund | 1.58% | 2.09% | $ 1,000.00 | $ 1,020.90 | $ 7.92 |
Inverse S&P 500® Strategy Fund | 1.74% | (2.87%) | 1,000.00 | 971.30 | 8.50 |
NASDAQ-100® Fund | 1.62% | 9.82% | 1,000.00 | 1,098.20 | 8.43 |
Inverse NASDAQ-100® Strategy Fund | 1.77% | (10.66%) | 1,000.00 | 893.40 | 8.31 |
S&P 500® 2x Strategy Fund | 1.73% | 1.65% | 1,000.00 | 1,016.50 | 8.65 |
NASDAQ-100® 2x Strategy Fund | 1.77% | 17.35% | 1,000.00 | 1,173.50 | 9.54 |
Mid-Cap 1.5x Strategy Fund | 1.72% | 3.47% | 1,000.00 | 1,034.70 | 8.68 |
Inverse Mid-Cap Strategy Fund | 1.73% | (3.56%) | 1,000.00 | 964.40 | 8.43 |
Russell 2000® 2x Strategy Fund | 1.79% | 12.57% | 1,000.00 | 1,125.70 | 9.43 |
Russell 2000® 1.5x Strategy Fund | 1.78% | 9.64% | 1,000.00 | 1,096.40 | 9.25 |
Inverse Russell 2000® Strategy Fund | 1.79% | (7.52%) | 1,000.00 | 924.80 | 8.54 |
Dow 2x Strategy Fund | 1.77% | (4.97%) | 1,000.00 | 950.30 | 8.56 |
Inverse Dow 2x Strategy Fund | 1.77% | (1.24%) | 1,000.00 | 987.60 | 8.72 |
Government Long Bond 1.2x Strategy Fund | 1.28% | (5.22%) | 1,000.00 | 947.80 | 6.18 |
Inverse Government Long Bond Strategy Fund | 4.35% | 3.88% | 1,000.00 | 1,038.80 | 21.99 |
High Yield Strategy Fund | 1.58% | (1.14%) | 1,000.00 | 988.60 | 7.79 |
U.S. Government Money Market Fund | 1.28% | 0.17% | 1,000.00 | 1,001.70 | 6.35 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Nova Fund | 1.58% | 5.00% | $ 1,000.00 | $ 1,016.96 | $ 7.90 |
Inverse S&P 500® Strategy Fund | 1.74% | 5.00% | 1,000.00 | 1,016.17 | 8.70 |
NASDAQ-100® Fund | 1.62% | 5.00% | 1,000.00 | 1,016.76 | 8.10 |
Inverse NASDAQ-100® Strategy Fund | 1.77% | 5.00% | 1,000.00 | 1,016.02 | 8.85 |
S&P 500® 2x Strategy Fund | 1.73% | 5.00% | 1,000.00 | 1,016.22 | 8.65 |
NASDAQ-100® 2x Strategy Fund | 1.77% | 5.00% | 1,000.00 | 1,016.02 | 8.85 |
Mid-Cap 1.5x Strategy Fund | 1.72% | 5.00% | 1,000.00 | 1,016.27 | 8.60 |
Inverse Mid-Cap Strategy Fund | 1.73% | 5.00% | 1,000.00 | 1,016.22 | 8.65 |
Russell 2000® 2x Strategy Fund | 1.79% | 5.00% | 1,000.00 | 1,015.92 | 8.95 |
Russell 2000® 1.5x Strategy Fund | 1.78% | 5.00% | 1,000.00 | 1,015.97 | 8.90 |
Inverse Russell 2000® Strategy Fund | 1.79% | 5.00% | 1,000.00 | 1,015.92 | 8.95 |
Dow 2x Strategy Fund | 1.77% | 5.00% | 1,000.00 | 1,016.02 | 8.85 |
Inverse Dow 2x Strategy Fund | 1.77% | 5.00% | 1,000.00 | 1,016.02 | 8.85 |
Government Long Bond 1.2x Strategy Fund | 1.28% | 5.00% | 1,000.00 | 1,018.45 | 6.41 |
Inverse Government Long Bond Strategy Fund | 4.35% | 5.00% | 1,000.00 | 1,003.22 | 21.61 |
High Yield Strategy Fund | 1.58% | 5.00% | 1,000.00 | 1,016.96 | 7.90 |
U.S. Government Money Market Fund | 1.28% | 5.00% | 1,000.00 | 1,018.45 | 6.41 |
1 | This ratio represents annualized Net Expenses, which include interest expense related to securities sold short. Excluding short interest expense, the operating expense ratio of the Inverse Government Long Bond Strategy Fund would be 1.73%. Excludes expenses of the underlying funds in which the Funds invest, if any. |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies. |
3 | Actual cumulative return at net asset value for the period December 31, 2017 to June 30, 2018. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
NOVA FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: May 7, 1997
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 26.0% |
Guggenheim Strategy Fund II | 24.0% |
Apple, Inc. | 1.4% |
Microsoft Corp. | 1.2% |
Amazon.com, Inc. | 1.1% |
Facebook, Inc. — Class A | 0.7% |
Berkshire Hathaway, Inc. — Class B | 0.6% |
JPMorgan Chase & Co. | 0.6% |
Exxon Mobil Corp. | 0.6% |
Alphabet, Inc. — Class C | 0.5% |
Top Ten Total | 56.7% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Nova Fund | 2.09% | 18.78% | 17.89% | 11.65% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
NOVA FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 36.6% | ||||||||
Consumer, Non-cyclical - 7.9% | ||||||||
Johnson & Johnson | 1,872 | $ | 227,148 | |||||
UnitedHealth Group, Inc. | 671 | 164,623 | ||||||
Pfizer, Inc. | 4,083 | 148,131 | ||||||
Procter & Gamble Co. | 1,755 | 136,995 | ||||||
Coca-Cola Co. | 2,673 | 117,238 | ||||||
Merck & Company, Inc. | 1,878 | 113,995 | ||||||
PepsiCo, Inc. | 990 | 107,781 | ||||||
AbbVie, Inc. | 1,058 | 98,024 | ||||||
Philip Morris International, Inc. | 1,085 | 87,603 | ||||||
Amgen, Inc. | 465 | 85,834 | ||||||
Medtronic plc | 945 | 80,901 | ||||||
Altria Group, Inc. | 1,321 | 75,019 | ||||||
Abbott Laboratories | 1,224 | 74,652 | ||||||
PayPal Holdings, Inc.* | 779 | 64,867 | ||||||
Gilead Sciences, Inc. | 908 | 64,323 | ||||||
Bristol-Myers Squibb Co. | 1,141 | 63,143 | ||||||
Thermo Fisher Scientific, Inc. | 281 | 58,206 | ||||||
Eli Lilly & Co. | 667 | 56,915 | ||||||
CVS Health Corp. | 710 | 45,689 | ||||||
Becton Dickinson and Co. | 187 | 44,798 | ||||||
Biogen, Inc.* | 147 | 42,665 | ||||||
Anthem, Inc. | 178 | 42,369 | ||||||
Danaher Corp. | 429 | 42,334 | ||||||
Mondelez International, Inc. — Class A | 1,030 | 42,230 | ||||||
Aetna, Inc. | 228 | 41,838 | ||||||
Automatic Data Processing, Inc. | 308 | 41,315 | ||||||
Allergan plc | 237 | 39,513 | ||||||
Colgate-Palmolive Co. | 609 | 39,469 | ||||||
Celgene Corp.* | 493 | 39,154 | ||||||
Stryker Corp. | 224 | 37,825 | ||||||
Intuitive Surgical, Inc.* | 79 | 37,800 | ||||||
S&P Global, Inc. | 175 | 35,681 | ||||||
Boston Scientific Corp.* | 963 | 31,490 | ||||||
Express Scripts Holding Co.* | 392 | 30,266 | ||||||
Vertex Pharmaceuticals, Inc.* | 178 | 30,253 | ||||||
Cigna Corp. | 170 | 28,892 | ||||||
Zoetis, Inc. | 338 | 28,794 | ||||||
Illumina, Inc.* | 103 | 28,767 | ||||||
Humana, Inc. | 96 | 28,572 | ||||||
Kraft Heinz Co. | 417 | 26,196 | ||||||
Kimberly-Clark Corp. | 244 | 25,703 | ||||||
Constellation Brands, Inc. — Class A | 117 | 25,608 | ||||||
Baxter International, Inc. | 344 | 25,401 | ||||||
Ecolab, Inc. | 181 | 25,400 | ||||||
Sysco Corp. | 335 | 22,877 | ||||||
Estee Lauder Companies, Inc. — Class A | 156 | 22,260 | ||||||
Edwards Lifesciences Corp.* | 147 | 21,399 | ||||||
HCA Healthcare, Inc. | 195 | 20,007 | ||||||
Moody’s Corp. | 117 | 19,955 | ||||||
Alexion Pharmaceuticals, Inc.* | 155 | 19,243 | ||||||
McKesson Corp. | 141 | 18,809 | ||||||
Regeneron Pharmaceuticals, Inc.* | 54 | 18,630 | ||||||
General Mills, Inc. | 414 | 18,323 | ||||||
Archer-Daniels-Midland Co. | 390 | 17,874 | ||||||
Centene Corp.* | 143 | 17,619 | ||||||
Align Technology, Inc.* | 50 | 17,107 | ||||||
Monster Beverage Corp.* | 287 | 16,445 | ||||||
Kroger Co. | 567 | 16,131 | ||||||
Zimmer Biomet Holdings, Inc. | 142 | 15,825 | ||||||
Tyson Foods, Inc. — Class A | 208 | 14,321 | ||||||
IDEXX Laboratories, Inc.* | 61 | 13,294 | ||||||
FleetCor Technologies, Inc.* | 63 | 13,271 | ||||||
Mylan N.V.* | 360 | 13,010 | ||||||
IHS Markit Ltd.* | 249 | 12,846 | ||||||
Laboratory Corporation of America Holdings* | 71 | 12,747 | ||||||
Global Payments, Inc. | 111 | 12,375 | ||||||
Clorox Co. | 90 | 12,173 | ||||||
Kellogg Co. | 174 | 12,157 | ||||||
ABIOMED, Inc.* | 29 | 11,863 | ||||||
Verisk Analytics, Inc. — Class A* | 108 | 11,625 | ||||||
IQVIA Holdings, Inc.* | 113 | 11,280 | ||||||
Cintas Corp. | 60 | 11,104 | ||||||
Cardinal Health, Inc. | 217 | 10,596 | ||||||
Equifax, Inc. | 84 | 10,509 | ||||||
Quest Diagnostics, Inc. | 95 | 10,444 | ||||||
ResMed, Inc. | 100 | 10,358 | ||||||
McCormick & Company, Inc. | 85 | 9,868 | ||||||
Conagra Brands, Inc. | 275 | 9,826 | ||||||
Total System Services, Inc. | 116 | 9,804 | ||||||
AmerisourceBergen Corp. — Class A | 114 | 9,721 | ||||||
Hershey Co. | 98 | 9,120 | ||||||
Church & Dwight Company, Inc. | 171 | 9,090 | ||||||
Brown-Forman Corp. — Class B | 183 | 8,969 | ||||||
Molson Coors Brewing Co. — Class B | 129 | 8,777 | ||||||
United Rentals, Inc.* | 58 | 8,562 | ||||||
Gartner, Inc.* | 64 | 8,506 | ||||||
JM Smucker Co. | 79 | 8,491 | ||||||
Incyte Corp.* | 123 | 8,241 | ||||||
Cooper Companies, Inc. | 34 | 8,005 | ||||||
Henry Schein, Inc.* | 108 | 7,845 | ||||||
Hologic, Inc.* | 191 | 7,592 | ||||||
Varian Medical Systems, Inc.* | 64 | 7,278 | ||||||
Nielsen Holdings plc | 234 | 7,238 | ||||||
Hormel Foods Corp. | 189 | 7,033 | ||||||
Dentsply Sirona, Inc. | 159 | 6,959 | ||||||
Universal Health Services, Inc. — Class B | 61 | 6,798 | ||||||
DaVita, Inc.* | 97 | 6,736 | ||||||
Perrigo Company plc | 90 | 6,562 | ||||||
Western Union Co. | 322 | 6,546 | ||||||
Avery Dennison Corp. | 61 | 6,228 | ||||||
Robert Half International, Inc. | 86 | 5,599 | ||||||
Nektar Therapeutics* | 112 | 5,469 | ||||||
Campbell Soup Co.1 | 134 | 5,432 | ||||||
Coty, Inc. — Class A | 330 | 4,653 | ||||||
Envision Healthcare Corp.* | 85 | 3,741 | ||||||
Quanta Services, Inc.* | 104 | 3,474 | ||||||
H&R Block, Inc. | 146 | 3,326 | ||||||
Total Consumer, Non-cyclical | 3,445,386 |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
NOVA FUND |
| Shares | Value | ||||||
Financial - 6.6% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 1,344 | $ | 250,858 | |||||
JPMorgan Chase & Co. | 2,377 | 247,683 | ||||||
Bank of America Corp. | 6,583 | 185,575 | ||||||
Wells Fargo & Co. | 3,061 | 169,702 | ||||||
Visa, Inc. — Class A | 1,247 | 165,165 | ||||||
Mastercard, Inc. — Class A | 640 | 125,773 | ||||||
Citigroup, Inc. | 1,780 | 119,118 | ||||||
U.S. Bancorp | 1,089 | 54,472 | ||||||
Goldman Sachs Group, Inc. | 245 | 54,040 | ||||||
American Express Co. | 498 | 48,804 | ||||||
Morgan Stanley | 952 | 45,125 | ||||||
American Tower Corp. — Class A REIT | 308 | 44,404 | ||||||
PNC Financial Services Group, Inc. | 328 | 44,313 | ||||||
BlackRock, Inc. — Class A | 86 | 42,917 | ||||||
Charles Schwab Corp. | 838 | 42,822 | ||||||
Chubb Ltd. | 325 | 41,282 | ||||||
CME Group, Inc. — Class A | 238 | 39,013 | ||||||
Bank of New York Mellon Corp. | 706 | 38,075 | ||||||
Simon Property Group, Inc. REIT | 216 | 36,761 | ||||||
American International Group, Inc. | 627 | 33,244 | ||||||
Crown Castle International Corp. REIT | 290 | 31,268 | ||||||
Capital One Financial Corp. | 340 | 31,246 | ||||||
MetLife, Inc. | 710 | 30,956 | ||||||
Intercontinental Exchange, Inc. | 404 | 29,714 | ||||||
Marsh & McLennan Companies, Inc. | 354 | 29,017 | ||||||
BB&T Corp. | 544 | 27,439 | ||||||
Prudential Financial, Inc. | 293 | 27,398 | ||||||
Prologis, Inc. REIT | 372 | 24,437 | ||||||
Progressive Corp. | 407 | 24,074 | ||||||
Public Storage REIT | 105 | 23,820 | ||||||
State Street Corp. | 255 | 23,738 | ||||||
Equinix, Inc. REIT | 55 | 23,644 | ||||||
Aon plc | 171 | 23,456 | ||||||
Aflac, Inc. | 540 | 23,231 | ||||||
Travelers Companies, Inc. | 189 | 23,122 | ||||||
Allstate Corp. | 245 | 22,361 | ||||||
SunTrust Banks, Inc. | 324 | 21,390 | ||||||
T. Rowe Price Group, Inc. | 169 | 19,619 | ||||||
Weyerhaeuser Co. REIT | 528 | 19,251 | ||||||
M&T Bank Corp. | 101 | 17,185 | ||||||
Discover Financial Services | 244 | 17,180 | ||||||
Synchrony Financial | 495 | 16,523 | ||||||
AvalonBay Communities, Inc. REIT | 96 | 16,502 | ||||||
Equity Residential REIT | 257 | 16,368 | ||||||
Welltower, Inc. REIT | 260 | 16,299 | ||||||
Digital Realty Trust, Inc. REIT | 144 | 16,068 | ||||||
Northern Trust Corp. | 148 | 15,228 | ||||||
KeyCorp | 741 | 14,479 | ||||||
Ventas, Inc. REIT | 249 | 14,181 | ||||||
Ameriprise Financial, Inc. | 101 | 14,128 | ||||||
Willis Towers Watson plc | 92 | 13,947 | ||||||
Regions Financial Corp. | 784 | 13,940 | ||||||
Fifth Third Bancorp | 479 | 13,747 | ||||||
Boston Properties, Inc. REIT | 108 | 13,545 | ||||||
SBA Communications Corp. REIT* | 80 | 13,210 | ||||||
Citizens Financial Group, Inc. | 338 | 13,148 | ||||||
Hartford Financial Services Group, Inc. | 250 | 12,783 | ||||||
Huntington Bancshares, Inc. | 771 | 11,380 | ||||||
E*TRADE Financial Corp.* | 184 | 11,253 | ||||||
Essex Property Trust, Inc. REIT | 46 | 10,997 | ||||||
Host Hotels & Resorts, Inc. REIT | 518 | 10,914 | ||||||
Comerica, Inc. | 120 | 10,910 | ||||||
Realty Income Corp. REIT | 199 | 10,704 | ||||||
SVB Financial Group* | 37 | 10,684 | ||||||
CBRE Group, Inc. — Class A* | 211 | 10,073 | ||||||
XL Group Ltd. | 180 | 10,071 | ||||||
Principal Financial Group, Inc. | 186 | 9,849 | ||||||
Lincoln National Corp. | 153 | 9,524 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 72 | 9,084 | ||||||
GGP, Inc. REIT | 442 | 9,030 | ||||||
Vornado Realty Trust REIT | 121 | 8,944 | ||||||
Loews Corp. | 183 | 8,835 | ||||||
Extra Space Storage, Inc. REIT | 88 | 8,783 | ||||||
HCP, Inc. REIT | 328 | 8,469 | ||||||
Arthur J Gallagher & Co. | 127 | 8,291 | ||||||
Cboe Global Markets, Inc. | 79 | 8,222 | ||||||
Raymond James Financial, Inc. | 91 | 8,131 | ||||||
Mid-America Apartment Communities, Inc. REIT | 79 | 7,953 | ||||||
Alliance Data Systems Corp. | 34 | 7,929 | ||||||
Invesco Ltd. | 287 | 7,623 | ||||||
Nasdaq, Inc. | 82 | 7,484 | ||||||
Zions Bancorporation | 138 | 7,271 | ||||||
Duke Realty Corp. REIT | 249 | 7,229 | ||||||
Franklin Resources, Inc. | 222 | 7,115 | ||||||
UDR, Inc. REIT | 187 | 7,020 | ||||||
Cincinnati Financial Corp. | 104 | 6,953 | ||||||
Iron Mountain, Inc. REIT | 196 | 6,862 | ||||||
Everest Re Group Ltd. | 29 | 6,684 | ||||||
Federal Realty Investment Trust REIT | 51 | 6,454 | ||||||
Regency Centers Corp. REIT | 103 | 6,394 | ||||||
SL Green Realty Corp. REIT | 62 | 6,233 | ||||||
Torchmark Corp. | 74 | 6,024 | ||||||
Unum Group | 154 | 5,696 | ||||||
Affiliated Managers Group, Inc. | 38 | 5,650 | ||||||
Kimco Realty Corp. REIT | 297 | 5,046 | ||||||
Jefferies Financial Group, Inc. | 212 | 4,821 | ||||||
Apartment Investment & Management Co. — Class A REIT | 110 | 4,653 | ||||||
People’s United Financial, Inc. | 243 | 4,396 | ||||||
Macerich Co. REIT | 76 | 4,319 | ||||||
Assurant, Inc. | 37 | 3,829 | ||||||
Brighthouse Financial, Inc.* | 84 | 3,366 | ||||||
Total Financial | 2,917,940 | |||||||
Technology - 6.0% | ||||||||
Apple, Inc. | 3,431 | 635,113 | ||||||
Microsoft Corp. | 5,363 | 528,845 | ||||||
Intel Corp. | 3,253 | 161,707 | ||||||
NVIDIA Corp. | 424 | 100,446 | ||||||
Oracle Corp. | 2,080 | 91,645 | ||||||
Adobe Systems, Inc.* | 344 | 83,871 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
NOVA FUND |
| Shares | Value | ||||||
International Business Machines Corp. | 596 | $ | 83,261 | |||||
Texas Instruments, Inc. | 683 | 75,301 | ||||||
Accenture plc — Class A | 449 | 73,452 | ||||||
Broadcom, Inc. | 287 | 69,638 | ||||||
salesforce.com, Inc.* | 492 | 67,109 | ||||||
QUALCOMM, Inc. | 1,035 | 58,084 | ||||||
Micron Technology, Inc.* | 810 | 42,476 | ||||||
Activision Blizzard, Inc. | 531 | 40,526 | ||||||
Intuit, Inc. | 170 | 34,732 | ||||||
Applied Materials, Inc. | 704 | 32,518 | ||||||
Cognizant Technology Solutions Corp. — Class A | 409 | 32,307 | ||||||
Electronic Arts, Inc.* | 214 | 30,178 | ||||||
HP, Inc. | 1,146 | 26,003 | ||||||
Analog Devices, Inc. | 259 | 24,843 | ||||||
Fidelity National Information Services, Inc. | 231 | 24,493 | ||||||
Fiserv, Inc.* | 286 | 21,190 | ||||||
Autodesk, Inc.* | 153 | 20,057 | ||||||
Lam Research Corp. | 115 | 19,878 | ||||||
Red Hat, Inc.* | 124 | 16,662 | ||||||
Western Digital Corp. | 209 | 16,179 | ||||||
DXC Technology Co. | 199 | 16,041 | ||||||
Hewlett Packard Enterprise Co. | 1,066 | 15,574 | ||||||
Paychex, Inc. | 223 | 15,242 | ||||||
Microchip Technology, Inc. | 164 | 14,916 | ||||||
NetApp, Inc. | 187 | 14,685 | ||||||
Cerner Corp.* | 220 | 13,154 | ||||||
Skyworks Solutions, Inc. | 127 | 12,274 | ||||||
Xilinx, Inc. | 177 | 11,551 | ||||||
Seagate Technology plc | 200 | 11,294 | ||||||
KLA-Tencor Corp. | 109 | 11,176 | ||||||
ANSYS, Inc.* | 59 | 10,276 | ||||||
MSCI, Inc. — Class A | 62 | 10,257 | ||||||
Take-Two Interactive Software, Inc.* | 80 | 9,469 | ||||||
Broadridge Financial Solutions, Inc. | 82 | 9,438 | ||||||
Citrix Systems, Inc.* | 90 | 9,435 | ||||||
Synopsys, Inc.* | 104 | 8,899 | ||||||
Akamai Technologies, Inc.* | 119 | 8,714 | ||||||
Advanced Micro Devices, Inc.* | 575 | 8,619 | ||||||
Cadence Design Systems, Inc.* | 197 | 8,532 | ||||||
CA, Inc. | 218 | 7,772 | ||||||
Qorvo, Inc.* | 88 | 7,055 | ||||||
IPG Photonics Corp.* | 26 | 5,736 | ||||||
Xerox Corp. | 149 | 3,576 | ||||||
Total Technology | 2,654,199 | |||||||
Communications - 5.4% | ||||||||
Amazon.com, Inc.* | 281 | 477,644 | ||||||
Facebook, Inc. — Class A* | 1,674 | 325,292 | ||||||
Alphabet, Inc. — Class C* | 212 | 236,518 | ||||||
Alphabet, Inc. — Class A* | 208 | 234,872 | ||||||
AT&T, Inc. | 5,069 | 162,761 | ||||||
Verizon Communications, Inc. | 2,884 | 145,094 | ||||||
Cisco Systems, Inc. | 3,283 | 141,268 | ||||||
Netflix, Inc.* | 303 | 118,603 | ||||||
Walt Disney Co. | 1,038 | 108,793 | ||||||
Comcast Corp. — Class A | 3,206 | 105,189 | ||||||
Booking Holdings, Inc.* | 34 | 68,921 | ||||||
Charter Communications, Inc. — Class A* | 129 | 37,824 | ||||||
Twenty-First Century Fox, Inc. — Class A | 736 | 36,572 | ||||||
eBay, Inc.* | 645 | 23,388 | ||||||
Twitter, Inc.* | 457 | 19,957 | ||||||
Twenty-First Century Fox, Inc. — Class B | 307 | 15,126 | ||||||
CBS Corp. — Class B | 238 | 13,380 | ||||||
Motorola Solutions, Inc. | 113 | 13,150 | ||||||
CenturyLink, Inc. | 685 | 12,768 | ||||||
Omnicom Group, Inc. | 159 | 12,127 | ||||||
Expedia Group, Inc. | 84 | 10,096 | ||||||
VeriSign, Inc.* | 67 | 9,207 | ||||||
Symantec Corp. | 434 | 8,962 | ||||||
Viacom, Inc. — Class B | 246 | 7,419 | ||||||
F5 Networks, Inc.* | 43 | 7,415 | ||||||
Juniper Networks, Inc. | 244 | 6,690 | ||||||
Interpublic Group of Companies, Inc. | 269 | 6,305 | ||||||
Discovery, Inc. — Class C* | 238 | 6,069 | ||||||
DISH Network Corp. — Class A* | 160 | 5,378 | ||||||
TripAdvisor, Inc.* | 75 | 4,178 | ||||||
News Corp. — Class A | 268 | 4,154 | ||||||
Discovery, Inc. — Class A*,1 | 109 | 2,998 | ||||||
News Corp. — Class B | 85 | 1,347 | ||||||
Total Communications | 2,389,465 | |||||||
Industrial - 3.5% | ||||||||
Boeing Co. | 382 | 128,165 | ||||||
General Electric Co. | 6,063 | 82,517 | ||||||
3M Co. | 414 | 81,442 | ||||||
Union Pacific Corp. | 541 | 76,649 | ||||||
Honeywell International, Inc. | 521 | 75,050 | ||||||
United Technologies Corp. | 519 | 64,891 | ||||||
Caterpillar, Inc. | 417 | 56,574 | ||||||
Lockheed Martin Corp. | 173 | 51,109 | ||||||
United Parcel Service, Inc. — Class B | 481 | 51,097 | ||||||
FedEx Corp. | 172 | 39,054 | ||||||
CSX Corp. | 611 | 38,970 | ||||||
Raytheon Co. | 201 | 38,829 | ||||||
Northrop Grumman Corp. | 122 | 37,539 | ||||||
General Dynamics Corp. | 193 | 35,977 | ||||||
Deere & Co. | 226 | 31,595 | ||||||
Emerson Electric Co. | 440 | 30,422 | ||||||
Norfolk Southern Corp. | 197 | 29,721 | ||||||
Illinois Tool Works, Inc. | 213 | 29,509 | ||||||
Eaton Corporation plc | 305 | 22,796 | ||||||
Waste Management, Inc. | 278 | 22,613 | ||||||
TE Connectivity Ltd. | 244 | 21,975 | ||||||
Johnson Controls International plc | 647 | 21,642 | ||||||
Roper Technologies, Inc. | 72 | 19,866 | ||||||
Amphenol Corp. — Class A | 210 | 18,301 | ||||||
Fortive Corp. | 214 | 16,502 | ||||||
Corning, Inc. | 580 | 15,956 | ||||||
Ingersoll-Rand plc | 173 | 15,523 | ||||||
Rockwell Collins, Inc. | 115 | 15,488 | ||||||
Rockwell Automation, Inc. | 88 | 14,628 | ||||||
Parker-Hannifin Corp. | 93 | 14,494 | ||||||
Cummins, Inc. | 108 | 14,364 |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
NOVA FUND |
| Shares | Value | ||||||
Stanley Black & Decker, Inc. | 108 | $ | 14,343 | |||||
Agilent Technologies, Inc. | 223 | 13,790 | ||||||
Harris Corp. | 83 | 11,997 | ||||||
Vulcan Materials Co. | 92 | 11,874 | ||||||
Textron, Inc. | 179 | 11,798 | ||||||
TransDigm Group, Inc. | 34 | 11,735 | ||||||
AMETEK, Inc. | 162 | 11,690 | ||||||
Republic Services, Inc. — Class A | 156 | 10,664 | ||||||
Waters Corp.* | 55 | 10,647 | ||||||
L3 Technologies, Inc. | 55 | 10,578 | ||||||
Mettler-Toledo International, Inc.* | 18 | 10,415 | ||||||
WestRock Co. | 179 | 10,207 | ||||||
Martin Marietta Materials, Inc. | 44 | 9,827 | ||||||
Expeditors International of Washington, Inc. | 122 | 8,918 | ||||||
Ball Corp. | 244 | 8,674 | ||||||
Xylem, Inc. | 126 | 8,490 | ||||||
Masco Corp. | 217 | 8,120 | ||||||
CH Robinson Worldwide, Inc. | 97 | 8,115 | ||||||
Dover Corp. | 108 | 7,906 | ||||||
Kansas City Southern | 72 | 7,629 | ||||||
Packaging Corporation of America | 66 | 7,378 | ||||||
J.B. Hunt Transport Services, Inc. | 60 | 7,293 | ||||||
Huntington Ingalls Industries, Inc. | 31 | 6,720 | ||||||
Snap-on, Inc. | 40 | 6,429 | ||||||
AO Smith Corp. | 101 | 5,974 | ||||||
PerkinElmer, Inc. | 77 | 5,639 | ||||||
Fortune Brands Home & Security, Inc. | 102 | 5,476 | ||||||
Jacobs Engineering Group, Inc. | 84 | 5,333 | ||||||
Allegion plc | 66 | 5,106 | ||||||
Arconic, Inc. | 297 | 5,052 | ||||||
FLIR Systems, Inc. | 96 | 4,989 | ||||||
Sealed Air Corp. | 113 | 4,797 | ||||||
Fluor Corp. | 98 | 4,781 | ||||||
Garmin Ltd. | 78 | 4,758 | ||||||
Pentair plc | 113 | 4,755 | ||||||
Stericycle, Inc.* | 60 | 3,917 | ||||||
Flowserve Corp. | 91 | 3,676 | ||||||
Total Industrial | 1,512,748 | |||||||
Consumer, Cyclical - 3.0% | ||||||||
Home Depot, Inc. | 805 | 157,055 | ||||||
Walmart, Inc. | 1,010 | 86,506 | ||||||
McDonald’s Corp. | 548 | 85,866 | ||||||
NIKE, Inc. — Class B | 895 | 71,314 | ||||||
Costco Wholesale Corp. | 306 | 63,948 | ||||||
Lowe’s Companies, Inc. | 574 | 54,857 | ||||||
Starbucks Corp. | 963 | 47,043 | ||||||
TJX Companies, Inc. | 438 | 41,689 | ||||||
Walgreens Boots Alliance, Inc. | 595 | 35,709 | ||||||
General Motors Co. | 885 | 34,869 | ||||||
Ford Motor Co. | 2,732 | 30,243 | ||||||
Target Corp. | 372 | 28,317 | ||||||
Marriott International, Inc. — Class A | 207 | 26,206 | ||||||
Ross Stores, Inc. | 264 | 22,374 | ||||||
Delta Air Lines, Inc. | 451 | 22,343 | ||||||
Southwest Airlines Co. | 372 | 18,927 | ||||||
VF Corp. | 229 | 18,668 | ||||||
Yum! Brands, Inc. | 226 | 17,678 | ||||||
Dollar General Corp. | 177 | 17,452 | ||||||
Aptiv plc | 185 | 16,952 | ||||||
Carnival Corp. | 283 | 16,219 | ||||||
O’Reilly Automotive, Inc.* | 57 | 15,593 | ||||||
Hilton Worldwide Holdings, Inc. | 195 | 15,436 | ||||||
PACCAR, Inc. | 246 | 15,242 | ||||||
Dollar Tree, Inc.* | 166 | 14,110 | ||||||
Best Buy Company, Inc. | 171 | 12,753 | ||||||
AutoZone, Inc.* | 19 | 12,748 | ||||||
Royal Caribbean Cruises Ltd. | 118 | 12,225 | ||||||
United Continental Holdings, Inc.* | 165 | 11,505 | ||||||
WW Grainger, Inc. | 36 | 11,103 | ||||||
American Airlines Group, Inc. | 291 | 11,046 | ||||||
MGM Resorts International | 350 | 10,161 | ||||||
Lennar Corp. — Class A | 191 | 10,028 | ||||||
Wynn Resorts Ltd. | 59 | 9,873 | ||||||
DR Horton, Inc. | 240 | 9,840 | ||||||
Fastenal Co. | 201 | 9,674 | ||||||
Mohawk Industries, Inc.* | 44 | 9,428 | ||||||
Tapestry, Inc. | 201 | 9,389 | ||||||
Genuine Parts Co. | 102 | 9,363 | ||||||
Tiffany & Co. | 71 | 9,344 | ||||||
Ulta Beauty, Inc.* | 40 | 9,338 | ||||||
Darden Restaurants, Inc. | 86 | 9,207 | ||||||
CarMax, Inc.* | 124 | 9,036 | ||||||
Newell Brands, Inc. | 339 | 8,743 | ||||||
Kohl’s Corp. | 117 | 8,529 | ||||||
PVH Corp. | 54 | 8,085 | ||||||
Macy’s, Inc. | 214 | 8,010 | ||||||
Copart, Inc.* | 141 | 7,975 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 17 | 7,333 | ||||||
Hasbro, Inc. | 79 | 7,292 | ||||||
Advance Auto Parts, Inc. | 52 | 7,056 | ||||||
Michael Kors Holdings Ltd.* | 105 | 6,993 | ||||||
LKQ Corp.* | 216 | 6,890 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 144 | 6,804 | ||||||
Whirlpool Corp. | 45 | 6,580 | ||||||
Tractor Supply Co. | 85 | 6,502 | ||||||
L Brands, Inc. | 169 | 6,233 | ||||||
BorgWarner, Inc. | 138 | 5,956 | ||||||
Hanesbrands, Inc.1 | 252 | 5,549 | ||||||
PulteGroup, Inc. | 183 | 5,261 | ||||||
Alaska Air Group, Inc. | 86 | 5,194 | ||||||
Ralph Lauren Corp. — Class A | 39 | 4,903 | ||||||
Gap, Inc. | 151 | 4,891 | ||||||
Harley-Davidson, Inc. | 116 | 4,881 | ||||||
Foot Locker, Inc. | 82 | 4,317 | ||||||
Nordstrom, Inc. | 82 | 4,246 | ||||||
Leggett & Platt, Inc. | 92 | 4,107 | ||||||
Mattel, Inc.1 | 240 | 3,941 | ||||||
Goodyear Tire & Rubber Co. | 167 | 3,889 | ||||||
Under Armour, Inc. — Class A*,1 | 130 | 2,922 | ||||||
Under Armour, Inc. — Class C* | 131 | 2,762 | ||||||
Total Consumer, Cyclical | 1,326,521 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
NOVA FUND |
| Shares | Value | ||||||
Energy - 2.3% | ||||||||
Exxon Mobil Corp. | 2,956 | $ | 244,550 | |||||
Chevron Corp. | 1,334 | 168,658 | ||||||
Schlumberger Ltd. | 967 | 64,818 | ||||||
ConocoPhillips | 817 | 56,879 | ||||||
EOG Resources, Inc. | 404 | 50,270 | ||||||
Occidental Petroleum Corp. | 535 | 44,769 | ||||||
Valero Energy Corp. | 301 | 33,360 | ||||||
Phillips 66 | 293 | 32,907 | ||||||
Halliburton Co. | 611 | 27,531 | ||||||
Anadarko Petroleum Corp. | 360 | 26,370 | ||||||
Kinder Morgan, Inc. | 1,324 | 23,395 | ||||||
Marathon Petroleum Corp. | 322 | 22,591 | ||||||
Pioneer Natural Resources Co. | 119 | 22,520 | ||||||
ONEOK, Inc. | 287 | 20,041 | ||||||
Devon Energy Corp. | 365 | 16,045 | ||||||
Williams Companies, Inc. | 578 | 15,670 | ||||||
Concho Resources, Inc.* | 104 | 14,388 | ||||||
Andeavor | 97 | 12,724 | ||||||
Apache Corp. | 267 | 12,482 | ||||||
Marathon Oil Corp. | 596 | 12,432 | ||||||
Hess Corp. | 183 | 12,241 | ||||||
Noble Energy, Inc. | 338 | 11,925 | ||||||
National Oilwell Varco, Inc. | 267 | 11,588 | ||||||
Equities Corp. | 176 | 9,712 | ||||||
TechnipFMC plc | 303 | 9,617 | ||||||
Baker Hughes a GE Co. | 291 | 9,612 | ||||||
HollyFrontier Corp. | 123 | 8,417 | ||||||
Cabot Oil & Gas Corp. — Class A | 315 | 7,497 | ||||||
Cimarex Energy Co. | 67 | 6,817 | ||||||
Helmerich & Payne, Inc. | 76 | 4,846 | ||||||
Newfield Exploration Co.* | 139 | 4,205 | ||||||
Total Energy | 1,018,877 | |||||||
Utilities - 1.1% | ||||||||
NextEra Energy, Inc. | 329 | 54,953 | ||||||
Duke Energy Corp. | 489 | 38,670 | ||||||
Southern Co. | 706 | 32,695 | ||||||
Dominion Energy, Inc. | 456 | 31,090 | ||||||
Exelon Corp. | 674 | 28,712 | ||||||
American Electric Power Company, Inc. | 344 | 23,822 | ||||||
Sempra Energy | 184 | 21,364 | ||||||
Public Service Enterprise Group, Inc. | 353 | 19,111 | ||||||
Consolidated Edison, Inc. | 217 | 16,922 | ||||||
Xcel Energy, Inc. | 355 | 16,216 | ||||||
PG&E Corp. | 361 | 15,364 | ||||||
Edison International | 227 | 14,362 | ||||||
WEC Energy Group, Inc. | 220 | 14,223 | ||||||
PPL Corp. | 488 | 13,932 | ||||||
DTE Energy Co. | 127 | 13,161 | ||||||
Eversource Energy | 221 | 12,953 | ||||||
FirstEnergy Corp. | 313 | 11,240 | ||||||
Evergy, Inc. | 189 | 10,612 | ||||||
American Water Works Company, Inc. | 124 | 10,587 | ||||||
Ameren Corp. | 170 | 10,345 | ||||||
Entergy Corp. | 126 | 10,180 | ||||||
CMS Energy Corp. | 197 | 9,314 | ||||||
CenterPoint Energy, Inc. | 301 | 8,341 | ||||||
Alliant Energy Corp. | 162 | 6,856 | ||||||
NRG Energy, Inc. | 209 | 6,416 | ||||||
Pinnacle West Capital Corp. | 78 | 6,284 | ||||||
NiSource, Inc. | 236 | 6,202 | ||||||
AES Corp. | 462 | 6,196 | ||||||
SCANA Corp. | 100 | 3,852 | ||||||
Total Utilities | 473,975 | |||||||
Basic Materials - 0.8% | ||||||||
DowDuPont, Inc. | 1,620 | 106,790 | ||||||
Praxair, Inc. | 201 | 31,788 | ||||||
LyondellBasell Industries N.V. — Class A | 224 | 24,606 | ||||||
Air Products & Chemicals, Inc. | 153 | 23,827 | ||||||
Sherwin-Williams Co. | 57 | 23,232 | ||||||
PPG Industries, Inc. | 174 | 18,049 | ||||||
Freeport-McMoRan, Inc. | 941 | 16,242 | ||||||
International Paper Co. | 289 | 15,051 | ||||||
Newmont Mining Corp. | 372 | 14,028 | ||||||
Nucor Corp. | 222 | 13,875 | ||||||
Eastman Chemical Co. | 100 | 9,996 | ||||||
FMC Corp. | 94 | 8,386 | ||||||
Albemarle Corp. | 77 | 7,263 | ||||||
CF Industries Holdings, Inc. | 163 | 7,237 | ||||||
Mosaic Co. | 245 | 6,872 | ||||||
International Flavors & Fragrances, Inc. | 55 | 6,818 | ||||||
Total Basic Materials | 334,060 | |||||||
Total Common Stocks | ||||||||
(Cost $14,448,049) | 16,073,171 | |||||||
MUTUAL FUNDS† - 50.0% | ||||||||
Guggenheim Strategy Fund I2 | 455,894 | 11,415,586 | ||||||
Guggenheim Strategy Fund II2 | 421,737 | 10,539,214 | ||||||
Total Mutual Funds | ||||||||
(Cost $21,881,770) | 21,954,800 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 2.9% | ||||||||
U.S. Treasury Bills | ||||||||
1.87% due 09/20/183,4,5 | $ | 800,000 | 796,666 | |||||
1.72% due 07/12/184,5,9 | 475,000 | 474,779 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,271,337) | 1,271,445 |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
NOVA FUND |
| Face | Value | ||||||
REPURCHASE AGREEMENTS††,6 - 9.2% | ||||||||
JPMorgan Chase & Co. | $ | 2,215,920 | $ | 2,215,920 | ||||
Barclays Capital | 1,088,121 | 1,088,121 | ||||||
Bank of America Merrill Lynch | 725,414 | 725,414 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $4,029,455) | 4,029,455 | |||||||
| Shares |
| ||||||
SECURITIES LENDING COLLATERAL†,7 - 0.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%8 | 16,093 | 16,093 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $16,093) | 16,093 | |||||||
Total Investments - 98.7% | ||||||||
(Cost $41,646,704) | $ | 43,344,964 | ||||||
Other Assets & Liabilities, net - 1.3% | 584,138 | |||||||
Total Net Assets - 100.0% | $ | 43,929,102 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P 500 Index Mini Futures Contracts | 10 | Sep 2018 | $ | 1,360,375 | $ | (444 | ) |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||||
BNP Paribas | S&P 500 Index | 2.54 | % | At Maturity | 07/30/18 | 7,263 | $ | 19,744,641 | $ | 136,117 | |||||||||||||||
Barclays Bank plc | S&P 500 Index | 2.43 | % | At Maturity | 07/31/18 | 3,268 | 8,884,920 | 61,251 | |||||||||||||||||
Goldman Sachs International | S&P 500 Index | 2.48 | % | At Maturity | 07/27/18 | 7,324 | 19,909,422 | 37,708 | |||||||||||||||||
$ | 48,538,983 | $ | 235,076 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7 day yield as of June 30, 2018. |
9 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
NOVA FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 16,073,171 | $ | — | $ | — | $ | 16,073,171 | ||||||||
Mutual Funds | 21,954,800 | — | — | 21,954,800 | ||||||||||||
U.S. Treasury Bills | — | 1,271,445 | — | 1,271,445 | ||||||||||||
Repurchase Agreements | — | 4,029,455 | — | 4,029,455 | ||||||||||||
Securities Lending Collateral | 16,093 | — | — | 16,093 | ||||||||||||
Equity Index Swap Agreements* | — | 235,076 | — | 235,076 | ||||||||||||
Total Assets | $ | 38,044,064 | $ | 5,535,976 | $ | — | $ | 43,580,040 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts* | $ | 444 | $ | — | $ | — | $ | 444 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under Guggenheim Investments (“GI”), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the the underlying series of Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 10,142,312 | $ | 9,156,347 | $ | (7,875,000 | ) | $ | (4,067 | ) | $ | (4,006 | ) | $ | 11,415,586 | 455,894 | $ | 110,949 | ||||||||||||||
Guggenheim Strategy Fund II | 16,526,813 | 1,419,149 | (7,400,000 | ) | 1,679 | (8,427 | ) | 10,539,214 | 421,737 | 148,773 | ||||||||||||||||||||||
$ | 26,669,125 | $ | 10,575,496 | $ | (15,275.000 | ) | $ | (2,388 | ) | $ | (12,433 | ) | $ | 21,954,800 | $ | 259,722 |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOVA FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $15,579 of securities loaned (cost $15,735,479) | $ | 17,360,709 | ||
Investments in affiliated issuers, at value (cost $21,881,770) | 21,954,800 | |||
Repurchase agreements, at value (cost $4,029,455) | 4,029,455 | |||
Cash | 133 | |||
Segregated cash with broker | 3,824 | |||
Unrealized appreciation on swap agreements | 235,076 | |||
Receivables: | ||||
Fund shares sold | 442,902 | |||
Dividends | 65,099 | |||
Securities sold | 15,372 | |||
Interest | 468 | |||
Securities lending income | 3 | |||
Total assets | 44,107,841 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 61,495 | |||
Management fees | 26,791 | |||
Return of securities loaned | 16,093 | |||
Transfer agent and administrative fees | 8,930 | |||
Investor service fees | 8,930 | |||
Portfolio accounting fees | 3,572 | |||
Trustees’ fees* | 1,199 | |||
Swap settlement | 814 | |||
Variation margin | 444 | |||
Fund shares redeemed | 159 | |||
Miscellaneous | 50,312 | |||
Total liabilities | 178,739 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 43,929,102 | ||
Net assets consist of: | ||||
Paid in capital | $ | 40,642,486 | ||
Undistributed net investment income | 194,276 | |||
Accumulated net realized gain on investments | 1,159,448 | |||
Net unrealized appreciation on investments | 1,932,892 | |||
Net assets | $ | 43,929,102 | ||
Capital shares outstanding | 380,790 | |||
Net asset value per share | $ | 115.36 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 259,722 | ||
Dividends from securities of unaffiliated issuers | 153,118 | |||
Interest | 50,588 | |||
Income from securities lending, net | 79 | |||
Total investment income | 463,507 | |||
Expenses: | ||||
Management fees | 164,078 | |||
Investor service fees | 54,693 | |||
Transfer agent and administrative fees | 54,693 | |||
Professional fees | 36,472 | |||
Portfolio accounting fees | 21,877 | |||
Trustees’ fees* | 3,759 | |||
Custodian fees | 2,830 | |||
Line of credit fees | 16 | |||
Miscellaneous | 7,986 | |||
Total expenses | 346,404 | |||
Net investment income | 117,103 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (651,790 | ) | ||
Investments in affiliated issuers | (2,388 | ) | ||
Swap agreements | (425,425 | ) | ||
Futures contracts | 57,239 | |||
Net realized loss | (1,022,364 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (487,456 | ) | ||
Investments in affiliated issuers | (12,433 | ) | ||
Swap agreements | 348,861 | |||
Futures contracts | (134,479 | ) | ||
Net change in unrealized appreciation (depreciation) | (285,507 | ) | ||
Net realized and unrealized loss | (1,307,871 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,190,768 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
NOVA FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 117,103 | $ | 73,932 | ||||
Net realized gain (loss) on investments | (1,022,364 | ) | 9,528,086 | |||||
Net change in unrealized appreciation (depreciation) on investments | (285,507 | ) | 682,028 | |||||
Net increase (decrease) in net assets resulting from operations | (1,190,768 | ) | 10,284,046 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (13,432 | ) | |||||
Net realized gains | — | (1,183,600 | ) | |||||
Total distributions to shareholders | — | (1,197,032 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 140,267,317 | 293,927,461 | ||||||
Distributions reinvested | — | 1,197,032 | ||||||
Cost of shares redeemed | (146,872,454 | ) | (291,254,450 | ) | ||||
Net increase (decrease) from capital share transactions | (6,605,137 | ) | 3,870,043 | |||||
Net increase (decrease) in net assets | (7,795,905 | ) | 12,957,057 | |||||
Net assets: | ||||||||
Beginning of period | 51,725,007 | 38,767,950 | ||||||
End of period | $ | 43,929,102 | $ | 51,725,007 | ||||
Undistributed net investment income at end of period | $ | 194,276 | $ | 77,173 | ||||
Capital share activity: | ||||||||
Shares sold | 1,206,377 | 2,916,039 | ||||||
Shares issued from reinvestment of distributions | — | 12,137 | ||||||
Shares redeemed | (1,283,350 | ) | (2,903,190 | ) | ||||
Net increase (decrease) in shares | (76,973 | ) | 24,986 |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOVA FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 113.00 | $ | 89.58 | $ | 77.42 | $ | 77.97 | $ | 65.81 | $ | 44.21 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .31 | .22 | .06 | (.12 | ) | (.02 | ) | .07 | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.05 | f | 27.62 | 12.10 | (.43 | ) | 12.25 | 21.59 | ||||||||||||||||
Total from investment operations | 2.36 | 27.84 | 12.16 | (.55 | ) | 12.23 | 21.66 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.05 | ) | — | — | (.07 | ) | (.06 | ) | |||||||||||||||
Net realized gains | — | (4.37 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (4.42 | ) | — | — | (.07 | ) | (.06 | ) | |||||||||||||||
Net asset value, end of period | $ | 115.36 | $ | 113.00 | $ | 89.58 | $ | 77.42 | $ | 77.97 | $ | 65.81 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 2.09 | % | 31.78 | % | 15.72 | % | (0.72 | %) | 18.59 | % | 48.99 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 43,929 | $ | 51,725 | $ | 38,768 | $ | 30,483 | $ | 38,983 | $ | 53,515 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.54 | % | 0.22 | % | 0.04 | % | (0.15 | %) | (0.03 | %) | 0.13 | % | ||||||||||||
Total expensesd | 1.58 | % | 1.61 | % | 1.56 | % | 1.51 | % | 1.59 | % | 1.54 | % | ||||||||||||
Portfolio turnover rate | 274 | % | 412 | % | 636 | % | 342 | % | 694 | % | 298 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Share split — Per share amounts for the periods presented through December 31, 2016 , have been restated to reflect a 2:1 share split effective December 1, 2016. |
f | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the period because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
INVERSE S&P 500® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: June 9, 1997
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 24.2% |
Guggenheim Strategy Fund I | 19.7% |
Total | 43.9% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Inverse S&P 500® Strategy Fund | (2.87%) | (12.33%) | (13.30%) | (13.40%) |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
INVERSE S&P 500® STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 43.9% | ||||||||
Guggenheim Strategy Fund II1 | 29,679 | $ | 741,667 | |||||
Guggenheim Strategy Fund I1 | 24,065 | 602,590 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,332,694) | 1,344,257 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 9.7% | ||||||||
Fannie Mae2 | ||||||||
1.13% due 12/14/18 | $ | 200,000 | 199,096 | |||||
Federal Farm Credit Bank3 | ||||||||
1.30% due 12/14/18 | 100,000 | 99,617 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $298,967) | �� | 298,713 | ||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 8.2% | ||||||||
Federal Home Loan Bank3 | ||||||||
1.85% due 07/06/184,5 | 150,000 | 149,962 | ||||||
1.85% due 07/05/184,5 | 100,000 | 99,979 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $249,941) | 249,941 | |||||||
U.S. TREASURY BILLS†† - 4.0% | ||||||||
U.S. Treasury Bills | ||||||||
1.87% due 09/20/184,5,6 | 100,000 | 99,583 | ||||||
1.72% due 07/12/184,5,8 | 23,000 | 22,989 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $122,562) | 122,572 | |||||||
REPURCHASE AGREEMENTS††,7 - 44.1% | ||||||||
JPMorgan Chase & Co. | 742,367 | 742,367 | ||||||
Barclays Capital | 364,538 | 364,538 | ||||||
Bank of America Merrill Lynch | 243,025 | 243,025 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,349,930) | 1,349,930 | |||||||
Total Investments - 109.9% | ||||||||
(Cost $3,354,094) | $ | 3,365,413 | ||||||
Other Assets & Liabilities, net - (9.9)% | (303,207 | ) | ||||||
Total Net Assets - 100.0% | $ | 3,062,206 |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty |
| Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements Sold Short†† | |||||||||||||||||||||||||
Goldman Sachs International | S&P 500 Index | (2.38 | %) | At Maturity | 07/27/18 | 665 | $ | 1,806,795 | $ | 3,117 | |||||||||||||||
Barclays Bank plc | S&P 500 Index | (2.28 | %) | At Maturity | 07/31/18 | 55 | 149,504 | (1,031 | ) | ||||||||||||||||
BNP Paribas | S&P 500 Index | (2.04 | %) | At Maturity | 07/30/18 | 410 | 1,115,097 | (7,687 | ) | ||||||||||||||||
$ | 3,071,396 | $ | (5,601 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. |
7 | Repurchase Agreements — See Note 6. |
8 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
INVERSE S&P 500® STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 1,344,257 | $ | — | $ | — | $ | 1,344,257 | ||||||||
Federal Agency Notes | — | 298,713 | — | 298,713 | ||||||||||||
Federal Agency Discount Notes | — | 249,941 | — | 249,941 | ||||||||||||
U.S. Treasury Bills | — | 122,572 | — | 122,572 | ||||||||||||
Repurchase Agreements | — | 1,349,930 | — | 1,349,930 | ||||||||||||
Equity Index Swap Agreements* | — | 3,117 | — | 3,117 | ||||||||||||
Total Assets | $ | 1,344,257 | $ | 2,024,273 | $ | — | $ | 3,368,530 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Index Swap Agreements* | $ | — | $ | 8,718 | $ | — | $ | 8,718 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the the underlying series of Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 671,339 | $ | 3,761,293 | $ | (3,830,000 | ) | $ | 1,147 | $ | (1,189 | ) | $ | 602,590 | 24,065 | $ | 11,278 | |||||||||||||||
Guggenheim Strategy Fund II | 914,204 | 4,138,107 | (4,310,000 | ) | 1,419 | (2,063 | ) | 741,667 | 29,679 | 13,093 | ||||||||||||||||||||||
$ | 1,585,543 | $ | 7,899,400 | $ | (8,140,000 | ) | $ | 2,566 | $ | (3,252 | ) | $ | 1,344,257 | $ | 24,371 |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $671,470) | $ | 671,226 | ||
Investments in affiliated issuers, at value (cost $1,332,694) | 1,344,257 | |||
Repurchase agreements, at value (cost $1,349,930) | 1,349,930 | |||
Segregated cash with broker | 564 | |||
Unrealized appreciation on swap agreements | 3,117 | |||
Receivables: | ||||
Fund shares sold | 20,411 | |||
Dividends | 3,448 | |||
Swap settlement | 709 | |||
Interest | 321 | |||
Total assets | 3,393,983 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 8,718 | |||
Payable for: | ||||
Fund shares redeemed | 310,486 | |||
Securities purchased | 3,557 | |||
Management fees | 2,075 | |||
Transfer agent and administrative fees | 577 | |||
Investor service fees | 577 | |||
Trustees’ fees* | 294 | |||
Portfolio accounting fees | 231 | |||
Miscellaneous | 5,262 | |||
Total liabilities | 331,777 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 3,062,206 | ||
Net assets consist of: | ||||
Paid in capital | $ | 16,993,396 | ||
Undistributed net investment income | 5,865 | |||
Accumulated net realized loss on investments | (13,942,773 | ) | ||
Net unrealized appreciation on investments | 5,718 | |||
Net assets | $ | 3,062,206 | ||
Capital shares outstanding | 45,297 | |||
Net asset value per share | $ | 67.60 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 24,371 | ||
Interest | 11,374 | |||
Total investment income | 35,745 | |||
Expenses: | ||||
Management fees | 15,491 | |||
Investor service fees | 4,303 | |||
Transfer agent and administrative fees | 4,303 | |||
Professional fees | 2,526 | |||
Portfolio accounting fees | 1,721 | |||
Trustees’ fees* | 341 | |||
Custodian fees | 218 | |||
Miscellaneous | 977 | |||
Total expenses | 29,880 | |||
Net investment income | 5,865 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 2,566 | |||
Swap agreements | 44,278 | |||
Futures contracts | 19,644 | |||
Net realized gain | 66,488 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (243 | ) | ||
Investments in affiliated issuers | (3,252 | ) | ||
Swap agreements | (15,182 | ) | ||
Futures contracts | 1,779 | |||
Net change in unrealized appreciation (depreciation) | (16,898 | ) | ||
Net realized and unrealized gain | 49,590 | |||
Net increase in net assets resulting from operations | $ | 55,455 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
INVERSE S&P 500® STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 5,865 | $ | (6,460 | ) | |||
Net realized gain (loss) on investments | 66,488 | (804,841 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (16,898 | ) | (29,101 | ) | ||||
Net increase (decrease) in net assets resulting from operations | 55,455 | (840,402 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 45,356,933 | 52,117,952 | ||||||
Cost of shares redeemed | (44,923,116 | ) | (53,288,975 | ) | ||||
Net increase (decrease) from capital share transactions | 433,817 | (1,171,023 | ) | |||||
Net increase (decrease) in net assets | 489,272 | (2,011,425 | ) | |||||
Net assets: | ||||||||
Beginning of period | 2,572,934 | 4,584,359 | ||||||
End of period | $ | 3,062,206 | $ | 2,572,934 | ||||
Undistributed net investment income at end of period | $ | 5,865 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 671,066 | 681,570 | ||||||
Shares redeemed | (662,735 | ) | (699,041 | ) | ||||
Net increase (decrease) in shares | 8,331 | (17,471 | ) |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 69.60 | $ | 84.21 | $ | 95.71 | $ | 100.13 | $ | 117.09 | $ | 159.28 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .12 | (.11 | ) | (.11 | ) | (1.32 | ) | (1.62 | ) | (2.22 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.12 | )f | (14.50 | ) | (11.39 | ) | (3.10 | ) | (15.34 | ) | (39.97 | ) | ||||||||||||
Total from investment operations | (2.00 | ) | (14.61 | ) | (11.50 | ) | (4.42 | ) | (16.96 | ) | (42.19 | ) | ||||||||||||
Net asset value, end of period | $ | 67.60 | $ | 69.60 | $ | 84.21 | $ | 95.71 | $ | 100.13 | $ | 117.09 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (2.87 | %) | (17.35 | %) | (12.01 | %) | (4.43 | %) | (14.45 | %) | (26.52 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,062 | $ | 2,573 | $ | 4,584 | $ | 9,497 | $ | 4,456 | $ | 6,797 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.34 | % | (0.15 | %) | (0.69 | %) | (1.38 | %) | (1.46 | %) | (1.64 | %) | ||||||||||||
Total expensesd | 1.74 | % | 1.76 | % | 1.71 | % | 1.66 | % | 1.72 | % | 1.69 | % | ||||||||||||
Portfolio turnover rate | 437 | % | 100 | % | 311 | % | 137 | % | 398 | % | — |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Revere share split — Per share amounts for the periods presented through December 31, 2016, have been restated to reflect a 1:6 reverse share split effective December 1, 2016. |
f | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for the period because of the sales and repurchases of Fund shares in relation to fluctuating market value of the investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
NASDAQ-100® FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for over-the-counter securities on a daily basis. The Fund’s current benchmark is the NASDAQ-100 Index® (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: May 7, 1997
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 18.2% |
Guggenheim Strategy Fund I | 13.6% |
Apple, Inc. | 6.0% |
Amazon.com, Inc. | 5.4% |
Microsoft Corp. | 5.0% |
Facebook, Inc. — Class A | 3.1% |
Alphabet, Inc. — Class C | 2.6% |
Alphabet, Inc. — Class A | 2.2% |
Intel Corp. | 1.5% |
Cisco Systems, Inc. | 1.3% |
Top Ten Total | 58.9% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
NASDAQ-100® Fund | 9.82% | 24.20% | 19.06% | 13.99% |
NASDAQ-100 Index | 10.65% | 26.01% | 20.80% | 15.62% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
NASDAQ-100® FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 52.4% | ||||||||
Technology - 21.0% | ||||||||
Apple, Inc. | 33,560 | $ | 6,212,292 | |||||
Microsoft Corp. | 52,460 | 5,173,081 | ||||||
Intel Corp. | 31,818 | 1,581,673 | ||||||
NVIDIA Corp. | 4,145 | 981,950 | ||||||
Adobe Systems, Inc.* | 3,363 | 819,933 | ||||||
Texas Instruments, Inc. | 6,684 | 736,911 | ||||||
Broadcom, Inc. | 2,805 | 680,605 | ||||||
QUALCOMM, Inc. | 10,123 | 568,103 | ||||||
Micron Technology, Inc.* | 7,919 | 415,272 | ||||||
Activision Blizzard, Inc. | 5,197 | 396,635 | ||||||
Intuit, Inc. | 1,752 | 357,942 | ||||||
Applied Materials, Inc. | 6,883 | 317,926 | ||||||
Cognizant Technology Solutions Corp. — Class A | 4,000 | 315,960 | ||||||
Electronic Arts, Inc.* | 2,095 | 295,437 | ||||||
Analog Devices, Inc. | 2,532 | 242,869 | ||||||
Fiserv, Inc.* | 2,796 | 207,156 | ||||||
Autodesk, Inc.* | 1,496 | 196,111 | ||||||
Lam Research Corp. | 1,120 | 193,592 | ||||||
Paychex, Inc. | 2,453 | 167,662 | ||||||
Western Digital Corp. | 2,042 | 158,071 | ||||||
Microchip Technology, Inc. | 1,605 | 145,975 | ||||||
Cerner Corp.* | 2,266 | 135,484 | ||||||
NetEase, Inc. ADR | 521 | 131,641 | ||||||
Workday, Inc. — Class A* | 998 | 120,878 | ||||||
Skyworks Solutions, Inc. | 1,243 | 120,136 | ||||||
Xilinx, Inc. | 1,730 | 112,900 | ||||||
Maxim Integrated Products, Inc. | 1,909 | 111,982 | ||||||
Seagate Technology plc | 1,960 | 110,681 | ||||||
KLA-Tencor Corp. | 1,064 | 109,092 | ||||||
Check Point Software Technologies Ltd.* | 1,086 | 106,080 | ||||||
CA, Inc. | 2,845 | 101,424 | ||||||
ASML Holding N.V. — Class G | 510 | 100,965 | ||||||
Citrix Systems, Inc.* | 925 | 96,977 | ||||||
Take-Two Interactive Software, Inc.* | 781 | 92,439 | ||||||
Synopsys, Inc.* | 1,017 | 87,025 | ||||||
Cadence Design Systems, Inc.* | 1,925 | 83,372 | ||||||
Total Technology | 21,786,232 | |||||||
Communications - 20.5% | ||||||||
Amazon.com, Inc.* | 3,313 | 5,631,437 | ||||||
Facebook, Inc. — Class A* | 16,377 | 3,182,379 | ||||||
Alphabet, Inc. — Class C* | 2,382 | 2,657,478 | ||||||
Alphabet, Inc. — Class A* | 2,039 | 2,302,418 | ||||||
Cisco Systems, Inc. | 32,111 | 1,381,736 | ||||||
Netflix, Inc.* | 2,968 | 1,161,764 | ||||||
Comcast Corp. — Class A | 31,355 | 1,028,758 | ||||||
Booking Holdings, Inc.* | 329 | 666,913 | ||||||
Charter Communications, Inc. — Class A* | 1,621 | 475,293 | ||||||
Baidu, Inc. ADR* | 1,916 | 465,588 | ||||||
Twenty-First Century Fox, Inc. — Class A | 7,197 | 357,619 | ||||||
T-Mobile US, Inc.* | 5,782 | 345,475 | ||||||
Twenty-First Century Fox, Inc. — Class B | 5,452 | 268,620 | ||||||
eBay, Inc.* | 6,787 | 246,097 | ||||||
JD.com, Inc. ADR* | 6,300 | 245,385 | ||||||
Sirius XM Holdings, Inc.1 | 30,581 | 207,033 | ||||||
Ctrip.com International Ltd. ADR* | 3,181 | 151,511 | ||||||
Expedia Group, Inc. | 938 | 112,738 | ||||||
Liberty Global plc — Class C* | 3,893 | 103,593 | ||||||
MercadoLibre, Inc. | 302 | 90,277 | ||||||
Symantec Corp. | 4,244 | 87,639 | ||||||
Vodafone Group plc ADR | 3,242 | 78,813 | ||||||
DISH Network Corp. — Class A* | 1,563 | 52,532 | ||||||
Liberty Global plc — Class A* | 1,481 | 40,787 | ||||||
Total Communications | 21,341,883 | |||||||
Consumer, Non-cyclical - 7.1% | ||||||||
Amgen, Inc. | 4,518 | 833,978 | ||||||
PayPal Holdings, Inc.* | 8,107 | 675,070 | ||||||
Gilead Sciences, Inc. | 8,878 | 628,917 | ||||||
Kraft Heinz Co. | 8,324 | 522,914 | ||||||
Biogen, Inc.* | 1,441 | 418,236 | ||||||
Mondelez International, Inc. — Class A | 10,071 | 412,911 | ||||||
Automatic Data Processing, Inc. | 3,008 | 403,493 | ||||||
Celgene Corp.* | 4,949 | 393,050 | ||||||
Intuitive Surgical, Inc.* | 774 | 370,344 | ||||||
Express Scripts Holding Co.* | 3,835 | 296,100 | ||||||
Vertex Pharmaceuticals, Inc.* | 1,740 | 295,730 | ||||||
Illumina, Inc.* | 1,004 | 280,407 | ||||||
Regeneron Pharmaceuticals, Inc.* | 723 | 249,428 | ||||||
Monster Beverage Corp.* | 3,842 | 220,146 | ||||||
Alexion Pharmaceuticals, Inc.* | 1,519 | 188,584 | ||||||
Align Technology, Inc.* | 547 | 187,151 | ||||||
Cintas Corp. | 728 | 134,731 | ||||||
IDEXX Laboratories, Inc.* | 593 | 129,238 | ||||||
Mylan N.V.* | 3,519 | 127,177 | ||||||
Verisk Analytics, Inc. — Class A* | 1,128 | 121,418 | ||||||
BioMarin Pharmaceutical, Inc.* | 1,207 | 113,699 | ||||||
Incyte Corp.* | 1,447 | 96,949 | ||||||
Shire plc ADR | 466 | 78,661 | ||||||
Henry Schein, Inc.* | 1,052 | 76,417 | ||||||
Hologic, Inc.* | 1,864 | 74,094 | ||||||
Dentsply Sirona, Inc. | 1,553 | 67,975 | ||||||
Total Consumer, Non-cyclical | 7,396,818 | |||||||
Consumer, Cyclical - 3.3% | ||||||||
Costco Wholesale Corp. | 2,996 | 626,104 | ||||||
Starbucks Corp. | 9,422 | 460,265 | ||||||
Walgreens Boots Alliance, Inc. | 6,771 | 406,362 | ||||||
Tesla, Inc.*,1 | 1,159 | 397,479 | ||||||
Marriott International, Inc. — Class A | 2,412 | 305,359 | ||||||
Ross Stores, Inc. | 2,585 | 219,079 | ||||||
O’Reilly Automotive, Inc.* | 559 | 152,926 | ||||||
PACCAR, Inc. | 2,401 | 148,766 | ||||||
Dollar Tree, Inc.* | 1,623 | 137,955 | ||||||
Wynn Resorts Ltd. | 741 | 123,999 | ||||||
American Airlines Group, Inc. | 3,196 | 121,320 | ||||||
Ulta Beauty, Inc.* | 412 | 96,185 | ||||||
Fastenal Co. | 1,964 | 94,527 | ||||||
Hasbro, Inc. | 853 | 78,741 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
NASDAQ-100® FUND |
| Shares | Value | ||||||
Qurate Retail, Inc. — Class A* | 3,007 | $ | 63,808 | |||||
Total Consumer, Cyclical | 3,432,875 | |||||||
Industrial - 0.5% | ||||||||
CSX Corp. | 5,977 | 381,213 | ||||||
J.B. Hunt Transport Services, Inc. | 749 | 91,041 | ||||||
Total Industrial | 472,254 | |||||||
Total Common Stocks | ||||||||
(Cost $26,960,323) | 54,430,062 | |||||||
MUTUAL FUNDS† - 31.8% | ||||||||
Guggenheim Strategy Fund II2 | 758,514 | 18,955,264 | ||||||
Guggenheim Strategy Fund I2 | 564,966 | 14,146,751 | ||||||
Total Mutual Funds | ||||||||
(Cost $33,095,405) | 33,102,015 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 1.1% | ||||||||
U.S. Treasury Bills | ||||||||
1.87% due 09/20/183,4,5 | $ | 600,000 | 597,500 | |||||
1.72% due 07/12/184,5,9 | 508,000 | 507,763 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,105,170) | 1,105,263 | |||||||
REPURCHASE AGREEMENTS††,6 - 12.8% | ||||||||
JPMorgan Chase & Co. | 7,286,725 | 7,286,725 | ||||||
Barclays Capital | 3,578,126 | 3,578,126 | ||||||
Bank of America Merrill Lynch | 2,385,417 | 2,385,417 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $13,250,268) | 13,250,268 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,7 - 0.4% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%8 | 444,129 | 444,129 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $444,129) | 444,129 | |||||||
Total Investments - 98.5% | ||||||||
(Cost $74,855,295) | $ | 102,331,737 | ||||||
Other Assets & Liabilities, net - 1.5% | 1,565,548 | |||||||
Total Net Assets - 100.0% | $ | 103,897,285 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 137 | Sep 2018 | $ | 19,350,565 | $ | (199,675 | ) |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||||
BNP Paribas | NASDAQ-100 Index | 2.59 | % | At Maturity | 07/30/18 | 1,511 | $ | 10,641,794 | $ | 107,506 | |||||||||||||||
Barclays Bank plc | NASDAQ-100 Index | 2.48 | % | At Maturity | 07/31/18 | 1,441 | 10,147,426 | 102,512 | |||||||||||||||||
Goldman Sachs International | NASDAQ-100 Index | 2.58 | % | At Maturity | 07/27/18 | 1,332 | 9,384,568 | (30,132 | ) | ||||||||||||||||
$ | 30,173,788 | $ | 179,886 |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
NASDAQ-100® FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7 day yield as of June 30, 2018. |
9 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 54,430,062 | $ | — | $ | — | $ | 54,430,062 | ||||||||
Mutual Funds | 33,102,015 | — | — | 33,102,015 | ||||||||||||
U.S. Treasury Bills | — | 1,105,263 | — | 1,105,263 | ||||||||||||
Repurchase Agreements | — | 13,250,268 | — | 13,250,268 | ||||||||||||
Securities Lending Collateral | 444,129 | — | — | 444,129 | ||||||||||||
Equity Index Swap Agreements* | — | 210,018 | — | 210,018 | ||||||||||||
Total Assets | $ | 87,976,206 | $ | 14,565,549 | $ | — | $ | 102,541,755 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts* | $ | 199,675 | $ | — | $ | — | $ | 199,675 | ||||||||
Equity Index Swap Agreements* | — | 30,132 | — | 30,132 | ||||||||||||
Total Liabilities | $ | 199,675 | $ | 30,132 | $ | — | $ | 229,807 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
NASDAQ-100® FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 4,351,654 | $ | 12,808,045 | $ | (3,000,000 | ) | $ | (1,560 | ) | $ | (11,388 | ) | $ | 14,146,751 | 564,966 | $ | 107,162 | ||||||||||||||
Guggenheim Strategy Fund II | 12,259,973 | 7,312,803 | (600,000 | ) | (1,440 | ) | (16,072 | ) | 18,955,264 | 758,514 | 211,822 | |||||||||||||||||||||
$ | 16,611,627 | $ | 20,120,848 | $ | (3,600,000 | ) | $ | (3,000 | ) | $ | (27,460 | ) | $ | 33,102,015 | $ | 318,984 |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $427,631 of securities loaned (cost $28,509,622) | $ | 55,979,454 | ||
Investments in affiliated issuers, at value (cost $33,095,405) | 33,102,015 | |||
Repurchase agreements, at value (cost $13,250,268) | 13,250,268 | |||
Segregated cash with broker | 672,597 | |||
Unrealized appreciation on swap agreements | 210,018 | |||
Receivables: | ||||
Fund shares sold | 1,418,253 | |||
Dividends | 90,043 | |||
Variation margin | 4,795 | |||
Interest | 1,537 | |||
Securities lending income | 634 | |||
Total assets | 104,729,614 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 30,132 | |||
Payable for: | ||||
Return of securities loaned | 444,129 | |||
Securities purchased | 82,768 | |||
Management fees | 56,659 | |||
Fund shares redeemed | 31,751 | |||
Swap settlement | 23,572 | |||
Transfer agent and administrative fees | 18,886 | |||
Investor service fees | 18,886 | |||
Portfolio accounting fees | 7,555 | |||
Trustees’ fees* | 2,345 | |||
Miscellaneous | 115,646 | |||
Total liabilities | 832,329 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 103,897,285 | ||
Net assets consist of: | ||||
Paid in capital | $ | 71,919,351 | ||
Accumulated net investment loss | (42,146 | ) | ||
Accumulated net realized gain on investments | 4,563,427 | |||
Net unrealized appreciation on investments | 27,456,653 | |||
Net assets | $ | 103,897,285 | ||
Capital shares outstanding | 2,444,848 | |||
Net asset value per share | $ | 42.50 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $118) | $ | 304,543 | ||
Dividends from securities of affiliated issuers | 318,984 | |||
Interest | 47,227 | |||
Income from securities lending, net | 4,451 | |||
Total investment income | 675,205 | |||
Expenses: | ||||
Management fees | 331,735 | |||
Investor service fees | 110,578 | |||
Transfer agent and administrative fees | 110,578 | |||
Professional fees | 64,836 | |||
Portfolio accounting fees | 44,231 | |||
Trustees’ fees* | 9,519 | |||
Custodian fees | 5,618 | |||
Line of credit fees | 10 | |||
Miscellaneous | 40,246 | |||
Total expenses | 717,351 | |||
Net investment loss | (42,146 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 378,422 | |||
Investments in affiliated issuers | (3,000 | ) | ||
Swap agreements | 1,362,404 | |||
Futures contracts | 1,184,744 | |||
Net realized gain | 2,922,570 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 4,511,254 | |||
Investments in affiliated issuers | (27,460 | ) | ||
Swap agreements | 245,505 | |||
Futures contracts | (281,856 | ) | ||
Net change in unrealized appreciation (depreciation) | 4,447,443 | |||
Net realized and unrealized gain | 7,370,013 | |||
Net increase in net assets resulting from operations | $ | 7,327,867 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
NASDAQ-100® FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (42,146 | ) | $ | (223,450 | ) | ||
Net realized gain on investments | 2,922,570 | 8,952,799 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 4,447,443 | 11,028,602 | ||||||
Net increase in net assets resulting from operations | 7,327,867 | 19,757,951 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (5,453,414 | ) | |||||
Total distributions to shareholders | — | (5,453,414 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 140,150,092 | 192,464,835 | ||||||
Distributions reinvested | — | 5,453,414 | ||||||
Cost of shares redeemed | (120,442,509 | ) | (196,876,945 | ) | ||||
Net increase from capital share transactions | 19,707,583 | 1,041,304 | ||||||
Net increase in net assets | 27,035,450 | 15,345,841 | ||||||
Net assets: | ||||||||
Beginning of period | 76,861,835 | 61,515,994 | ||||||
End of period | $ | 103,897,285 | $ | 76,861,835 | ||||
Accumulated net investment loss at end of period | $ | (42,146 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 3,431,429 | 5,318,119 | ||||||
Shares issued from reinvestment of distributions | — | 155,368 | ||||||
Shares redeemed | (2,972,669 | ) | (5,416,663 | ) | ||||
Net increase in shares | 458,760 | 56,824 |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 38.70 | $ | 31.89 | $ | 34.16 | $ | 33.70 | $ | 30.37 | $ | 22.57 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.02 | ) | (.11 | ) | (.11 | ) | (.16 | ) | (.11 | ) | (.09 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.82 | 9.73 | 1.92 | 2.90 | 5.40 | 7.89 | ||||||||||||||||||
Total from investment operations | 3.80 | 9.62 | 1.81 | 2.74 | 5.29 | 7.80 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (2.81 | ) | (4.08 | ) | (2.28 | ) | (1.96 | ) | — | ||||||||||||||
Total distributions | — | (2.81 | ) | (4.08 | ) | (2.28 | ) | (1.96 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 42.50 | $ | 38.70 | $ | 31.89 | $ | 34.16 | $ | 33.70 | $ | 30.37 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 9.82 | % | 31.12 | % | 5.98 | % | 8.24 | % | 17.45 | % | 34.62 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 103,897 | $ | 76,862 | $ | 61,516 | $ | 98,543 | $ | 82,082 | $ | 72,810 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.10 | %) | (0.30 | %) | (0.34 | %) | (0.47 | %) | (0.33 | %) | (0.36 | %) | ||||||||||||
Total expensesd | 1.62 | % | 1.64 | % | 1.60 | % | 1.54 | % | 1.60 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 40 | % | 101 | % | 284 | % | 241 | % | 225 | % | 186 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
INVERSE NASDAQ-100® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the NASDAQ-100 Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: May 21, 2001
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 36.3% |
Guggenheim Strategy Fund I | 27.0% |
Total | 63.3% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Inverse NASDAQ-100® Strategy Fund | (10.66%) | (21.58%) | (19.31%) | (17.77%) |
NASDAQ-100 Index | 10.65% | 26.01% | 20.80% | 15.62% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
INVERSE NASDAQ-100® STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 63.3% | ||||||||
Guggenheim Strategy Fund II1 | 9,461 | $ | 236,436 | |||||
Guggenheim Strategy Fund I1 | 7,035 | 176,144 | ||||||
Total Mutual Funds | ||||||||
(Cost $409,975) | 412,580 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 15.3% | ||||||||
Freddie Mac2 | ||||||||
0.80% due 07/11/18 | $ | 50,000 | 49,986 | |||||
Federal Farm Credit Bank3 | ||||||||
0.75% due 07/18/18 | 50,000 | 49,975 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $99,959) | 99,961 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 7.7% | ||||||||
Fannie Mae2 | ||||||||
1.76% due 07/18/184,5 | 50,000 | 49,957 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $49,957) | 49,957 | |||||||
REPURCHASE AGREEMENTS††,6 - 23.8% | ||||||||
JPMorgan Chase & Co. | 85,386 | 85,386 | ||||||
Barclays Capital | 41,929 | 41,929 | ||||||
Bank of America Merrill Lynch | 27,952 | 27,952 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $155,267) | 155,267 | |||||||
Total Investments - 110.1% | ||||||||
(Cost $715,158) | $ | 717,765 | ||||||
Other Assets & Liabilities, net - (10.1)% | (65,914 | ) | ||||||
Total Net Assets - 100.0% | $ | 651,851 |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements Sold Short†† | |||||||||||||||||||||||||
Goldman Sachs International | NASDAQ-100 Index | (2.28 | %) | At Maturity | 07/27/18 | 36 | $ | 253,143 | $ | 985 | |||||||||||||||
Barclays Bank plc | NASDAQ-100 Index | (2.33 | %) | At Maturity | 07/31/18 | 7 | 48,492 | (490 | ) | ||||||||||||||||
BNP Paribas | NASDAQ-100 Index | (2.92 | %) | At Maturity | 07/30/18 | 51 | 356,448 | (3,599 | ) | ||||||||||||||||
$ | 658,083 | $ | (3,104 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
7 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
INVERSE NASDAQ-100® STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 412,580 | $ | — | $ | — | $ | 412,580 | ||||||||
Federal Agency Notes | — | 99,961 | — | 99,961 | ||||||||||||
Federal Agency Discount Notes | — | 49,957 | — | 49,957 | ||||||||||||
Repurchase Agreements | — | 155,267 | — | 155,267 | ||||||||||||
Equity Index Swap Agreements* | — | 985 | — | 985 | ||||||||||||
Total Assets | $ | 412,580 | $ | 306,170 | $ | — | $ | 718,750 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Index Swap Agreements* | $ | — | $ | 4,089 | $ | — | $ | 4,089 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 158,610 | $ | 277,595 | $ | (260,000 | ) | $ | 302 | $ | (363 | ) | $ | 176,144 | 7,035 | $ | 2,595 | |||||||||||||||
Guggenheim Strategy Fund II | 158,498 | 178,130 | (100,000 | ) | (3 | ) | (189 | ) | 236,436 | 9,461 | 3,125 | |||||||||||||||||||||
$ | 317,108 | $ | 455,725 | $ | (360,000 | ) | $ | 299 | $ | (552 | ) | $ | 412,580 | $ | 5,720 |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $149,916) | $ | 149,918 | ||
Investments in affiliated issuers, at value (cost $409,975) | 412,580 | |||
Repurchase agreements, at value (cost $155,267) | 155,267 | |||
Unrealized appreciation on swap agreements | 985 | |||
Receivables: | ||||
Fund shares sold | 20,412 | |||
Dividends | 1,140 | |||
Interest | 377 | |||
Total assets | 740,679 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 4,089 | |||
Payable for: | ||||
Fund shares redeemed | 78,564 | |||
Securities purchased | 1,174 | |||
Swap settlement | 1,130 | |||
Management fees | 561 | |||
Transfer agent and administrative fees | 156 | |||
Investor service fees | 156 | |||
Portfolio accounting fees | 62 | |||
Trustees’ fees* | 17 | |||
Miscellaneous | 2,919 | |||
Total liabilities | 88,828 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 651,851 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,943,931 | ||
Undistributed net investment income | 1,157 | |||
Accumulated net realized loss on investments | (6,292,740 | ) | ||
Net unrealized depreciation on investments | (497 | ) | ||
Net assets | $ | 651,851 | ||
Capital shares outstanding | 12,309 | |||
Net asset value per share | $ | 52.96 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 5,720 | ||
Interest | 3,372 | |||
Total investment income | 9,092 | |||
Expenses: | ||||
Management fees | 4,035 | |||
Investor service fees | 1,121 | |||
Transfer agent and administrative fees | 1,121 | |||
Professional fees | 837 | |||
Printing expenses | 502 | |||
Portfolio accounting fees | 448 | |||
Trustees’ fees* | 244 | |||
Custodian fees | 58 | |||
Miscellaneous | (431 | ) | ||
Total expenses | 7,935 | |||
Net investment income | 1,157 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 11 | |||
Investments in affiliated issuers | 299 | |||
Swap agreements | (97,297 | ) | ||
Net realized loss | (96,987 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 2 | |||
Investments in affiliated issuers | (552 | ) | ||
Swap agreements | (7,992 | ) | ||
Net change in unrealized appreciation (depreciation) | (8,542 | ) | ||
Net realized and unrealized loss | (105,529 | ) | ||
Net decrease in net assets resulting from operations | $ | (104,372 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
INVERSE NASDAQ-100® STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 1,157 | $ | (2,643 | ) | |||
Net realized loss on investments | (96,987 | ) | (458,800 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (8,542 | ) | (27,968 | ) | ||||
Net decrease in net assets resulting from operations | (104,372 | ) | (489,411 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 15,144,173 | 38,954,509 | ||||||
Cost of shares redeemed | (15,159,948 | ) | (40,345,194 | ) | ||||
Net decrease from capital share transactions | (15,775 | ) | (1,390,685 | ) | ||||
Net decrease in net assets | (120,147 | ) | (1,880,096 | ) | ||||
Net assets: | ||||||||
Beginning of period | 771,998 | 2,652,094 | ||||||
End of period | $ | 651,851 | $ | 771,998 | ||||
Undistributed net investment income at end of period | $ | 1,157 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 278,017 | 588,712 | ||||||
Shares redeemed | (278,731 | ) | (609,395 | ) | ||||
Net decrease in shares | (714 | ) | (20,683 | ) |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 59.28 | $ | 78.68 | $ | 86.94 | $ | 99.74 | $ | 122.62 | $ | 172.83 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .07 | (.11 | ) | (.18 | ) | (1.36 | ) | (1.68 | ) | (2.60 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (6.39 | ) | (19.29 | ) | (8.08 | ) | (11.44 | ) | (21.20 | ) | (47.61 | ) | ||||||||||||
Total from investment operations | (6.32 | ) | (19.40 | ) | (8.26 | ) | (12.80 | ) | (22.88 | ) | (50.21 | ) | ||||||||||||
Net asset value, end of period | $ | 52.96 | $ | 59.28 | $ | 78.68 | $ | 86.94 | $ | 99.74 | $ | 122.62 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (10.66 | %) | (24.66 | %) | (9.48 | %) | (12.87 | %) | (18.63 | %) | (29.05 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 652 | $ | 772 | $ | 2,652 | $ | 1,527 | $ | 1,634 | $ | 2,466 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.26 | % | (0.17 | %) | (0.78 | %) | (1.47 | %) | (1.47 | %) | (1.68 | %) | ||||||||||||
Total expensesd | 1.77 | % | 1.79 | % | 1.74 | % | 1.70 | % | 1.77 | % | 1.73 | % | ||||||||||||
Portfolio turnover rate | 83 | % | 119 | % | 382 | % | 406 | % | 302 | % | — |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
S&P 500® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the S&P 500® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: October 1, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 27.2% |
Guggenheim Strategy Fund I | 21.2% |
Apple, Inc. | 0.6% |
Microsoft Corp. | 0.5% |
Amazon.com, Inc. | 0.5% |
Facebook, Inc. — Class A | 0.3% |
Berkshire Hathaway, Inc. — Class B | 0.2% |
JPMorgan Chase & Co. | 0.2% |
Exxon Mobil Corp. | 0.2% |
Alphabet, Inc. — Class C | 0.2% |
Top Ten Total | 51.1% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® 2x Strategy Fund | 1.65% | 23.99% | 23.43% | 13.63% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
S&P 500® 2x STRATEGY FUND |
| Shares | Value | ||||||
�� | ||||||||
COMMON STOCKS† - 15.2% | ||||||||
Consumer, Non-cyclical - 3.3% | ||||||||
Johnson & Johnson | 810 | $ | 98,285 | |||||
UnitedHealth Group, Inc. | 290 | 71,149 | ||||||
Pfizer, Inc. | 1,768 | 64,143 | ||||||
Procter & Gamble Co. | 760 | 59,326 | ||||||
Coca-Cola Co. | 1,157 | 50,746 | ||||||
Merck & Company, Inc. | 813 | 49,349 | ||||||
PepsiCo, Inc. | 429 | 46,705 | ||||||
AbbVie, Inc. | 458 | 42,434 | ||||||
Philip Morris International, Inc. | 469 | 37,867 | ||||||
Amgen, Inc. | 200 | 36,918 | ||||||
Medtronic plc | 409 | 35,015 | ||||||
Altria Group, Inc. | 572 | 32,484 | ||||||
Abbott Laboratories | 530 | 32,325 | ||||||
PayPal Holdings, Inc.* | 337 | 28,062 | ||||||
Gilead Sciences, Inc. | 393 | 27,840 | ||||||
Bristol-Myers Squibb Co. | 494 | 27,338 | ||||||
Thermo Fisher Scientific, Inc. | 122 | 25,271 | ||||||
Eli Lilly & Co. | 288 | 24,575 | ||||||
CVS Health Corp. | 307 | 19,755 | ||||||
Becton Dickinson and Co. | 81 | 19,404 | ||||||
Biogen, Inc.* | 64 | 18,575 | ||||||
Danaher Corp. | 186 | 18,355 | ||||||
Anthem, Inc. | 77 | 18,328 | ||||||
Mondelez International, Inc. — Class A | 446 | 18,286 | ||||||
Aetna, Inc. | 99 | 18,167 | ||||||
Automatic Data Processing, Inc. | 133 | 17,841 | ||||||
Colgate-Palmolive Co. | 264 | 17,110 | ||||||
Allergan plc | 102 | 17,005 | ||||||
Celgene Corp.* | 214 | 16,996 | ||||||
Stryker Corp. | 97 | 16,379 | ||||||
Intuitive Surgical, Inc.* | 34 | 16,268 | ||||||
S&P Global, Inc. | 76 | 15,496 | ||||||
Boston Scientific Corp.* | 417 | 13,636 | ||||||
Express Scripts Holding Co.* | 170 | 13,126 | ||||||
Vertex Pharmaceuticals, Inc.* | 77 | 13,087 | ||||||
Cigna Corp. | 74 | 12,576 | ||||||
Zoetis, Inc. | 146 | 12,438 | ||||||
Illumina, Inc.* | 44 | 12,289 | ||||||
Humana, Inc. | 41 | 12,203 | ||||||
Kraft Heinz Co. | 181 | 11,370 | ||||||
Kimberly-Clark Corp. | 106 | 11,166 | ||||||
Ecolab, Inc. | 78 | 10,946 | ||||||
Constellation Brands, Inc. — Class A | 50 | 10,944 | ||||||
Baxter International, Inc. | 148 | 10,928 | ||||||
Sysco Corp. | 144 | 9,834 | ||||||
Estee Lauder Companies, Inc. — Class A | 67 | 9,560 | ||||||
Edwards Lifesciences Corp.* | 64 | 9,316 | ||||||
HCA Healthcare, Inc. | 84 | 8,618 | ||||||
Moody’s Corp. | 50 | 8,528 | ||||||
Alexion Pharmaceuticals, Inc.* | 67 | 8,318 | ||||||
McKesson Corp. | 61 | 8,137 | ||||||
Regeneron Pharmaceuticals, Inc.* | 23 | 7,935 | ||||||
General Mills, Inc. | 179 | 7,923 | ||||||
Archer-Daniels-Midland Co. | 169 | 7,745 | ||||||
Centene Corp.* | 62 | 7,639 | ||||||
Align Technology, Inc.* | 22 | 7,527 | ||||||
Monster Beverage Corp.* | 123 | 7,048 | ||||||
Kroger Co. | 246 | 6,999 | ||||||
Zimmer Biomet Holdings, Inc. | 61 | 6,798 | ||||||
Tyson Foods, Inc. — Class A | 90 | 6,197 | ||||||
IDEXX Laboratories, Inc.* | 26 | 5,666 | ||||||
Mylan N.V.* | 155 | 5,602 | ||||||
Laboratory Corporation of America Holdings* | 31 | 5,565 | ||||||
IHS Markit Ltd.* | 107 | 5,520 | ||||||
FleetCor Technologies, Inc.* | 26 | 5,477 | ||||||
Global Payments, Inc. | 48 | 5,351 | ||||||
Clorox Co. | 39 | 5,275 | ||||||
Kellogg Co. | 75 | 5,240 | ||||||
Verisk Analytics, Inc. — Class A* | 47 | 5,059 | ||||||
ABIOMED, Inc.* | 12 | 4,909 | ||||||
Cintas Corp. | 26 | 4,812 | ||||||
IQVIA Holdings, Inc.* | 48 | 4,791 | ||||||
Cardinal Health, Inc. | 93 | 4,541 | ||||||
Quest Diagnostics, Inc. | 41 | 4,508 | ||||||
Equifax, Inc. | 36 | 4,504 | ||||||
ResMed, Inc. | 43 | 4,454 | ||||||
Conagra Brands, Inc. | 119 | 4,252 | ||||||
Total System Services, Inc. | 50 | 4,226 | ||||||
McCormick & Company, Inc. | 36 | 4,179 | ||||||
AmerisourceBergen Corp. — Class A | 49 | 4,178 | ||||||
Hershey Co. | 42 | 3,909 | ||||||
Church & Dwight Company, Inc. | 73 | 3,881 | ||||||
Brown-Forman Corp. — Class B | 79 | 3,872 | ||||||
Molson Coors Brewing Co. — Class B | 56 | 3,810 | ||||||
United Rentals, Inc.* | 25 | 3,690 | ||||||
JM Smucker Co. | 34 | 3,654 | ||||||
Gartner, Inc.* | 27 | 3,588 | ||||||
Incyte Corp.* | 53 | 3,551 | ||||||
Cooper Companies, Inc. | 15 | 3,532 | ||||||
Henry Schein, Inc.* | 47 | 3,414 | ||||||
Hologic, Inc.* | 82 | 3,260 | ||||||
Nielsen Holdings plc | 101 | 3,124 | ||||||
Varian Medical Systems, Inc.* | 27 | 3,070 | ||||||
Hormel Foods Corp. | 82 | 3,051 | ||||||
Dentsply Sirona, Inc. | 68 | 2,976 | ||||||
DaVita, Inc.* | 42 | 2,917 | ||||||
Universal Health Services, Inc. — Class B | 26 | 2,898 | ||||||
Western Union Co. | 139 | 2,826 | ||||||
Perrigo Company plc | 38 | 2,771 | ||||||
Avery Dennison Corp. | 26 | 2,654 | ||||||
Robert Half International, Inc. | 37 | 2,409 | ||||||
Campbell Soup Co.1 | 58 | 2,351 | ||||||
Nektar Therapeutics* | 48 | 2,344 | ||||||
Coty, Inc. — Class A | 142 | 2,002 | ||||||
Envision Healthcare Corp.* | 37 | 1,628 | ||||||
Quanta Services, Inc.* | 45 | 1,503 | ||||||
H&R Block, Inc. | 63 | 1,435 | ||||||
Total Consumer, Non-cyclical | 1,488,857 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
S&P 500® 2x STRATEGY FUND |
| Shares | Value | ||||||
Financial - 2.8% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 582 | $ | 108,630 | |||||
JPMorgan Chase & Co. | 1,029 | 107,222 | ||||||
Bank of America Corp. | 2,850 | 80,342 | ||||||
Wells Fargo & Co. | 1,326 | 73,513 | ||||||
Visa, Inc. — Class A | 540 | 71,523 | ||||||
Mastercard, Inc. — Class A | 277 | 54,436 | ||||||
Citigroup, Inc. | 771 | 51,595 | ||||||
U.S. Bancorp | 472 | 23,610 | ||||||
Goldman Sachs Group, Inc. | 106 | 23,380 | ||||||
American Express Co. | 216 | 21,168 | ||||||
Morgan Stanley | 412 | 19,529 | ||||||
American Tower Corp. — Class A REIT | �� | 134 | 19,319 | |||||
PNC Financial Services Group, Inc. | 141 | 19,049 | ||||||
Charles Schwab Corp. | 362 | 18,498 | ||||||
BlackRock, Inc. — Class A | 36 | 17,965 | ||||||
Chubb Ltd. | 141 | 17,910 | ||||||
CME Group, Inc. — Class A | 103 | 16,884 | ||||||
Bank of New York Mellon Corp. | 306 | 16,503 | ||||||
Simon Property Group, Inc. REIT | 94 | 15,998 | ||||||
American International Group, Inc. | 271 | 14,368 | ||||||
Capital One Financial Corp. | 147 | 13,509 | ||||||
Crown Castle International Corp. REIT | 125 | 13,478 | ||||||
MetLife, Inc. | 307 | 13,385 | ||||||
Intercontinental Exchange, Inc. | 175 | 12,871 | ||||||
Marsh & McLennan Companies, Inc. | 153 | 12,541 | ||||||
BB&T Corp. | 236 | 11,904 | ||||||
Prudential Financial, Inc. | 126 | 11,782 | ||||||
Prologis, Inc. REIT | 161 | 10,576 | ||||||
Progressive Corp. | 176 | 10,410 | ||||||
Equinix, Inc. REIT | 24 | 10,317 | ||||||
State Street Corp. | 110 | 10,240 | ||||||
Public Storage REIT | 45 | 10,209 | ||||||
Aflac, Inc. | 234 | 10,067 | ||||||
Travelers Companies, Inc. | 82 | 10,032 | ||||||
Aon plc | 73 | 10,013 | ||||||
Allstate Corp. | 106 | 9,675 | ||||||
SunTrust Banks, Inc. | 140 | 9,243 | ||||||
T. Rowe Price Group, Inc. | 73 | 8,475 | ||||||
Weyerhaeuser Co. REIT | 229 | 8,349 | ||||||
M&T Bank Corp. | 44 | 7,487 | ||||||
Discover Financial Services | 105 | 7,393 | ||||||
AvalonBay Communities, Inc. REIT | 42 | 7,219 | ||||||
Synchrony Financial | 214 | 7,143 | ||||||
Equity Residential REIT | 111 | 7,070 | ||||||
Welltower, Inc. REIT | 112 | 7,021 | ||||||
Digital Realty Trust, Inc. REIT | 62 | 6,918 | ||||||
Northern Trust Corp. | 63 | 6,482 | ||||||
KeyCorp | 321 | 6,272 | ||||||
Ventas, Inc. REIT | 107 | 6,094 | ||||||
Regions Financial Corp. | 340 | 6,045 | ||||||
Ameriprise Financial, Inc. | 43 | 6,015 | ||||||
Fifth Third Bancorp | 207 | 5,941 | ||||||
Willis Towers Watson plc | 39 | 5,912 | ||||||
Boston Properties, Inc. REIT | 47 | 5,895 | ||||||
SBA Communications Corp. REIT* | 35 | 5,779 | ||||||
Citizens Financial Group, Inc. | 146 | 5,679 | ||||||
Hartford Financial Services Group, Inc. | 108 | 5,522 | ||||||
Huntington Bancshares, Inc. | 334 | 4,930 | ||||||
E*TRADE Financial Corp.* | 79 | 4,832 | ||||||
Essex Property Trust, Inc. REIT | 20 | 4,781 | ||||||
Host Hotels & Resorts, Inc. REIT | 224 | 4,720 | ||||||
Comerica, Inc. | 51 | 4,637 | ||||||
Realty Income Corp. REIT | 86 | 4,626 | ||||||
CBRE Group, Inc. — Class A* | 91 | 4,344 | ||||||
SVB Financial Group* | 15 | 4,331 | ||||||
XL Group Ltd. | 77 | 4,308 | ||||||
Principal Financial Group, Inc. | 80 | 4,236 | ||||||
Lincoln National Corp. | 66 | 4,109 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 31 | 3,911 | ||||||
GGP, Inc. REIT | 191 | 3,902 | ||||||
Vornado Realty Trust REIT | 52 | 3,844 | ||||||
Extra Space Storage, Inc. REIT | 38 | 3,793 | ||||||
Loews Corp. | 78 | 3,766 | ||||||
HCP, Inc. REIT | 142 | 3,666 | ||||||
Cboe Global Markets, Inc. | 34 | 3,538 | ||||||
Arthur J Gallagher & Co. | 54 | 3,525 | ||||||
Raymond James Financial, Inc. | 39 | 3,485 | ||||||
Mid-America Apartment Communities, Inc. REIT | 34 | 3,423 | ||||||
Invesco Ltd. | 123 | 3,267 | ||||||
Alliance Data Systems Corp. | 14 | 3,265 | ||||||
Duke Realty Corp. REIT | 108 | 3,135 | ||||||
Zions Bancorporation | 59 | 3,109 | ||||||
Nasdaq, Inc. | 34 | 3,103 | ||||||
Franklin Resources, Inc. | 96 | 3,077 | ||||||
UDR, Inc. REIT | 81 | 3,041 | ||||||
Cincinnati Financial Corp. | 45 | 3,009 | ||||||
Iron Mountain, Inc. REIT | 85 | 2,976 | ||||||
Federal Realty Investment Trust REIT | 22 | 2,784 | ||||||
Everest Re Group Ltd. | 12 | 2,766 | ||||||
Regency Centers Corp. REIT | 44 | 2,732 | ||||||
SL Green Realty Corp. REIT | 27 | 2,714 | ||||||
Torchmark Corp. | 31 | 2,524 | ||||||
Unum Group | 67 | 2,478 | ||||||
Affiliated Managers Group, Inc. | 16 | 2,379 | ||||||
Kimco Realty Corp. REIT | 127 | 2,158 | ||||||
Jefferies Financial Group, Inc. | 92 | 2,092 | ||||||
Apartment Investment & Management Co. — Class A REIT | 48 | 2,030 | ||||||
People’s United Financial, Inc. | 105 | 1,899 | ||||||
Macerich Co. REIT | 33 | 1,875 | ||||||
Assurant, Inc. | 16 | 1,656 | ||||||
Brighthouse Financial, Inc.* | 35 | 1,403 | ||||||
Total Financial | 1,260,584 | |||||||
Technology - 2.5% | ||||||||
Apple, Inc. | 1,486 | 275,074 | ||||||
Microsoft Corp. | 2,322 | 228,972 | ||||||
Intel Corp. | 1,409 | 70,041 | ||||||
NVIDIA Corp. | 183 | 43,353 | ||||||
Oracle Corp. | 901 | 39,698 | ||||||
Adobe Systems, Inc.* | 148 | 36,084 |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
S&P 500® 2x STRATEGY FUND |
| Shares | Value | ||||||
International Business Machines Corp. | 257 | $ | 35,903 | |||||
Texas Instruments, Inc. | 295 | 32,524 | ||||||
Accenture plc — Class A | 194 | 31,736 | ||||||
Broadcom, Inc. | 123 | 29,845 | ||||||
salesforce.com, Inc.* | 213 | 29,053 | ||||||
QUALCOMM, Inc. | 448 | 25,142 | ||||||
Micron Technology, Inc.* | 350 | 18,354 | ||||||
Activision Blizzard, Inc. | 230 | 17,554 | ||||||
Intuit, Inc. | 74 | 15,118 | ||||||
Applied Materials, Inc. | 305 | 14,088 | ||||||
Cognizant Technology Solutions Corp. — Class A | 177 | 13,981 | ||||||
Electronic Arts, Inc.* | 92 | 12,974 | ||||||
HP, Inc. | 496 | 11,254 | ||||||
Analog Devices, Inc. | 112 | 10,743 | ||||||
Fidelity National Information Services, Inc. | 100 | 10,603 | ||||||
Fiserv, Inc.* | 124 | 9,187 | ||||||
Lam Research Corp. | 50 | 8,642 | ||||||
Autodesk, Inc.* | 65 | 8,521 | ||||||
Red Hat, Inc.* | 53 | 7,122 | ||||||
Western Digital Corp. | 90 | 6,967 | ||||||
DXC Technology Co. | 86 | 6,933 | ||||||
Hewlett Packard Enterprise Co. | 462 | 6,750 | ||||||
Paychex, Inc. | 96 | 6,562 | ||||||
Microchip Technology, Inc. | 71 | 6,457 | ||||||
NetApp, Inc. | 80 | 6,282 | ||||||
Cerner Corp.* | 95 | 5,680 | ||||||
Skyworks Solutions, Inc. | 54 | 5,219 | ||||||
Xilinx, Inc. | 76 | 4,960 | ||||||
Seagate Technology plc | 86 | 4,856 | ||||||
KLA-Tencor Corp. | 47 | 4,819 | ||||||
MSCI, Inc. — Class A | 27 | 4,467 | ||||||
ANSYS, Inc.* | 25 | 4,354 | ||||||
Take-Two Interactive Software, Inc.* | 35 | 4,143 | ||||||
Broadridge Financial Solutions, Inc. | 35 | 4,028 | ||||||
Citrix Systems, Inc.* | 38 | 3,984 | ||||||
Synopsys, Inc.* | 45 | 3,851 | ||||||
Akamai Technologies, Inc.* | 51 | 3,735 | ||||||
Advanced Micro Devices, Inc.* | 248 | 3,718 | ||||||
Cadence Design Systems, Inc.* | 85 | 3,681 | ||||||
CA, Inc. | 94 | 3,351 | ||||||
Qorvo, Inc.* | 38 | 3,046 | ||||||
IPG Photonics Corp.* | 11 | 2,427 | ||||||
Xerox Corp. | 64 | 1,536 | ||||||
Total Technology | 1,147,372 | |||||||
Communications - 2.3% | ||||||||
Amazon.com, Inc.* | 122 | 207,376 | ||||||
Facebook, Inc. — Class A* | 725 | 140,882 | ||||||
Alphabet, Inc. — Class C* | 92 | 102,640 | ||||||
Alphabet, Inc. — Class A* | 90 | 101,627 | ||||||
AT&T, Inc. | 2,193 | 70,409 | ||||||
Verizon Communications, Inc. | 1,249 | 62,837 | ||||||
Cisco Systems, Inc. | 1,422 | 61,189 | ||||||
Netflix, Inc.* | 131 | 51,277 | ||||||
Walt Disney Co. | 449 | 47,060 | ||||||
Comcast Corp. — Class A | 1,388 | 45,540 | ||||||
Booking Holdings, Inc.* | 14 | 28,379 | ||||||
Charter Communications, Inc. — Class A* | 56 | 16,420 | ||||||
Twenty-First Century Fox, Inc. — Class A | 318 | 15,801 | ||||||
eBay, Inc.* | 279 | 10,116 | ||||||
Twitter, Inc.* | 198 | 8,647 | ||||||
Twenty-First Century Fox, Inc. — Class B | 132 | 6,504 | ||||||
CBS Corp. — Class B | 103 | 5,791 | ||||||
Motorola Solutions, Inc. | 49 | 5,702 | ||||||
CenturyLink, Inc. | 297 | 5,536 | ||||||
Omnicom Group, Inc. | 69 | 5,263 | ||||||
Expedia Group, Inc. | 37 | 4,447 | ||||||
Symantec Corp. | 188 | 3,882 | ||||||
VeriSign, Inc.* | 28 | 3,848 | ||||||
Viacom, Inc. — Class B | 106 | 3,197 | ||||||
F5 Networks, Inc.* | 18 | 3,104 | ||||||
Juniper Networks, Inc. | 105 | 2,879 | ||||||
Interpublic Group of Companies, Inc. | 117 | 2,742 | ||||||
Discovery, Inc. — Class C* | 102 | 2,601 | ||||||
DISH Network Corp. — Class A* | 68 | 2,286 | ||||||
News Corp. — Class A | 116 | 1,798 | ||||||
TripAdvisor, Inc.* | 32 | 1,783 | ||||||
Discovery, Inc. — Class A*,1 | 46 | 1,265 | ||||||
News Corp. — Class B | 37 | 586 | ||||||
Total Communications | 1,033,414 | |||||||
Industrial - 1.4% | ||||||||
Boeing Co. | 166 | 55,694 | ||||||
General Electric Co. | 2,625 | 35,726 | ||||||
3M Co. | 179 | 35,213 | ||||||
Union Pacific Corp. | 234 | 33,153 | ||||||
Honeywell International, Inc. | 225 | 32,411 | ||||||
United Technologies Corp. | 225 | 28,132 | ||||||
Caterpillar, Inc. | 181 | 24,556 | ||||||
Lockheed Martin Corp. | 75 | 22,157 | ||||||
United Parcel Service, Inc. — Class B | 208 | 22,096 | ||||||
CSX Corp. | 265 | 16,902 | ||||||
Raytheon Co. | 87 | 16,807 | ||||||
FedEx Corp. | 74 | 16,802 | ||||||
Northrop Grumman Corp. | 53 | 16,308 | ||||||
General Dynamics Corp. | 83 | 15,472 | ||||||
Deere & Co. | 98 | 13,700 | ||||||
Emerson Electric Co. | 190 | 13,137 | ||||||
Norfolk Southern Corp. | 85 | 12,824 | ||||||
Illinois Tool Works, Inc. | 92 | 12,746 | ||||||
Eaton Corporation plc | 132 | 9,866 | ||||||
Waste Management, Inc. | 120 | 9,761 | ||||||
TE Connectivity Ltd. | 106 | 9,546 | ||||||
Johnson Controls International plc | 279 | 9,333 | ||||||
Roper Technologies, Inc. | 31 | 8,553 | ||||||
Amphenol Corp. — Class A | 91 | 7,931 | ||||||
Fortive Corp. | 93 | 7,171 | ||||||
Corning, Inc. | 251 | 6,905 | ||||||
Rockwell Collins, Inc. | 50 | 6,734 | ||||||
Ingersoll-Rand plc | 74 | 6,640 | ||||||
Rockwell Automation, Inc. | 38 | 6,317 | ||||||
Cummins, Inc. | 47 | 6,251 | ||||||
Parker-Hannifin Corp. | 40 | 6,234 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
S&P 500® 2x STRATEGY FUND |
| Shares | Value | ||||||
Stanley Black & Decker, Inc. | 46 | $ | 6,109 | |||||
Agilent Technologies, Inc. | 97 | 5,998 | ||||||
Vulcan Materials Co. | 40 | 5,162 | ||||||
Harris Corp. | 35 | 5,059 | ||||||
Textron, Inc. | 76 | 5,009 | ||||||
AMETEK, Inc. | 69 | 4,979 | ||||||
TransDigm Group, Inc. | 14 | 4,832 | ||||||
Mettler-Toledo International, Inc.* | 8 | 4,629 | ||||||
L3 Technologies, Inc. | 24 | 4,616 | ||||||
Republic Services, Inc. — Class A | 67 | 4,580 | ||||||
Waters Corp.* | 23 | 4,453 | ||||||
WestRock Co. | 77 | 4,391 | ||||||
Martin Marietta Materials, Inc. | 18 | 4,020 | ||||||
Expeditors International of Washington, Inc. | 53 | 3,874 | ||||||
Ball Corp. | 106 | 3,768 | ||||||
Xylem, Inc. | 54 | 3,639 | ||||||
CH Robinson Worldwide, Inc. | 42 | 3,514 | ||||||
Masco Corp. | 93 | 3,480 | ||||||
Dover Corp. | 47 | 3,440 | ||||||
Kansas City Southern | 31 | 3,285 | ||||||
Packaging Corporation of America | 28 | 3,130 | ||||||
J.B. Hunt Transport Services, Inc. | 25 | 3,039 | ||||||
Huntington Ingalls Industries, Inc. | 13 | 2,818 | ||||||
AO Smith Corp. | 44 | 2,603 | ||||||
Snap-on, Inc. | 16 | 2,572 | ||||||
PerkinElmer, Inc. | 33 | 2,417 | ||||||
Fortune Brands Home & Security, Inc. | 44 | 2,362 | ||||||
Jacobs Engineering Group, Inc. | 36 | 2,286 | ||||||
Allegion plc | 29 | 2,243 | ||||||
Arconic, Inc. | 127 | 2,160 | ||||||
FLIR Systems, Inc. | 41 | 2,131 | ||||||
Sealed Air Corp. | 49 | 2,080 | ||||||
Garmin Ltd. | 34 | 2,074 | ||||||
Pentair plc | 49 | 2,062 | ||||||
Fluor Corp. | 41 | 2,000 | ||||||
Stericycle, Inc.* | 26 | 1,697 | ||||||
Flowserve Corp. | 40 | 1,616 | ||||||
Total Industrial | 653,205 | |||||||
Consumer, Cyclical - 1.2% | ||||||||
Home Depot, Inc. | 349 | 68,090 | ||||||
Walmart, Inc. | 437 | 37,429 | ||||||
McDonald’s Corp. | 237 | 37,136 | ||||||
NIKE, Inc. — Class B | 388 | 30,916 | ||||||
Costco Wholesale Corp. | 133 | 27,794 | ||||||
Lowe’s Companies, Inc. | 248 | 23,701 | ||||||
Starbucks Corp. | 417 | 20,370 | ||||||
TJX Companies, Inc. | 189 | 17,989 | ||||||
Walgreens Boots Alliance, Inc. | 258 | 15,484 | ||||||
General Motors Co. | 383 | 15,090 | ||||||
Ford Motor Co. | 1,183 | 13,096 | ||||||
Target Corp. | 161 | 12,255 | ||||||
Marriott International, Inc. — Class A | 90 | 11,394 | ||||||
Ross Stores, Inc. | 114 | 9,662 | ||||||
Delta Air Lines, Inc. | 195 | 9,660 | ||||||
Southwest Airlines Co. | 161 | 8,192 | ||||||
VF Corp. | 99 | 8,070 | ||||||
Yum! Brands, Inc. | 98 | 7,666 | ||||||
Dollar General Corp. | 76 | 7,494 | ||||||
Aptiv plc | 80 | 7,330 | ||||||
Carnival Corp. | 122 | 6,992 | ||||||
Hilton Worldwide Holdings, Inc. | 84 | 6,649 | ||||||
PACCAR, Inc. | 106 | 6,568 | ||||||
O’Reilly Automotive, Inc.* | 24 | 6,566 | ||||||
Dollar Tree, Inc.* | 72 | 6,120 | ||||||
Best Buy Company, Inc. | 74 | 5,519 | ||||||
AutoZone, Inc.* | 8 | 5,367 | ||||||
Royal Caribbean Cruises Ltd. | 50 | 5,180 | ||||||
United Continental Holdings, Inc.* | 71 | 4,951 | ||||||
American Airlines Group, Inc. | 126 | 4,783 | ||||||
MGM Resorts International | 151 | 4,384 | ||||||
Wynn Resorts Ltd. | 26 | 4,351 | ||||||
WW Grainger, Inc. | 14 | 4,318 | ||||||
Lennar Corp. — Class A | 82 | 4,305 | ||||||
DR Horton, Inc. | 104 | 4,264 | ||||||
Fastenal Co. | 86 | 4,139 | ||||||
Tiffany & Co. | 31 | 4,080 | ||||||
Mohawk Industries, Inc.* | 19 | 4,071 | ||||||
Genuine Parts Co. | 44 | 4,039 | ||||||
Tapestry, Inc. | 86 | 4,017 | ||||||
Ulta Beauty, Inc.* | 17 | 3,969 | ||||||
Darden Restaurants, Inc. | 37 | 3,961 | ||||||
CarMax, Inc.* | 54 | 3,935 | ||||||
Newell Brands, Inc. | 147 | 3,791 | ||||||
Kohl’s Corp. | 50 | 3,645 | ||||||
Macy’s, Inc. | 93 | 3,481 | ||||||
Copart, Inc.* | 61 | 3,450 | ||||||
PVH Corp. | 23 | 3,444 | ||||||
Hasbro, Inc. | 34 | 3,138 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 7 | 3,020 | ||||||
Michael Kors Holdings Ltd.* | 45 | 2,997 | ||||||
Advance Auto Parts, Inc. | 22 | 2,985 | ||||||
LKQ Corp.* | 93 | 2,967 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 62 | 2,929 | ||||||
Whirlpool Corp. | 20 | 2,925 | ||||||
Tractor Supply Co. | 37 | 2,830 | ||||||
L Brands, Inc. | 73 | 2,692 | ||||||
BorgWarner, Inc. | 60 | 2,590 | ||||||
Hanesbrands, Inc. | 108 | 2,378 | ||||||
PulteGroup, Inc. | 79 | 2,271 | ||||||
Alaska Air Group, Inc. | 37 | 2,234 | ||||||
Gap, Inc. | 66 | 2,138 | ||||||
Harley-Davidson, Inc. | 50 | 2,104 | ||||||
Ralph Lauren Corp. — Class A | 16 | 2,011 | ||||||
Foot Locker, Inc. | 36 | 1,895 | ||||||
Nordstrom, Inc. | 35 | 1,812 | ||||||
Leggett & Platt, Inc. | 40 | 1,785 | ||||||
Mattel, Inc.1 | 104 | 1,708 | ||||||
Goodyear Tire & Rubber Co. | 72 | 1,677 | ||||||
Under Armour, Inc. — Class A*,1 | 56 | 1,259 | ||||||
Under Armour, Inc. — Class C* | 57 | 1,202 | ||||||
Total Consumer, Cyclical | 572,704 |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
S&P 500® 2x STRATEGY FUND |
| Shares | Value | ||||||
Energy - 1.0% | ||||||||
Exxon Mobil Corp. | 1,280 | $ | 105,894 | |||||
Chevron Corp. | 578 | 73,077 | ||||||
Schlumberger Ltd. | 419 | 28,085 | ||||||
ConocoPhillips | 354 | 24,646 | ||||||
EOG Resources, Inc. | 175 | 21,775 | ||||||
Occidental Petroleum Corp. | 231 | 19,330 | ||||||
Valero Energy Corp. | 130 | 14,408 | ||||||
Phillips 66 | 127 | 14,263 | ||||||
Halliburton Co. | 265 | 11,941 | ||||||
Anadarko Petroleum Corp. | 156 | 11,427 | ||||||
Kinder Morgan, Inc. | 573 | 10,125 | ||||||
Marathon Petroleum Corp. | 140 | 9,822 | ||||||
Pioneer Natural Resources Co. | 51 | 9,651 | ||||||
ONEOK, Inc. | 124 | 8,659 | ||||||
Devon Energy Corp. | 158 | 6,946 | ||||||
Williams Companies, Inc. | 250 | 6,778 | ||||||
Concho Resources, Inc.* | 45 | 6,226 | ||||||
Apache Corp. | 116 | 5,423 | ||||||
Marathon Oil Corp. | 258 | 5,382 | ||||||
Andeavor | 41 | 5,378 | ||||||
Hess Corp. | 78 | 5,217 | ||||||
Noble Energy, Inc. | 146 | 5,151 | ||||||
National Oilwell Varco, Inc. | 115 | 4,991 | ||||||
Equities Corp. | 76 | 4,194 | ||||||
Baker Hughes a GE Co. | 126 | 4,162 | ||||||
TechnipFMC plc | 131 | 4,158 | ||||||
HollyFrontier Corp. | 52 | 3,558 | ||||||
Cabot Oil & Gas Corp. — Class A | 136 | 3,237 | ||||||
Cimarex Energy Co. | 28 | 2,849 | ||||||
Helmerich & Payne, Inc. | 33 | 2,104 | ||||||
Newfield Exploration Co.* | 60 | 1,815 | ||||||
Total Energy | 440,672 | |||||||
Utilities - 0.4% | ||||||||
NextEra Energy, Inc. | 143 | 23,885 | ||||||
Duke Energy Corp. | 212 | 16,765 | ||||||
Southern Co. | 306 | 14,171 | ||||||
Dominion Energy, Inc. | 197 | 13,432 | ||||||
Exelon Corp. | 292 | 12,439 | ||||||
American Electric Power Company, Inc. | 148 | 10,249 | ||||||
Sempra Energy | 79 | 9,173 | ||||||
Public Service Enterprise Group, Inc. | 153 | 8,283 | ||||||
Consolidated Edison, Inc. | 94 | 7,330 | ||||||
Xcel Energy, Inc. | 154 | 7,035 | ||||||
PG&E Corp. | 156 | 6,639 | ||||||
Edison International | 98 | 6,200 | ||||||
WEC Energy Group, Inc. | 95 | 6,142 | ||||||
PPL Corp. | 211 | 6,024 | ||||||
DTE Energy Co. | 55 | 5,700 | ||||||
Eversource Energy | 96 | 5,627 | ||||||
FirstEnergy Corp. | 135 | 4,848 | ||||||
American Water Works Company, Inc. | 54 | 4,610 | ||||||
Evergy, Inc. | 81 | 4,548 | ||||||
Ameren Corp. | 74 | 4,503 | ||||||
Entergy Corp. | 54 | 4,363 | ||||||
CMS Energy Corp. | 85 | 4,019 | ||||||
CenterPoint Energy, Inc. | 130 | 3,602 | ||||||
Alliant Energy Corp. | 70 | 2,962 | ||||||
NRG Energy, Inc. | 90 | 2,763 | ||||||
Pinnacle West Capital Corp. | 34 | 2,739 | ||||||
AES Corp. | 200 | 2,682 | ||||||
NiSource, Inc. | 102 | 2,681 | ||||||
SCANA Corp. | 43 | 1,656 | ||||||
Total Utilities | 205,070 | |||||||
Basic Materials - 0.3% | ||||||||
DowDuPont, Inc. | 702 | 46,276 | ||||||
Praxair, Inc. | 87 | 13,759 | ||||||
LyondellBasell Industries N.V. — Class A | 97 | 10,656 | ||||||
Air Products & Chemicals, Inc. | 66 | 10,278 | ||||||
Sherwin-Williams Co. | 25 | 10,189 | ||||||
PPG Industries, Inc. | 75 | 7,780 | ||||||
Freeport-McMoRan, Inc. | 407 | 7,025 | ||||||
International Paper Co. | 124 | 6,458 | ||||||
Newmont Mining Corp. | 161 | 6,071 | ||||||
Nucor Corp. | 95 | 5,937 | ||||||
Eastman Chemical Co. | 42 | 4,198 | ||||||
FMC Corp. | 41 | 3,658 | ||||||
Albemarle Corp. | 33 | 3,113 | ||||||
CF Industries Holdings, Inc. | 70 | 3,108 | ||||||
International Flavors & Fragrances, Inc. | 24 | 2,975 | ||||||
Mosaic Co. | 106 | 2,973 | ||||||
Total Basic Materials | 144,454 | |||||||
Total Common Stocks | ||||||||
(Cost $6,971,064) | 6,946,332 | |||||||
MUTUAL FUNDS† - 48.4% | ||||||||
Guggenheim Strategy Fund II2 | 495,312 | 12,377,842 | ||||||
Guggenheim Strategy Fund I2 | 385,536 | 9,653,817 | ||||||
Total Mutual Funds | ||||||||
(Cost $22,007,936) | 22,031,659 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 5.6% | ||||||||
U.S. Treasury Bills | ||||||||
1.87% due 09/20/183,4,5 | $ | 2,500,000 | 2,489,583 | |||||
1.72% due 07/12/184,5,9 | 57,000 | 56,974 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $2,546,332) | 2,546,557 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
S&P 500® 2x STRATEGY FUND |
| Face | Value | ||||||
REPURCHASE AGREEMENTS††,6 - 9.0% | ||||||||
JPMorgan Chase & Co. | $ | 2,248,658 | $ | 2,248,658 | ||||
Barclays Capital | 1,104,197 | 1,104,197 | ||||||
Bank of America Merrill Lynch | 736,132 | 736,132 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $4,088,987) | 4,088,987 | |||||||
| Shares |
| ||||||
SECURITIES LENDING COLLATERAL†,7 - 0.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%8 | 3,303 | 3,303 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $3,303) | 3,303 | |||||||
Total Investments - 78.2% | ||||||||
(Cost $35,617,622) | $ | 35,616,838 | ||||||
Other Assets & Liabilities, net - 21.8% | 9,924,682 | |||||||
Total Net Assets - 100.0% | $ | 45,541,520 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P 500 Index Mini Futures Contracts | 10 | Sep 2018 | $ | 1,360,375 | $ | (444 | ) |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||||
Barclays Bank plc | S&P 500 Index | 2.43 | % | At Maturity | 07/31/18 | 10,010 | $ | 27,210,638 | $ | 187,586 | |||||||||||||||
BNP Paribas | S&P 500 Index | 2.54 | % | At Maturity | 07/30/18 | 9,042 | 24,579,778 | 169,449 | |||||||||||||||||
Goldman Sachs International | S&P 500 Index | 2.48 | % | At Maturity | 07/27/18 | 11,477 | 31,197,786 | (23,677 | ) | ||||||||||||||||
$ | 82,988,202 | $ | 333,358 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7 day yield as of June 30, 2018. |
9 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
S&P 500® 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 6,946,332 | $ | — | $ | — | $ | 6,946,332 | ||||||||
Mutual Funds | 22,031,659 | — | — | 22,031,659 | ||||||||||||
U.S. Treasury Bills | — | 2,546,557 | — | 2,546,557 | ||||||||||||
Repurchase Agreements | — | 4,088,987 | — | 4,088,987 | ||||||||||||
Securities Lending Collateral | 3,303 | — | — | 3,303 | ||||||||||||
Equity Index Swap Agreements* | — | 357,035 | — | 357,035 | ||||||||||||
Total Assets | $ | 28,981,294 | $ | 6,992,579 | $ | — | $ | 35,973,873 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts* | $ | 444 | $ | — | $ | — | $ | 444 | ||||||||
Equity Index Swap Agreements* | — | 23,677 | — | 23,677 | ||||||||||||
Total Liabilities | $ | 444 | $ | 23,677 | $ | — | $ | 24,121 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 10,677,417 | $ | 5,532,666 | $ | (6,550,000 | ) | $ | 574 | $ | (6,840 | ) | $ | 9,653,817 | 385,536 | $ | 127,429 | |||||||||||||||
Guggenheim Strategy Fund II | 10,864,972 | 1,523,373 | — | — | (10,503 | ) | 12,377,842 | 495,312 | 147,879 | |||||||||||||||||||||||
$ | 21,542,389 | $ | 7,056,039 | $ | (6,550,000 | ) | $ | 574 | $ | (17,343 | ) | $ | 22,031,659 | $ | 275,308 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
S&P 500® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $3,151 of securities loaned (cost $9,520,699) | $ | 9,496,192 | ||
Investments in affiliated issuers, at value (cost $22,007,936) | 22,031,659 | |||
Repurchase agreements, at value (cost $4,088,987) | 4,088,987 | |||
Cash | 46 | |||
Segregated cash with broker | 51,950 | |||
Unrealized appreciation on swap agreements | 357,035 | |||
Receivables: | ||||
Fund shares sold | 9,625,148 | |||
Dividends | 62,933 | |||
Swap settlement | 12,480 | |||
Securities sold | 6,588 | |||
Interest | 474 | |||
Securities lending income | 2 | |||
Total assets | 45,733,494 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 23,677 | |||
Payable for: | ||||
Securities purchased | 63,282 | |||
Management fees | 30,399 | |||
Transfer agent and administrative fees | 8,444 | |||
Investor service fees | 8,444 | |||
Portfolio accounting fees | 3,378 | |||
Return of securities loaned | 3,303 | |||
Trustees’ fees* | 1,018 | |||
Variation margin | 444 | |||
Fund shares redeemed | 15 | |||
Miscellaneous | 49,570 | |||
Total liabilities | 191,974 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 45,541,520 | ||
Net assets consist of: | ||||
Paid in capital | $ | 42,959,937 | ||
Undistributed net investment income | 107,645 | |||
Accumulated net realized gain on investments | 2,141,808 | |||
Net unrealized appreciation on investments | 332,130 | |||
Net assets | $ | 45,541,520 | ||
Capital shares outstanding | 183,334 | |||
Net asset value per share | $ | 248.41 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 93,443 | ||
Dividends from securities of affiliated issuers | 275,308 | |||
Interest | 76,667 | |||
Income from securities lending, net | 53 | |||
Total investment income | 445,471 | |||
Expenses: | ||||
Management fees | 189,123 | |||
Investor service fees | 52,534 | |||
Transfer agent and administrative fees | 52,534 | |||
Professional fees | 33,542 | |||
Portfolio accounting fees | 21,013 | |||
Trustees’ fees* | 5,934 | |||
Custodian fees | 2,836 | |||
Line of credit fees | 163 | |||
Miscellaneous | 6,774 | |||
Total expenses | 364,453 | |||
Net investment income | 81,018 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 1,161,494 | |||
Investments in affiliated issuers | 574 | |||
Swap agreements | (1,553,071 | ) | ||
Futures contracts | 72,210 | |||
Net realized loss | (318,793 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (1,683,564 | ) | ||
Investments in affiliated issuers | (17,343 | ) | ||
Swap agreements | 558,047 | |||
Futures contracts | (157,664 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,300,524 | ) | ||
Net realized and unrealized loss | (1,619,317 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,538,299 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 81,018 | $ | 22,091 | ||||
Net realized gain (loss) on investments | (318,793 | ) | 10,796,168 | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,300,524 | ) | 1,470,151 | |||||
Net increase (decrease) in net assets resulting from operations | (1,538,299 | ) | 12,288,410 | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (1,231,746 | ) | |||||
Total distributions to shareholders | — | (1,231,746 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 189,749,391 | 300,834,376 | ||||||
Distributions reinvested | — | 1,231,746 | ||||||
Cost of shares redeemed | (179,182,263 | ) | (301,504,599 | ) | ||||
Net increase from capital share transactions | 10,567,128 | 561,523 | ||||||
Net increase in net assets | 9,028,829 | 11,618,187 | ||||||
Net assets: | ||||||||
Beginning of period | 36,512,691 | 24,894,504 | ||||||
End of period | $ | 45,541,520 | $ | 36,512,691 | ||||
Undistributed net investment income at end of period | $ | 107,645 | $ | 26,627 | ||||
Capital share activity: | ||||||||
Shares sold | 757,402 | 1,422,906 | ||||||
Shares issued from reinvestment of distributions | — | 6,025 | ||||||
Shares redeemed | (723,476 | ) | (1,420,551 | ) | ||||
Net increase in shares | 33,926 | 8,380 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
S&P 500® 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 244.38 | $ | 176.52 | $ | 165.22 | $ | 227.28 | $ | 235.85 | $ | 139.79 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .48 | .13 | (.53 | ) | (1.11 | ) | (.86 | ) | (.91 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.55 | e | 75.18 | 32.62 | 1.42 | 57.67 | 96.97 | |||||||||||||||||
Total from investment operations | 4.03 | 75.31 | 32.09 | .31 | 56.81 | 96.06 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (7.45 | ) | (20.79 | ) | (62.37 | ) | (65.38 | ) | — | ||||||||||||||
Total distributions | — | (7.45 | ) | (20.79 | ) | (62.37 | ) | (65.38 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 248.41 | $ | 244.38 | $ | 176.52 | $ | 165.22 | $ | 227.28 | $ | 235.85 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 1.65 | % | 43.49 | % | 20.40 | % | (1.66 | %) | 24.66 | % | 68.71 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 45,542 | $ | 36,513 | $ | 24,895 | $ | 21,167 | $ | 38,795 | $ | 27,492 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.39 | % | 0.06 | % | (0.32 | %) | (0.55 | %) | (0.35 | %) | (0.49 | %) | ||||||||||||
Total expensesd | 1.73 | % | 1.76 | % | 1.71 | % | 1.66 | % | 1.74 | % | 1.69 | % | ||||||||||||
Portfolio turnover rate | 233 | % | 282 | % | 578 | % | 558 | % | 475 | % | 225 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the period because of the sales and repurchases of Fund shares in relation to fluctuating market value of the investments of the Fund. |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
NASDAQ-100® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the NASDAQ-100 Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: October 1, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 21.8% |
Guggenheim Strategy Fund II | 20.2% |
Apple, Inc. | 4.4% |
Amazon.com, Inc. | 4.0% |
Microsoft Corp. | 3.6% |
Facebook, Inc. — Class A | 2.2% |
Alphabet, Inc. — Class C | 1.9% |
Alphabet, Inc. — Class A | 1.6% |
Intel Corp. | 1.1% |
Cisco Systems, Inc. | 1.0% |
Top Ten Total | 61.8% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
NASDAQ-100® 2x Strategy Fund | 17.35% | 48.80% | 38.93% | 24.74% |
NASDAQ-100 Index | 10.65% | 26.01% | 20.80% | 15.62% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The NASDAQ-100 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
NASDAQ-100® 2x STRATEGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 38.4% | ||||||||
Technology - 15.4% | ||||||||
Apple, Inc. | 17,027 | $ | 3,151,868 | |||||
Microsoft Corp. | 26,616 | 2,624,604 | ||||||
Intel Corp. | 16,143 | 802,469 | ||||||
NVIDIA Corp. | 2,103 | 498,201 | ||||||
Adobe Systems, Inc.* | 1,706 | 415,940 | ||||||
Texas Instruments, Inc. | 3,391 | 373,858 | ||||||
Broadcom, Inc. | 1,423 | 345,277 | ||||||
QUALCOMM, Inc. | 5,136 | 288,232 | ||||||
Micron Technology, Inc.* | 4,018 | 210,704 | ||||||
Activision Blizzard, Inc. | 2,637 | 201,256 | ||||||
Intuit, Inc. | 889 | 181,627 | ||||||
Applied Materials, Inc. | 3,492 | 161,295 | ||||||
Cognizant Technology Solutions Corp. — Class A | 2,031 | 160,429 | ||||||
Electronic Arts, Inc.* | 1,063 | 149,904 | ||||||
Analog Devices, Inc. | 1,286 | 123,353 | ||||||
Fiserv, Inc.* | 1,418 | 105,059 | ||||||
Autodesk, Inc.* | 759 | 99,497 | ||||||
Lam Research Corp. | 568 | 98,179 | ||||||
Paychex, Inc. | 1,245 | 85,096 | ||||||
Western Digital Corp. | 1,037 | 80,274 | ||||||
Microchip Technology, Inc. | 814 | 74,033 | ||||||
Cerner Corp.* | 1,149 | 68,699 | ||||||
NetEase, Inc. ADR | 264 | 66,705 | ||||||
Workday, Inc. — Class A* | 507 | 61,408 | ||||||
Skyworks Solutions, Inc. | 631 | 60,986 | ||||||
Xilinx, Inc. | 878 | 57,298 | ||||||
Maxim Integrated Products, Inc. | 969 | 56,842 | ||||||
Seagate Technology plc | 995 | 56,187 | ||||||
KLA-Tencor Corp. | 541 | 55,469 | ||||||
Check Point Software Technologies Ltd.* | 551 | 53,822 | ||||||
CA, Inc. | 1,443 | 51,443 | ||||||
ASML Holding N.V. — Class G | 259 | 51,274 | ||||||
Citrix Systems, Inc.* | 470 | 49,275 | ||||||
Take-Two Interactive Software, Inc.* | 396 | 46,870 | ||||||
Synopsys, Inc.* | 516 | 44,154 | ||||||
Cadence Design Systems, Inc.* | 977 | 42,314 | ||||||
Total Technology | 11,053,901 | |||||||
Communications - 15.1% | ||||||||
Amazon.com, Inc.* | 1,681 | 2,857,364 | ||||||
Facebook, Inc. — Class A* | 8,310 | 1,614,799 | ||||||
Alphabet, Inc. — Class C* | 1,209 | 1,348,821 | ||||||
Alphabet, Inc. — Class A* | 1,035 | 1,168,712 | ||||||
Cisco Systems, Inc. | 16,292 | 701,045 | ||||||
Netflix, Inc.* | 1,506 | 589,494 | ||||||
Comcast Corp. — Class A | 15,909 | 521,974 | ||||||
Booking Holdings, Inc.* | 167 | 338,524 | ||||||
Charter Communications, Inc. — Class A* | 823 | 241,312 | ||||||
Baidu, Inc. ADR* | 973 | 236,439 | ||||||
Twenty-First Century Fox, Inc. — Class A | 3,651 | 181,418 | ||||||
T-Mobile US, Inc.* | 2,934 | 175,306 | ||||||
Twenty-First Century Fox, Inc. — Class B | 2,766 | 136,281 | ||||||
eBay, Inc.* | 3,443 | 124,843 | ||||||
JD.com, Inc. ADR* | 3,196 | 124,484 | ||||||
Sirius XM Holdings, Inc.1 | 15,515 | 105,036 | ||||||
Ctrip.com International Ltd. ADR* | 1,614 | 76,875 | ||||||
Expedia Group, Inc. | 476 | 57,210 | ||||||
Liberty Global plc — Class C* | 1,975 | 52,555 | ||||||
MercadoLibre, Inc. | 153 | 45,736 | ||||||
Symantec Corp. | 2,153 | 44,460 | ||||||
Vodafone Group plc ADR | 1,645 | 39,990 | ||||||
DISH Network Corp. — Class A* | 793 | 26,653 | ||||||
Liberty Global plc — Class A* | 752 | 20,710 | ||||||
Total Communications | 10,830,041 | |||||||
Consumer, Non-cyclical - 5.2% | ||||||||
Amgen, Inc. | 2,293 | 423,265 | ||||||
PayPal Holdings, Inc.* | 4,114 | 342,573 | ||||||
Gilead Sciences, Inc. | 4,505 | 319,134 | ||||||
Kraft Heinz Co. | 4,224 | 265,352 | ||||||
Biogen, Inc.* | 731 | 212,165 | ||||||
Mondelez International, Inc. — Class A | 5,110 | 209,510 | ||||||
Automatic Data Processing, Inc. | 1,526 | 204,697 | ||||||
Celgene Corp.* | 2,511 | 199,424 | ||||||
Intuitive Surgical, Inc.* | 392 | 187,564 | ||||||
Express Scripts Holding Co.* | 1,947 | 150,328 | ||||||
Vertex Pharmaceuticals, Inc.* | 883 | 150,075 | ||||||
Illumina, Inc.* | 509 | 142,159 | ||||||
Regeneron Pharmaceuticals, Inc.* | 367 | 126,611 | ||||||
Monster Beverage Corp.* | 1,949 | 111,678 | ||||||
Alexion Pharmaceuticals, Inc.* | 771 | 95,720 | ||||||
Align Technology, Inc.* | 278 | 95,115 | ||||||
Cintas Corp. | 370 | 68,476 | ||||||
IDEXX Laboratories, Inc.* | 301 | 65,600 | ||||||
Mylan N.V.* | 1,786 | 64,546 | ||||||
Verisk Analytics, Inc. — Class A* | 573 | 61,678 | ||||||
BioMarin Pharmaceutical, Inc.* | 612 | 57,650 | ||||||
Incyte Corp.* | 734 | 49,178 | ||||||
Shire plc ADR | 237 | 40,005 | ||||||
Henry Schein, Inc.* | 534 | 38,790 | ||||||
Hologic, Inc.* | 946 | 37,603 | ||||||
Dentsply Sirona, Inc. | 788 | 34,491 | ||||||
Total Consumer, Non-cyclical | 3,753,387 | |||||||
Consumer, Cyclical - 2.4% | ||||||||
Costco Wholesale Corp. | 1,521 | 317,858 | ||||||
Starbucks Corp. | 4,781 | 233,552 | ||||||
Walgreens Boots Alliance, Inc. | 3,435 | 206,151 | ||||||
Tesla, Inc.*,1 | 588 | 201,655 | ||||||
Marriott International, Inc. — Class A | 1,224 | 154,958 | ||||||
Ross Stores, Inc. | 1,312 | 111,192 | ||||||
O’Reilly Automotive, Inc.* | 284 | 77,694 | ||||||
PACCAR, Inc. | 1,219 | 75,529 | ||||||
Dollar Tree, Inc.* | 824 | 70,040 | ||||||
Wynn Resorts Ltd. | 376 | 62,920 | ||||||
American Airlines Group, Inc. | 1,622 | 61,571 | ||||||
Ulta Beauty, Inc.* | 210 | 49,027 | ||||||
Fastenal Co. | 997 | 47,986 | ||||||
Hasbro, Inc. | 433 | 39,970 |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
NASDAQ-100® 2x STRATEGY FUND |
| Shares | Value | ||||||
Qurate Retail, Inc. — Class A* | 1,526 | $ | 32,382 | |||||
Total Consumer, Cyclical | 1,742,485 | |||||||
Industrial - 0.3% | ||||||||
CSX Corp. | 3,032 | 193,381 | ||||||
J.B. Hunt Transport Services, Inc. | 381 | 46,311 | ||||||
Total Industrial | 239,692 | |||||||
Total Common Stocks | ||||||||
(Cost $20,144,885) | 27,619,506 | |||||||
MUTUAL FUNDS† - 42.0% | ||||||||
Guggenheim Strategy Fund I2 | 625,258 | 15,656,471 | ||||||
Guggenheim Strategy Fund II2 | 581,545 | 14,532,818 | ||||||
Total Mutual Funds | ||||||||
(Cost $30,170,005) | 30,189,289 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 4.6% | ||||||||
U.S. Treasury Bills | ||||||||
1.87% due 09/20/183,4,5 | $ | 2,400,000 | 2,390,000 | |||||
1.72% due 07/12/184,5,9 | 964,000 | 963,551 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $3,353,263) | 3,353,551 | |||||||
REPURCHASE AGREEMENTS††,6 - 13.6% | ||||||||
JPMorgan Chase & Co. | 5,367,673 | 5,367,673 | ||||||
Barclays Capital | 2,635,781 | 2,635,781 | ||||||
Bank of America Merrill Lynch | 1,757,188 | 1,757,188 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $9,760,642) | 9,760,642 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,7 - 0.3% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%8 | 230,349 | 230,349 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $230,349) | 230,349 | |||||||
Total Investments - 98.9% | ||||||||
(Cost $63,659,144) | $ | 71,153,337 | ||||||
Other Assets & Liabilities, net - 1.1% | 774,800 | |||||||
Total Net Assets - 100.0% | $ | 71,928,137 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 160 | Sep 2018 | $ | 22,599,200 | $ | (221,091 | ) |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||||
Barclays Bank plc | NASDAQ-100 Index | 2.48 | % | At Maturity | 07/31/18 | 5,268 | $ | 37,091,244 | $ | 374,705 | |||||||||||||||
BNP Paribas | NASDAQ-100 Index | 2.59 | % | At Maturity | 07/30/18 | 1,346 | 9,478,163 | 95,748 | |||||||||||||||||
Goldman Sachs International | NASDAQ-100 Index | 2.58 | % | At Maturity | 07/26/18 | 6,685 | 47,071,185 | (160,518 | ) | ||||||||||||||||
$ | 93,640,592 | $ | 309,935 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
NASDAQ-100® 2x STRATEGY FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7 day yield as of June 30, 2018. |
9 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 27,619,506 | $ | — | $ | — | $ | 27,619,506 | ||||||||
Mutual Funds | 30,189,289 | — | — | 30,189,289 | ||||||||||||
U.S. Treasury Bills | — | 3,353,551 | — | 3,353,551 | ||||||||||||
Repurchase Agreements | — | 9,760,642 | — | 9,760,642 | ||||||||||||
Securities Lending Collateral | 230,349 | — | — | 230,349 | ||||||||||||
Equity Index Swap Agreements* | — | 470,453 | — | 470,453 | ||||||||||||
Total Assets | $ | 58,039,144 | $ | 13,584,646 | $ | — | $ | 71,623,790 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts* | $ | 221,091 | $ | — | $ | — | $ | 221,091 | ||||||||
Equity Index Swap Agreements* | — | 160,518 | — | 160,518 | ||||||||||||
Total Liabilities | $ | 221,091 | $ | 160,518 | $ | — | $ | 381,609 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
NASDAQ-100® 2x STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the the underlying series of Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 18,999,077 | $ | 10,470,001 | $ | (13,800,000 | ) | $ | (4,127 | ) | $ | (8,480 | ) | $ | 15,656,471 | 625,258 | $ | 149,691 | ||||||||||||||
Guggenheim Strategy Fund II | 11,699,809 | 3,620,955 | (775,000 | ) | (1,239 | ) | (11,707 | ) | 14,532,818 | 581,545 | 170,313 | |||||||||||||||||||||
$ | 30,698,886 | $ | 14,090,956 | $ | (14,575,000 | ) | $ | (5,366 | ) | $ | (20,187 | ) | $ | 30,189,289 | $ | 320,004 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
NASDAQ-100® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $221,757 of securities loaned (cost $23,728,497) | $ | 31,203,406 | ||
Investments in affiliated issuers, at value (cost $30,170,005) | 30,189,289 | |||
Repurchase agreements, at value (cost $9,760,642) | 9,760,642 | |||
Segregated cash with broker | 981,472 | |||
Unrealized appreciation on swap agreements | 470,453 | |||
Receivables: | ||||
Dividends | 76,775 | |||
Variation margin | 5,600 | |||
Fund shares sold | 3,463 | |||
Interest | 1,132 | |||
Securities lending income | 349 | |||
Total assets | 72,692,581 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 160,518 | |||
Payable for: | ||||
Return of securities loaned | 230,349 | |||
Securities purchased | 73,062 | |||
Management fees | 60,790 | |||
Swap settlement | 50,589 | |||
Fund shares redeemed | 48,803 | |||
Transfer agent and administrative fees | 16,886 | |||
Investor service fees | 16,886 | |||
Portfolio accounting fees | 6,754 | |||
Trustees’ fees* | 1,999 | |||
Miscellaneous | 97,808 | |||
Total liabilities | 764,444 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 71,928,137 | ||
Net assets consist of: | ||||
Paid in capital | $ | 45,015,335 | ||
Accumulated net investment loss | (41,680 | ) | ||
Accumulated net realized gain on investments | 19,371,445 | |||
Net unrealized appreciation on investments | 7,583,037 | |||
Net assets | $ | 71,928,137 | ||
Capital shares outstanding | 943,740 | |||
Net asset value per share | $ | 76.22 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $75) | $ | 158,072 | ||
Dividends from securities of affiliated issuers | 320,004 | |||
Interest | 106,018 | |||
Income from securities lending, net | 2,174 | |||
Total investment income | 586,268 | |||
Expenses: | ||||
Management fees | 319,672 | |||
Investor service fees | 88,798 | |||
Transfer agent and administrative fees | 88,798 | |||
Professional fees | 57,770 | |||
Portfolio accounting fees | 35,519 | |||
Trustees’ fees* | 7,875 | |||
Custodian fees | 4,628 | |||
Line of credit fees | 130 | |||
Miscellaneous | 24,758 | |||
Total expenses | 627,948 | |||
Net investment loss | (41,680 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 1,882,699 | |||
Investments in affiliated issuers | (5,366 | ) | ||
Swap agreements | 5,279,925 | |||
Futures contracts | 1,361,120 | |||
Net realized gain | 8,518,378 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (21,177 | ) | ||
Investments in affiliated issuers | (20,187 | ) | ||
Swap agreements | 965,471 | |||
Futures contracts | (227,289 | ) | ||
Net change in unrealized appreciation (depreciation) | 696,818 | |||
Net realized and unrealized gain | 9,215,196 | |||
Net increase in net assets resulting from operations | $ | 9,173,516 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (41,680 | ) | $ | (182,978 | ) | ||
Net realized gain on investments | 8,518,378 | 21,643,566 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 696,818 | 5,783,469 | ||||||
Net increase in net assets resulting from operations | 9,173,516 | 27,244,057 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (681,689 | ) | |||||
Total distributions to shareholders | — | (681,689 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 188,066,354 | 126,976,096 | ||||||
Distributions reinvested | — | 681,689 | ||||||
Cost of shares redeemed | (196,164,356 | ) | (124,482,969 | ) | ||||
Net increase (decrease) from capital share transactions | (8,098,002 | ) | 3,174,816 | |||||
Net increase in net assets | 1,075,514 | 29,737,184 | ||||||
Net assets: | ||||||||
Beginning of period | 70,852,623 | 41,115,439 | ||||||
End of period | $ | 71,928,137 | $ | 70,852,623 | ||||
Accumulated net investment loss at end of period | $ | (41,680 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 2,605,569 | 2,423,912 | ||||||
Shares issued from reinvestment of distributions | — | 12,661 | ||||||
Shares redeemed | (2,752,635 | ) | (2,405,839 | ) | ||||
Net increase (decrease) in shares | (147,066 | ) | 30,734 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
NASDAQ-100® 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 64.95 | $ | 38.79 | $ | 38.67 | $ | 41.60 | $ | 45.40 | $ | 27.75 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | (.17 | ) | (.22 | ) | (.31 | ) | (.34 | ) | (.25 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 11.31 | 26.97 | 3.57 | 6.26 | 16.78 | 21.99 | ||||||||||||||||||
Total from investment operations | 11.27 | 26.80 | 3.35 | 5.95 | 16.44 | 21.74 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.64 | ) | (3.23 | ) | (8.88 | ) | (20.24 | ) | (4.09 | ) | |||||||||||||
Total distributions | — | (.64 | ) | (3.23 | ) | (8.88 | ) | (20.24 | ) | (4.09 | ) | |||||||||||||
Net asset value, end of period | $ | 76.22 | $ | 64.95 | $ | 38.79 | $ | 38.67 | $ | 41.60 | $ | 45.40 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 17.35 | % | 69.49 | % | 9.60 | % | 14.63 | % | 36.57 | % | 80.21 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 71,928 | $ | 70,853 | $ | 41,115 | $ | 49,994 | $ | 58,484 | $ | 46,018 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.12 | %) | (0.32 | %) | (0.62 | %) | (0.75 | %) | (0.69 | %) | (0.70 | %) | ||||||||||||
Total expensesd | 1.77 | % | 1.80 | % | 1.75 | % | 1.68 | % | 1.75 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | 140 | % | 97 | % | 494 | % | 294 | % | 275 | % | 174 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
MID-CAP 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for mid-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the S&P MidCap 400® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs and similar investments; and (iv) other short-term fixed income securities.
Inception Date: October 1, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 34.6% |
Guggenheim Strategy Fund II | 29.8% |
NVR, Inc. | 0.1% |
Teleflex, Inc. | 0.1% |
Domino’s Pizza, Inc. | 0.1% |
Keysight Technologies, Inc. | 0.1% |
WellCare Health Plans, Inc. | 0.1% |
Steel Dynamics, Inc. | 0.1% |
PTC, Inc. | 0.1% |
IDEX Corp. | 0.1% |
Top Ten Total | 65.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Mid-Cap 1.5x Strategy Fund | 3.47% | 17.38% | 16.61% | 12.02% |
S&P MidCap 400 Index | 3.49% | 13.50% | 12.69% | 10.78% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
MID-CAP 1.5x STRATEGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 6.8% | ||||||||
Financial - 1.7% | ||||||||
East West Bancorp, Inc. | 36 | $ | 2,347 | |||||
Alleghany Corp. | 4 | 2,300 | ||||||
Reinsurance Group of America, Inc. — Class A | 16 | 2,136 | ||||||
Camden Property Trust REIT | 23 | 2,096 | ||||||
SEI Investments Co. | 32 | 2,001 | ||||||
Jones Lang LaSalle, Inc. | 11 | 1,826 | ||||||
American Financial Group, Inc. | 17 | 1,825 | ||||||
Kilroy Realty Corp. REIT | 24 | 1,815 | ||||||
WR Berkley Corp. | 24 | 1,738 | ||||||
National Retail Properties, Inc. REIT | 38 | 1,670 | ||||||
Signature Bank* | 13 | 1,663 | ||||||
Liberty Property Trust REIT | 36 | 1,596 | ||||||
Brown & Brown, Inc. | 57 | 1,581 | ||||||
Douglas Emmett, Inc. REIT | 39 | 1,567 | ||||||
DCT Industrial Trust, Inc. REIT | 23 | 1,535 | ||||||
Synovus Financial Corp. | 29 | 1,532 | ||||||
PacWest Bancorp | 31 | 1,532 | ||||||
Omega Healthcare Investors, Inc. REIT | 49 | 1,519 | ||||||
Cullen/Frost Bankers, Inc. | 14 | 1,515 | ||||||
Eaton Vance Corp. | 29 | 1,514 | ||||||
Commerce Bancshares, Inc. | 23 | 1,488 | ||||||
Webster Financial Corp. | 23 | 1,465 | ||||||
American Campus Communities, Inc. REIT | 34 | 1,458 | ||||||
First American Financial Corp. | 28 | 1,448 | ||||||
First Horizon National Corp. | 81 | 1,445 | ||||||
Lamar Advertising Co. — Class A REIT | 21 | 1,435 | ||||||
CyrusOne, Inc. REIT | 24 | 1,401 | ||||||
Janus Henderson Group plc | 45 | 1,383 | ||||||
Bank of the Ozarks | 30 | 1,351 | ||||||
New York Community Bancorp, Inc. | 121 | 1,336 | ||||||
Highwoods Properties, Inc. REIT | 26 | 1,319 | ||||||
Sterling Bancorp | 56 | 1,316 | ||||||
Medical Properties Trust, Inc. REIT | 90 | 1,264 | ||||||
Rayonier, Inc. REIT | 32 | 1,238 | ||||||
Old Republic International Corp. | 62 | 1,234 | ||||||
SLM Corp.* | 107 | 1,225 | ||||||
Umpqua Holdings Corp. | 54 | 1,220 | ||||||
Wintrust Financial Corp. | 14 | 1,219 | ||||||
RenaissanceRe Holdings Ltd. | 10 | 1,203 | ||||||
Hanover Insurance Group, Inc. | 10 | 1,195 | ||||||
Hospitality Properties Trust REIT | 41 | 1,173 | ||||||
Prosperity Bancshares, Inc. | 17 | 1,162 | ||||||
Interactive Brokers Group, Inc. — Class A | 18 | 1,159 | ||||||
Associated Banc-Corp. | 42 | 1,147 | ||||||
Pinnacle Financial Partners, Inc. | 18 | 1,104 | ||||||
Texas Capital Bancshares, Inc.* | 12 | 1,098 | ||||||
Primerica, Inc. | 11 | 1,096 | ||||||
FNB Corp. | 80 | 1,074 | ||||||
Life Storage, Inc. REIT | 11 | 1,070 | ||||||
Senior Housing Properties Trust REIT | 59 | 1,067 | ||||||
Evercore, Inc. — Class A | 10 | 1,054 | ||||||
EPR Properties REIT | 16 | 1,037 | ||||||
TCF Financial Corp. | 42 | 1,034 | ||||||
First Industrial Realty Trust, Inc. REIT | 31 | 1,034 | ||||||
Cousins Properties, Inc. REIT | 104 | 1,008 | ||||||
Chemical Financial Corp. | 18 | 1,002 | ||||||
CoreSite Realty Corp. REIT | 9 | 997 | ||||||
MB Financial, Inc. | 21 | 981 | ||||||
Hancock Whitney Corp. | 21 | 980 | ||||||
Sabra Health Care REIT, Inc. | 44 | 956 | ||||||
United Bankshares, Inc. | 26 | 946 | ||||||
Stifel Financial Corp. | 18 | 940 | ||||||
LaSalle Hotel Properties REIT | 27 | 924 | ||||||
Kemper Corp. | 12 | 908 | ||||||
Healthcare Realty Trust, Inc. REIT | 31 | 901 | ||||||
Weingarten Realty Investors REIT | 29 | 893 | ||||||
Taubman Centers, Inc. REIT | 15 | 881 | ||||||
Home BancShares, Inc. | 39 | 880 | ||||||
Navient Corp. | 65 | 847 | ||||||
JBG SMITH Properties REIT | 23 | 839 | ||||||
UMB Financial Corp. | 11 | 839 | ||||||
Bank of Hawaii Corp. | 10 | 834 | ||||||
GEO Group, Inc. REIT | 30 | 826 | ||||||
Uniti Group, Inc. REIT | 41 | 821 | ||||||
Valley National Bancorp | 65 | 790 | ||||||
Education Realty Trust, Inc. REIT | 19 | 789 | ||||||
CNO Financial Group, Inc. | 41 | 781 | ||||||
Cathay General Bancorp | 19 | 769 | ||||||
PotlatchDeltic Corp. REIT | 15 | 763 | ||||||
Legg Mason, Inc. | 21 | 729 | ||||||
Corporate Office Properties Trust REIT | 25 | 725 | ||||||
Fulton Financial Corp. | 43 | 710 | ||||||
CoreCivic, Inc. REIT | 29 | 693 | ||||||
Washington Federal, Inc. | 21 | 687 | ||||||
BancorpSouth Bank | 20 | 659 | ||||||
Aspen Insurance Holdings Ltd. | 15 | 610 | ||||||
Urban Edge Properties REIT | 26 | 595 | ||||||
Federated Investors, Inc. — Class B | 24 | 560 | ||||||
International Bancshares Corp. | 13 | 556 | ||||||
Trustmark Corp. | 17 | 555 | ||||||
Genworth Financial, Inc. — Class A* | 123 | 553 | ||||||
Tanger Factory Outlet Centers, Inc. REIT | 23 | 540 | ||||||
Quality Care Properties, Inc. REIT* | 23 | 495 | ||||||
Mack-Cali Realty Corp. REIT | 22 | 446 | ||||||
LendingTree, Inc.* | 2 | 428 | ||||||
Mercury General Corp. | 9 | 410 | ||||||
Alexander & Baldwin, Inc. REIT | 17 | 399 | ||||||
Total Financial | 109,705 | |||||||
Industrial - 1.2% | ||||||||
Keysight Technologies, Inc.* | 46 | 2,715 | ||||||
IDEX Corp. | 19 | 2,593 | ||||||
Old Dominion Freight Line, Inc. | 17 | 2,532 | ||||||
Wabtec Corp. | 21 | 2,070 | ||||||
Trimble, Inc.* | 61 | 2,003 | ||||||
Cognex Corp. | 43 | 1,918 | ||||||
Graco, Inc. | 41 | 1,854 | ||||||
Lennox International, Inc. | 9 | 1,801 | ||||||
Teledyne Technologies, Inc.* | 9 | 1,791 | ||||||
Nordson Corp. | 13 | 1,669 |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MID-CAP 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Arrow Electronics, Inc.* | 22 | $ | 1,656 | |||||
Carlisle Companies, Inc. | 15 | 1,625 | ||||||
Gentex Corp. | 68 | 1,565 | ||||||
Hubbell, Inc. | 14 | 1,480 | ||||||
Donaldson Company, Inc. | 32 | 1,444 | ||||||
AptarGroup, Inc. | 15 | 1,401 | ||||||
Littelfuse, Inc. | 6 | 1,369 | ||||||
AECOM* | 40 | 1,321 | ||||||
Lincoln Electric Holdings, Inc. | 15 | 1,316 | ||||||
Sonoco Products Co. | 25 | 1,313 | ||||||
Curtiss-Wright Corp. | 11 | 1,309 | ||||||
Trinity Industries, Inc. | 37 | 1,267 | ||||||
Oshkosh Corp. | 18 | 1,266 | ||||||
Eagle Materials, Inc. | 12 | 1,260 | ||||||
Avnet, Inc. | 29 | 1,244 | ||||||
Knight-Swift Transportation Holdings, Inc. | 32 | 1,223 | ||||||
Genesee & Wyoming, Inc. — Class A* | 15 | 1,220 | ||||||
Jabil, Inc. | 42 | 1,162 | ||||||
ITT, Inc. | 22 | 1,150 | ||||||
National Instruments Corp. | 27 | 1,133 | ||||||
Landstar System, Inc. | 10 | 1,092 | ||||||
Kirby Corp.* | 13 | 1,087 | ||||||
Woodward, Inc. | 14 | 1,076 | ||||||
EMCOR Group, Inc. | 14 | 1,067 | ||||||
Acuity Brands, Inc. | 9 | 1,043 | ||||||
Crane Co. | 13 | 1,042 | ||||||
Cree, Inc.* | 25 | 1,039 | ||||||
nVent Electric plc* | 40 | 1,004 | ||||||
Louisiana-Pacific Corp. | 36 | 980 | ||||||
AGCO Corp. | 16 | 972 | ||||||
Energizer Holdings, Inc. | 15 | 945 | ||||||
Coherent, Inc.* | 6 | 939 | ||||||
KLX, Inc.* | 13 | 935 | ||||||
Ryder System, Inc. | 13 | 934 | ||||||
Bemis Company, Inc. | 22 | 929 | ||||||
Valmont Industries, Inc. | 6 | 905 | ||||||
Regal Beloit Corp. | 11 | 900 | ||||||
MSA Safety, Inc. | 8 | 771 | ||||||
Vishay Intertechnology, Inc. | 33 | 766 | ||||||
Terex Corp. | 18 | 759 | ||||||
Dycom Industries, Inc.* | 8 | 756 | ||||||
EnerSys | 10 | 746 | ||||||
Timken Co. | 17 | 740 | ||||||
Tech Data Corp.* | 9 | 739 | ||||||
Clean Harbors, Inc.* | 13 | 722 | ||||||
Kennametal, Inc. | 20 | 718 | ||||||
SYNNEX Corp. | 7 | 676 | ||||||
Owens-Illinois, Inc.* | 40 | 672 | ||||||
GATX Corp. | 9 | 668 | ||||||
KBR, Inc. | 35 | 627 | ||||||
Granite Construction, Inc. | 11 | 612 | ||||||
Belden, Inc. | 10 | 611 | ||||||
Silgan Holdings, Inc. | 18 | 483 | ||||||
Worthington Industries, Inc. | 11 | 462 | ||||||
Esterline Technologies Corp.* | 6 | 443 | ||||||
Werner Enterprises, Inc. | 11 | 413 | ||||||
Greif, Inc. — Class A | 6 | 317 | ||||||
Total Industrial | 77,260 | |||||||
Consumer, Non-cyclical - 1.1% | ||||||||
Teleflex, Inc. | 11 | 2,950 | ||||||
WellCare Health Plans, Inc.* | 11 | 2,709 | ||||||
Lamb Weston Holdings, Inc. | 36 | 2,466 | ||||||
STERIS plc | 21 | 2,205 | ||||||
Ingredion, Inc. | 18 | 1,993 | ||||||
WEX, Inc.* | 10 | 1,905 | ||||||
West Pharmaceutical Services, Inc. | 18 | 1,787 | ||||||
MarketAxess Holdings, Inc. | 9 | 1,781 | ||||||
Encompass Health Corp. | 24 | 1,625 | ||||||
Service Corporation International | 45 | 1,611 | ||||||
Sabre Corp. | 62 | 1,528 | ||||||
Exelixis, Inc.* | 70 | 1,506 | ||||||
Post Holdings, Inc.* | 17 | 1,462 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 5 | 1,443 | ||||||
Hill-Rom Holdings, Inc. | 16 | 1,398 | ||||||
Catalent, Inc.* | 33 | 1,382 | ||||||
ManpowerGroup, Inc. | 16 | 1,377 | ||||||
Charles River Laboratories International, Inc.* | 12 | 1,347 | ||||||
Bio-Techne Corp. | 9 | 1,332 | ||||||
Chemed Corp. | 4 | 1,287 | ||||||
Rollins, Inc. | 24 | 1,262 | ||||||
United Therapeutics Corp.* | 11 | 1,245 | ||||||
Molina Healthcare, Inc.* | 12 | 1,175 | ||||||
ICU Medical, Inc.* | 4 | 1,175 | ||||||
Masimo Corp.* | 12 | 1,172 | ||||||
PRA Health Sciences, Inc.* | 12 | 1,120 | ||||||
LivaNova plc* | 11 | 1,098 | ||||||
Integra LifeSciences Holdings Corp.* | 17 | 1,095 | ||||||
Haemonetics Corp.* | 12 | 1,076 | ||||||
CoreLogic, Inc.* | 20 | 1,038 | ||||||
Brink’s Co. | 13 | 1,037 | ||||||
MEDNAX, Inc.* | 23 | 996 | ||||||
Flowers Foods, Inc. | 46 | 958 | ||||||
Globus Medical, Inc. — Class A* | 18 | 908 | ||||||
Cantel Medical Corp. | 9 | 885 | ||||||
Acadia Healthcare Company, Inc.* | 20 | 818 | ||||||
Deluxe Corp. | 12 | 794 | ||||||
Healthcare Services Group, Inc. | 18 | 777 | ||||||
Hain Celestial Group, Inc.* | 26 | 775 | ||||||
TreeHouse Foods, Inc.* | 14 | 735 | ||||||
Adtalem Global Education, Inc.* | 15 | 721 | ||||||
Lancaster Colony Corp. | 5 | 692 | ||||||
Helen of Troy Ltd.* | 7 | 689 | ||||||
Avanos Medical, Inc.* | 12 | 687 | ||||||
NuVasive, Inc.* | 13 | 678 | ||||||
Tenet Healthcare Corp.* | 20 | 672 | ||||||
Sprouts Farmers Market, Inc.* | 30 | 662 | ||||||
Syneos Health, Inc.* | 14 | 657 | ||||||
Edgewell Personal Care Co.* | 13 | 656 | ||||||
Aaron’s, Inc. | 15 | 652 | ||||||
Boston Beer Company, Inc. — Class A* | 2 | 599 | ||||||
Graham Holdings Co. — Class B | 1 | 586 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MID-CAP 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Avis Budget Group, Inc.* | 18 | $ | 585 | |||||
Sanderson Farms, Inc. | 5 | 526 | ||||||
United Natural Foods, Inc.* | 12 | 512 | ||||||
Prestige Brands Holdings, Inc.* | 13 | 499 | ||||||
Sotheby’s* | 9 | 489 | ||||||
LifePoint Health, Inc.* | 10 | 488 | ||||||
Patterson Companies, Inc. | 20 | 453 | ||||||
Akorn, Inc.* | 23 | 382 | ||||||
Mallinckrodt plc* | 20 | 373 | ||||||
Tootsie Roll Industries, Inc. | 5 | 154 | ||||||
Total Consumer, Non-cyclical | 67,645 | |||||||
Consumer, Cyclical - 0.9% | ||||||||
NVR, Inc.* | 1 | 2,970 | ||||||
Domino’s Pizza, Inc. | 10 | 2,822 | ||||||
Polaris Industries, Inc. | 14 | 1,710 | ||||||
Live Nation Entertainment, Inc.* | 33 | 1,603 | ||||||
Toro Co. | 26 | 1,566 | ||||||
Pool Corp. | 10 | 1,515 | ||||||
JetBlue Airways Corp.* | 78 | 1,480 | ||||||
Wyndham Hotels & Resorts, Inc. | 25 | 1,471 | ||||||
Watsco, Inc. | 8 | 1,426 | ||||||
Brunswick Corp. | 22 | 1,419 | ||||||
Dunkin’ Brands Group, Inc. | 20 | 1,381 | ||||||
Five Below, Inc.* | 14 | 1,368 | ||||||
Six Flags Entertainment Corp.1 | 19 | 1,331 | ||||||
Carter’s, Inc. | 12 | 1,301 | ||||||
Toll Brothers, Inc. | 35 | 1,295 | ||||||
Thor Industries, Inc. | 12 | 1,169 | ||||||
Williams-Sonoma, Inc.1 | 19 | 1,166 | ||||||
Wyndham Destinations, Inc. | 25 | 1,106 | ||||||
Nu Skin Enterprises, Inc. — Class A | 14 | 1,095 | ||||||
Texas Roadhouse, Inc. — Class A | 16 | 1,048 | ||||||
Skechers U.S.A., Inc. — Class A* | 34 | 1,020 | ||||||
Delphi Technologies plc | 22 | 1,000 | ||||||
American Eagle Outfitters, Inc. | 41 | 953 | ||||||
Casey’s General Stores, Inc. | 9 | 946 | ||||||
Cracker Barrel Old Country Store, Inc. | 6 | 937 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 11 | 933 | ||||||
Cinemark Holdings, Inc. | 26 | 912 | ||||||
Deckers Outdoor Corp.* | 8 | 903 | ||||||
Urban Outfitters, Inc.* | 20 | 891 | ||||||
Churchill Downs, Inc. | 3 | 890 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 12 | 870 | ||||||
ILG, Inc. | 26 | 859 | ||||||
Signet Jewelers Ltd. | 15 | 836 | ||||||
Scotts Miracle-Gro Co. — Class A | 10 | 832 | ||||||
Wendy’s Co. | 44 | 756 | ||||||
AutoNation, Inc.* | 15 | 729 | ||||||
Dana, Inc. | 36 | 727 | ||||||
Bed Bath & Beyond, Inc. | 35 | 697 | ||||||
Boyd Gaming Corp. | 20 | 693 | ||||||
Dick’s Sporting Goods, Inc. | 19 | 670 | ||||||
Scientific Games Corp. — Class A* | 13 | 639 | ||||||
Cheesecake Factory, Inc. | 11 | 606 | ||||||
TRI Pointe Group, Inc.* | 37 | 605 | ||||||
Jack in the Box, Inc. | 7 | 596 | ||||||
KB Home | 21 | 572 | ||||||
Tupperware Brands Corp. | 13 | 536 | ||||||
Tempur Sealy International, Inc.* | 11 | 529 | ||||||
Brinker International, Inc. | 11 | 524 | ||||||
Michaels Companies, Inc.* | 27 | 518 | ||||||
Herman Miller, Inc. | 15 | 509 | ||||||
Sally Beauty Holdings, Inc.* | 30 | 481 | ||||||
Dillard’s, Inc. — Class A1 | 5 | 472 | ||||||
Big Lots, Inc. | 10 | 418 | ||||||
HNI Corp. | 11 | 409 | ||||||
World Fuel Services Corp. | 17 | 347 | ||||||
Papa John’s International, Inc. | 6 | 304 | ||||||
International Speedway Corp. — Class A | 6 | 268 | ||||||
Total Consumer, Cyclical | 55,629 | |||||||
Technology - 0.7% | ||||||||
PTC, Inc.* | 28 | 2,627 | ||||||
Jack Henry & Associates, Inc. | 19 | 2,477 | ||||||
Fortinet, Inc.* | 36 | 2,248 | ||||||
Leidos Holdings, Inc. | 35 | 2,065 | ||||||
CDK Global, Inc. | 31 | 2,017 | ||||||
Tyler Technologies, Inc.* | 9 | 1,999 | ||||||
Zebra Technologies Corp. — Class A* | 13 | 1,862 | ||||||
Ultimate Software Group, Inc.* | 7 | 1,801 | ||||||
Teradyne, Inc. | 47 | 1,789 | ||||||
Cypress Semiconductor Corp. | 88 | 1,371 | ||||||
Fair Isaac Corp.* | 7 | 1,353 | ||||||
Monolithic Power Systems, Inc. | 10 | 1,337 | ||||||
MKS Instruments, Inc. | 13 | 1,244 | ||||||
Blackbaud, Inc. | 12 | 1,229 | ||||||
Medidata Solutions, Inc.* | 15 | 1,208 | ||||||
Teradata Corp.* | 30 | 1,205 | ||||||
Dun & Bradstreet Corp. | 9 | 1,104 | ||||||
Silicon Laboratories, Inc.* | 11 | 1,096 | ||||||
j2 Global, Inc. | 12 | 1,039 | ||||||
Integrated Device Technology, Inc.* | 32 | 1,020 | ||||||
MAXIMUS, Inc. | 16 | 994 | ||||||
Lumentum Holdings, Inc.* | 16 | 926 | ||||||
NCR Corp.* | 29 | 869 | ||||||
Science Applications International Corp. | 10 | 809 | ||||||
Manhattan Associates, Inc.* | 16 | 752 | ||||||
Perspecta, Inc. | 35 | 719 | ||||||
ACI Worldwide, Inc.* | 29 | 716 | ||||||
CommVault Systems, Inc.* | 10 | 659 | ||||||
VeriFone Systems, Inc.* | 27 | 616 | ||||||
NetScout Systems, Inc.* | 20 | 594 | ||||||
Cirrus Logic, Inc.* | 15 | 575 | ||||||
Acxiom Corp.* | 19 | 569 | ||||||
Convergys Corp. | 23 | 562 | ||||||
Allscripts Healthcare Solutions, Inc.* | 44 | 528 | ||||||
Synaptics, Inc.* | 9 | 453 | ||||||
Pitney Bowes, Inc. | 46 | 394 | ||||||
Total Technology | 42,826 |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MID-CAP 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Energy - 0.4% | ||||||||
WPX Energy, Inc.* | 99 | $ | 1,785 | |||||
Energen Corp.* | 24 | 1,748 | ||||||
Transocean Ltd.* | 108 | 1,452 | ||||||
Core Laboratories N.V.1 | 11 | 1,388 | ||||||
Murphy Oil Corp. | 40 | 1,351 | ||||||
Chesapeake Energy Corp.*,1 | 225 | 1,179 | ||||||
PBF Energy, Inc. — Class A | 28 | 1,174 | ||||||
First Solar, Inc.* | 20 | 1,053 | ||||||
Patterson-UTI Energy, Inc. | 55 | 990 | ||||||
Range Resources Corp. | 53 | 887 | ||||||
McDermott International, Inc.* | 44 | 865 | ||||||
Oasis Petroleum, Inc.* | 66 | 856 | ||||||
CNX Resources Corp.* | 48 | 853 | ||||||
Apergy Corp.* | 19 | 793 | ||||||
Ensco plc — Class A1 | 108 | 784 | ||||||
Matador Resources Co.* | 26 | 781 | ||||||
QEP Resources, Inc.* | 59 | 723 | ||||||
Southwestern Energy Co.* | 126 | 668 | ||||||
SM Energy Co. | 25 | 642 | ||||||
Oceaneering International, Inc. | 24 | 611 | ||||||
Murphy USA, Inc.* | 8 | 594 | ||||||
Callon Petroleum Co.* | 55 | 591 | ||||||
Nabors Industries Ltd. | 87 | 558 | ||||||
Gulfport Energy Corp.* | 39 | 490 | ||||||
Dril-Quip, Inc.* | 9 | 463 | ||||||
Rowan Companies plc — Class A* | 28 | 454 | ||||||
Superior Energy Services, Inc.* | 38 | 370 | ||||||
NOW, Inc.* | 27 | 360 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 16 | 334 | ||||||
Total Energy | 24,797 | |||||||
Basic Materials - 0.3% | ||||||||
Steel Dynamics, Inc. | 58 | 2,665 | ||||||
Chemours Co. | 44 | 1,952 | ||||||
RPM International, Inc. | 33 | 1,925 | ||||||
Reliance Steel & Aluminum Co. | 18 | 1,576 | ||||||
United States Steel Corp. | 44 | 1,529 | ||||||
Royal Gold, Inc. | 16 | 1,485 | ||||||
Olin Corp. | 41 | 1,178 | ||||||
Ashland Global Holdings, Inc. | 15 | 1,173 | ||||||
Valvoline, Inc. | 48 | 1,035 | ||||||
Versum Materials, Inc. | 27 | 1,003 | ||||||
Cabot Corp. | 15 | 927 | ||||||
PolyOne Corp. | 20 | 864 | ||||||
NewMarket Corp. | 2 | 809 | ||||||
Allegheny Technologies, Inc.* | 31 | 778 | ||||||
Domtar Corp. | 16 | 764 | ||||||
Sensient Technologies Corp. | 10 | 715 | ||||||
Minerals Technologies, Inc. | 9 | 678 | ||||||
Carpenter Technology Corp. | 12 | 631 | ||||||
Commercial Metals Co. | 29 | 612 | ||||||
Compass Minerals International, Inc. | 8 | 526 | ||||||
Total Basic Materials | 22,825 | |||||||
Utilities - 0.3% | ||||||||
Atmos Energy Corp. | 27 | 2,434 | ||||||
UGI Corp. | 43 | 2,239 | ||||||
OGE Energy Corp. | 49 | 1,725 | ||||||
Aqua America, Inc. | 44 | 1,548 | ||||||
Vectren Corp. | 20 | 1,429 | ||||||
MDU Resources Group, Inc. | 48 | 1,377 | ||||||
WGL Holdings, Inc. | 13 | 1,154 | ||||||
National Fuel Gas Co. | 21 | 1,112 | ||||||
IDACORP, Inc. | 12 | 1,107 | ||||||
ALLETE, Inc. | 13 | 1,006 | ||||||
New Jersey Resources Corp. | 22 | 984 | ||||||
ONE Gas, Inc. | 13 | 972 | ||||||
Hawaiian Electric Industries, Inc. | 27 | 926 | ||||||
Southwest Gas Holdings, Inc. | 12 | 915 | ||||||
Black Hills Corp. | 13 | 796 | ||||||
PNM Resources, Inc. | 20 | 778 | ||||||
NorthWestern Corp. | 12 | 687 | ||||||
Total Utilities | 21,189 | |||||||
Communications - 0.2% | ||||||||
FactSet Research Systems, Inc. | 10 | 1,981 | ||||||
LogMeIn, Inc. | 13 | 1,342 | ||||||
ARRIS International plc* | 43 | 1,051 | ||||||
Ciena Corp.* | 35 | 928 | ||||||
ViaSat, Inc.*,1 | 14 | 920 | ||||||
New York Times Co. — Class A | 32 | 829 | ||||||
Cable One, Inc. | 1 | 733 | ||||||
InterDigital, Inc. | 9 | 728 | ||||||
John Wiley & Sons, Inc. — Class A | 11 | 687 | ||||||
AMC Networks, Inc. — Class A* | 11 | 684 | ||||||
Telephone & Data Systems, Inc. | 23 | 631 | ||||||
Plantronics, Inc. | 8 | 610 | ||||||
TEGNA, Inc. | 53 | 575 | ||||||
Cars.com, Inc.* | 18 | 511 | ||||||
Meredith Corp. | 10 | 510 | ||||||
Total Communications | 12,720 | |||||||
Total Common Stocks | ||||||||
(Cost $324,993) | 434,596 | |||||||
MUTUAL FUNDS† - 64.4% | ||||||||
Guggenheim Strategy Fund I2 | 87,817 | 2,198,947 | ||||||
Guggenheim Strategy Fund II2 | 75,903 | 1,896,807 | ||||||
Total Mutual Funds | ||||||||
(Cost $4,082,110) | 4,095,754 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
MID-CAP 1.5x STRATEGY FUND |
| Face | Value | ||||||
U.S. TREASURY BILLS†† - 2.6% | ||||||||
U.S. Treasury Bills | ||||||||
1.87% due 09/20/183,4,5 | $ | 100,000 | $ | 99,583 | ||||
1.72% due 07/12/184,5,9 | 68,000 | 67,969 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $167,538) | 167,552 | |||||||
REPURCHASE AGREEMENTS††,6 - 26.8% | ||||||||
JPMorgan Chase & Co. | 938,947 | 938,947 | ||||||
Barclays Capital | 461,067 | 461,067 | ||||||
Bank of America Merrill Lynch | 307,378 | 307,378 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,707,392) | 1,707,392 | |||||||
| Shares |
| ||||||
SECURITIES LENDING COLLATERAL†,7 - 0.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%8 | 5,670 | 5,670 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $5,670) | 5,670 | |||||||
Total Investments - 100.7% | ||||||||
(Cost $6,287,703) | $ | 6,410,964 | ||||||
Other Assets & Liabilities, net - (0.7)% | (47,270 | ) | ||||||
Total Net Assets - 100.0% | $ | 6,363,694 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P MidCap 400 Index Mini Futures Contracts | 6 | Sep 2018 | $ | 1,173,660 | $ | (30,350 | ) |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||||
BNP Paribas | S&P MidCap 400 Index | 2.44 | % | At Maturity | 07/30/18 | 357 | $ | 696,937 | $ | 3,164 | |||||||||||||||
Barclays Bank plc | S&P MidCap 400 Index | 2.33 | % | At Maturity | 07/31/18 | 267 | 520,981 | 2,365 | |||||||||||||||||
Goldman Sachs International | S&P MidCap 400 Index | 2.33 | % | At Maturity | 07/27/18 | 3,448 | 6,729,381 | (41,705 | ) | ||||||||||||||||
$ | 7,947,299 | $ | (36,176 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7 day yield as of June 30, 2018. |
9 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
MID-CAP 1.5x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 434,596 | $ | — | $ | — | $ | 434,596 | ||||||||
Mutual Funds | 4,095,754 | — | — | 4,095,754 | ||||||||||||
U.S. Treasury Bills | — | 167,552 | — | 167,552 | ||||||||||||
Repurchase Agreements | — | 1,707,392 | — | 1,707,392 | ||||||||||||
Securities Lending Collateral | 5,670 | — | — | 5,670 | ||||||||||||
Equity Index Swap Agreements* | — | 5,529 | — | 5,529 | ||||||||||||
Total Assets | $ | 4,536,020 | $ | 1,880,473 | $ | — | $ | 6,416,493 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts* | $ | 30,350 | $ | — | $ | — | $ | 30,350 | ||||||||
Equity Index Swap Agreements* | — | 41,705 | — | 41,705 | ||||||||||||
Total Liabilities | $ | 30,350 | $ | 41,705 | $ | — | $ | 72,055 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in the the underlying series of Guggenheim Strategy Funds Trust consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 2,371,103 | $ | 1,029,378 | $ | (1,200,000 | ) | $ | 96 | $ | (1,630 | ) | $ | 2,198,947 | 87,817 | $ | 29,550 | |||||||||||||||
Guggenheim Strategy Fund II | 2,376,905 | 331,624 | (810,000 | ) | (1,605 | ) | (117 | ) | 1,896,807 | 75,903 | 31,784 | |||||||||||||||||||||
$ | 4,748,008 | $ | 1,361,002 | $ | (2,010,000 | ) | $ | (1,509 | ) | $ | (1,747 | ) | $ | 4,095,754 | $ | 61,334 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
MID-CAP 1.5x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $5,509 of securities loaned (cost $498,201) | $ | 607,818 | ||
Investments in affiliated issuers, at value (cost $4,082,110) | 4,095,754 | |||
Repurchase agreements, at value (cost $1,707,392) | 1,707,392 | |||
Cash | 7 | |||
Segregated cash with broker | 516 | |||
Unrealized appreciation on swap agreements | 5,529 | |||
Prepaid expenses | 763 | |||
Receivables: | ||||
Dividends | 11,875 | |||
Securities sold | 2,828 | |||
Variation margin | 1,200 | |||
Swap settlement | 735 | |||
Interest | 198 | |||
Securities lending income | 5 | |||
Total assets | 6,434,620 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 41,705 | |||
Payable for: | ||||
Securities purchased | 13,274 | |||
Return of securities loaned | 5,670 | |||
Management fees | 4,965 | |||
Fund shares redeemed | 1,796 | |||
Transfer agent and administrative fees | 1,379 | |||
Investor service fees | 1,379 | |||
Portfolio accounting fees | 552 | |||
Trustees’ fees* | 206 | |||
Total liabilities | 70,926 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 6,363,694 | ||
Net assets consist of: | ||||
Paid in capital | $ | 4,616,205 | ||
Undistributed net investment income | 31,439 | |||
Accumulated net realized gain on investments | 1,659,315 | |||
Net unrealized appreciation on investments | 56,735 | |||
Net assets | $ | 6,363,694 | ||
Capital shares outstanding | 263,214 | |||
Net asset value per share | $ | 24.18 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $4) | $ | 7,150 | ||
Dividends from securities of affiliated issuers | 61,334 | |||
Interest | 11,834 | |||
Income from securities lending, net | 93 | |||
Total investment income | 80,411 | |||
Expenses: | ||||
Management fees | 34,362 | |||
Investor service fees | 9,545 | |||
Transfer agent and administrative fees | 9,545 | |||
Professional fees | 15,246 | |||
Portfolio accounting fees | 3,818 | |||
Trustees’ fees* | 1,168 | |||
Custodian fees | 570 | |||
Miscellaneous | (8,530 | ) | ||
Total expenses | 65,724 | |||
Net investment income | 14,687 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (15,855 | ) | ||
Investments in affiliated issuers | (1,509 | ) | ||
Swap agreements | 122,768 | |||
Futures contracts | 140,406 | |||
Net realized gain | 245,810 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (8,732 | ) | ||
Investments in affiliated issuers | (1,747 | ) | ||
Swap agreements | (16,057 | ) | ||
Futures contracts | (61,293 | ) | ||
Net change in unrealized appreciation (depreciation) | (87,829 | ) | ||
Net realized and unrealized gain | 157,981 | |||
Net increase in net assets resulting from operations | $ | 172,668 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MID-CAP 1.5x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 14,687 | $ | 8,009 | ||||
Net realized gain on investments | 245,810 | 2,830,858 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (87,829 | ) | 98,420 | |||||
Net increase in net assets resulting from operations | 172,668 | 2,937,287 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (3,053,428 | ) | |||||
Total distributions to shareholders | — | (3,053,428 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,969,322 | 51,121,306 | ||||||
Distributions reinvested | — | 3,053,428 | ||||||
Cost of shares redeemed | (5,653,758 | ) | (66,131,295 | ) | ||||
Net decrease from capital share transactions | (1,684,436 | ) | (11,956,561 | ) | ||||
Net decrease in net assets | (1,511,768 | ) | (12,072,702 | ) | ||||
Net assets: | ||||||||
Beginning of period | 7,875,462 | 19,948,164 | ||||||
End of period | $ | 6,363,694 | $ | 7,875,462 | ||||
Undistributed net investment income at end of period | $ | 31,439 | $ | 16,752 | ||||
Capital share activity: | ||||||||
Shares sold | 167,225 | 2,058,544 | ||||||
Shares issued from reinvestment of distributions | — | 146,658 | ||||||
Shares redeemed | (240,994 | ) | (2,419,500 | ) | ||||
Net decrease in shares | (73,769 | ) | (214,298 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
MID-CAP 1.5x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.37 | $ | 36.19 | $ | 31.14 | $ | 35.05 | $ | 35.47 | $ | 23.61 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .05 | .02 | (.10 | ) | (.20 | ) | (.25 | ) | (.17 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .76 | 5.81 | 8.87 | (1.45 | ) | 4.39 | 12.03 | |||||||||||||||||
Total from investment operations | .81 | 5.83 | 8.77 | (1.65 | ) | 4.14 | 11.86 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (18.65 | ) | (3.72 | ) | (2.26 | ) | (4.56 | ) | — | ||||||||||||||
Total distributions | — | (18.65 | ) | (3.72 | ) | (2.26 | ) | (4.56 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 24.18 | $ | 23.37 | $ | 36.19 | $ | 31.14 | $ | 35.05 | $ | 35.47 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 3.47 | % | 22.44 | % | 29.64 | % | (5.50 | %) | 11.93 | % | 50.23 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,364 | $ | 7,875 | $ | 19,948 | $ | 15,093 | $ | 10,673 | $ | 17,076 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.38 | % | 0.07 | % | (0.30 | %) | (0.58 | %) | (0.69 | %) | (0.56 | %) | ||||||||||||
Total expensesd | 1.72 | % | 1.76 | % | 1.72 | % | 1.67 | % | 1.72 | % | 1.69 | % | ||||||||||||
Portfolio turnover rate | 44 | % | 403 | % | 368 | % | 477 | % | 255 | % | 279 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
INVERSE MID-CAP STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the S&P MidCap 400 Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: May 3, 2004
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 23.6% |
Guggenheim Strategy Fund I | 23.3% |
Total | 46.9% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Inverse Mid-Cap Strategy Fund | (3.56%) | (11.70%) | (12.99%) | (14.74%) |
S&P MidCap 400 Index | 3.49% | 13.50% | 12.69% | 10.78% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
INVERSE MID-CAP STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 46.9% | ||||||||
Guggenheim Strategy Fund II1 | 1,538 | $ | 38,424 | |||||
Guggenheim Strategy Fund I1 | 1,515 | 37,946 | ||||||
Total Mutual Funds | ||||||||
(Cost $76,039) | 76,370 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 9.2% | ||||||||
Federal Home Loan Bank2 | ||||||||
3.75% due 12/14/18 | $ | 15,000 | 15,106 | |||||
Total Federal Agency Notes | ||||||||
(Cost $15,110) | 15,106 | |||||||
REPURCHASE AGREEMENTS††,3 - 34.4% | ||||||||
JPMorgan Chase & Co. | 30,778 | 30,778 | ||||||
Barclays Capital | 15,114 | 15,114 | ||||||
Bank of America Merrill Lynch | 10,076 | 10,076 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $55,968) | 55,968 | |||||||
Total Investments - 90.5% | ||||||||
(Cost $147,117) | $ | 147,444 | ||||||
Other Assets & Liabilities, net - 9.5% | 15,445 | |||||||
Total Net Assets - 100.0% | $ | 162,889 |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements Sold Short†† | |||||||||||||||||||||||||
Goldman Sachs International | S&P MidCap 400 Index | 2.03 | % | At Maturity | 07/27/18 | 45 | $ | 87,392 | $ | 438 | |||||||||||||||
BNP Paribas | S&P MidCap 400 Index | 1.94 | % | At Maturity | 07/30/18 | 17 | 33,129 | (151 | ) | ||||||||||||||||
Barclays Bank plc | S&P MidCap 400 Index | 2.18 | % | At Maturity | 07/31/18 | 22 | 43,712 | (198 | ) | ||||||||||||||||
$ | 164,233 | $ | 89 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Repurchase Agreements — See Note 6. |
4 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. Rate indicated is the effective yield at the time of purchase. |
See Sector Classification in Other Information section. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
INVERSE MID-CAP STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 76,370 | $ | — | $ | — | $ | 76,370 | ||||||||
Federal Agency Notes | — | 15,106 | — | 15,106 | ||||||||||||
Repurchase Agreements | — | 55,968 | — | 55,968 | ||||||||||||
Equity Index Swap Agreements* | — | 438 | — | 438 | ||||||||||||
Total Assets | $ | 76,370 | $ | 71,512 | $ | — | $ | 147,882 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Index Swap Agreements* | $ | — | $ | 349 | $ | — | $ | 349 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 22,474 | $ | 200,536 | $ | (185,000 | ) | $ | (42 | ) | $ | (22 | ) | $ | 37,946 | 1,515 | $ | 535 | ||||||||||||||
Guggenheim Strategy Fund II | 59,830 | 113,623 | (135,000 | ) | 214 | (243 | ) | 38,424 | 1,538 | 623 | ||||||||||||||||||||||
$ | 82,304 | $ | 314,159 | $ | (320,000 | ) | $ | 172 | $ | (265 | ) | $ | 76,370 | $ | 1,158 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
INVERSE MID-CAP STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $15,110) | $ | 15,106 | ||
Investments in affiliated issuers, at value (cost $76,039) | 76,370 | |||
Repurchase agreements, at value (cost $55,968) | 55,968 | |||
Unrealized appreciation on swap agreements | 438 | |||
Receivables: | ||||
Fund shares sold | 15,869 | |||
Dividends | 179 | |||
Variation margin | 55 | |||
Interest | 33 | |||
Total assets | 164,018 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 349 | |||
Payable for: | ||||
Securities purchased | 185 | |||
Swap settlement | 139 | |||
Management fees | 128 | |||
Transfer agent and administrative fees | 35 | |||
Investor service fees | 35 | |||
Portfolio accounting fees | 14 | |||
Trustees’ fees* | 4 | |||
Miscellaneous | 240 | |||
Total liabilities | 1,129 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 162,889 | ||
Net assets consist of: | ||||
Paid in capital | $ | 1,853,742 | ||
Undistributed net investment income | 264 | |||
Accumulated net realized loss on investments | (1,691,533 | ) | ||
Net unrealized appreciation on investments | 416 | |||
Net assets | $ | 162,889 | ||
Capital shares outstanding | 2,476 | |||
Net asset value per share | $ | 65.79 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 1,158 | ||
Interest | 984 | |||
Total investment income | 2,142 | |||
Expenses: | ||||
Management fees | 976 | |||
Investor service fees | 271 | |||
Transfer agent and administrative fees | 271 | |||
Professional fees | 185 | |||
Portfolio accounting fees | 109 | |||
Trustees’ fees* | 32 | |||
Custodian fees | 14 | |||
Miscellaneous | 20 | |||
Total expenses | 1,878 | |||
Net investment income | 264 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 172 | |||
Swap agreements | (36,050 | ) | ||
Net realized loss | (35,878 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (4 | ) | ||
Investments in affiliated issuers | (265 | ) | ||
Swap agreements | (512 | ) | ||
Net change in unrealized appreciation (depreciation) | (781 | ) | ||
Net realized and unrealized loss | (36,659 | ) | ||
Net decrease in net assets resulting from operations | $ | (36,395 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 264 | $ | (653 | ) | |||
Net realized loss on investments | (35,878 | ) | (47,729 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (781 | ) | (1,194 | ) | ||||
Net decrease in net assets resulting from operations | (36,395 | ) | (49,576 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,589,294 | 4,129,307 | ||||||
Cost of shares redeemed | (2,567,511 | ) | (4,282,310 | ) | ||||
Net increase (decrease) from capital share transactions | 21,783 | (153,003 | ) | |||||
Net decrease in net assets | (14,612 | ) | (202,579 | ) | ||||
Net assets: | ||||||||
Beginning of period | 177,501 | 380,080 | ||||||
End of period | $ | 162,889 | $ | 177,501 | ||||
Undistributed net investment income at end of period | $ | 264 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 37,879 | 55,807 | ||||||
Shares redeemed | (38,005 | ) | (58,021 | ) | ||||
Net decrease in shares | (126 | ) | (2,214 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
INVERSE MID-CAP STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 68.22 | $ | 78.92 | $ | 97.61 | $ | 98.69 | $ | 111.65 | $ | 154.08 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .08 | (.16 | ) | (.26 | ) | (1.38 | ) | (1.59 | ) | (2.07 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.51 | ) | (10.54 | ) | (18.43 | ) | .30 | (11.37 | ) | (40.36 | ) | |||||||||||||
Total from investment operations | (2.43 | ) | (10.70 | ) | (18.69 | ) | (1.08 | ) | (12.96 | ) | (42.43 | ) | ||||||||||||
Net asset value, end of period | $ | 65.79 | $ | 68.22 | $ | 78.92 | $ | 97.61 | $ | 98.69 | $ | 111.65 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (3.56 | %) | (13.55 | %) | (19.13 | %) | (1.12 | %) | (11.56 | %) | (27.57 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 163 | $ | 178 | $ | 380 | $ | 611 | $ | 850 | $ | 911 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.24 | % | (0.22 | %) | (0.82 | %) | (1.46 | %) | (1.51 | %) | (1.65 | %) | ||||||||||||
Total expensesd | 1.73 | % | 1.76 | % | 1.71 | % | 1.66 | % | 1.72 | % | 1.68 | % | ||||||||||||
Portfolio turnover rate | 364 | % | 111 | % | 565 | % | 220 | % | 323 | % | — |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse Share Split — Per share amounts for periods presented through December 31, 2016, have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
f | Reverse Share Split — Per share amounts for periods presented through December 31, 2014, have been restate to reflect a 1:3 reverse share split effective January 24, 2014. |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: October 27, 2006
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 23.4% |
Guggenheim Strategy Fund I | 22.9% |
Five Below, Inc. | 0.1% |
Stamps.com, Inc. | 0.1% |
Etsy, Inc. | 0.1% |
Ligand Pharmaceuticals, Inc. — Class B | 0.1% |
FibroGen, Inc. | 0.1% |
Blackbaud, Inc. | 0.1% |
Entegris, Inc. | 0.1% |
LivaNova plc | 0.1% |
Top Ten Total | 47.1% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Russell 2000® 2x Strategy Fund | 12.57% | 31.60% | 20.44% | 11.75% |
Russell 2000 Index | 7.66% | 17.57% | 15.43% | 12.93% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 14.2% | ||||||||
Financial - 3.6% | ||||||||
Gramercy Property Trust REIT | 46 | $ | 1,257 | |||||
First Industrial Realty Trust, Inc. REIT | 37 | 1,234 | ||||||
Chemical Financial Corp. | 22 | 1,225 | ||||||
Cousins Properties, Inc. REIT | 126 | 1,221 | ||||||
IBERIABANK Corp. | 16 | 1,213 | ||||||
Primerica, Inc. | 12 | 1,195 | ||||||
Valley National Bancorp | 97 | 1,180 | ||||||
MGIC Investment Corp.* | 110 | 1,179 | ||||||
Hancock Whitney Corp. | 25 | 1,166 | ||||||
Ryman Hospitality Properties, Inc. REIT | 14 | 1,164 | ||||||
Sabra Health Care REIT, Inc. | 53 | 1,152 | ||||||
LaSalle Hotel Properties REIT | 33 | 1,130 | ||||||
RLJ Lodging Trust REIT | 51 | 1,125 | ||||||
MB Financial, Inc. | 24 | 1,121 | ||||||
Sunstone Hotel Investors, Inc. REIT | 67 | 1,114 | ||||||
Stifel Financial Corp. | 21 | 1,097 | ||||||
United Bankshares, Inc. | 30 | 1,092 | ||||||
Home BancShares, Inc. | 48 | 1,083 | ||||||
Healthcare Realty Trust, Inc. REIT | 37 | 1,076 | ||||||
UMB Financial Corp. | 14 | 1,067 | ||||||
Essent Group Ltd.* | 29 | 1,039 | ||||||
Ellie Mae, Inc.* | 10 | 1,038 | ||||||
Radian Group, Inc. | 64 | 1,038 | ||||||
South State Corp. | 12 | 1,035 | ||||||
First Financial Bankshares, Inc. | 20 | 1,018 | ||||||
GEO Group, Inc. REIT | 36 | 991 | ||||||
Glacier Bancorp, Inc. | 25 | 967 | ||||||
Investors Bancorp, Inc. | 75 | 959 | ||||||
EastGroup Properties, Inc. REIT | 10 | 956 | ||||||
Education Realty Trust, Inc. REIT | 23 | 955 | ||||||
CNO Financial Group, Inc. | 50 | 952 | ||||||
Blackstone Mortgage Trust, Inc. — Class A REIT | 30 | 943 | ||||||
American Equity Investment Life Holding Co. | 26 | 936 | ||||||
Selective Insurance Group, Inc. | 17 | 935 | ||||||
Cathay General Bancorp | 23 | 931 | ||||||
BancorpSouth Bank | 28 | 923 | ||||||
PotlatchDeltic Corp. REIT | 18 | 915 | ||||||
Kemper Corp. | 12 | 908 | ||||||
Columbia Banking System, Inc. | 22 | 900 | ||||||
Community Bank System, Inc. | 15 | 886 | ||||||
Physicians Realty Trust REIT | 54 | 861 | ||||||
Financial Engines, Inc. | 19 | 853 | ||||||
Old National Bancorp | 45 | 837 | ||||||
CoreCivic, Inc. REIT | 35 | 836 | ||||||
First Financial Bancorp | 27 | 828 | ||||||
Fulton Financial Corp. | 50 | 825 | ||||||
STAG Industrial, Inc. REIT | 30 | 817 | ||||||
National Health Investors, Inc. REIT | 11 | 810 | ||||||
Simmons First National Corp. — Class A | 27 | 807 | ||||||
RLI Corp. | 12 | 794 | ||||||
Washington Federal, Inc. | 24 | 785 | ||||||
Rexford Industrial Realty, Inc. REIT | 25 | 785 | ||||||
Kennedy-Wilson Holdings, Inc. | 37 | 783 | ||||||
PS Business Parks, Inc. REIT | 6 | 771 | ||||||
FCB Financial Holdings, Inc. — Class A* | 13 | 764 | ||||||
Piedmont Office Realty Trust, Inc. — Class A REIT | 38 | 757 | ||||||
Great Western Bancorp, Inc. | 18 | 756 | ||||||
Xenia Hotels & Resorts, Inc. REIT | 31 | 755 | ||||||
CenterState Bank Corp. | 25 | 745 | ||||||
Union Bankshares Corp. | 19 | 739 | ||||||
First Midwest Bancorp, Inc. | 29 | 739 | ||||||
Pebblebrook Hotel Trust REIT | 19 | 737 | ||||||
BofI Holding, Inc.* | 18 | 736 | ||||||
United Community Banks, Inc. | 24 | 736 | ||||||
Urban Edge Properties REIT | 32 | 732 | ||||||
Bank of NT Butterfield & Son Ltd. | 16 | 732 | ||||||
Washington Real Estate Investment Trust | 24 | 728 | ||||||
DiamondRock Hospitality Co. REIT | 59 | 725 | ||||||
Moelis & Co. — Class A | 12 | 704 | ||||||
First Merchants Corp. | 15 | 696 | ||||||
International Bancshares Corp. | 16 | 685 | ||||||
Hope Bancorp, Inc. | 38 | 678 | ||||||
Federated Investors, Inc. — Class B | 29 | 676 | ||||||
Genworth Financial, Inc. — Class A* | 150 | 675 | ||||||
CVB Financial Corp. | 30 | 673 | ||||||
Apollo Commercial Real Estate Finance, Inc. REIT | 36 | 658 | ||||||
Tanger Factory Outlet Centers, Inc. REIT | 28 | 658 | ||||||
Acadia Realty Trust REIT | 24 | 657 | ||||||
LendingTree, Inc.* | 3 | 641 | ||||||
Renasant Corp. | 14 | 637 | ||||||
Independent Bank Corp. | 8 | 627 | ||||||
ServisFirst Bancshares, Inc. | 15 | 626 | ||||||
Enstar Group Ltd.* | 3 | 622 | ||||||
Trustmark Corp. | 19 | 620 | ||||||
Retail Opportunity Investments Corp. REIT | 32 | 613 | ||||||
Eagle Bancorp, Inc.* | 10 | 613 | ||||||
Terreno Realty Corp. REIT | 16 | 603 | ||||||
Quality Care Properties, Inc. REIT* | 28 | 602 | ||||||
Banner Corp. | 10 | 601 | ||||||
WageWorks, Inc.* | 12 | 600 | ||||||
QTS Realty Trust, Inc. — Class A REIT | 15 | 593 | ||||||
Ameris Bancorp | 11 | 587 | ||||||
WesBanco, Inc. | 13 | 586 | ||||||
TowneBank | 18 | 578 | ||||||
Chesapeake Lodging Trust REIT | 18 | 570 | ||||||
ProAssurance Corp. | 16 | 567 | ||||||
Lexington Realty Trust REIT | 64 | 559 | ||||||
LegacyTexas Financial Group, Inc. | 14 | 546 | ||||||
Horace Mann Educators Corp. | 12 | 535 | ||||||
Pacific Premier Bancorp, Inc.* | 14 | 534 | ||||||
Redfin Corp.*,1 | 23 | 531 | ||||||
Berkshire Hills Bancorp, Inc. | 13 | 528 | ||||||
Mack-Cali Realty Corp. REIT | 26 | 527 | ||||||
Invesco Mortgage Capital, Inc. REIT | 33 | 525 | ||||||
Argo Group International Holdings Ltd. | 9 | 523 | ||||||
Colony Credit Real Estate, Inc. REIT | 25 | 518 |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
PRA Group, Inc.* | 13 | $ | 501 | |||||
Capitol Federal Financial, Inc. | 38 | 500 | ||||||
NBT Bancorp, Inc. | 13 | 496 | ||||||
Heartland Financial USA, Inc. | 9 | 494 | ||||||
Alexander & Baldwin, Inc. REIT | 21 | 493 | ||||||
Northwest Bancshares, Inc. | 28 | 487 | ||||||
First BanCorp* | 63 | 482 | ||||||
AmTrust Financial Services, Inc. | 33 | 481 | ||||||
WSFS Financial Corp. | 9 | 480 | ||||||
Agree Realty Corp. REIT | 9 | 475 | ||||||
National General Holdings Corp. | 18 | 474 | ||||||
LTC Properties, Inc. REIT | 11 | 470 | ||||||
Provident Financial Services, Inc. | 17 | 468 | ||||||
Independent Bank Group, Inc. | 7 | 468 | ||||||
Hilltop Holdings, Inc. | 21 | 463 | ||||||
National Storage Affiliates Trust REIT | 15 | 462 | ||||||
American Assets Trust, Inc. REIT | 12 | 459 | ||||||
Washington Prime Group, Inc. REIT | 56 | 454 | ||||||
Westamerica Bancorporation | 8 | 452 | ||||||
Sandy Spring Bancorp, Inc. | 11 | 451 | ||||||
First Commonwealth Financial Corp. | 29 | 450 | ||||||
Park National Corp. | 4 | 446 | ||||||
Walker & Dunlop, Inc. | 8 | 445 | ||||||
Government Properties Income Trust REIT | 28 | 444 | ||||||
Four Corners Property Trust, Inc. REIT | 18 | 443 | ||||||
S&T Bancorp, Inc. | 10 | 432 | ||||||
Waddell & Reed Financial, Inc. — Class A | 24 | 431 | ||||||
Infinity Property & Casualty Corp. | 3 | 427 | ||||||
Seritage Growth Properties REIT1 | 10 | 424 | ||||||
First Interstate BancSystem, Inc. — Class A | 10 | 422 | ||||||
OceanFirst Financial Corp. | 14 | 419 | ||||||
Summit Hotel Properties, Inc. REIT | 29 | 415 | ||||||
First Busey Corp. | 13 | 412 | ||||||
HFF, Inc. — Class A | 12 | 412 | ||||||
Seacoast Banking Corporation of Florida* | 13 | 411 | ||||||
Kite Realty Group Trust REIT | 24 | 410 | ||||||
Houlihan Lokey, Inc. | 8 | 410 | ||||||
Brookline Bancorp, Inc. | 22 | 409 | ||||||
Global Net Lease, Inc. REIT | 20 | 409 | ||||||
Ladder Capital Corp. — Class A REIT | 26 | 406 | ||||||
Select Income REIT | 18 | 404 | ||||||
Artisan Partners Asset Management, Inc. — Class A | 13 | 392 | ||||||
Alexander’s, Inc. REIT | 1 | 383 | ||||||
Boston Private Financial Holdings, Inc. | 24 | 382 | ||||||
Monmouth Real Estate Investment Corp. REIT | 23 | 380 | ||||||
Enterprise Financial Services Corp. | 7 | 378 | ||||||
Kearny Financial Corp. | 28 | 377 | ||||||
City Holding Co. | 5 | 376 | ||||||
Cadence BanCorp | 13 | 375 | ||||||
Southside Bancshares, Inc. | 11 | 370 | ||||||
First Bancorp | 9 | 368 | ||||||
State Bank Financial Corp. | 11 | 367 | ||||||
Enova International, Inc.* | 10 | 365 | ||||||
Redwood Trust, Inc. REIT | 22 | 362 | ||||||
Employers Holdings, Inc. | 9 | 362 | ||||||
FGL Holdings* | 43 | 361 | ||||||
LendingClub Corp.* | 94 | 356 | ||||||
CareTrust REIT, Inc. | 21 | 350 | ||||||
Heritage Financial Corp. | 10 | 348 | ||||||
National Bank Holdings Corp. — Class A | 9 | 347 | ||||||
AMERISAFE, Inc. | 6 | 347 | ||||||
Tompkins Financial Corp. | 4 | 344 | ||||||
BrightSphere Investment Group plc | 24 | 342 | ||||||
Navigators Group, Inc. | 6 | 342 | ||||||
Safety Insurance Group, Inc. | 4 | 342 | ||||||
Lakeland Financial Corp. | 7 | 337 | ||||||
CorePoint Lodging, Inc. REIT* | 13 | 337 | ||||||
Americold Realty Trust REIT | 15 | 330 | ||||||
CYS Investments, Inc. REIT | 44 | 330 | ||||||
Kinsale Capital Group, Inc. | 6 | 329 | ||||||
United Fire Group, Inc. | 6 | 327 | ||||||
Beneficial Bancorp, Inc. | 20 | 324 | ||||||
PennyMac Mortgage Investment Trust REIT | 17 | 323 | ||||||
PJT Partners, Inc. — Class A | 6 | 320 | ||||||
Universal Insurance Holdings, Inc. | 9 | 316 | ||||||
James River Group Holdings Ltd. | 8 | 314 | ||||||
NMI Holdings, Inc. — Class A* | 19 | 310 | ||||||
Tier REIT, Inc. | 13 | 309 | ||||||
Flagstar Bancorp, Inc.* | 9 | 308 | ||||||
Piper Jaffray Cos. | 4 | 307 | ||||||
National Western Life Group, Inc. — Class A | 1 | 307 | ||||||
Ramco-Gershenson Properties Trust REIT | 23 | 304 | ||||||
Stewart Information Services Corp. | 7 | 301 | ||||||
Third Point Reinsurance Ltd.* | 24 | 300 | ||||||
WisdomTree Investments, Inc. | 33 | 300 | ||||||
BancFirst Corp. | 5 | 296 | ||||||
Encore Capital Group, Inc.* | 8 | 293 | ||||||
Meta Financial Group, Inc. | 3 | 292 | ||||||
Nelnet, Inc. — Class A | 5 | 292 | ||||||
Cohen & Steers, Inc. | 7 | 292 | ||||||
Aircastle Ltd. | 14 | 287 | ||||||
Triumph Bancorp, Inc.* | 7 | 285 | ||||||
CBL & Associates Properties, Inc. REIT1 | 50 | 279 | ||||||
Bryn Mawr Bank Corp. | 6 | 278 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | 14 | 277 | ||||||
Chatham Lodging Trust REIT | 13 | 276 | ||||||
ARMOUR Residential REIT, Inc. | 12 | 274 | ||||||
Trupanion, Inc.* | 7 | 270 | ||||||
Federal Agricultural Mortgage Corp. — Class C | 3 | 268 | ||||||
1st Source Corp. | 5 | 267 | ||||||
Stock Yards Bancorp, Inc. | 7 | 267 | ||||||
InfraREIT, Inc. | 12 | 266 | ||||||
RE/MAX Holdings, Inc. — Class A | 5 | 262 | ||||||
INTL FCStone, Inc.* | 5 | 259 | ||||||
Ambac Financial Group, Inc.* | 13 | 258 | ||||||
Lakeland Bancorp, Inc. | 13 | 258 | ||||||
Central Pacific Financial Corp. | 9 | 258 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Carolina Financial Corp. | 6 | $ | 258 | |||||
Easterly Government Properties, Inc. REIT | 13 | 257 | ||||||
Universal Health Realty Income Trust REIT | 4 | 256 | ||||||
Virtus Investment Partners, Inc. | 2 | 256 | ||||||
Customers Bancorp, Inc.* | 9 | 255 | ||||||
Hanmi Financial Corp. | 9 | 255 | ||||||
MTGE Investment Corp. REIT | 13 | 255 | ||||||
Getty Realty Corp. REIT | 9 | 254 | ||||||
R1 RCM, Inc.* | 29 | 252 | ||||||
Community Trust Bancorp, Inc. | 5 | 250 | ||||||
TrustCo Bank Corp. NY | 28 | 249 | ||||||
Meridian Bancorp, Inc. | 13 | 249 | ||||||
Veritex Holdings, Inc.* | 8 | 249 | ||||||
Columbia Financial, Inc.* | 15 | 248 | ||||||
Franklin Street Properties Corp. REIT | 29 | 248 | ||||||
Univest Corporation of Pennsylvania | 9 | 247 | ||||||
Independence Realty Trust, Inc. REIT | 24 | 247 | ||||||
Preferred Bank/Los Angeles CA | 4 | 246 | ||||||
United Financial Bancorp, Inc. | 14 | 245 | ||||||
MBIA, Inc.* | 27 | 244 | ||||||
Capstead Mortgage Corp. REIT | 27 | 242 | ||||||
Hamilton Lane, Inc. — Class A | 5 | 240 | ||||||
Granite Point Mortgage Trust, Inc. REIT | 13 | 239 | ||||||
Horizon Bancorp, Inc. | 12 | 238 | ||||||
CoBiz Financial, Inc. | 11 | 236 | ||||||
FBL Financial Group, Inc. — Class A | 3 | 236 | ||||||
Hersha Hospitality Trust REIT | 11 | 236 | ||||||
RMR Group, Inc. — Class A | 3 | 235 | ||||||
Flushing Financial Corp. | 9 | 235 | ||||||
Banc of California, Inc. | 12 | 235 | ||||||
Marcus & Millichap, Inc.* | 6 | 234 | ||||||
Washington Trust Bancorp, Inc. | 4 | 232 | ||||||
Camden National Corp. | 5 | 229 | ||||||
Peoples Bancorp, Inc. | 6 | 227 | ||||||
TriCo Bancshares | 6 | 225 | ||||||
World Acceptance Corp.* | 2 | 222 | ||||||
Hingham Institution for Savings | 1 | 220 | ||||||
Northfield Bancorp, Inc. | 13 | 216 | ||||||
HomeStreet, Inc.* | 8 | 216 | ||||||
St. Joe Co.* | 12 | 216 | ||||||
German American Bancorp, Inc. | 6 | 215 | ||||||
Live Oak Bancshares, Inc. | 7 | 215 | ||||||
Pennsylvania Real Estate Investment Trust | 19 | 209 | ||||||
Guaranty Bancorp | 7 | 209 | ||||||
Cass Information Systems, Inc. | 3 | 206 | ||||||
Midland States Bancorp, Inc. | 6 | 206 | ||||||
iStar, Inc. REIT* | 19 | 205 | ||||||
Origin Bancorp, Inc. | 5 | 205 | ||||||
Preferred Apartment Communities, Inc. — Class A REIT | 12 | 204 | ||||||
TPG RE Finance Trust, Inc. REIT | 10 | 203 | ||||||
NorthStar Realty Europe Corp. REIT | 14 | 203 | ||||||
First Defiance Financial Corp. | 3 | 201 | ||||||
ConnectOne Bancorp, Inc. | 8 | 199 | ||||||
New York Mortgage Trust, Inc. REIT | 33 | 198 | ||||||
Dime Community Bancshares, Inc. | 10 | 195 | ||||||
Diamond Hill Investment Group, Inc. | 1 | 194 | ||||||
Oritani Financial Corp. | 12 | 194 | ||||||
Ashford Hospitality Trust, Inc. REIT | 24 | 194 | ||||||
FRP Holdings, Inc.* | 3 | 194 | ||||||
Armada Hoffler Properties, Inc. REIT | 13 | 194 | ||||||
CatchMark Timber Trust, Inc. — Class A REIT | 15 | 191 | ||||||
QCR Holdings, Inc. | 4 | 190 | ||||||
Investment Technology Group, Inc. | 9 | 188 | ||||||
Heritage Commerce Corp. | 11 | 187 | ||||||
National Commerce Corp.* | 4 | 185 | ||||||
Investors Title Co. | 1 | 185 | ||||||
Investors Real Estate Trust REIT | 33 | 182 | ||||||
First Financial Corp. | 4 | 181 | ||||||
Urstadt Biddle Properties, Inc. — Class A REIT | 8 | 181 | ||||||
BBX Capital Corp. | 20 | 181 | ||||||
Bridge Bancorp, Inc. | 5 | 180 | ||||||
People’s Utah Bancorp | 5 | 178 | ||||||
Arbor Realty Trust, Inc. REIT | 17 | 177 | ||||||
First of Long Island Corp. | 7 | 174 | ||||||
Allegiance Bancshares, Inc.* | 4 | 173 | ||||||
Gladstone Commercial Corp. REIT | 9 | 173 | ||||||
Peapack Gladstone Financial Corp. | 5 | 173 | ||||||
Opus Bank | 6 | 172 | ||||||
Great Southern Bancorp, Inc. | 3 | 172 | ||||||
Greenhill & Company, Inc. | 6 | 170 | ||||||
HomeTrust Bancshares, Inc.* | 6 | 169 | ||||||
OFG Bancorp | 12 | 169 | ||||||
First Foundation, Inc.* | 9 | 167 | ||||||
New Senior Investment Group, Inc. REIT | 22 | 167 | ||||||
Equity Bancshares, Inc. — Class A* | 4 | 166 | ||||||
CBTX, Inc. | 5 | 165 | ||||||
FB Financial Corp. | 4 | 163 | ||||||
Maiden Holdings Ltd. | 21 | 163 | ||||||
Bank of Marin Bancorp | 2 | 162 | ||||||
Saul Centers, Inc. REIT | 3 | 161 | ||||||
First Community Bancshares, Inc. | 5 | 159 | ||||||
Atlantic Capital Bancshares, Inc.* | 8 | 157 | ||||||
TriState Capital Holdings, Inc.* | 6 | 157 | ||||||
Blue Hills Bancorp, Inc. | 7 | 155 | ||||||
eHealth, Inc.* | 7 | 155 | ||||||
Independent Bank Corp. | 6 | 153 | ||||||
Fidelity Southern Corp. | 6 | 152 | ||||||
Bar Harbor Bankshares | 5 | 151 | ||||||
Franklin Financial Network, Inc.* | 4 | 150 | ||||||
AG Mortgage Investment Trust, Inc. REIT | 8 | 150 | ||||||
Whitestone REIT — Class B | 12 | 150 | ||||||
State Auto Financial Corp. | 5 | 150 | ||||||
Community Healthcare Trust, Inc. REIT | 5 | 149 | ||||||
Mercantile Bank Corp. | 4 | 148 | ||||||
Bancorp, Inc.* | 14 | 146 | ||||||
Front Yard Residential Corp. REIT | 14 | 146 | ||||||
United Community Financial Corp. | 13 | 143 | ||||||
Merchants Bancorp | 5 | 143 | ||||||
Ocwen Financial Corp.* | 36 | 143 |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
NexPoint Residential Trust, Inc. REIT | 5 | $ | 142 | |||||
Nationstar Mortgage Holdings, Inc.* | 8 | 140 | ||||||
Home Bancorp, Inc. | 3 | 140 | ||||||
Old Line Bancshares, Inc. | 4 | 140 | ||||||
UMH Properties, Inc. REIT | 9 | 138 | ||||||
Republic Bancorp, Inc. — Class A | 3 | 136 | ||||||
B. Riley Financial, Inc. | 6 | 135 | ||||||
Anworth Mortgage Asset Corp. REIT | 27 | 134 | ||||||
Industrial Logistics Properties Trust REIT | 6 | 134 | ||||||
Spirit MTA REIT* | 13 | 134 | ||||||
Financial Institutions, Inc. | 4 | 132 | ||||||
Green Bancorp, Inc. | 6 | 130 | ||||||
RBB Bancorp | 4 | 128 | ||||||
City Office REIT, Inc. | 10 | 128 | ||||||
First Connecticut Bancorp, Inc. | 4 | 122 | ||||||
Enterprise Bancorp, Inc. | 3 | 121 | ||||||
Orchid Island Capital, Inc. REIT | 16 | 120 | ||||||
CNB Financial Corp. | 4 | 120 | ||||||
Waterstone Financial, Inc. | 7 | 119 | ||||||
Westwood Holdings Group, Inc. | 2 | 119 | ||||||
First Mid-Illinois Bancshares, Inc. | 3 | 118 | ||||||
PennyMac Financial Services, Inc. — Class A* | 6 | 118 | ||||||
United Insurance Holdings Corp. | 6 | 117 | ||||||
Old Second Bancorp, Inc. | 8 | 115 | ||||||
Western Asset Mortgage Capital Corp. REIT | 11 | 115 | ||||||
Access National Corp. | 4 | 114 | ||||||
Greenlight Capital Re Ltd. — Class A* | 8 | 114 | ||||||
Cedar Realty Trust, Inc. REIT | 24 | 113 | ||||||
Sierra Bancorp | 4 | 113 | ||||||
CorEnergy Infrastructure Trust, Inc. REIT | 3 | 113 | ||||||
Byline Bancorp, Inc.* | 5 | 112 | ||||||
Farmers National Banc Corp. | 7 | 112 | ||||||
EMC Insurance Group, Inc. | 4 | 111 | ||||||
Cowen, Inc. — Class A* | 8 | 111 | ||||||
Nicolet Bankshares, Inc.* | 2 | 110 | ||||||
Arrow Financial Corp. | 3 | 109 | ||||||
Citizens, Inc.* | 14 | 109 | ||||||
First Bancshares, Inc. | 3 | 108 | ||||||
Southern National Bancorp of Virginia, Inc. | 6 | 107 | ||||||
One Liberty Properties, Inc. REIT | 4 | 106 | ||||||
Regional Management Corp.* | 3 | 105 | ||||||
Metropolitan Bank Holding Corp.* | 2 | 105 | ||||||
Farmers Capital Bank Corp. | 2 | 104 | ||||||
SmartFinancial, Inc.* | 4 | 103 | ||||||
Ladenburg Thalmann Financial Services, Inc. | 30 | 102 | ||||||
Middlefield Banc Corp. | 2 | 101 | ||||||
MidWestOne Financial Group, Inc. | 3 | 101 | ||||||
West Bancorporation, Inc. | 4 | 101 | ||||||
Heritage Insurance Holdings, Inc.1 | 6 | 100 | ||||||
PCSB Financial Corp. | 5 | 99 | ||||||
KKR Real Estate Finance Trust, Inc. | 5 | 99 | ||||||
Guaranty Bancshares, Inc. | 3 | 99 | ||||||
On Deck Capital, Inc.* | 14 | 98 | ||||||
Dynex Capital, Inc. REIT | 15 | 98 | ||||||
PHH Corp.* | 9 | 98 | ||||||
Health Insurance Innovations, Inc. — Class A* | 3 | 97 | ||||||
Ares Commercial Real Estate Corp. REIT | 7 | 97 | ||||||
Republic First Bancorp, Inc.* | 12 | 94 | ||||||
Peoples Financial Services Corp. | 2 | 94 | ||||||
National Bankshares, Inc. | 2 | 93 | ||||||
Braemar Hotels & Resorts, Inc. REIT | 8 | 91 | ||||||
SB One Bancorp | 3 | 89 | ||||||
Southern First Bancshares, Inc.* | 2 | 88 | ||||||
MedEquities Realty Trust, Inc. REIT | 8 | 88 | ||||||
Western New England Bancorp, Inc. | 8 | 88 | ||||||
Altisource Portfolio Solutions S.A.* | 3 | 88 | ||||||
Cambridge Bancorp | 1 | 87 | ||||||
Newmark Group, Inc. — Class A | 6 | 85 | ||||||
Macatawa Bank Corp. | 7 | 85 | ||||||
First Bancorp, Inc. | 3 | 85 | ||||||
Central Valley Community Bancorp | 4 | 85 | ||||||
Reliant Bancorp, Inc. | 3 | 84 | ||||||
Oppenheimer Holdings, Inc. — Class A | 3 | 84 | ||||||
HCI Group, Inc. | 2 | 83 | ||||||
Arlington Asset Investment Corp. — Class A | 8 | 82 | ||||||
Exantas Capital Corp. REIT | 8 | 81 | ||||||
Sutherland Asset Management Corp. REIT | 5 | 81 | ||||||
Farmers & Merchants Bancorp Incorporated/Archbold OH | 2 | 81 | ||||||
Summit Financial Group, Inc. | 3 | 81 | ||||||
American National Bankshares, Inc. | 2 | 80 | ||||||
Farmland Partners, Inc. REIT | 9 | 79 | ||||||
Northrim BanCorp, Inc. | 2 | 79 | ||||||
Business First Bancshares, Inc. | 3 | 79 | ||||||
Southern Missouri Bancorp, Inc. | 2 | 78 | ||||||
Global Indemnity Ltd. | 2 | 78 | ||||||
Citizens & Northern Corp. | 3 | 78 | ||||||
Safeguard Scientifics, Inc.* | 6 | 77 | ||||||
Century Bancorp, Inc. — Class A | 1 | 76 | ||||||
Jernigan Capital, Inc. REIT | 4 | 76 | ||||||
HarborOne Bancorp, Inc.* | 4 | 76 | ||||||
MutualFirst Financial, Inc. | 2 | 76 | ||||||
Goosehead Insurance, Inc. — Class A* | 3 | 75 | ||||||
Timberland Bancorp, Inc. | 2 | 75 | ||||||
Baycom Corp.* | 3 | 74 | ||||||
First Savings Financial Group, Inc. | 1 | 73 | ||||||
Innovative Industrial Properties, Inc. REIT | 2 | 73 | ||||||
Baldwin & Lyons, Inc. — Class B | 3 | 73 | ||||||
Civista Bancshares, Inc. | 3 | 73 | ||||||
Charter Financial Corp. | 3 | 72 | ||||||
WMIH Corp.* | 54 | 72 | ||||||
Norwood Financial Corp. | 2 | 72 | ||||||
Howard Bancorp, Inc.* | 4 | 72 | ||||||
Cherry Hill Mortgage Investment Corp. REIT | 4 | 71 | ||||||
Capital City Bank Group, Inc. | 3 | 71 | ||||||
BankFinancial Corp. | 4 | 71 | ||||||
First Bank/Hamilton NJ | 5 | 69 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
FedNat Holding Co. | 3 | $ | 69 | |||||
BSB Bancorp, Inc.* | 2 | 69 | ||||||
First Internet Bancorp | 2 | 68 | ||||||
ACNB Corp. | 2 | 68 | ||||||
Sterling Bancorp, Inc. | 5 | 67 | ||||||
Bank of Princeton* | 2 | 66 | ||||||
Bankwell Financial Group, Inc. | 2 | 64 | ||||||
FS Bancorp, Inc. | 1 | 63 | ||||||
C&F Financial Corp. | 1 | 63 | ||||||
Bluerock Residential Growth REIT, Inc. | 7 | 62 | ||||||
Forestar Group, Inc.* | 3 | 62 | ||||||
Territorial Bancorp, Inc. | 2 | 62 | ||||||
Fidelity D&D Bancorp, Inc. | 1 | 62 | ||||||
Ames National Corp. | 2 | 62 | ||||||
Consolidated-Tomoka Land Co. | 1 | 62 | ||||||
Codorus Valley Bancorp, Inc. | 2 | 61 | ||||||
First Choice Bancorp | 2 | 61 | ||||||
Stratus Properties, Inc.* | 2 | 61 | ||||||
GAIN Capital Holdings, Inc. | 8 | 60 | ||||||
BCB Bancorp, Inc. | 4 | 60 | ||||||
Marlin Business Services Corp. | 2 | 60 | ||||||
Entegra Financial Corp.* | 2 | 59 | ||||||
Shore Bancshares, Inc. | 3 | 57 | ||||||
Safety Income & Growth, Inc. REIT | 3 | 57 | ||||||
Premier Financial Bancorp, Inc. | 3 | 56 | ||||||
Investar Holding Corp. | 2 | 55 | ||||||
County Bancorp, Inc. | 2 | 55 | ||||||
Tiptree, Inc. — Class A | 8 | 54 | ||||||
Select Bancorp, Inc.* | 4 | 54 | ||||||
Community Bankers Trust Corp.* | 6 | 54 | ||||||
MBT Financial Corp. | 5 | 53 | ||||||
MidSouth Bancorp, Inc. | 4 | 53 | ||||||
Esquire Financial Holdings, Inc.* | 2 | 53 | ||||||
Ohio Valley Banc Corp. | 1 | 52 | ||||||
Great Ajax Corp. REIT | 4 | 52 | ||||||
First Business Financial Services, Inc. | 2 | 52 | ||||||
Orrstown Financial Services, Inc. | 2 | 52 | ||||||
Union Bankshares, Inc. | 1 | 52 | ||||||
Bank of Commerce Holdings | 4 | 51 | ||||||
OP Bancorp* | 4 | 51 | ||||||
NI Holdings, Inc.* | 3 | 51 | ||||||
Elevate Credit, Inc.* | 6 | 51 | ||||||
Kingstone Companies, Inc. | 3 | 51 | ||||||
Gladstone Land Corp. REIT | 4 | 51 | ||||||
Riverview Bancorp, Inc. | 6 | 51 | ||||||
First Community Corp. | 2 | 50 | ||||||
Chemung Financial Corp. | 1 | 50 | ||||||
Curo Group Holdings Corp.* | 2 | 50 | ||||||
Auburn National Bancorporation, Inc. | 1 | 50 | ||||||
Malvern Bancorp, Inc.* | 2 | 49 | ||||||
First Northwest Bancorp* | 3 | 48 | ||||||
ESSA Bancorp, Inc. | 3 | 47 | ||||||
Parke Bancorp, Inc. | 2 | 47 | ||||||
Evans Bancorp, Inc. | 1 | 46 | ||||||
Pzena Investment Management, Inc. — Class A | 5 | 46 | ||||||
Luther Burbank Corp. | 4 | 46 | ||||||
1st Constitution Bancorp | 2 | 46 | ||||||
Oak Valley Bancorp | 2 | 46 | ||||||
Unity Bancorp, Inc. | 2 | 45 | ||||||
United Security Bancshares | 4 | 45 | ||||||
Penns Woods Bancorp, Inc. | 1 | 45 | ||||||
Global Medical REIT, Inc. | 5 | 44 | ||||||
SI Financial Group, Inc. | 3 | 44 | ||||||
Northeast Bancorp | 2 | 44 | ||||||
Clipper Realty, Inc. REIT | 5 | 43 | ||||||
Boston Omaha Corp. — Class A* | 2 | 42 | ||||||
First United Corp. | 2 | 41 | ||||||
Donegal Group, Inc. — Class A | 3 | 41 | ||||||
Hallmark Financial Services, Inc.* | 4 | 40 | ||||||
LCNB Corp. | 2 | 39 | ||||||
First Financial Northwest, Inc. | 2 | 39 | ||||||
Pacific Mercantile Bancorp* | 4 | 39 | ||||||
Prudential Bancorp, Inc. | 2 | 39 | ||||||
Associated Capital Group, Inc. — Class A | 1 | 38 | ||||||
Capstar Financial Holdings, Inc.* | 2 | 37 | ||||||
FNB Bancorp | 1 | 37 | ||||||
MVB Financial Corp. | 2 | 36 | ||||||
Community Financial Corp. | 1 | 35 | ||||||
Mid Penn Bancorp, Inc. | 1 | 35 | ||||||
Crawford & Co. — Class B | 4 | 35 | ||||||
CB Financial Services, Inc. | 1 | 34 | ||||||
Greene County Bancorp, Inc. | 1 | 34 | ||||||
Independence Holding Co. | 1 | 33 | ||||||
Trinity Place Holdings, Inc.* | 5 | 33 | ||||||
Silvercrest Asset Management Group, Inc. — Class A | 2 | 33 | ||||||
Peoples Bancorp of North Carolina, Inc. | 1 | 32 | ||||||
PDL Community Bancorp* | 2 | 32 | ||||||
Impac Mortgage Holdings, Inc.* | 3 | 29 | ||||||
GAMCO Investors, Inc. — Class A | 1 | 27 | ||||||
Provident Bancorp, Inc.* | 1 | 26 | ||||||
First Guaranty Bancshares, Inc. | 1 | 26 | ||||||
BRT Apartments Corp. REIT | 2 | 25 | ||||||
Maui Land & Pineapple Company, Inc.* | 2 | 23 | ||||||
Total Financial | 163,308 | |||||||
Consumer, Non-cyclical - 3.1% | ||||||||
Ligand Pharmaceuticals, Inc. — Class B* | 7 | 1,450 | ||||||
FibroGen, Inc.* | 23 | 1,440 | ||||||
LivaNova plc* | 14 | 1,397 | ||||||
Loxo Oncology, Inc.* | 8 | 1,388 | ||||||
Haemonetics Corp.* | 15 | 1,345 | ||||||
Weight Watchers International, Inc.* | 12 | 1,213 | ||||||
Neogen Corp.* | 15 | 1,203 | ||||||
HealthEquity, Inc.* | 16 | 1,202 | ||||||
Brink’s Co. | 15 | 1,196 | ||||||
ASGN, Inc.* | 15 | 1,173 | ||||||
Performance Food Group Co.* | 31 | 1,138 | ||||||
Korn/Ferry International | 18 | 1,115 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 14 | 1,076 | ||||||
Globus Medical, Inc. — Class A* | 21 | 1,060 | ||||||
Insperity, Inc. | 11 | 1,048 |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Teladoc, Inc.*,1 | 18 | $ | 1,045 | |||||
Green Dot Corp. — Class A* | 14 | 1,027 | ||||||
Array BioPharma, Inc.* | 61 | 1,024 | ||||||
Deluxe Corp. | 15 | 993 | ||||||
Darling Ingredients, Inc.* | 49 | 974 | ||||||
Aaron’s, Inc. | 22 | 956 | ||||||
Healthcare Services Group, Inc. | 22 | 950 | ||||||
Inogen, Inc.* | 5 | 932 | ||||||
Immunomedics, Inc.* | 39 | 923 | ||||||
Supernus Pharmaceuticals, Inc.* | 15 | 898 | ||||||
Amicus Therapeutics, Inc.* | 56 | 875 | ||||||
Cimpress N.V.* | 6 | 870 | ||||||
Adtalem Global Education, Inc.* | 18 | 866 | ||||||
LHC Group, Inc.* | 10 | 856 | ||||||
Tenet Healthcare Corp.* | 25 | 839 | ||||||
Wright Medical Group N.V.* | 32 | 831 | ||||||
Lancaster Colony Corp. | 6 | 831 | ||||||
Blueprint Medicines Corp.* | 13 | 825 | ||||||
AMN Healthcare Services, Inc.* | 14 | 820 | ||||||
Avanos Medical, Inc.* | 14 | 802 | ||||||
Syneos Health, Inc.* | 17 | 797 | ||||||
Horizon Pharma plc* | 48 | 795 | ||||||
Helen of Troy Ltd.* | 8 | 788 | ||||||
NuVasive, Inc.* | 15 | 782 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 40 | 765 | ||||||
J&J Snack Foods Corp. | 5 | 762 | ||||||
Edgewell Personal Care Co.* | 15 | 757 | ||||||
Spark Therapeutics, Inc.* | 9 | 745 | ||||||
WD-40 Co. | 5 | 731 | ||||||
TriNet Group, Inc.* | 13 | 727 | ||||||
Nevro Corp.* | 9 | 719 | ||||||
Portola Pharmaceuticals, Inc.* | 19 | 718 | ||||||
Merit Medical Systems, Inc.* | 14 | 717 | ||||||
Myriad Genetics, Inc.* | 19 | 710 | ||||||
Emergent BioSolutions, Inc.* | 14 | 707 | ||||||
Heron Therapeutics, Inc.* | 18 | 699 | ||||||
Medicines Co.* | 19 | 697 | ||||||
Amedisys, Inc.* | 8 | 684 | ||||||
Foundation Medicine, Inc.* | 5 | 684 | ||||||
Clovis Oncology, Inc.* | 15 | 682 | ||||||
Aerie Pharmaceuticals, Inc.* | 10 | 675 | ||||||
Magellan Health, Inc.* | 7 | 672 | ||||||
FTI Consulting, Inc.* | 11 | 665 | ||||||
Quidel Corp.* | 10 | 665 | ||||||
Novocure Ltd.* | 21 | 657 | ||||||
Avis Budget Group, Inc.* | 20 | 650 | ||||||
Travelport Worldwide Ltd. | 35 | 649 | ||||||
REGENXBIO, Inc.* | 9 | 646 | ||||||
Endo International plc* | 68 | 641 | ||||||
Medifast, Inc. | 4 | 641 | ||||||
United Natural Foods, Inc.* | 15 | 640 | ||||||
Global Blood Therapeutics, Inc.* | 14 | 633 | ||||||
Sanderson Farms, Inc. | 6 | 631 | ||||||
Halozyme Therapeutics, Inc.* | 37 | 624 | ||||||
ABM Industries, Inc. | 21 | 613 | ||||||
Arena Pharmaceuticals, Inc.* | 14 | 610 | ||||||
Spectrum Pharmaceuticals, Inc.* | 29 | 608 | ||||||
Atrion Corp. | 1 | 599 | ||||||
Boston Beer Company, Inc. — Class A* | 2 | 599 | ||||||
Sotheby’s* | 11 | 598 | ||||||
Matthews International Corp. — Class A | 10 | 588 | ||||||
Intercept Pharmaceuticals, Inc.* | 7 | 587 | ||||||
CONMED Corp. | 8 | 586 | ||||||
Acceleron Pharma, Inc.* | 12 | 582 | ||||||
Integer Holdings Corp.* | 9 | 582 | ||||||
Abaxis, Inc. | 7 | 581 | ||||||
Select Medical Holdings Corp.* | 32 | 581 | ||||||
Enanta Pharmaceuticals, Inc.* | 5 | 579 | ||||||
Prestige Brands Holdings, Inc.* | 15 | 576 | ||||||
Cambrex Corp.* | 11 | 575 | ||||||
B&G Foods, Inc.1 | 19 | 568 | ||||||
iRhythm Technologies, Inc.* | 7 | 568 | ||||||
Patterson Companies, Inc. | 25 | 567 | ||||||
Repligen Corp.* | 12 | 565 | ||||||
Madrigal Pharmaceuticals, Inc.* | 2 | 559 | ||||||
Vector Group Ltd. | 29 | 553 | ||||||
HMS Holdings Corp.* | 25 | 541 | ||||||
Ensign Group, Inc. | 15 | 537 | ||||||
LifePoint Health, Inc.* | 11 | 537 | ||||||
Puma Biotechnology, Inc.* | 9 | 532 | ||||||
Paylocity Holding Corp.* | 9 | 530 | ||||||
Universal Corp. | 8 | 528 | ||||||
Monro, Inc. | 9 | 523 | ||||||
Insmed, Inc.* | 22 | 520 | ||||||
Xencor, Inc.* | 14 | 518 | ||||||
Brookdale Senior Living, Inc. — Class A* | 56 | 509 | ||||||
AxoGen, Inc.* | 10 | 503 | ||||||
NxStage Medical, Inc.* | 18 | 502 | ||||||
PTC Therapeutics, Inc.* | 14 | 472 | ||||||
Momenta Pharmaceuticals, Inc.* | 23 | 470 | ||||||
Mallinckrodt plc* | 25 | 466 | ||||||
Editas Medicine, Inc.* | 13 | 466 | ||||||
Akorn, Inc.* | 28 | 464 | ||||||
USANA Health Sciences, Inc.* | 4 | 461 | ||||||
Cal-Maine Foods, Inc.* | 10 | 458 | ||||||
ACADIA Pharmaceuticals, Inc.* | 30 | 458 | ||||||
OPKO Health, Inc.* | 96 | 451 | ||||||
MyoKardia, Inc.* | 9 | 447 | ||||||
Central Garden & Pet Co. — Class A* | 11 | 445 | ||||||
Varex Imaging Corp.* | 12 | 445 | ||||||
McGrath RentCorp | 7 | 443 | ||||||
Zogenix, Inc.* | 10 | 442 | ||||||
Atara Biotherapeutics, Inc.* | 12 | 441 | ||||||
Corcept Therapeutics, Inc.* | 28 | 440 | ||||||
Diplomat Pharmacy, Inc.* | 17 | 434 | ||||||
National Beverage Corp.* | 4 | 428 | ||||||
Sangamo Therapeutics, Inc.* | 30 | 426 | ||||||
Tivity Health, Inc.* | 12 | 422 | ||||||
ACCO Brands Corp. | 30 | 416 | ||||||
Amneal Pharmaceuticals, Inc.* | 25 | 410 | ||||||
Hostess Brands, Inc.* | 30 | 408 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Glaukos Corp.* | 10 | $ | 406 | |||||
BioTelemetry, Inc.* | 9 | 405 | ||||||
Alarm.com Holdings, Inc.* | 10 | 404 | ||||||
Fresh Del Monte Produce, Inc. | 9 | 401 | ||||||
Herc Holdings, Inc.* | 7 | 394 | ||||||
EVERTEC, Inc. | 18 | 393 | ||||||
Calavo Growers, Inc. | 4 | 385 | ||||||
US Physical Therapy, Inc. | 4 | 384 | ||||||
ImmunoGen, Inc.* | 39 | 379 | ||||||
STAAR Surgical Co.* | 12 | 372 | ||||||
Biohaven Pharmaceutical Holding Company Ltd.* | 9 | 356 | ||||||
ICF International, Inc. | 5 | 355 | ||||||
MGP Ingredients, Inc. | 4 | 355 | ||||||
AnaptysBio, Inc.* | 5 | 355 | ||||||
Radius Health, Inc.* | 12 | 354 | ||||||
Arrowhead Pharmaceuticals, Inc.* | 26 | 354 | ||||||
Pacira Pharmaceuticals, Inc.* | 11 | 353 | ||||||
Aimmune Therapeutics, Inc.* | 13 | 350 | ||||||
Acorda Therapeutics, Inc.* | 12 | 344 | ||||||
Audentes Therapeutics, Inc.* | 9 | 344 | ||||||
Strayer Education, Inc.1 | 3 | 339 | ||||||
Viad Corp.1 | 6 | 326 | ||||||
Luminex Corp. | 11 | 325 | ||||||
TrueBlue, Inc.* | 12 | 323 | ||||||
CBIZ, Inc.* | 14 | 322 | ||||||
Iovance Biotherapeutics, Inc.* | 25 | 320 | ||||||
Natus Medical, Inc.* | 9 | 311 | ||||||
NutriSystem, Inc. | 8 | 308 | ||||||
Career Education Corp.* | 19 | 307 | ||||||
Genomic Health, Inc.* | 6 | 302 | ||||||
Intellia Therapeutics, Inc.* | 11 | 301 | ||||||
Retrophin, Inc.* | 11 | 300 | ||||||
Intersect ENT, Inc.* | 8 | 300 | ||||||
TherapeuticsMD, Inc.* | 48 | 299 | ||||||
Capella Education Co. | 3 | 296 | ||||||
Theravance Biopharma, Inc.* | 13 | 295 | ||||||
Intrexon Corp.* | 21 | 293 | ||||||
Cardiovascular Systems, Inc.* | 9 | 291 | ||||||
Cardtronics plc — Class A* | 12 | 290 | ||||||
Innoviva, Inc.* | 21 | 290 | ||||||
Navigant Consulting, Inc.* | 13 | 288 | ||||||
Tandem Diabetes Care, Inc.* | 13 | 286 | ||||||
Vanda Pharmaceuticals, Inc.* | 15 | 286 | ||||||
Alder Biopharmaceuticals, Inc.* | 18 | 284 | ||||||
Orthofix International N.V.* | 5 | 284 | ||||||
Owens & Minor, Inc. | 17 | 284 | ||||||
Dean Foods Co. | 27 | 284 | ||||||
SpartanNash Co. | 11 | 281 | ||||||
OraSure Technologies, Inc.* | 17 | 280 | ||||||
CryoLife, Inc.* | 10 | 279 | ||||||
Phibro Animal Health Corp. — Class A | 6 | 276 | ||||||
Endocyte, Inc.* | 20 | 276 | ||||||
Revance Therapeutics, Inc.* | 10 | 274 | ||||||
Esperion Therapeutics, Inc.* | 7 | 274 | ||||||
CytomX Therapeutics, Inc.* | 12 | 274 | ||||||
Andersons, Inc. | 8 | 274 | ||||||
Triple-S Management Corp. — Class B* | 7 | 273 | ||||||
Inter Parfums, Inc. | 5 | 267 | ||||||
G1 Therapeutics, Inc.* | 6 | 261 | ||||||
Cerus Corp.* | 39 | 260 | ||||||
Tactile Systems Technology, Inc.* | 5 | 260 | ||||||
Simply Good Foods Co.* | 18 | 260 | ||||||
Dynavax Technologies Corp.* | 17 | 259 | ||||||
Karyopharm Therapeutics, Inc.* | 15 | 255 | ||||||
Omeros Corp.* | 14 | 254 | ||||||
MacroGenics, Inc.* | 12 | 248 | ||||||
K2M Group Holdings, Inc.* | 11 | 248 | ||||||
Mirati Therapeutics, Inc.* | 5 | 246 | ||||||
Huron Consulting Group, Inc.* | 6 | 245 | ||||||
AtriCure, Inc.* | 9 | 243 | ||||||
Providence Service Corp.* | 3 | 236 | ||||||
Assembly Biosciences, Inc.* | 6 | 235 | ||||||
Flexion Therapeutics, Inc.* | 9 | 233 | ||||||
Hertz Global Holdings, Inc.* | 15 | 230 | ||||||
Intra-Cellular Therapies, Inc.* | 13 | 230 | ||||||
Cymabay Therapeutics, Inc.* | 17 | 228 | ||||||
Eagle Pharmaceuticals, Inc.* | 3 | 227 | ||||||
SUPERVALU, Inc.* | 11 | 226 | ||||||
Kindred Healthcare, Inc.* | 25 | 225 | ||||||
Athenex, Inc.* | 12 | 224 | ||||||
TG Therapeutics, Inc.* | 17 | 224 | ||||||
SP Plus Corp.* | 6 | 223 | ||||||
AngioDynamics, Inc.* | 10 | 222 | ||||||
Surmodics, Inc.* | 4 | 221 | ||||||
Apellis Pharmaceuticals, Inc.* | 10 | 220 | ||||||
Epizyme, Inc.* | 16 | 217 | ||||||
Laureate Education, Inc. — Class A* | 15 | 215 | ||||||
Collegium Pharmaceutical, Inc.* | 9 | 215 | ||||||
National Healthcare Corp. | 3 | 211 | ||||||
American Public Education, Inc.* | 5 | 211 | ||||||
Heidrick & Struggles International, Inc. | 6 | 210 | ||||||
NeoGenomics, Inc.* | 16 | 210 | ||||||
Quad/Graphics, Inc. | 10 | 208 | ||||||
Heska Corp.* | 2 | 208 | ||||||
Apollo Medical Holdings, Inc.* | 8 | 207 | ||||||
Kforce, Inc. | 6 | 206 | ||||||
La Jolla Pharmaceutical Co.* | 7 | 204 | ||||||
Kelly Services, Inc. — Class A | 9 | 202 | ||||||
Chefs’ Warehouse, Inc.* | 7 | 199 | ||||||
Coherus Biosciences, Inc.* | 14 | 196 | ||||||
AMAG Pharmaceuticals, Inc.* | 10 | 195 | ||||||
Barrett Business Services, Inc. | 2 | 193 | ||||||
WaVe Life Sciences Ltd.*,1 | 5 | 191 | ||||||
Meridian Bioscience, Inc. | 12 | 191 | ||||||
Sorrento Therapeutics, Inc.* | 26 | 187 | ||||||
Invacare Corp. | 10 | 186 | ||||||
MiMedx Group, Inc.*,1 | 29 | 185 | ||||||
Team, Inc.*,1 | 8 | 185 | ||||||
K12, Inc.* | 11 | 180 | ||||||
Rent-A-Center, Inc.*,1 | 12 | 177 | ||||||
Cara Therapeutics, Inc.*,1 | 9 | 172 |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Medpace Holdings, Inc.* | 4 | $ | 172 | |||||
Fate Therapeutics, Inc.* | 15 | 170 | ||||||
Tejon Ranch Co.* | 7 | 170 | ||||||
Progenics Pharmaceuticals, Inc.* | 21 | 169 | ||||||
RadNet, Inc.* | 11 | 165 | ||||||
CorVel Corp.* | 3 | 162 | ||||||
GlycoMimetics, Inc.* | 10 | 161 | ||||||
Cutera, Inc.* | 4 | 161 | ||||||
Prothena Corporation plc* | 11 | 160 | ||||||
Lantheus Holdings, Inc.* | 11 | 160 | ||||||
Weis Markets, Inc. | 3 | 160 | ||||||
Dicerna Pharmaceuticals, Inc.* | 13 | 159 | ||||||
Five Prime Therapeutics, Inc.* | 10 | 158 | ||||||
LSC Communications, Inc. | 10 | 157 | ||||||
Accelerate Diagnostics, Inc.* | 7 | 156 | ||||||
Adamas Pharmaceuticals, Inc.* | 6 | 155 | ||||||
BioCryst Pharmaceuticals, Inc.* | 27 | 155 | ||||||
Tootsie Roll Industries, Inc. | 5 | 154 | ||||||
Novavax, Inc.* | 114 | 153 | ||||||
Amphastar Pharmaceuticals, Inc.* | 10 | 153 | ||||||
Geron Corp.* | 44 | 151 | ||||||
Natera, Inc.* | 8 | 151 | ||||||
John B Sanfilippo & Son, Inc. | 2 | 149 | ||||||
Kura Oncology, Inc.* | 8 | 146 | ||||||
Emerald Expositions Events, Inc. | 7 | 144 | ||||||
Lexicon Pharmaceuticals, Inc.* | 12 | 144 | ||||||
Abeona Therapeutics, Inc.* | 9 | 144 | ||||||
ArQule, Inc.* | 26 | 144 | ||||||
Ennis, Inc. | 7 | 142 | ||||||
Primo Water Corp.* | 8 | 140 | ||||||
Optinose, Inc.* | 5 | 140 | ||||||
Reata Pharmaceuticals, Inc. — Class A* | 4 | 140 | ||||||
Aclaris Therapeutics, Inc.* | 7 | 140 | ||||||
Akebia Therapeutics, Inc.* | 14 | 140 | ||||||
Invitae Corp.* | 19 | 140 | ||||||
Voyager Therapeutics, Inc.* | 7 | 137 | ||||||
Sientra, Inc.* | 7 | 137 | ||||||
Resources Connection, Inc. | 8 | 135 | ||||||
Coca-Cola Bottling Company Consolidated | 1 | 135 | ||||||
LeMaitre Vascular, Inc. | 4 | 134 | ||||||
ANI Pharmaceuticals, Inc.* | 2 | 134 | ||||||
Aduro Biotech, Inc.* | 19 | 133 | ||||||
Central Garden & Pet Co.* | 3 | 130 | ||||||
Rigel Pharmaceuticals, Inc.* | 46 | 130 | ||||||
Endologix, Inc.* | 23 | 130 | ||||||
Everi Holdings, Inc.* | 18 | 130 | ||||||
Stemline Therapeutics, Inc.* | 8 | 128 | ||||||
Anika Therapeutics, Inc.* | 4 | 128 | ||||||
Pacific Biosciences of California, Inc.* | 36 | 128 | ||||||
Ingles Markets, Inc. — Class A | 4 | 127 | ||||||
Textainer Group Holdings Ltd.* | 8 | 127 | ||||||
Forrester Research, Inc. | 3 | 126 | ||||||
Care.com, Inc.* | 6 | 125 | ||||||
Rhythm Pharmaceuticals, Inc.* | 4 | 125 | ||||||
CASI Pharmaceuticals, Inc.* | 15 | 123 | ||||||
Viking Therapeutics, Inc.* | 13 | 123 | ||||||
Lannett Company, Inc.*,1 | 9 | 122 | ||||||
Synergy Pharmaceuticals, Inc.* | 69 | 120 | ||||||
Dova Pharmaceuticals, Inc.* | 4 | 120 | ||||||
Eloxx Pharmaceuticals, Inc.*,1 | 7 | 120 | ||||||
Deciphera Pharmaceuticals, Inc.* | 3 | 118 | ||||||
Innovate Biopharmaceuticals, Inc.*,1 | 5 | 118 | ||||||
Rocket Pharmaceuticals, Inc.* | 6 | 118 | ||||||
CAI International, Inc.* | 5 | 116 | ||||||
RR Donnelley & Sons Co. | 20 | 115 | ||||||
Addus HomeCare Corp.* | 2 | 115 | ||||||
Achillion Pharmaceuticals, Inc.* | 40 | 113 | ||||||
Cross Country Healthcare, Inc.* | 10 | 113 | ||||||
Hackett Group, Inc. | 7 | 112 | ||||||
National Research Corp. — Class A | 3 | 112 | ||||||
CareDx, Inc.* | 9 | 110 | ||||||
Utah Medical Products, Inc. | 1 | 110 | ||||||
Verastem, Inc.* | 16 | 110 | ||||||
ZIOPHARM Oncology, Inc.* | 36 | 109 | ||||||
Cytokinetics, Inc.* | 13 | 108 | ||||||
Inspire Medical Systems, Inc.* | 3 | 107 | ||||||
Solid Biosciences, Inc.* | 3 | 107 | ||||||
Depomed, Inc.* | 16 | 107 | ||||||
Vericel Corp.* | 11 | 107 | ||||||
Albireo Pharma, Inc.* | 3 | 107 | ||||||
ViewRay, Inc.* | 15 | 104 | ||||||
Antares Pharma, Inc.* | 40 | 103 | ||||||
PDL BioPharma, Inc.* | 44 | 103 | ||||||
BioScrip, Inc.* | 35 | 102 | ||||||
Paratek Pharmaceuticals, Inc.* | 10 | 102 | ||||||
CRA International, Inc. | 2 | 102 | ||||||
Dermira, Inc.* | 11 | 101 | ||||||
Concert Pharmaceuticals, Inc.* | 6 | 101 | ||||||
Carriage Services, Inc. — Class A | 4 | 98 | ||||||
Keryx Biopharmaceuticals, Inc.*,1 | 26 | 98 | ||||||
Turning Point Brands, Inc. | 3 | 96 | ||||||
MediciNova, Inc.* | 12 | 95 | ||||||
Akcea Therapeutics, Inc.*,1 | 4 | 95 | ||||||
Accuray, Inc.* | 23 | 94 | ||||||
Vectrus, Inc.* | 3 | 92 | ||||||
SEACOR Marine Holdings, Inc.* | 4 | 92 | ||||||
ChemoCentryx, Inc.* | 7 | 92 | ||||||
Farmer Brothers Co.* | 3 | 92 | ||||||
e.l.f. Beauty, Inc.* | 6 | 91 | ||||||
CytoSorbents Corp.* | 8 | 91 | ||||||
Savara, Inc.* | 8 | 91 | ||||||
Catalyst Pharmaceuticals, Inc.* | 29 | 90 | ||||||
Oxford Immunotec Global plc* | 7 | 90 | ||||||
Inovio Pharmaceuticals, Inc.* | 23 | 90 | ||||||
BioSpecifics Technologies Corp.*,1 | 2 | 90 | ||||||
GenMark Diagnostics, Inc.* | 14 | 89 | ||||||
SIGA Technologies, Inc.* | 15 | 89 | ||||||
Bellicum Pharmaceuticals, Inc.* | 12 | 89 | ||||||
Village Super Market, Inc. — Class A | 3 | 88 | ||||||
Community Health Systems, Inc.*,1 | 26 | 86 | ||||||
22nd Century Group, Inc.*,1 | 35 | 86 | ||||||
Clearside Biomedical, Inc.* | 8 | 86 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Adverum Biotechnologies, Inc.* | 16 | $ | 85 | |||||
Great Lakes Dredge & Dock Corp.* | 16 | 84 | ||||||
ServiceSource International, Inc.* | 21 | 83 | ||||||
Craft Brew Alliance, Inc.* | 4 | 83 | ||||||
Senseonics Holdings, Inc.* | 20 | 82 | ||||||
Nuvectra Corp.* | 4 | 82 | ||||||
NanoString Technologies, Inc.* | 6 | 82 | ||||||
Civitas Solutions, Inc.* | 5 | 82 | ||||||
Arbutus Biopharma Corp.* | 11 | 80 | ||||||
Kadmon Holdings, Inc.* | 20 | 80 | ||||||
MannKind Corp.* | 42 | 80 | ||||||
CTI BioPharma Corp.* | 16 | 80 | ||||||
Cadiz, Inc.* | 6 | 79 | ||||||
Cellular Biomedicine Group, Inc.* | 4 | 78 | ||||||
Achaogen, Inc.* | 9 | 78 | ||||||
Denali Therapeutics, Inc.* | 5 | 76 | ||||||
Pieris Pharmaceuticals, Inc.* | 15 | 76 | ||||||
Sienna Biopharmaceuticals, Inc.* | 5 | 76 | ||||||
Capital Senior Living Corp.* | 7 | 75 | ||||||
Kindred Biosciences, Inc.* | 7 | 74 | ||||||
Surgery Partners, Inc.* | 5 | 74 | ||||||
Limoneira Co. | 3 | 74 | ||||||
Franklin Covey Co.* | 3 | 74 | ||||||
RTI Surgical, Inc.* | 16 | 74 | ||||||
Zafgen, Inc.* | 7 | 72 | ||||||
Syros Pharmaceuticals, Inc.* | 7 | 71 | ||||||
Cue Biopharma, Inc.* | 6 | 71 | ||||||
Marinus Pharmaceuticals, Inc.* | 10 | 71 | ||||||
Corbus Pharmaceuticals Holdings, Inc.*,1 | 14 | 71 | ||||||
AVEO Pharmaceuticals, Inc.* | 30 | 68 | ||||||
Durect Corp.* | 43 | 67 | ||||||
Selecta Biosciences, Inc.* | 5 | 66 | ||||||
Minerva Neurosciences, Inc.* | 8 | 66 | ||||||
Reis, Inc. | 3 | 65 | ||||||
Veracyte, Inc.* | 7 | 65 | ||||||
Rockwell Medical, Inc.* | 13 | 64 | ||||||
American Renal Associates Holdings, Inc.* | 4 | 63 | ||||||
Enzo Biochem, Inc.* | 12 | 62 | ||||||
Willdan Group, Inc.* | 2 | 62 | ||||||
T2 Biosystems, Inc.* | 8 | 62 | ||||||
Vital Therapies, Inc.* | 9 | 62 | ||||||
Homology Medicines, Inc.* | 3 | 61 | ||||||
Athersys, Inc.* | 31 | 61 | ||||||
Ocular Therapeutix, Inc.* | 9 | 61 | ||||||
MoneyGram International, Inc.* | 9 | 60 | ||||||
Harvard Bioscience, Inc.* | 11 | 59 | ||||||
Avid Bioservices, Inc.* | 15 | 59 | ||||||
PRGX Global, Inc.* | 6 | 58 | ||||||
Acacia Research Corp.* | 14 | 58 | ||||||
Chimerix, Inc.* | 12 | 57 | ||||||
Palatin Technologies, Inc.* | 58 | 56 | ||||||
Corium International, Inc.* | 7 | 56 | ||||||
Tocagen, Inc.* | 6 | 56 | ||||||
Evolus, Inc.* | 2 | 56 | ||||||
Idera Pharmaceuticals, Inc.* | 42 | 55 | ||||||
Kala Pharmaceuticals, Inc.* | 4 | 55 | ||||||
Seneca Foods Corp. — Class A* | 2 | 54 | ||||||
Mersana Therapeutics, Inc.* | 3 | 54 | ||||||
OrthoPediatrics Corp.* | 2 | 53 | ||||||
FONAR Corp.* | 2 | 53 | ||||||
Aeglea BioTherapeutics, Inc.* | 5 | 53 | ||||||
Ampio Pharmaceuticals, Inc.*,1 | 24 | 53 | ||||||
Revlon, Inc. — Class A* | 3 | 53 | ||||||
Seres Therapeutics, Inc.* | 6 | 52 | ||||||
BioTime, Inc.* | 25 | 52 | ||||||
Aratana Therapeutics, Inc.* | 12 | 51 | ||||||
Insys Therapeutics, Inc.*,1 | 7 | 51 | ||||||
SeaSpine Holdings Corp.* | 4 | 50 | ||||||
Natural Health Trends Corp. | 2 | 50 | ||||||
Neos Therapeutics, Inc.* | 8 | 50 | ||||||
Tetraphase Pharmaceuticals, Inc.* | 14 | 50 | ||||||
Agenus, Inc.* | 22 | 50 | ||||||
Celcuity, Inc.* | 2 | 50 | ||||||
Synlogic, Inc.* | 5 | 49 | ||||||
PFSweb, Inc.* | 5 | 49 | ||||||
Helius Medical Technologies, Inc.* | 5 | 48 | ||||||
Alliance One International, Inc.* | 3 | 47 | ||||||
Spring Bank Pharmaceuticals, Inc.* | 4 | 47 | ||||||
PolarityTE, Inc.* | 2 | 47 | ||||||
BG Staffing, Inc. | 2 | 47 | ||||||
Cohbar, Inc.* | 7 | 46 | ||||||
Pulse Biosciences, Inc.* | 3 | 45 | ||||||
Calithera Biosciences, Inc.* | 9 | 45 | ||||||
Miragen Therapeutics, Inc.* | 7 | 45 | ||||||
Cambium Learning Group, Inc.* | 4 | 45 | ||||||
Odonate Therapeutics, Inc.* | 2 | 44 | ||||||
Corvus Pharmaceuticals, Inc.* | 4 | 44 | ||||||
XOMA Corp.* | 2 | 42 | ||||||
Fennec Pharmaceuticals, Inc.* | 4 | 42 | ||||||
ChromaDex Corp.* | 11 | 41 | ||||||
Organovo Holdings, Inc.* | 29 | 41 | ||||||
Quorum Health Corp.* | 8 | 40 | ||||||
Ra Pharmaceuticals, Inc.* | 4 | 40 | ||||||
Allena Pharmaceuticals, Inc.* | 3 | 39 | ||||||
Ovid therapeutics, Inc.* | 5 | 39 | ||||||
Melinta Therapeutics, Inc.* | 6 | 38 | ||||||
NewLink Genetics Corp.* | 8 | 38 | ||||||
Teligent, Inc.* | 11 | 38 | ||||||
Tyme Technologies, Inc.* | 12 | 38 | ||||||
Pfenex, Inc.* | 7 | 38 | ||||||
AAC Holdings, Inc.* | 4 | 37 | ||||||
Calyxt, Inc.* | 2 | 37 | ||||||
Information Services Group, Inc.* | 9 | 37 | ||||||
Immune Design Corp.* | 8 | 36 | ||||||
Catalyst Biosciences, Inc.* | 3 | 35 | ||||||
Mustang Bio, Inc.* | 5 | 34 | ||||||
Genesis Healthcare, Inc.* | 15 | 34 | ||||||
Smart & Final Stores, Inc.* | 6 | 33 | ||||||
Ardelyx, Inc.* | 9 | 33 | ||||||
Surface Oncology, Inc.* | 2 | 33 | ||||||
Celsius Holdings, Inc.* | 7 | 32 | ||||||
Aldeyra Therapeutics, Inc.* | 4 | 32 |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Alico, Inc. | 1 | $ | 32 | |||||
ADMA Biologics, Inc.* | 7 | 32 | ||||||
Marrone Bio Innovations, Inc.* | 17 | 31 | ||||||
Jounce Therapeutics, Inc.* | 4 | �� | 31 | |||||
Nymox Pharmaceutical Corp.* | 9 | 30 | ||||||
UNITY Biotechnology, Inc.* | 2 | 30 | ||||||
Spero Therapeutics, Inc.* | 2 | 29 | ||||||
Quanterix Corp.* | 2 | 29 | ||||||
Syndax Pharmaceuticals, Inc.* | 4 | 28 | ||||||
NantKwest, Inc.* | 9 | 28 | ||||||
Zomedica Pharmaceuticals Corp.* | 12 | 27 | ||||||
Fortress Biotech, Inc.* | 9 | 27 | ||||||
Natural Grocers by Vitamin Cottage, Inc.* | 2 | 25 | ||||||
Recro Pharma, Inc.* | 5 | 25 | ||||||
Arcus Biosciences, Inc.* | 2 | 24 | ||||||
Evelo Biosciences, Inc.* | 2 | 24 | ||||||
Nature’s Sunshine Products, Inc.* | 2 | 19 | ||||||
TransEnterix, Inc.*,1 | 3 | 13 | ||||||
Total Consumer, Non-cyclical | 140,499 | |||||||
Industrial - 1.9% | ||||||||
EMCOR Group, Inc. | 17 | 1,295 | ||||||
Cree, Inc.* | 30 | 1,247 | ||||||
Woodward, Inc. | 16 | 1,230 | ||||||
Louisiana-Pacific Corp. | 44 | 1,198 | ||||||
Trex Company, Inc.* | 18 | 1,127 | ||||||
KLX, Inc.* | 15 | 1,078 | ||||||
Proto Labs, Inc.* | 9 | 1,071 | ||||||
MasTec, Inc.* | 20 | 1,015 | ||||||
Axon Enterprise, Inc.* | 16 | 1,011 | ||||||
Generac Holdings, Inc.* | 19 | 983 | ||||||
MSA Safety, Inc. | 10 | 963 | ||||||
Vishay Intertechnology, Inc. | 40 | 928 | ||||||
Trinseo S.A. | 13 | 922 | ||||||
Tech Data Corp.* | 11 | 903 | ||||||
RBC Bearings, Inc.* | 7 | 902 | ||||||
Rexnord Corp.* | 31 | 901 | ||||||
KapStone Paper and Packaging Corp. | 26 | 897 | ||||||
Hillenbrand, Inc. | 19 | 896 | ||||||
EnerSys | 12 | 896 | ||||||
Barnes Group, Inc. | 15 | 883 | ||||||
Tetra Tech, Inc. | 15 | 878 | ||||||
Summit Materials, Inc. — Class A* | 33 | 866 | ||||||
TopBuild Corp.* | 11 | 862 | ||||||
Kennametal, Inc. | 24 | 862 | ||||||
Golar LNG Ltd. | 29 | 854 | ||||||
Dycom Industries, Inc.* | 9 | 851 | ||||||
GATX Corp. | 11 | 816 | ||||||
John Bean Technologies Corp. | 9 | 800 | ||||||
II-VI, Inc.* | 18 | 782 | ||||||
SYNNEX Corp. | 8 | 772 | ||||||
Applied Industrial Technologies, Inc. | 11 | 772 | ||||||
Simpson Manufacturing Company, Inc. | 12 | 746 | ||||||
KBR, Inc. | 41 | 735 | ||||||
Belden, Inc. | 12 | 733 | ||||||
Exponent, Inc. | 15 | 724 | ||||||
Granite Construction, Inc. | 13 | 724 | ||||||
Moog, Inc. — Class A | 9 | 702 | ||||||
Advanced Energy Industries, Inc.* | 12 | 697 | ||||||
Novanta, Inc.* | 11 | 685 | ||||||
Universal Forest Products, Inc. | 18 | 659 | ||||||
Saia, Inc.* | 8 | 647 | ||||||
Franklin Electric Company, Inc. | 14 | 631 | ||||||
Watts Water Technologies, Inc. — Class A | 8 | 627 | ||||||
Chart Industries, Inc.* | 10 | 617 | ||||||
JELD-WEN Holding, Inc.* | 21 | 600 | ||||||
Plexus Corp.* | 10 | 595 | ||||||
Esterline Technologies Corp.* | 8 | 590 | ||||||
Aerojet Rocketdyne Holdings, Inc.* | 20 | 590 | ||||||
Sanmina Corp.* | 20 | 586 | ||||||
Masonite International Corp.* | 8 | 575 | ||||||
Builders FirstSource, Inc.* | 31 | 567 | ||||||
Covanta Holding Corp. | 34 | 561 | ||||||
Kaman Corp.1 | 8 | 558 | ||||||
Rogers Corp.* | 5 | 557 | ||||||
Hub Group, Inc. — Class A* | 11 | 548 | ||||||
Worthington Industries, Inc. | 13 | 546 | ||||||
Advanced Disposal Services, Inc.* | 22 | 545 | ||||||
Albany International Corp. — Class A | 9 | 541 | ||||||
Itron, Inc.* | 9 | 540 | ||||||
Brady Corp. — Class A | 14 | 540 | ||||||
Mueller Water Products, Inc. — Class A | 46 | 539 | ||||||
Boise Cascade Co. | 12 | 536 | ||||||
Harsco Corp.* | 24 | 530 | ||||||
Greenbrier Companies, Inc. | 10 | 527 | ||||||
SPX FLOW, Inc.* | 12 | 525 | ||||||
Cubic Corp. | 8 | 514 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 7 | 502 | ||||||
Mueller Industries, Inc. | 17 | 502 | ||||||
Aerovironment, Inc.* | 7 | 500 | ||||||
Actuant Corp. — Class A | 17 | 499 | ||||||
Werner Enterprises, Inc. | 13 | 488 | ||||||
TTM Technologies, Inc.* | 27 | 476 | ||||||
Forward Air Corp. | 8 | 473 | ||||||
OSI Systems, Inc.* | 6 | 464 | ||||||
ESCO Technologies, Inc. | 8 | 462 | ||||||
Matson, Inc. | 12 | 461 | ||||||
Comfort Systems USA, Inc. | 10 | 458 | ||||||
SPX Corp.* | 13 | 456 | ||||||
Evoqua Water Technologies Corp.* | 22 | 451 | ||||||
US Ecology, Inc. | 7 | 446 | ||||||
EnPro Industries, Inc. | 6 | 420 | ||||||
Federal Signal Corp. | 18 | 419 | ||||||
Astec Industries, Inc. | 7 | 418 | ||||||
AAR Corp. | 9 | 418 | ||||||
Standex International Corp. | 4 | 409 | ||||||
Benchmark Electronics, Inc. | 14 | 408 | ||||||
Fitbit, Inc. — Class A* | 62 | 405 | ||||||
Methode Electronics, Inc. | 10 | 403 | ||||||
Patrick Industries, Inc.* | 7 | 398 | ||||||
Tennant Co. | 5 | 395 | ||||||
Altra Industrial Motion Corp. | 9 | 388 | ||||||
Sun Hydraulics Corp. | 8 | 385 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Apogee Enterprises, Inc. | 8 | $ | 385 | |||||
Kadant, Inc. | 4 | 385 | ||||||
Raven Industries, Inc. | 10 | 385 | ||||||
TriMas Corp.* | 13 | 382 | ||||||
Continental Building Products, Inc.* | 12 | 379 | ||||||
Advanced Drainage Systems, Inc. | 13 | 371 | ||||||
Greif, Inc. — Class A | 7 | 370 | ||||||
Fabrinet* | 10 | 369 | ||||||
Knowles Corp.* | 24 | 367 | ||||||
American Woodmark Corp.* | 4 | 366 | ||||||
AAON, Inc. | 11 | 366 | ||||||
KEMET Corp.* | 15 | 362 | ||||||
Air Transport Services Group, Inc.* | 16 | 361 | ||||||
CTS Corp. | 10 | 360 | ||||||
Milacron Holdings Corp.* | 19 | 360 | ||||||
Ship Finance International Ltd. | 24 | 359 | ||||||
Badger Meter, Inc. | 8 | 358 | ||||||
Gibraltar Industries, Inc.* | 9 | 337 | ||||||
Primoris Services Corp. | 12 | 327 | ||||||
FARO Technologies, Inc.* | 6 | 326 | ||||||
ArcBest Corp. | 7 | 320 | ||||||
Casella Waste Systems, Inc. — Class A* | 12 | 307 | ||||||
AZZ, Inc. | 7 | 304 | ||||||
Cactus, Inc. — Class A* | 9 | 304 | ||||||
PGT Innovations, Inc.* | 14 | 292 | ||||||
Lindsay Corp. | 3 | 291 | ||||||
Encore Wire Corp. | 6 | 285 | ||||||
Stoneridge, Inc.* | 8 | 281 | ||||||
Sturm Ruger & Company, Inc. | 5 | 280 | ||||||
Kratos Defense & Security Solutions, Inc.* | 24 | 276 | ||||||
NCI Building Systems, Inc.* | 13 | 273 | ||||||
Alamo Group, Inc. | 3 | 271 | ||||||
Applied Optoelectronics, Inc.* | 6 | 269 | ||||||
US Concrete, Inc.* | 5 | 263 | ||||||
Columbus McKinnon Corp. | 6 | 260 | ||||||
Multi-Color Corp. | 4 | 259 | ||||||
Manitowoc Company, Inc.* | 10 | 259 | ||||||
Marten Transport Ltd. | 11 | 258 | ||||||
Triumph Group, Inc. | 13 | 255 | ||||||
Astronics Corp.* | 7 | 252 | ||||||
Atkore International Group, Inc.* | 12 | 249 | ||||||
Scorpio Tankers, Inc. | 88 | 247 | ||||||
Heartland Express, Inc. | 13 | 241 | ||||||
AVX Corp. | 15 | 235 | ||||||
Chase Corp. | 2 | 235 | ||||||
Echo Global Logistics, Inc.* | 8 | 234 | ||||||
Aegion Corp. — Class A* | 9 | 232 | ||||||
Global Brass & Copper Holdings, Inc. | 7 | 219 | ||||||
Lydall, Inc.* | 5 | 218 | ||||||
Vicor Corp.* | 5 | 218 | ||||||
Mesa Laboratories, Inc. | 1 | 211 | ||||||
GasLog Ltd. | 11 | 210 | ||||||
NV5 Global, Inc.* | 3 | 208 | ||||||
GoPro, Inc. — Class A*,1 | 32 | 206 | ||||||
Tidewater, Inc.* | 7 | 202 | ||||||
TimkenSteel Corp.* | 12 | 196 | ||||||
Control4 Corp.* | 8 | 194 | ||||||
Briggs & Stratton Corp. | 11 | 194 | ||||||
Hyster-Yale Materials Handling, Inc. | 3 | 193 | ||||||
DXP Enterprises, Inc.* | 5 | 191 | ||||||
CIRCOR International, Inc. | 5 | 185 | ||||||
Tutor Perini Corp.* | 10 | 184 | ||||||
American Outdoor Brands Corp.* | 15 | 180 | ||||||
DMC Global, Inc. | 4 | 180 | ||||||
Quanex Building Products Corp. | 10 | 180 | ||||||
MYR Group, Inc.* | 5 | 177 | ||||||
Gorman-Rupp Co. | 5 | 175 | ||||||
Myers Industries, Inc. | 9 | 173 | ||||||
Ichor Holdings Ltd.* | 8 | 170 | ||||||
Insteel Industries, Inc. | 5 | 167 | ||||||
Tredegar Corp. | 7 | 165 | ||||||
Argan, Inc. | 4 | 164 | ||||||
International Seaways, Inc.* | 7 | 162 | ||||||
Electro Scientific Industries, Inc.* | 10 | 158 | ||||||
Teekay Corp. | 20 | 155 | ||||||
NN, Inc. | 8 | 151 | ||||||
Allied Motion Technologies, Inc. | 3 | 144 | ||||||
Griffon Corp. | 8 | 142 | ||||||
ZAGG, Inc.* | 8 | 138 | ||||||
SunPower Corp. — Class A*,1 | 17 | 130 | ||||||
Daseke, Inc.* | 13 | 129 | ||||||
Kimball Electronics, Inc.* | 7 | 128 | ||||||
CryoPort, Inc.*,1 | 8 | 126 | ||||||
Covenant Transportation Group, Inc. — Class A* | 4 | 126 | ||||||
National Presto Industries, Inc. | 1 | 124 | ||||||
Frontline Ltd.* | 21 | 123 | ||||||
NVE Corp. | 1 | 122 | ||||||
Scorpio Bulkers, Inc. | 17 | 121 | ||||||
DHT Holdings, Inc. | 25 | 117 | ||||||
Park Electrochemical Corp. | 5 | 116 | ||||||
Greif, Inc. — Class B | 2 | 115 | ||||||
Vishay Precision Group, Inc.* | 3 | 114 | ||||||
Nordic American Tankers Ltd. | 42 | 113 | ||||||
Costamare, Inc. | 14 | 112 | ||||||
Haynes International, Inc. | 3 | 110 | ||||||
Ducommun, Inc.* | 3 | 99 | ||||||
nLight, Inc.* | 3 | 99 | ||||||
VSE Corp. | 2 | 96 | ||||||
Mistras Group, Inc.* | 5 | 94 | ||||||
Sterling Construction Company, Inc.* | 7 | 91 | ||||||
Caesarstone Ltd. | 6 | 91 | ||||||
YRC Worldwide, Inc.* | 9 | 90 | ||||||
Hurco Companies, Inc. | 2 | 89 | ||||||
Energous Corp.* | 6 | 89 | ||||||
Hill International, Inc.* | 15 | 88 | ||||||
Armstrong Flooring, Inc.* | 6 | 84 | ||||||
Ardmore Shipping Corp.* | 10 | 82 | ||||||
Energy Recovery, Inc.* | 10 | 81 | ||||||
IntriCon Corp.* | 2 | 81 | ||||||
Heritage-Crystal Clean, Inc.* | 4 | 81 | ||||||
Omega Flex, Inc. | 1 | 79 |
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
American Railcar Industries, Inc. | 2 | $ | 79 | |||||
Graham Corp. | 3 | 77 | ||||||
ShotSpotter, Inc.* | 2 | 76 | ||||||
Park-Ohio Holdings Corp. | 2 | 75 | ||||||
Eagle Bulk Shipping, Inc.* | 13 | 71 | ||||||
USA Truck, Inc.* | 3 | 70 | ||||||
GP Strategies Corp.* | 4 | 70 | ||||||
Powell Industries, Inc. | 2 | 70 | ||||||
LB Foster Co. — Class A* | 3 | 69 | ||||||
Advanced Emissions Solutions, Inc. | 6 | 68 | ||||||
FreightCar America, Inc. | 4 | 67 | ||||||
Orion Group Holdings, Inc.* | 8 | 66 | ||||||
Bel Fuse, Inc. — Class B | 3 | 63 | ||||||
AquaVenture Holdings Ltd.* | 4 | 62 | ||||||
Overseas Shipholding Group, Inc. — Class A* | 16 | 62 | ||||||
Teekay Tankers Ltd. — Class A | 53 | 62 | ||||||
UFP Technologies, Inc.* | 2 | 62 | ||||||
Olympic Steel, Inc. | 3 | 61 | ||||||
Dorian LPG Ltd.* | 8 | 61 | ||||||
Northwest Pipe Co.* | 3 | 58 | ||||||
Sparton Corp.* | 3 | 57 | ||||||
Eastern Co. | 2 | 56 | ||||||
Universal Logistics Holdings, Inc. | 2 | 52 | ||||||
Manitex International, Inc.* | 4 | 50 | ||||||
Twin Disc, Inc.* | 2 | 50 | ||||||
CECO Environmental Corp. | 8 | 49 | ||||||
Lawson Products, Inc.* | 2 | 49 | ||||||
Forterra, Inc.* | 5 | 49 | ||||||
Pure Cycle Corp.* | 5 | 48 | ||||||
Fluidigm Corp.* | 8 | 48 | ||||||
Safe Bulkers, Inc.* | 14 | 48 | ||||||
PAM Transportation Services, Inc.* | 1 | 47 | ||||||
Infrastructure and Energy Alternatives, Inc.* | 5 | 47 | ||||||
Napco Security Technologies, Inc.* | 3 | 44 | ||||||
Radiant Logistics, Inc.* | 11 | 43 | ||||||
General Finance Corp.* | 3 | 41 | ||||||
Turtle Beach Corp.* | 2 | 41 | ||||||
Synalloy Corp. | 2 | 40 | ||||||
Iteris, Inc.* | 7 | 34 | ||||||
IES Holdings, Inc.* | 2 | 33 | ||||||
Gencor Industries, Inc.* | 2 | 32 | ||||||
LSB Industries, Inc.* | 6 | 32 | ||||||
Willis Lease Finance Corp.* | 1 | 32 | ||||||
Genco Shipping & Trading Ltd.* | 2 | 31 | ||||||
Babcock & Wilcox Enterprises, Inc.* | 10 | 24 | ||||||
NL Industries, Inc.* | 2 | 17 | ||||||
Total Industrial | 88,202 | |||||||
Consumer, Cyclical - 1.8% | ||||||||
Five Below, Inc.* | 17 | 1,661 | ||||||
Texas Roadhouse, Inc. — Class A | 20 | 1,310 | ||||||
Churchill Downs, Inc. | 4 | 1,186 | ||||||
FirstCash, Inc. | 13 | 1,168 | ||||||
Planet Fitness, Inc. — Class A* | 26 | 1,142 | ||||||
Deckers Outdoor Corp.* | 10 | 1,129 | ||||||
American Eagle Outfitters, Inc. | 48 | 1,116 | ||||||
ILG, Inc. | 31 | 1,024 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 14 | 1,015 | ||||||
SiteOne Landscape Supply, Inc.* | 12 | 1,008 | ||||||
Signet Jewelers Ltd. | 18 | 1,004 | ||||||
Wolverine World Wide, Inc. | 28 | 974 | ||||||
Cracker Barrel Old Country Store, Inc. | 6 | 937 | ||||||
Steven Madden Ltd. | 17 | 903 | ||||||
Beacon Roofing Supply, Inc.* | 21 | 895 | ||||||
Dana, Inc. | 44 | 888 | ||||||
UniFirst Corp. | 5 | 884 | ||||||
Boyd Gaming Corp. | 25 | 866 | ||||||
RH*,1 | 6 | 838 | ||||||
Penn National Gaming, Inc.* | 24 | 806 | ||||||
Bed Bath & Beyond, Inc. | 40 | 797 | ||||||
Scientific Games Corp. — Class A* | 16 | 786 | ||||||
Cooper-Standard Holdings, Inc.* | 6 | 784 | ||||||
Eldorado Resorts, Inc.* | 20 | 782 | ||||||
SkyWest, Inc. | 15 | 779 | ||||||
Jack in the Box, Inc. | 9 | 766 | ||||||
Spirit Airlines, Inc.* | 21 | 763 | ||||||
TRI Pointe Group, Inc.* | 46 | 752 | ||||||
Cheesecake Factory, Inc. | 13 | 716 | ||||||
Taylor Morrison Home Corp. — Class A* | 33 | 686 | ||||||
KB Home | 25 | 681 | ||||||
Marriott Vacations Worldwide Corp. | 6 | 678 | ||||||
Red Rock Resorts, Inc. — Class A | 20 | 670 | ||||||
Lithia Motors, Inc. — Class A | 7 | 662 | ||||||
Tupperware Brands Corp. | 16 | 660 | ||||||
Tenneco, Inc. | 15 | 659 | ||||||
Mobile Mini, Inc. | 14 | 656 | ||||||
LCI Industries | 7 | 631 | ||||||
Brinker International, Inc. | 13 | 619 | ||||||
Dorman Products, Inc.* | 9 | 615 | ||||||
Herman Miller, Inc. | 18 | 610 | ||||||
iRobot Corp.* | 8 | 606 | ||||||
G-III Apparel Group Ltd.* | 13 | 577 | ||||||
Sally Beauty Holdings, Inc.* | 36 | 577 | ||||||
Dave & Buster’s Entertainment, Inc.* | 12 | 571 | ||||||
Navistar International Corp.* | 14 | 570 | ||||||
Anixter International, Inc.* | 9 | 570 | ||||||
Allegiant Travel Co. — Class A | 4 | 556 | ||||||
Roku, Inc.*,1 | 13 | 554 | ||||||
PriceSmart, Inc. | 6 | 543 | ||||||
Rite Aid Corp.* | 313 | 541 | ||||||
Meritage Homes Corp.* | 12 | 527 | ||||||
DSW, Inc. — Class A | 20 | 516 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 33 | 513 | ||||||
Callaway Golf Co. | 27 | 512 | ||||||
Fox Factory Holding Corp.* | 11 | 512 | ||||||
Pinnacle Entertainment, Inc.* | 15 | 506 | ||||||
Hawaiian Holdings, Inc. | 14 | 503 | ||||||
Bloomin’ Brands, Inc. | 25 | 502 | ||||||
Big Lots, Inc. | 12 | 501 | ||||||
Meritor, Inc.* | 24 | 494 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Children’s Place, Inc. | 4 | $ | 483 | |||||
Wingstop, Inc. | 9 | 469 | ||||||
Abercrombie & Fitch Co. — Class A | 19 | 465 | ||||||
Shake Shack, Inc. — Class A* | 7 | 463 | ||||||
Triton International Ltd. | 15 | 460 | ||||||
HNI Corp. | 12 | 447 | ||||||
GameStop Corp. — Class A1 | 30 | 437 | ||||||
Gentherm, Inc.* | 11 | 432 | ||||||
MDC Holdings, Inc. | 14 | 431 | ||||||
La-Z-Boy, Inc. | 14 | 428 | ||||||
Office Depot, Inc. | 165 | 421 | ||||||
BMC Stock Holdings, Inc.* | 20 | 417 | ||||||
Cavco Industries, Inc.* | 2 | 415 | ||||||
Oxford Industries, Inc. | 5 | 415 | ||||||
Caleres, Inc. | 12 | 413 | ||||||
Asbury Automotive Group, Inc.* | 6 | 411 | ||||||
World Fuel Services Corp. | 20 | 408 | ||||||
Sonic Corp. | 11 | 379 | ||||||
Group 1 Automotive, Inc. | 6 | 378 | ||||||
H&E Equipment Services, Inc. | 10 | 376 | ||||||
Dine Brands Global, Inc. | 5 | 374 | ||||||
Cannae Holdings, Inc.* | 20 | 371 | ||||||
Cooper Tire & Rubber Co. | 14 | 368 | ||||||
Interface, Inc. — Class A | 16 | 367 | ||||||
National Vision Holdings, Inc.* | 10 | 366 | ||||||
Winnebago Industries, Inc. | 9 | 365 | ||||||
Guess?, Inc. | 17 | 364 | ||||||
BJ’s Restaurants, Inc. | 6 | 360 | ||||||
Tailored Brands, Inc. | 14 | 357 | ||||||
Papa John’s International, Inc. | 7 | 355 | ||||||
IMAX Corp.* | 16 | 354 | ||||||
Liberty TripAdvisor Holdings, Inc. — Class A* | 22 | 354 | ||||||
Crocs, Inc.* | 20 | 352 | ||||||
Fossil Group, Inc.* | 13 | 349 | ||||||
SeaWorld Entertainment, Inc.* | 16 | 349 | ||||||
Rush Enterprises, Inc. — Class A* | 8 | 347 | ||||||
Installed Building Products, Inc.* | 6 | 339 | ||||||
Douglas Dynamics, Inc. | 7 | 336 | ||||||
Steelcase, Inc. — Class A | 24 | 324 | ||||||
Core-Mark Holding Company, Inc. | 14 | 318 | ||||||
At Home Group, Inc.* | 8 | 313 | ||||||
International Speedway Corp. — Class A | 7 | 313 | ||||||
Knoll, Inc. | 15 | 312 | ||||||
Chico’s FAS, Inc. | 38 | 309 | ||||||
Belmond Ltd. — Class A* | 27 | 301 | ||||||
Wabash National Corp. | 16 | 299 | ||||||
Sleep Number Corp.* | 10 | 290 | ||||||
Standard Motor Products, Inc. | 6 | 290 | ||||||
LGI Homes, Inc.*,1 | 5 | 289 | ||||||
Denny’s Corp.* | 18 | 287 | ||||||
Dillard’s, Inc. — Class A1 | 3 | 284 | ||||||
ScanSource, Inc.* | 7 | 282 | ||||||
Modine Manufacturing Co.* | 15 | 274 | ||||||
GMS, Inc.* | 10 | 271 | ||||||
Acushnet Holdings Corp. | 11 | 269 | ||||||
PetMed Express, Inc.1 | 6 | 264 | ||||||
Ruth’s Hospitality Group, Inc. | 9 | 252 | ||||||
Century Communities, Inc.* | 8 | 252 | ||||||
Malibu Boats, Inc. — Class A* | 6 | 252 | ||||||
Vista Outdoor, Inc.* | 16 | 248 | ||||||
Movado Group, Inc. | 5 | 242 | ||||||
Camping World Holdings, Inc. — Class A1 | 9 | 225 | ||||||
AMC Entertainment Holdings, Inc. — Class A1 | 14 | 223 | ||||||
J.C. Penney Company, Inc.*,1 | 93 | 218 | ||||||
Buckle, Inc.1 | 8 | 215 | ||||||
M/I Homes, Inc.* | 8 | 212 | ||||||
Hudson Ltd. — Class A* | 12 | 210 | ||||||
William Lyon Homes — Class A* | 9 | 209 | ||||||
Ascena Retail Group, Inc.* | 51 | 203 | ||||||
Express, Inc.* | 22 | 201 | ||||||
Fiesta Restaurant Group, Inc.* | 7 | 201 | ||||||
Genesco, Inc.* | 5 | 199 | ||||||
Lumber Liquidators Holdings, Inc.* | 8 | 195 | ||||||
National CineMedia, Inc. | 23 | 193 | ||||||
Freshpet, Inc.* | 7 | 192 | ||||||
Red Robin Gourmet Burgers, Inc.* | 4 | 186 | ||||||
Wesco Aircraft Holdings, Inc.* | 16 | 180 | ||||||
Monarch Casino & Resort, Inc.* | 4 | 176 | ||||||
Cato Corp. — Class A | 7 | 172 | ||||||
Ethan Allen Interiors, Inc. | 7 | 172 | ||||||
EZCORP, Inc. — Class A* | 14 | 169 | ||||||
Regis Corp.* | 10 | 165 | ||||||
Conn’s, Inc.* | 5 | 165 | ||||||
Willscot Corp.* | 11 | 163 | ||||||
Marcus Corp. | 5 | 163 | ||||||
Kimball International, Inc. — Class B | 10 | 162 | ||||||
Titan International, Inc. | 15 | 161 | ||||||
Tower International, Inc. | 5 | 159 | ||||||
Unifi, Inc.* | 5 | 158 | ||||||
Chuy’s Holdings, Inc.* | 5 | 153 | ||||||
REV Group, Inc. | 9 | 153 | ||||||
Party City Holdco, Inc.* | 10 | 153 | ||||||
Carrols Restaurant Group, Inc.* | 10 | 148 | ||||||
Winmark Corp. | 1 | 148 | ||||||
MCBC Holdings, Inc.* | 5 | 145 | ||||||
Sonic Automotive, Inc. — Class A | 7 | 144 | ||||||
Nautilus, Inc.* | 9 | 141 | ||||||
Hooker Furniture Corp. | 3 | 141 | ||||||
Hibbett Sports, Inc.* | 6 | 137 | ||||||
Spartan Motors, Inc. | 9 | 136 | ||||||
Golden Entertainment, Inc.* | 5 | 135 | ||||||
Beazer Homes USA, Inc.* | 9 | 133 | ||||||
Universal Electronics, Inc.* | 4 | 132 | ||||||
Essendant, Inc. | 10 | 132 | ||||||
Drive Shack, Inc.* | 17 | 131 | ||||||
Del Taco Restaurants, Inc.* | 9 | 128 | ||||||
Superior Industries International, Inc. | 7 | 125 | ||||||
Zumiez, Inc.* | 5 | 125 | ||||||
Boot Barn Holdings, Inc.* | 6 | 124 | ||||||
America’s Car-Mart, Inc.* | 2 | 124 |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Veritiv Corp.* | 3 | $ | 119 | |||||
Eros International plc* | 9 | 117 | ||||||
MarineMax, Inc.* | 6 | 114 | ||||||
BlueLinx Holdings, Inc.* | 3 | 113 | ||||||
Citi Trends, Inc. | 4 | 110 | ||||||
Perry Ellis International, Inc.* | 4 | 109 | ||||||
Haverty Furniture Companies, Inc. | 5 | 108 | ||||||
Barnes & Noble, Inc. | 17 | 108 | ||||||
Systemax, Inc. | 3 | 103 | ||||||
PC Connection, Inc. | 3 | 100 | ||||||
Shoe Carnival, Inc. | 3 | 97 | ||||||
RCI Hospitality Holdings, Inc. | 3 | 95 | ||||||
Nathan’s Famous, Inc. | 1 | 94 | ||||||
Motorcar Parts of America, Inc.* | 5 | 94 | ||||||
Blue Bird Corp.* | 4 | 89 | ||||||
AV Homes, Inc.* | 4 | 86 | ||||||
Daktronics, Inc. | 10 | 85 | ||||||
Tile Shop Holdings, Inc. | 11 | 85 | ||||||
Johnson Outdoors, Inc. — Class A | 1 | 85 | ||||||
Vera Bradley, Inc.* | 6 | 84 | ||||||
Francesca’s Holdings Corp.* | 11 | 83 | ||||||
Bassett Furniture Industries, Inc. | 3 | 83 | ||||||
Nexeo Solutions, Inc.* | 9 | 82 | ||||||
PICO Holdings, Inc.* | 7 | 81 | ||||||
GNC Holdings, Inc. — Class A* | 23 | 81 | ||||||
PetIQ, Inc.* | 3 | 81 | ||||||
El Pollo Loco Holdings, Inc.* | 7 | 80 | ||||||
Flexsteel Industries, Inc. | 2 | 80 | ||||||
Reading International, Inc. — Class A* | 5 | 80 | ||||||
Lindblad Expeditions Holdings, Inc.* | 6 | 80 | ||||||
Century Casinos, Inc.* | 9 | 79 | ||||||
Titan Machinery, Inc.* | 5 | 78 | ||||||
Potbelly Corp.* | 6 | 78 | ||||||
Miller Industries, Inc. | 3 | 77 | ||||||
Del Frisco’s Restaurant Group, Inc.* | 6 | 76 | ||||||
Culp, Inc. | 3 | 74 | ||||||
Weyco Group, Inc. | 2 | 73 | ||||||
Bojangles’, Inc.* | 5 | 72 | ||||||
Bluegreen Vacations Corp. | 3 | 71 | ||||||
Skyline Champion Corp. | 2 | 70 | ||||||
Speedway Motorsports, Inc. | 4 | 69 | ||||||
Green Brick Partners, Inc.* | 7 | 69 | ||||||
Barnes & Noble Education, Inc.* | 11 | 62 | ||||||
Foundation Building Materials, Inc.* | 4 | 62 | ||||||
Gaia, Inc.* | 3 | 61 | ||||||
Tilly’s, Inc. — Class A | 4 | 61 | ||||||
Habit Restaurants, Inc. — Class A* | 6 | 60 | ||||||
Rocky Brands, Inc. | 2 | 60 | ||||||
Commercial Vehicle Group, Inc.* | 8 | 59 | ||||||
Hovnanian Enterprises, Inc. — Class A* | 36 | 59 | ||||||
Town Sports International Holdings, Inc.* | 4 | 58 | ||||||
Hamilton Beach Brands Holding Co. — Class A | 2 | 58 | ||||||
Marine Products Corp. | 3 | 53 | ||||||
Pier 1 Imports, Inc. | 22 | 52 | ||||||
Sportsman’s Warehouse Holdings, Inc.* | 10 | 51 | ||||||
Lifetime Brands, Inc. | 4 | 51 | ||||||
Clarus Corp.* | 6 | 50 | ||||||
Noodles & Co.*,1 | 4 | 49 | ||||||
Zoe’s Kitchen, Inc.* | 5 | 49 | ||||||
Duluth Holdings, Inc. — Class B* | 2 | 48 | ||||||
J. Jill, Inc.* | 5 | 47 | ||||||
Red Lion Hotels Corp.* | 4 | 47 | ||||||
Kirkland’s, Inc.* | 4 | 47 | ||||||
New York & Company, Inc.* | 9 | 46 | ||||||
Big 5 Sporting Goods Corp. | 6 | 46 | ||||||
J Alexander’s Holdings, Inc.* | 4 | 45 | ||||||
Rush Enterprises, Inc. — Class B* | 1 | 44 | ||||||
Escalade, Inc. | 3 | 42 | ||||||
Container Store Group, Inc.* | 5 | �� | 42 | |||||
Superior Group of Companies, Inc. | 2 | 41 | ||||||
EnviroStar, Inc. | 1 | 40 | ||||||
New Home Company, Inc.* | 4 | 40 | ||||||
Funko, Inc. — Class A* | 3 | 38 | ||||||
Castle Brands, Inc.* | 25 | 30 | ||||||
Empire Resorts, Inc.* | 1 | 20 | ||||||
Sears Holdings Corp.* | 6 | 14 | ||||||
Total Consumer, Cyclical | 81,226 | |||||||
Technology - 1.3% | ||||||||
Blackbaud, Inc. | 14 | 1,434 | ||||||
Entegris, Inc. | 42 | 1,424 | ||||||
Medidata Solutions, Inc.* | 17 | 1,369 | ||||||
New Relic, Inc.* | 13 | 1,308 | ||||||
Silicon Laboratories, Inc.* | 13 | 1,295 | ||||||
HubSpot, Inc.*,1 | 10 | 1,254 | ||||||
j2 Global, Inc. | 14 | 1,213 | ||||||
MAXIMUS, Inc. | 19 | 1,180 | ||||||
CACI International, Inc. — Class A* | 7 | 1,180 | ||||||
Integrated Device Technology, Inc.* | 37 | 1,180 | ||||||
Lumentum Holdings, Inc.* | 18 | 1,042 | ||||||
Science Applications International Corp. | 12 | 971 | ||||||
Box, Inc. — Class A* | 38 | 950 | ||||||
Semtech Corp.* | 20 | 941 | ||||||
Coupa Software, Inc.* | 15 | 934 | ||||||
Perspecta, Inc. | 43 | 884 | ||||||
ACI Worldwide, Inc.* | 35 | 863 | ||||||
Cabot Microelectronics Corp. | 8 | 860 | ||||||
Qualys, Inc.* | 10 | 843 | ||||||
Verint Systems, Inc.* | 19 | 843 | ||||||
CommVault Systems, Inc.* | 12 | 790 | ||||||
Cornerstone OnDemand, Inc.* | 16 | 759 | ||||||
NetScout Systems, Inc.* | 25 | 742 | ||||||
VeriFone Systems, Inc.* | 32 | 730 | ||||||
Envestnet, Inc.* | 13 | 714 | ||||||
Cirrus Logic, Inc.* | 18 | 690 | ||||||
Acxiom Corp.* | 22 | 659 | ||||||
Power Integrations, Inc. | 9 | 657 | ||||||
Allscripts Healthcare Solutions, Inc.* | 53 | 636 | ||||||
ExlService Holdings, Inc.* | 11 | 623 | ||||||
Avaya Holdings Corp.* | 31 | 622 | ||||||
Brooks Automation, Inc. | 19 | 620 | ||||||
Convergys Corp. | 25 | 611 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Bottomline Technologies de, Inc.* | 12 | $ | 598 | |||||
Varonis Systems, Inc.* | 8 | 596 | ||||||
Five9, Inc.* | 17 | 588 | ||||||
Omnicell, Inc.* | 11 | 577 | ||||||
Mercury Systems, Inc.* | 15 | 571 | ||||||
Synaptics, Inc.* | 11 | 554 | ||||||
Insight Enterprises, Inc.* | 11 | 538 | ||||||
Ebix, Inc. | 7 | 534 | ||||||
Progress Software Corp. | 13 | 505 | ||||||
MINDBODY, Inc. — Class A* | 13 | 502 | ||||||
Cotiviti Holdings, Inc.* | 11 | 485 | ||||||
Pitney Bowes, Inc. | 55 | 471 | ||||||
TiVo Corp. | 35 | 471 | ||||||
Electronics for Imaging, Inc.* | 14 | 456 | ||||||
3D Systems Corp.* | 33 | 456 | ||||||
SPS Commerce, Inc.* | 6 | 441 | ||||||
ManTech International Corp. — Class A | 8 | 429 | ||||||
Cloudera, Inc.* | 31 | 423 | ||||||
Evolent Health, Inc. — Class A* | 20 | 421 | ||||||
Diodes, Inc.* | 12 | 414 | ||||||
CSG Systems International, Inc. | 10 | 409 | ||||||
Rambus, Inc.* | 32 | 401 | ||||||
Inphi Corp.* | 12 | 391 | ||||||
Blackline, Inc.* | 9 | 391 | ||||||
Virtusa Corp.* | 8 | 389 | ||||||
MicroStrategy, Inc. — Class A* | 3 | 383 | ||||||
Instructure, Inc.* | 9 | 383 | ||||||
Hortonworks, Inc.* | 21 | 383 | ||||||
LivePerson, Inc.* | 18 | 380 | ||||||
Everbridge, Inc.* | 8 | 379 | ||||||
Apptio, Inc. — Class A* | 10 | 362 | ||||||
Ambarella, Inc.* | 9 | 347 | ||||||
Syntel, Inc.* | 10 | 321 | ||||||
Tabula Rasa HealthCare, Inc.* | 5 | 319 | ||||||
Sykes Enterprises, Inc.* | 11 | 317 | ||||||
Quality Systems, Inc.* | 16 | 312 | ||||||
ForeScout Technologies, Inc.* | 9 | 308 | ||||||
Alteryx, Inc. — Class A* | 8 | 305 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 13 | 299 | ||||||
Rudolph Technologies, Inc.* | 10 | 296 | ||||||
PROS Holdings, Inc.* | 8 | 293 | ||||||
MaxLinear, Inc. — Class A* | 18 | 281 | ||||||
FormFactor, Inc.* | 21 | 279 | ||||||
Carbonite, Inc.* | 8 | 279 | ||||||
Altair Engineering, Inc. — Class A* | 8 | 273 | ||||||
Cray, Inc.* | 11 | 271 | ||||||
SailPoint Technologies Holding, Inc.* | 11 | 270 | ||||||
Vocera Communications, Inc.* | 9 | 269 | ||||||
Stratasys Ltd.* | 14 | 268 | ||||||
MTS Systems Corp.1 | 5 | 263 | ||||||
Diebold Nixdorf, Inc.1 | 22 | 263 | ||||||
Super Micro Computer, Inc.* | 11 | 260 | ||||||
Amkor Technology, Inc.* | 30 | 258 | ||||||
Appfolio, Inc. — Class A* | 4 | 245 | ||||||
Xperi Corp. | 14 | 225 | ||||||
Monotype Imaging Holdings, Inc. | 11 | 223 | ||||||
Lattice Semiconductor Corp.* | 34 | 223 | ||||||
Nanometrics, Inc.* | 6 | 212 | ||||||
CEVA, Inc.* | 7 | 211 | ||||||
Xcerra Corp.* | 15 | 210 | ||||||
Benefitfocus, Inc.* | 6 | 202 | ||||||
Axcelis Technologies, Inc.* | 10 | 198 | ||||||
OneSpan, Inc.* | 10 | 197 | ||||||
Cohu, Inc. | 8 | 196 | ||||||
USA Technologies, Inc.* | 14 | 196 | ||||||
Workiva, Inc.* | 8 | 195 | ||||||
Glu Mobile, Inc.* | 30 | 192 | ||||||
Inovalon Holdings, Inc. — Class A* | 19 | 189 | ||||||
Veeco Instruments, Inc.* | 13 | 185 | ||||||
Ultra Clean Holdings, Inc.* | 11 | 183 | ||||||
Unisys Corp.* | 14 | 181 | ||||||
Cision Ltd.* | 12 | 179 | ||||||
Upland Software, Inc.* | 5 | 172 | ||||||
Photronics, Inc.* | 20 | 159 | ||||||
Donnelley Financial Solutions, Inc.* | 9 | 156 | ||||||
Engility Holdings, Inc.* | 5 | 153 | ||||||
QAD, Inc. — Class A | 3 | 150 | ||||||
Model N, Inc.* | 8 | 149 | ||||||
Immersion Corp.* | 9 | 139 | ||||||
TTEC Holdings, Inc. | 4 | 138 | ||||||
PlayAGS, Inc.* | 5 | 135 | ||||||
Presidio, Inc.* | 9 | 118 | ||||||
American Software, Inc. — Class A | 8 | 117 | ||||||
KeyW Holding Corp.* | 13 | 114 | ||||||
InnerWorkings, Inc.* | 13 | 113 | ||||||
Impinj, Inc.* | 5 | 111 | ||||||
Ribbon Communications, Inc.* | 15 | 107 | ||||||
Computer Programs & Systems, Inc. | 3 | 99 | ||||||
Brightcove, Inc.* | 10 | 96 | ||||||
PDF Solutions, Inc.* | 8 | 96 | ||||||
SMART Global Holdings, Inc.* | 3 | 96 | ||||||
Digi International, Inc.* | 7 | 92 | ||||||
Castlight Health, Inc. — Class B* | 21 | 89 | ||||||
MobileIron, Inc.* | 20 | 89 | ||||||
Mitek Systems, Inc.* | 10 | 89 | ||||||
Digimarc Corp.* | 3 | 80 | ||||||
Rosetta Stone, Inc.* | 5 | 80 | ||||||
SendGrid, Inc.* | 3 | 80 | ||||||
Carbon Black, Inc.* | 3 | 78 | ||||||
AXT, Inc.* | 11 | 78 | ||||||
ConvergeOne Holdings, Inc. | 8 | 75 | ||||||
pdvWireless, Inc.* | 3 | 75 | ||||||
Alpha & Omega Semiconductor Ltd.* | 5 | 71 | ||||||
PAR Technology Corp.* | 4 | 71 | ||||||
Aquantia Corp.* | 6 | 69 | ||||||
Simulations Plus, Inc. | 3 | 67 | ||||||
Exela Technologies, Inc.* | 14 | 66 | ||||||
Agilysys, Inc.* | 4 | 62 | ||||||
Sigma Designs, Inc.* | 10 | 61 | ||||||
Amber Road, Inc.* | 6 | 56 | ||||||
Vuzix Corp.*,1 | 7 | 52 |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Maxwell Technologies, Inc.* | 10 | $ | 52 | |||||
Veritone, Inc.* | 3 | 50 | ||||||
Telenav, Inc.* | 9 | 50 | ||||||
Kopin Corp.* | 17 | 49 | ||||||
Asure Software, Inc.* | 3 | 48 | ||||||
Adesto Technologies Corp.* | 5 | 42 | ||||||
Avid Technology, Inc.* | 8 | 42 | ||||||
Remark Holdings, Inc.* | 9 | 35 | ||||||
Park City Group, Inc.* | 4 | 32 | ||||||
SecureWorks Corp. — Class A* | 2 | 25 | ||||||
ACM Research, Inc. — Class A* | 2 | 22 | ||||||
NantHealth, Inc.* | 6 | 20 | ||||||
Fluent, Inc.* | 8 | 20 | ||||||
Eastman Kodak Co.* | 5 | 19 | ||||||
Majesco* | 2 | 12 | ||||||
Total Technology | 59,711 | |||||||
Communications - 0.9% | ||||||||
Stamps.com, Inc.* | 6 | 1,518 | ||||||
Etsy, Inc.* | 35 | 1,477 | ||||||
Ciena Corp.* | 43 | 1,140 | ||||||
ViaSat, Inc.*,1 | 16 | 1,052 | ||||||
Nexstar Media Group, Inc. — Class A | 14 | 1,028 | ||||||
New York Times Co. — Class A | 39 | 1,010 | ||||||
Yelp, Inc. — Class A* | 24 | 940 | ||||||
Trade Desk, Inc. — Class A* | 10 | 938 | ||||||
Maxar Technologies Ltd. | 18 | 909 | ||||||
Shutterfly, Inc.* | 10 | 900 | ||||||
InterDigital, Inc. | 11 | 890 | ||||||
Chegg, Inc.* | 32 | 889 | ||||||
World Wrestling Entertainment, Inc. — Class A | 12 | 874 | ||||||
Vonage Holdings Corp.* | 66 | 851 | ||||||
Plantronics, Inc. | 10 | 763 | ||||||
Liberty Expedia Holdings, Inc. — Class A* | 17 | 747 | ||||||
TEGNA, Inc. | 65 | 705 | ||||||
Viavi Solutions, Inc.* | 68 | 696 | ||||||
Cogent Communications Holdings, Inc. | 13 | 694 | ||||||
Q2 Holdings, Inc.* | 12 | 685 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 21 | 675 | ||||||
Liberty Latin America Ltd. — Class C* | 34 | 659 | ||||||
Finisar Corp.* | 34 | 612 | ||||||
Meredith Corp. | 12 | 612 | ||||||
Pandora Media, Inc.*,1 | 77 | 607 | ||||||
Cars.com, Inc.* | 21 | 596 | ||||||
Groupon, Inc. — Class A* | 131 | 563 | ||||||
NETGEAR, Inc.* | 9 | 562 | ||||||
8x8, Inc.* | 27 | 541 | ||||||
Imperva, Inc.* | 11 | 531 | ||||||
Blucora, Inc.* | 14 | 518 | ||||||
GTT Communications, Inc.* | 11 | 495 | ||||||
Cargurus, Inc.* | 14 | 486 | ||||||
Iridium Communications, Inc.* | 29 | 467 | ||||||
Yext, Inc.* | 24 | 464 | ||||||
Oclaro, Inc.* | 50 | 447 | ||||||
Infinera Corp.* | 43 | 427 | ||||||
Shenandoah Telecommunications Co. | 13 | 425 | ||||||
MSG Networks, Inc. — Class A* | 17 | 407 | ||||||
ePlus, Inc.* | 4 | 376 | ||||||
Gray Television, Inc.* | 23 | 363 | ||||||
Scholastic Corp.1 | 8 | 355 | ||||||
Gannett Company, Inc. | 33 | 353 | ||||||
Carvana Co.* | 8 | 333 | ||||||
New Media Investment Group, Inc. | 17 | 314 | ||||||
Web.com Group, Inc.* | 12 | 310 | ||||||
NIC, Inc. | 19 | 296 | ||||||
Quotient Technology, Inc.* | 22 | 288 | ||||||
Shutterstock, Inc.* | 6 | 285 | ||||||
Rapid7, Inc.* | 10 | 282 | ||||||
Entercom Communications Corp. — Class A | 37 | 279 | ||||||
Acacia Communications, Inc.*,1 | 8 | 278 | ||||||
TrueCar, Inc.* | 27 | 273 | ||||||
Boingo Wireless, Inc.* | 12 | 271 | ||||||
Extreme Networks, Inc.* | 34 | 271 | ||||||
Liberty Media Corporation-Liberty Braves — Class C* | 10 | 259 | ||||||
Liberty Latin America Ltd. — Class A* | 13 | 249 | ||||||
Perficient, Inc.*,1 | 9 | 237 | ||||||
Consolidated Communications Holdings, Inc. | 19 | 235 | ||||||
CalAmp Corp.* | 10 | 234 | ||||||
Daily Journal Corp.* | 1 | 230 | ||||||
XO Group, Inc.* | 7 | 224 | ||||||
ORBCOMM, Inc.* | 22 | 222 | ||||||
Houghton Mifflin Harcourt Co.* | 29 | 222 | ||||||
Endurance International Group Holdings, Inc.* | 22 | 219 | ||||||
ADTRAN, Inc. | 14 | 208 | ||||||
Overstock.com, Inc.*,1 | 6 | 202 | ||||||
Comtech Telecommunications Corp. | 6 | 191 | ||||||
HealthStream, Inc. | 7 | 191 | ||||||
Cincinnati Bell, Inc.* | 12 | 188 | ||||||
Intelsat S.A.* | 11 | 183 | ||||||
Tucows, Inc. — Class A* | 3 | 182 | ||||||
EW Scripps Co. — Class A | 13 | 174 | ||||||
Quantenna Communications, Inc.* | 11 | 171 | ||||||
TechTarget, Inc.* | 6 | 170 | ||||||
ATN International, Inc. | 3 | 158 | ||||||
Loral Space & Communications, Inc.* | 4 | 150 | ||||||
Zscaler, Inc.*,1 | 4 | 143 | ||||||
Limelight Networks, Inc.* | 31 | 139 | ||||||
QuinStreet, Inc.* | 10 | 127 | ||||||
Frontier Communications Corp. | 22 | 118 | ||||||
NII Holdings, Inc.* | 27 | 105 | ||||||
Central European Media Enterprises Ltd. — Class A* | 24 | 100 | ||||||
ChannelAdvisor Corp.* | 7 | 98 | ||||||
Harmonic, Inc.* | 23 | 98 | ||||||
Entravision Communications Corp. — Class A | 19 | 95 | ||||||
Calix, Inc.* | 12 | 94 | ||||||
eGain Corp.* | 6 | 91 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Preformed Line Products Co. | 1 | $ | 89 | |||||
1-800-Flowers.com, Inc. — Class A* | 7 | 88 | ||||||
A10 Networks, Inc.* | 14 | 87 | ||||||
WideOpenWest, Inc.* | 9 | 87 | ||||||
tronc, Inc.* | 5 | 86 | ||||||
Meet Group, Inc.* | 19 | 85 | ||||||
Lands’ End, Inc.* | 3 | 84 | ||||||
Gogo, Inc.* | 16 | 78 | ||||||
Liberty Media Corporation-Liberty Braves — Class A* | 3 | 77 | ||||||
Zix Corp.* | 14 | 76 | ||||||
Spok Holdings, Inc. | 5 | 75 | ||||||
MDC Partners, Inc. — Class A* | 16 | 74 | ||||||
Ooma, Inc.* | 5 | 71 | ||||||
HC2 Holdings, Inc.* | 12 | 70 | ||||||
Hemisphere Media Group, Inc.* | 5 | 66 | ||||||
Casa Systems, Inc.* | 4 | 65 | ||||||
Internap Corp.* | 6 | 63 | ||||||
NeoPhotonics Corp.* | 10 | 62 | ||||||
Windstream Holdings, Inc.* | 11 | 58 | ||||||
Hawaiian Telcom Holdco, Inc.* | 2 | 58 | ||||||
Leaf Group Ltd.* | 5 | 54 | ||||||
KVH Industries, Inc.* | 4 | 54 | ||||||
Telaria, Inc.* | 13 | 52 | ||||||
VirnetX Holding Corp.* | 15 | 51 | ||||||
Liquidity Services, Inc.* | 7 | 46 | ||||||
Cardlytics, Inc.* | 2 | 44 | ||||||
Clear Channel Outdoor Holdings, Inc. — Class A | 10 | 43 | ||||||
RigNet, Inc.* | 4 | 41 | ||||||
Saga Communications, Inc. — Class A | 1 | 39 | ||||||
Aerohive Networks, Inc.* | 9 | 36 | ||||||
Clearfield, Inc.* | 3 | 33 | ||||||
Beasley Broadcast Group, Inc. — Class A | 1 | 11 | ||||||
Total Communications | 41,437 | |||||||
Energy - 0.7% | ||||||||
Delek US Holdings, Inc. | 25 | 1,254 | ||||||
PDC Energy, Inc.* | 20 | 1,209 | ||||||
Peabody Energy Corp. | 25 | 1,137 | ||||||
Oasis Petroleum, Inc.* | 81 | 1,051 | ||||||
McDermott International, Inc.* | 53 | 1,041 | ||||||
Southwestern Energy Co.* | 177 | 938 | ||||||
Matador Resources Co.* | 29 | 871 | ||||||
SRC Energy, Inc.* | 72 | 793 | ||||||
Oceaneering International, Inc. | 30 | 764 | ||||||
Callon Petroleum Co.* | 65 | 698 | ||||||
Murphy USA, Inc.* | 9 | 669 | ||||||
Gulfport Energy Corp.* | 53 | 666 | ||||||
Carrizo Oil & Gas, Inc.* | 23 | 641 | ||||||
California Resources Corp.* | 14 | 636 | ||||||
Denbury Resources, Inc.* | 131 | 630 | ||||||
Rowan Companies plc — Class A* | 38 | 616 | ||||||
SemGroup Corp. — Class A | 23 | 584 | ||||||
Dril-Quip, Inc.* | 11 | 565 | ||||||
Oil States International, Inc.* | 17 | 546 | ||||||
MRC Global, Inc.* | 25 | 542 | ||||||
Ocean Rig UDW, Inc. — Class A* | 16 | 472 | ||||||
Arch Coal, Inc. — Class A | 6 | 470 | ||||||
Noble Corporation plc* | 73 | 462 | ||||||
Archrock, Inc. | 38 | 456 | ||||||
Laredo Petroleum, Inc.* | 47 | 452 | ||||||
C&J Energy Services, Inc.* | 19 | 448 | ||||||
Superior Energy Services, Inc.* | 45 | 438 | ||||||
Pattern Energy Group, Inc. — Class A | 23 | 431 | ||||||
NOW, Inc.* | 31 | 413 | ||||||
Unit Corp.* | 16 | 409 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 18 | 375 | ||||||
Sunrun, Inc.* | 28 | 368 | ||||||
Helix Energy Solutions Group, Inc.* | 42 | 350 | ||||||
ProPetro Holding Corp.* | 22 | 345 | ||||||
SEACOR Holdings, Inc.* | 6 | 344 | ||||||
Penn Virginia Corp.* | 4 | 340 | ||||||
CONSOL Energy, Inc.* | 8 | 307 | ||||||
Warrior Met Coal, Inc. | 11 | 303 | ||||||
Forum Energy Technologies, Inc.* | 23 | 284 | ||||||
SunCoke Energy, Inc.* | 20 | 268 | ||||||
Newpark Resources, Inc.* | 24 | 260 | ||||||
Jagged Peak Energy, Inc.*,1 | 20 | 260 | ||||||
TerraForm Power, Inc. — Class A | 21 | 246 | ||||||
Keane Group, Inc.* | 17 | 232 | ||||||
Bonanza Creek Energy, Inc.* | 6 | 227 | ||||||
Exterran Corp.* | 9 | 225 | ||||||
Green Plains, Inc.1 | 12 | 220 | ||||||
Resolute Energy Corp.*,1 | 7 | 218 | ||||||
Ring Energy, Inc.* | 17 | 215 | ||||||
Thermon Group Holdings, Inc.* | 9 | 206 | ||||||
WildHorse Resource Development Corp.* | 8 | 203 | ||||||
Tellurian, Inc.* | 24 | 200 | ||||||
Alta Mesa Resources, Inc.* | 29 | 198 | ||||||
Renewable Energy Group, Inc.* | 11 | 196 | ||||||
HighPoint Resources Corp.* | 32 | 195 | ||||||
Talos Energy, Inc.* | 6 | 193 | ||||||
Select Energy Services, Inc. — Class A* | 13 | 189 | ||||||
W&T Offshore, Inc.* | 26 | 186 | ||||||
SandRidge Energy, Inc.* | 10 | 177 | ||||||
Halcon Resources Corp.* | 40 | 176 | ||||||
Enphase Energy, Inc.* | 26 | 175 | ||||||
Par Pacific Holdings, Inc.* | 10 | 174 | ||||||
Frank’s International N.V. | 22 | 172 | ||||||
REX American Resources Corp.* | 2 | 162 | ||||||
TETRA Technologies, Inc.* | 34 | 151 | ||||||
CVR Energy, Inc.1 | 4 | 148 | ||||||
Clean Energy Fuels Corp.* | 38 | 140 | ||||||
Plug Power, Inc.* | 64 | 129 | ||||||
Matrix Service Co.* | 7 | 128 | ||||||
Abraxas Petroleum Corp.* | 44 | 127 | ||||||
Bristow Group, Inc.* | 9 | 127 | ||||||
Pioneer Energy Services Corp.* | 21 | 123 | ||||||
TPI Composites, Inc.* | 4 | 117 | ||||||
Ultra Petroleum Corp.* | 48 | 111 | ||||||
Northern Oil and Gas, Inc.* | 32 | 101 |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Solaris Oilfield Infrastructure, Inc. — Class A* | 7 | $ | 100 | |||||
FutureFuel Corp. | 7 | 98 | ||||||
Sanchez Energy Corp.* | 21 | 95 | ||||||
Trecora Resources* | 6 | 89 | ||||||
FTS International, Inc.* | 6 | 85 | ||||||
Energy XXI Gulf Coast, Inc.* | 9 | 80 | ||||||
Era Group, Inc.* | 6 | 78 | ||||||
Panhandle Oil and Gas, Inc. — Class A | 4 | 76 | ||||||
Liberty Oilfield Services, Inc. — Class A* | 4 | 75 | ||||||
Cloud Peak Energy, Inc.* | 21 | 73 | ||||||
ION Geophysical Corp.* | 3 | 73 | ||||||
Lilis Energy, Inc.* | 14 | 73 | ||||||
Natural Gas Services Group, Inc.* | 3 | 71 | ||||||
Evolution Petroleum Corp. | 7 | 69 | ||||||
Mammoth Energy Services, Inc.* | 2 | 68 | ||||||
Nine Energy Service, Inc.* | 2 | 66 | ||||||
Zion Oil & Gas, Inc.* | 16 | 65 | ||||||
SilverBow Resources, Inc.* | 2 | 58 | ||||||
Basic Energy Services, Inc.* | 5 | 56 | ||||||
CARBO Ceramics, Inc.* | 6 | 55 | ||||||
Midstates Petroleum Company, Inc.* | 4 | 54 | ||||||
Earthstone Energy, Inc. — Class A* | 6 | 53 | ||||||
Key Energy Services, Inc.* | 3 | 49 | ||||||
Flotek Industries, Inc.* | 15 | 48 | ||||||
Dawson Geophysical Co.* | 6 | 47 | ||||||
Amyris, Inc.* | 7 | 45 | ||||||
NCS Multistage Holdings, Inc.* | 3 | 44 | ||||||
Adams Resources & Energy, Inc. | 1 | 43 | ||||||
Independence Contract Drilling, Inc.* | 10 | 41 | ||||||
Vivint Solar, Inc.* | 8 | 40 | ||||||
Eclipse Resources Corp.* | 24 | 38 | ||||||
Hallador Energy Co. | 5 | 36 | ||||||
NACCO Industries, Inc. — Class A | 1 | 34 | ||||||
Gulfmark Offshore, Inc.* | 1 | 34 | ||||||
EP Energy Corp. — Class A* | 11 | 33 | ||||||
FuelCell Energy, Inc.* | 24 | 32 | ||||||
PHI, Inc.* | 3 | 31 | ||||||
Approach Resources, Inc.* | 12 | 29 | ||||||
Goodrich Petroleum Corp.* | 2 | 25 | ||||||
Profire Energy, Inc.* | 7 | 24 | ||||||
Ramaco Resources, Inc.* | 2 | 14 | ||||||
Rosehill Resources, Inc.* | 1 | 8 | ||||||
Total Energy | 32,198 | |||||||
Basic Materials - 0.5% | ||||||||
PolyOne Corp. | 23 | 994 | ||||||
Ingevity Corp.* | 12 | 970 | ||||||
Allegheny Technologies, Inc.* | 38 | 954 | ||||||
Sensient Technologies Corp. | 13 | 930 | ||||||
Balchem Corp. | 9 | 883 | ||||||
HB Fuller Co. | 15 | 805 | ||||||
Minerals Technologies, Inc. | 10 | 754 | ||||||
Cleveland-Cliffs, Inc.* | 89 | 750 | ||||||
Carpenter Technology Corp. | 14 | 736 | ||||||
Commercial Metals Co. | 34 | 718 | ||||||
Compass Minerals International, Inc. | 10 | 657 | ||||||
Quaker Chemical Corp. | 4 | 620 | ||||||
US Silica Holdings, Inc. | 24 | 617 | ||||||
GCP Applied Technologies, Inc.* | 21 | 608 | ||||||
Innospec, Inc. | 7 | 536 | ||||||
Ferro Corp.* | 25 | 521 | ||||||
Kaiser Aluminum Corp. | 5 | 521 | ||||||
Tronox Ltd. — Class A | 26 | 512 | ||||||
Stepan Co. | 6 | 468 | ||||||
Tahoe Resources, Inc. | 93 | 458 | ||||||
Schweitzer-Mauduit International, Inc. | 10 | 437 | ||||||
Neenah, Inc. | 5 | 424 | ||||||
Kraton Corp.* | 9 | 415 | ||||||
Coeur Mining, Inc.* | 54 | 410 | ||||||
AK Steel Holding Corp.* | 94 | 408 | ||||||
Hecla Mining Co. | 117 | 407 | ||||||
AdvanSix, Inc.* | 10 | 366 | ||||||
A. Schulman, Inc. | 8 | 356 | ||||||
Materion Corp. | 6 | 325 | ||||||
KMG Chemicals, Inc. | 4 | 295 | ||||||
Innophos Holdings, Inc. | 6 | 286 | ||||||
Rayonier Advanced Materials, Inc. | 16 | 274 | ||||||
CSW Industrials, Inc.* | 5 | 264 | ||||||
Schnitzer Steel Industries, Inc. — Class A | 7 | 236 | ||||||
PH Glatfelter Co. | 12 | 235 | ||||||
Codexis, Inc.* | 16 | 230 | ||||||
Koppers Holdings, Inc.* | 6 | 230 | ||||||
Century Aluminum Co.* | 14 | 220 | ||||||
Verso Corp. — Class A* | 10 | 218 | ||||||
PQ Group Holdings, Inc.* | 11 | 198 | ||||||
American Vanguard Corp. | 8 | 184 | ||||||
Covia Holdings Corp.* | 9 | 167 | ||||||
Kronos Worldwide, Inc. | 6 | 135 | ||||||
OMNOVA Solutions, Inc.* | 12 | 125 | ||||||
Landec Corp.* | 8 | 119 | ||||||
Intrepid Potash, Inc.* | 26 | 107 | ||||||
Hawkins, Inc. | 3 | 106 | ||||||
Gold Resource Corp. | 15 | 99 | ||||||
Clearwater Paper Corp.* | 4 | 93 | ||||||
Klondex Mines Ltd.* | 40 | 92 | ||||||
United States Lime & Minerals, Inc. | 1 | 84 | ||||||
Uranium Energy Corp.* | 43 | 69 | ||||||
AgroFresh Solutions, Inc.* | 9 | 63 | ||||||
Energy Fuels, Inc.* | 22 | 50 | ||||||
Universal Stainless & Alloy Products, Inc.* | 2 | 47 | ||||||
Ryerson Holding Corp.* | 4 | 45 | ||||||
Oil-Dri Corporation of America | 1 | 42 | ||||||
Shiloh Industries, Inc.* | 4 | 35 | ||||||
Valhi, Inc. | 7 | 33 | ||||||
Smart Sand, Inc.* | 6 | 32 | ||||||
Total Basic Materials | 21,973 | |||||||
Utilities - 0.4% | ||||||||
IDACORP, Inc. | 15 | 1,384 | ||||||
WGL Holdings, Inc. | 15 | 1,331 | ||||||
New Jersey Resources Corp. | 26 | 1,163 | ||||||
ALLETE, Inc. | 15 | 1,161 | ||||||
ONE Gas, Inc. | 15 | 1,121 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
Portland General Electric Co. | 26 | $ | 1,112 | |||||
Southwest Gas Holdings, Inc. | 14 | 1,068 | ||||||
Spire, Inc. | 15 | 1,060 | ||||||
Avista Corp. | 19 | 1,001 | ||||||
Black Hills Corp. | 16 | 979 | ||||||
PNM Resources, Inc. | 24 | 934 | ||||||
South Jersey Industries, Inc. | 25 | 837 | ||||||
NorthWestern Corp. | 14 | 801 | ||||||
El Paso Electric Co. | 12 | 709 | ||||||
MGE Energy, Inc. | 11 | 694 | ||||||
American States Water Co. | 11 | 629 | ||||||
Ormat Technologies, Inc. | 11 | 585 | ||||||
Northwest Natural Gas Co. | 9 | 574 | ||||||
Otter Tail Corp. | 12 | 571 | ||||||
California Water Service Group | 14 | 545 | ||||||
SJW Group | 5 | 331 | ||||||
NRG Yield, Inc. — Class C | 19 | 327 | ||||||
Chesapeake Utilities Corp. | 4 | 320 | ||||||
Unitil Corp. | 4 | 204 | ||||||
Connecticut Water Service, Inc. | 3 | 196 | ||||||
NRG Yield, Inc. — Class A | 10 | 170 | ||||||
Middlesex Water Co. | 4 | 169 | ||||||
York Water Co. | 4 | 127 | ||||||
Artesian Resources Corp. — Class A | 2 | 77 | ||||||
Atlantic Power Corp.* | 33 | 73 | ||||||
Ameresco, Inc. — Class A* | 5 | 60 | ||||||
RGC Resources, Inc. | 2 | 58 | ||||||
Consolidated Water Company Ltd. | 4 | 52 | ||||||
Spark Energy, Inc. — Class A | 4 | 39 | ||||||
Global Water Resources, Inc. | 3 | 28 | ||||||
Total Utilities | 20,490 | |||||||
Diversified - 0.0% | ||||||||
HRG Group, Inc.* | 34 | 445 | ||||||
Government - 0.0% | ||||||||
Banco Latinoamericano de Comercio Exterior S.A. — Class E | 9 | 222 | ||||||
Total Common Stocks | ||||||||
(Cost $488,308) | 649,711 | |||||||
WARRANTS†† - 0.0% | ||||||||
Imperial Holdings, Inc. | ||||||||
$10.75, 10/06/19* | 1 | — | ||||||
Total Warrants | ||||||||
(Cost $—) | — | |||||||
RIGHTS††† - 0.0% | ||||||||
Omthera Pharmaceuticals, Inc.*,2 | 10 | — | ||||||
Tobira Therapeutics, Inc.*,2 | 7 | — | ||||||
Dyax Corp.*,2 | 106 | — | ||||||
Nexstar Media Group, Inc.*,2 | 207 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
MUTUAL FUNDS† - 46.3% | ||||||||
Guggenheim Strategy Fund II3 | 42,859 | 1,071,046 | ||||||
Guggenheim Strategy Fund I3 | 42,038 | 1,052,641 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,122,901) | 2,123,687 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 13.4% | ||||||||
U.S. Treasury Bills | ||||||||
1.87% due 09/20/184,5,6 | $ | 600,000 | 597,500 | |||||
1.72% due 07/12/185,6,10 | 20,000 | 19,991 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $617,436) | 617,491 | |||||||
REPURCHASE AGREEMENTS††,7 - 170.0% | ||||||||
JPMorgan Chase & Co. | 4,291,077 | 4,291,077 | ||||||
Barclays Capital | 2,107,121 | 2,107,121 | ||||||
Bank of America Merrill Lynch | 1,404,748 | 1,404,748 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $7,802,946) | 7,802,946 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,8 - 0.3% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%9 | 11,478 | 11,478 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $11,478) | 11,478 | |||||||
Total Investments - 244.2% | ||||||||
(Cost $11,043,069) | $ | 11,205,313 | ||||||
Other Assets & Liabilities, net - (144.2)% | (6,616,548 | ) | ||||||
Total Net Assets - 100.0% | $ | 4,588,765 |
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||||
Barclays Bank plc | Russell 2000 Index | 1.98 | % | At Maturity | 07/31/18 | 1,983 | $ | 3,258,102 | $ | 5,185 | |||||||||||||||
BNP Paribas | Russell 2000 Index | 2.09 | % | At Maturity | 07/30/18 | 320 | 525,114 | 837 | |||||||||||||||||
Goldman Sachs International | Russell 2000 Index | 1.83 | % | At Maturity | 07/27/18 | 2,858 | 4,696,679 | (6,024 | ) | ||||||||||||||||
$ | 8,479,895 | $ | (2 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Security was fair valued by the Valuation Committee at June 30, 2018. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
3 | Affiliated issuer. |
4 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | Zero coupon rate security. |
7 | Repurchase Agreements — See Note 6. |
8 | Securities lending collateral — See Note 7. |
9 | Rate indicated is the 7 day yield as of June 30, 2018. |
10 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
RUSSELL 2000® 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 649,711 | $ | — | $ | — | $ | 649,711 | ||||||||
Warrants | — | —* | — | — | ||||||||||||
Rights | — | — | —* | — | ||||||||||||
Mutual Funds | 2,123,687 | — | — | 2,123,687 | ||||||||||||
U.S. Treasury Bills | — | 617,491 | — | 617,491 | ||||||||||||
Repurchase Agreements | — | 7,802,946 | — | 7,802,946 | ||||||||||||
Securities Lending Collateral | 11,478 | — | — | 11,478 | ||||||||||||
Equity Index Swap Agreements** | — | 6,022 | — | 6,022 | ||||||||||||
Total Assets | $ | 2,784,876 | $ | 8,426,459 | $ | — | $ | 11,211,335 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Index Swap Agreements** | $ | — | $ | 6,024 | $ | — | $ | 6,024 |
* | Includes securities with a market value of $0. |
** | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 1,630,101 | $ | 5,674,251 | $ | (6,250,000 | ) | $ | (536 | ) | $ | (1,175 | ) | $ | 1,052,641 | 42,038 | $ | 14,094 | ||||||||||||||
Guggenheim Strategy Fund II | 1,117,448 | 2,064,762 | (2,110,000 | ) | (496 | ) | (668 | ) | 1,071,046 | 42,859 | 14,703 | |||||||||||||||||||||
$ | 2,747,549 | $ | 7,739,013 | $ | (8,360,000 | ) | $ | (1,032 | ) | $ | (1,843 | ) | $ | 2,123,687 | $ | 28,797 |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $11,156 of securities loaned (cost $1,117,222) | $ | 1,278,680 | ||
Investments in affiliated issuers, at value (cost $2,122,901) | 2,123,687 | |||
Repurchase agreements, at value (cost $7,802,946) | 7,802,946 | |||
Cash | 34 | |||
Unrealized appreciation on swap agreements | 6,022 | |||
Receivables: | ||||
Securities sold | 2,000,000 | |||
Dividends | 11,325 | |||
Interest | 904 | |||
Securities lending income | 31 | |||
Total assets | 13,223,629 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 6,024 | |||
Payable for: | ||||
Fund shares redeemed | 8,401,640 | |||
Swap settlement | 174,284 | |||
Return of securities loaned | 11,478 | |||
Securities purchased | 10,896 | |||
Management fees | 7,485 | |||
Transfer agent and administrative fees | 2,079 | |||
Investor service fees | 2,079 | |||
Portfolio accounting fees | 832 | |||
Trustees’ fees* | 258 | |||
Miscellaneous | 17,809 | |||
Total liabilities | 8,634,864 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 4,588,765 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,361,637 | ||
Undistributed net investment income | 697 | |||
Accumulated net realized gain on investments | 1,064,189 | |||
Net unrealized appreciation on investments | 162,242 | |||
Net assets | $ | 4,588,765 | ||
Capital shares outstanding | 17,372 | |||
Net asset value per share | $ | 264.15 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $1) | $ | 6,983 | ||
Dividends from securities of affiliated issuers | 28,797 | |||
Interest | 20,211 | |||
Income from securities lending, net | 375 | |||
Total investment income | 56,366 | |||
Expenses: | ||||
Management fees | 27,926 | |||
Investor service fees | 7,757 | |||
Transfer agent and administrative fees | 7,757 | |||
Professional fees | 4,966 | |||
Portfolio accounting fees | 3,103 | |||
Trustees’ fees* | 626 | |||
Custodian fees | 402 | |||
Line of credit fees | 38 | |||
Miscellaneous | 3,079 | |||
Total expenses | 55,654 | |||
Net investment income | 712 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 153,588 | |||
Investments in affiliated issuers | (1,032 | ) | ||
Swap agreements | 300,239 | |||
Futures contracts | 208,266 | |||
Net realized gain | 661,061 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (32,046 | ) | ||
Investments in affiliated issuers | (1,843 | ) | ||
Swap agreements | 61,090 | |||
Futures contracts | 2,205 | |||
Net change in unrealized appreciation (depreciation) | 29,406 | |||
Net realized and unrealized gain | 690,467 | |||
Net increase in net assets resulting from operations | $ | 691,179 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
RUSSELL 2000® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 712 | $ | (23,005 | ) | |||
Net realized gain on investments | 661,061 | 1,273,038 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 29,406 | (254,109 | ) | |||||
Net increase in net assets resulting from operations | 691,179 | 995,924 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (219,611 | ) | |||||
Total distributions to shareholders | — | (219,611 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 53,734,025 | 87,748,901 | ||||||
Distributions reinvested | — | 219,611 | ||||||
Cost of shares redeemed | (56,876,239 | ) | (87,451,791 | ) | ||||
Net increase (decrease) from capital share transactions | (3,142,214 | ) | 516,721 | |||||
Net increase (decrease) in net assets | (2,451,035 | ) | 1,293,034 | |||||
Net assets: | ||||||||
Beginning of period | 7,039,800 | 5,746,766 | ||||||
End of period | $ | 4,588,765 | $ | 7,039,800 | ||||
Undistributed net investment income /Accumulated net investment loss at end of period | $ | 697 | $ | (15 | ) | |||
Capital share activity: | ||||||||
Shares sold | 216,479 | 443,643 | ||||||
Shares issued from reinvestment of distributions | — | 1,079 | ||||||
Shares redeemed | (229,108 | ) | (444,510 | ) | ||||
Net increase (decrease) in shares | (12,629 | ) | 212 |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 234.65 | $ | 192.92 | $ | 139.69 | $ | 180.03 | $ | 262.78 | $ | 141.50 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .03 | (.79 | ) | (1.11 | ) | (1.73 | ) | (2.53 | ) | (1.63 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 29.47 | 50.24 | 54.34 | (17.40 | ) | 11.64 | 122.91 | |||||||||||||||||
Total from investment operations | 29.50 | 49.45 | 53.23 | (19.13 | ) | 9.11 | 121.28 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (7.72 | ) | — | (21.21 | ) | (91.86 | ) | — | |||||||||||||||
Total distributions | — | (7.72 | ) | — | (21.21 | ) | (91.86 | ) | — | |||||||||||||||
Net asset value, end of period | $ | 264.15 | $ | 234.65 | $ | 192.92 | $ | 139.69 | $ | 180.03 | $ | 262.78 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 12.57 | % | 26.26 | % | 38.11 | % | (13.15 | %) | 5.17 | % | 85.72 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,589 | $ | 7,040 | $ | 5,747 | $ | 2,770 | $ | 5,528 | $ | 5,196 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.02 | % | (0.38 | %) | (0.74 | %) | (1.00 | %) | (1.07 | %) | (0.86 | %) | ||||||||||||
Total expensesd | 1.79 | % | 1.80 | % | 1.77 | % | 1.70 | % | 1.77 | % | 1.75 | % | ||||||||||||
Portfolio turnover rate | 325 | % | 525 | % | 1,125 | % | 327 | % | 360 | % | 80 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark for small-cap securities on a daily basis. The Fund’s current benchmark is 150% of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: October 1, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 34.0% |
Guggenheim Strategy Fund II | 24.7% |
Five Below, Inc. | 0.1% |
Etsy, Inc. | 0.1% |
LivaNova plc | 0.1% |
Blackbaud, Inc. | 0.1% |
Haemonetics Corp. | 0.1% |
Entegris, Inc. | 0.1% |
FibroGen, Inc. | 0.1% |
IDACORP, Inc. | 0.1% |
Top Ten Total | 59.5% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Russell 2000® 1.5x Strategy Fund | 9.64% | 23.63% | 16.01% | 11.36% |
Russell 2000 Index | 7.66% | 17.57% | 15.43% | 12.93% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 16.5% | ||||||||
Financial - 4.1% | ||||||||
Gramercy Property Trust REIT | 111 | $ | 3,032 | |||||
Primerica, Inc. | 30 | 2,988 | ||||||
IBERIABANK Corp. | 39 | 2,956 | ||||||
First Industrial Realty Trust, Inc. REIT | 86 | 2,867 | ||||||
Cousins Properties, Inc. REIT | 290 | 2,810 | ||||||
Hancock Whitney Corp. | 59 | 2,752 | ||||||
Chemical Financial Corp. | 49 | 2,728 | ||||||
MGIC Investment Corp.* | 253 | 2,712 | ||||||
Valley National Bancorp | 223 | 2,712 | ||||||
Sabra Health Care REIT, Inc. | 123 | 2,673 | ||||||
MB Financial, Inc. | 57 | 2,662 | ||||||
RLJ Lodging Trust REIT | 120 | 2,646 | ||||||
LaSalle Hotel Properties REIT | 77 | 2,636 | ||||||
Ryman Hospitality Properties, Inc. REIT | 31 | 2,578 | ||||||
Sunstone Hotel Investors, Inc. REIT | 155 | 2,576 | ||||||
United Bankshares, Inc. | 70 | 2,548 | ||||||
Stifel Financial Corp. | 48 | 2,508 | ||||||
Healthcare Realty Trust, Inc. REIT | 86 | 2,501 | ||||||
Ellie Mae, Inc.* | 24 | 2,492 | ||||||
Home BancShares, Inc. | 110 | 2,482 | ||||||
Radian Group, Inc. | 148 | 2,401 | ||||||
Essent Group Ltd.* | 66 | 2,364 | ||||||
UMB Financial Corp. | 31 | 2,363 | ||||||
GEO Group, Inc. REIT | 84 | 2,313 | ||||||
EastGroup Properties, Inc. REIT | 24 | 2,293 | ||||||
First Financial Bankshares, Inc. | 45 | 2,290 | ||||||
Glacier Bancorp, Inc. | 59 | 2,282 | ||||||
American Equity Investment Life Holding Co. | 62 | 2,232 | ||||||
Blackstone Mortgage Trust, Inc. — Class A REIT | 71 | 2,231 | ||||||
Selective Insurance Group, Inc. | 40 | 2,200 | ||||||
Investors Bancorp, Inc. | 172 | 2,200 | ||||||
Education Realty Trust, Inc. REIT | 53 | 2,199 | ||||||
CNO Financial Group, Inc. | 115 | 2,190 | ||||||
PotlatchDeltic Corp. REIT | 43 | 2,187 | ||||||
BancorpSouth Bank | 66 | 2,175 | ||||||
South State Corp. | 25 | 2,156 | ||||||
Cathay General Bancorp | 53 | 2,146 | ||||||
Kemper Corp. | 28 | 2,118 | ||||||
Columbia Banking System, Inc. | 51 | 2,086 | ||||||
Community Bank System, Inc. | 35 | 2,067 | ||||||
National Health Investors, Inc. REIT | 28 | 2,063 | ||||||
First Financial Bancorp | 66 | 2,023 | ||||||
Physicians Realty Trust REIT | 126 | 2,008 | ||||||
Financial Engines, Inc. | 44 | 1,976 | ||||||
Fulton Financial Corp. | 119 | 1,963 | ||||||
CoreCivic, Inc. REIT | 82 | 1,959 | ||||||
Old National Bancorp | 104 | 1,934 | ||||||
Washington Federal, Inc. | 58 | 1,897 | ||||||
Simmons First National Corp. — Class A | 63 | 1,884 | ||||||
STAG Industrial, Inc. REIT | 68 | 1,852 | ||||||
Kennedy-Wilson Holdings, Inc. | 87 | 1,840 | ||||||
Pebblebrook Hotel Trust REIT | 47 | 1,824 | ||||||
First Midwest Bancorp, Inc. | 71 | 1,808 | ||||||
Xenia Hotels & Resorts, Inc. REIT | 74 | 1,803 | ||||||
PS Business Parks, Inc. REIT | 14 | 1,799 | ||||||
RLI Corp. | 27 | 1,787 | ||||||
Piedmont Office Realty Trust, Inc. — Class A REIT | 89 | 1,774 | ||||||
Rexford Industrial Realty, Inc. REIT | 56 | 1,758 | ||||||
Union Bankshares Corp. | 45 | 1,750 | ||||||
Urban Edge Properties REIT | 76 | 1,738 | ||||||
Bank of NT Butterfield & Son Ltd. | 38 | 1,737 | ||||||
Great Western Bancorp, Inc. | 41 | 1,722 | ||||||
FCB Financial Holdings, Inc. — Class A* | 29 | 1,705 | ||||||
CenterState Bank Corp. | 57 | 1,700 | ||||||
DiamondRock Hospitality Co. REIT | 137 | 1,682 | ||||||
BofI Holding, Inc.* | 41 | 1,677 | ||||||
Enstar Group Ltd.* | 8 | 1,658 | ||||||
United Community Banks, Inc. | 54 | 1,656 | ||||||
Washington Real Estate Investment Trust | 54 | 1,638 | ||||||
International Bancshares Corp. | 38 | 1,626 | ||||||
CVB Financial Corp. | 72 | 1,614 | ||||||
Hope Bancorp, Inc. | 90 | 1,605 | ||||||
Moelis & Co. — Class A | 27 | 1,584 | ||||||
First Merchants Corp. | 34 | 1,578 | ||||||
Federated Investors, Inc. — Class B | 67 | 1,562 | ||||||
Apollo Commercial Real Estate Finance, Inc. REIT | 85 | 1,554 | ||||||
Genworth Financial, Inc. — Class A* | 342 | 1,539 | ||||||
Trustmark Corp. | 47 | 1,534 | ||||||
Acadia Realty Trust REIT | 56 | 1,533 | ||||||
Renasant Corp. | 33 | 1,502 | ||||||
Ameris Bancorp | 28 | 1,494 | ||||||
Independent Bank Corp. | 19 | 1,490 | ||||||
Tanger Factory Outlet Centers, Inc. REIT | 63 | 1,480 | ||||||
TowneBank | 46 | 1,477 | ||||||
Retail Opportunity Investments Corp. REIT | 75 | 1,437 | ||||||
Terreno Realty Corp. REIT | 38 | 1,431 | ||||||
Quality Care Properties, Inc. REIT* | 66 | 1,420 | ||||||
WesBanco, Inc. | 31 | 1,396 | ||||||
WageWorks, Inc.* | 27 | 1,350 | ||||||
Eagle Bancorp, Inc.* | 22 | 1,349 | ||||||
QTS Realty Trust, Inc. — Class A REIT | 34 | 1,343 | ||||||
ServisFirst Bancshares, Inc. | 32 | 1,335 | ||||||
Banner Corp. | 22 | 1,323 | ||||||
ProAssurance Corp. | 37 | 1,312 | ||||||
Lexington Realty Trust REIT | 149 | 1,301 | ||||||
Chesapeake Lodging Trust REIT | 41 | 1,297 | ||||||
LegacyTexas Financial Group, Inc. | 33 | 1,288 | ||||||
Argo Group International Holdings Ltd. | 22 | 1,279 | ||||||
Horace Mann Educators Corp. | 28 | 1,249 | ||||||
Mack-Cali Realty Corp. REIT | 61 | 1,237 | ||||||
Invesco Mortgage Capital, Inc. REIT | 77 | 1,224 | ||||||
Colony Credit Real Estate, Inc. REIT | 58 | 1,202 | ||||||
PRA Group, Inc.* | 31 | 1,195 | ||||||
Provident Financial Services, Inc. | 43 | 1,184 | ||||||
Pacific Premier Bancorp, Inc.* | 31 | 1,183 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Redfin Corp.*,1 | 51 | $ | 1,178 | |||||
Capitol Federal Financial, Inc. | 88 | 1,158 | ||||||
LTC Properties, Inc. REIT | 27 | 1,154 | ||||||
Berkshire Hills Bancorp, Inc. | 28 | 1,137 | ||||||
First BanCorp* | 148 | 1,132 | ||||||
National General Holdings Corp. | 43 | 1,132 | ||||||
Northwest Bancshares, Inc. | 65 | 1,130 | ||||||
WSFS Financial Corp. | 21 | 1,119 | ||||||
Agree Realty Corp. REIT | 21 | 1,108 | ||||||
AmTrust Financial Services, Inc.1 | 76 | 1,107 | ||||||
NBT Bancorp, Inc. | 29 | 1,106 | ||||||
Alexander & Baldwin, Inc. REIT | 47 | 1,104 | ||||||
Heartland Financial USA, Inc. | 20 | 1,097 | ||||||
Hilltop Holdings, Inc. | 49 | 1,081 | ||||||
National Storage Affiliates Trust REIT | 35 | 1,079 | ||||||
Government Properties Income Trust REIT | 68 | 1,078 | ||||||
Houlihan Lokey, Inc. | 21 | 1,076 | ||||||
First Commonwealth Financial Corp. | 69 | 1,070 | ||||||
LendingTree, Inc.* | 5 | 1,069 | ||||||
Four Corners Property Trust, Inc. REIT | 43 | 1,059 | ||||||
Walker & Dunlop, Inc. | 19 | 1,057 | ||||||
Washington Prime Group, Inc. REIT | 129 | 1,046 | ||||||
S&T Bancorp, Inc. | 24 | 1,038 | ||||||
American Assets Trust, Inc. REIT | 27 | 1,034 | ||||||
Westamerica Bancorporation | 18 | 1,017 | ||||||
Summit Hotel Properties, Inc. REIT | 71 | 1,016 | ||||||
Seacoast Banking Corporation of Florida* | 32 | 1,011 | ||||||
Park National Corp. | 9 | 1,003 | ||||||
Independent Bank Group, Inc. | 15 | 1,002 | ||||||
Infinity Property & Casualty Corp. | 7 | 997 | ||||||
Artisan Partners Asset Management, Inc. — Class A | 33 | 995 | ||||||
Select Income REIT | 44 | 989 | ||||||
OceanFirst Financial Corp. | 33 | 989 | ||||||
Waddell & Reed Financial, Inc. — Class A | 55 | 988 | ||||||
Brookline Bancorp, Inc. | 53 | 986 | ||||||
Sandy Spring Bancorp, Inc. | 24 | 984 | ||||||
Kite Realty Group Trust REIT | 57 | 974 | ||||||
First Interstate BancSystem, Inc. — Class A | 23 | 971 | ||||||
Global Net Lease, Inc. REIT | 47 | 960 | ||||||
First Busey Corp. | 30 | 952 | ||||||
Ladder Capital Corp. — Class A REIT | 60 | 937 | ||||||
Seritage Growth Properties REIT1 | 22 | 933 | ||||||
Cadence BanCorp | 32 | 924 | ||||||
Boston Private Financial Holdings, Inc. | 57 | 906 | ||||||
Kearny Financial Corp. | 67 | 901 | ||||||
HFF, Inc. — Class A | 26 | 893 | ||||||
Employers Holdings, Inc. | 22 | 884 | ||||||
Monmouth Real Estate Investment Corp. REIT | 53 | 876 | ||||||
State Bank Financial Corp. | 26 | 868 | ||||||
Enterprise Financial Services Corp. | 16 | 863 | ||||||
Tompkins Financial Corp. | 10 | 859 | ||||||
Redwood Trust, Inc. REIT | 52 | 856 | ||||||
Safety Insurance Group, Inc. | 10 | 854 | ||||||
CareTrust REIT, Inc. | 51 | 851 | ||||||
Enova International, Inc.* | 23 | 841 | ||||||
LendingClub Corp.* | 218 | 826 | ||||||
FGL Holdings* | 98 | 822 | ||||||
Lakeland Financial Corp. | 17 | 819 | ||||||
First Bancorp | 20 | 818 | ||||||
United Fire Group, Inc. | 15 | 818 | ||||||
Heritage Financial Corp. | 23 | 802 | ||||||
BrightSphere Investment Group plc | 56 | 799 | ||||||
Navigators Group, Inc. | 14 | 798 | ||||||
Americold Realty Trust REIT | 36 | 793 | ||||||
Tier REIT, Inc. | 33 | 785 | ||||||
CYS Investments, Inc. REIT | 104 | 780 | ||||||
PennyMac Mortgage Investment Trust REIT | 41 | 779 | ||||||
Southside Bancshares, Inc. | 23 | 775 | ||||||
Piper Jaffray Cos. | 10 | 768 | ||||||
Beneficial Bancorp, Inc. | 47 | 761 | ||||||
Nelnet, Inc. — Class A | 13 | 759 | ||||||
City Holding Co. | 10 | 752 | ||||||
AMERISAFE, Inc. | 13 | 751 | ||||||
PJT Partners, Inc. — Class A | 14 | 747 | ||||||
Universal Insurance Holdings, Inc. | 21 | 737 | ||||||
WisdomTree Investments, Inc. | 81 | 735 | ||||||
National Bank Holdings Corp. — Class A | 19 | 733 | ||||||
CorePoint Lodging, Inc. REIT* | 28 | 725 | ||||||
Ramco-Gershenson Properties Trust REIT | 54 | 713 | ||||||
Kinsale Capital Group, Inc. | 13 | 713 | ||||||
BancFirst Corp. | 12 | 710 | ||||||
NMI Holdings, Inc. — Class A* | 43 | 701 | ||||||
Third Point Reinsurance Ltd.* | 56 | 700 | ||||||
Triumph Bancorp, Inc.* | 17 | 693 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. REIT | 35 | 691 | ||||||
Stewart Information Services Corp. | 16 | 689 | ||||||
Flagstar Bancorp, Inc.* | 20 | 685 | ||||||
Aircastle Ltd. | 33 | 677 | ||||||
James River Group Holdings Ltd. | 17 | 668 | ||||||
InfraREIT, Inc. | 30 | 665 | ||||||
ARMOUR Residential REIT, Inc. | 29 | 661 | ||||||
Chatham Lodging Trust REIT | 31 | 658 | ||||||
Trupanion, Inc.* | 17 | 656 | ||||||
Bryn Mawr Bank Corp. | 14 | 648 | ||||||
Virtus Investment Partners, Inc. | 5 | 640 | ||||||
Easterly Government Properties, Inc. REIT | 32 | 632 | ||||||
Meridian Bancorp, Inc. | 33 | 632 | ||||||
CBL & Associates Properties, Inc. REIT1 | 113 | 629 | ||||||
RE/MAX Holdings, Inc. — Class A | 12 | 629 | ||||||
Cohen & Steers, Inc. | 15 | 626 | ||||||
Encore Capital Group, Inc.* | 17 | 622 | ||||||
Independence Realty Trust, Inc. REIT | 60 | 619 | ||||||
Franklin Street Properties Corp. REIT | 72 | 616 | ||||||
Ambac Financial Group, Inc.* | 31 | 615 | ||||||
Preferred Bank/Los Angeles CA | 10 | 615 | ||||||
National Western Life Group, Inc. — Class A | 2 | 615 | ||||||
United Financial Bancorp, Inc. | 35 | 613 | ||||||
Carolina Financial Corp. | 14 | 601 |
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Lakeland Bancorp, Inc. | 30 | $ | 596 | |||||
Hanmi Financial Corp. | 21 | 595 | ||||||
Getty Realty Corp. REIT | 21 | 592 | ||||||
MTGE Investment Corp. REIT | 30 | 588 | ||||||
1st Source Corp. | 11 | 588 | ||||||
Meta Financial Group, Inc. | 6 | 584 | ||||||
R1 RCM, Inc.* | 67 | 582 | ||||||
Washington Trust Bancorp, Inc. | 10 | 581 | ||||||
CoBiz Financial, Inc. | 27 | 580 | ||||||
Universal Health Realty Income Trust REIT | 9 | 576 | ||||||
Central Pacific Financial Corp. | 20 | 573 | ||||||
Stock Yards Bancorp, Inc. | 15 | 572 | ||||||
INTL FCStone, Inc.* | 11 | 569 | ||||||
Customers Bancorp, Inc.* | 20 | 568 | ||||||
Banc of California, Inc. | 29 | 567 | ||||||
Capstead Mortgage Corp. REIT | 63 | 564 | ||||||
Columbia Financial, Inc.* | 34 | 563 | ||||||
TrustCo Bank Corp. NY | 63 | 561 | ||||||
Live Oak Bancshares, Inc. | 18 | 552 | ||||||
MBIA, Inc.* | 61 | 551 | ||||||
FBL Financial Group, Inc. — Class A | 7 | 551 | ||||||
Cass Information Systems, Inc. | 8 | 551 | ||||||
Granite Point Mortgage Trust, Inc. REIT | 30 | 550 | ||||||
Community Trust Bancorp, Inc. | 11 | 549 | ||||||
Horizon Bancorp, Inc. | 27 | 548 | ||||||
Federal Agricultural Mortgage Corp. — Class C | 6 | 537 | ||||||
Guaranty Bancorp | 18 | 536 | ||||||
Hersha Hospitality Trust REIT | 25 | 536 | ||||||
TriCo Bancshares | 14 | 524 | ||||||
Univest Corporation of Pennsylvania | 19 | 523 | ||||||
Midland States Bancorp, Inc. | 15 | 514 | ||||||
Marcus & Millichap, Inc.* | 13 | 507 | ||||||
Pennsylvania Real Estate Investment Trust | 46 | 506 | ||||||
Camden National Corp. | 11 | 503 | ||||||
German American Bancorp, Inc. | 14 | 502 | ||||||
ConnectOne Bancorp, Inc. | 20 | 498 | ||||||
Veritex Holdings, Inc.* | 16 | 497 | ||||||
Flushing Financial Corp. | 19 | 496 | ||||||
Northfield Bancorp, Inc. | 29 | 482 | ||||||
Hamilton Lane, Inc. — Class A | 10 | 480 | ||||||
Ashford Hospitality Trust, Inc. REIT | 59 | 478 | ||||||
Heritage Commerce Corp. | 28 | 476 | ||||||
iStar, Inc. REIT* | 44 | 475 | ||||||
First Defiance Financial Corp. | 7 | 469 | ||||||
St. Joe Co.* | 26 | 467 | ||||||
NorthStar Realty Europe Corp. REIT | 32 | 464 | ||||||
National Commerce Corp.* | 10 | 463 | ||||||
Armada Hoffler Properties, Inc. REIT | 31 | 462 | ||||||
Investment Technology Group, Inc. | 22 | 460 | ||||||
HomeStreet, Inc.* | 17 | 458 | ||||||
Great Southern Bancorp, Inc. | 8 | 458 | ||||||
New York Mortgage Trust, Inc. REIT1 | 76 | 457 | ||||||
Investors Real Estate Trust REIT | 82 | 453 | ||||||
Urstadt Biddle Properties, Inc. — Class A REIT | 20 | 453 | ||||||
Origin Bancorp, Inc. | 11 | 450 | ||||||
TPG RE Finance Trust, Inc. REIT | 22 | 447 | �� | |||||
World Acceptance Corp.* | 4 | 444 | ||||||
CatchMark Timber Trust, Inc. — Class A REIT | 34 | 433 | ||||||
CBTX, Inc. | 13 | 430 | ||||||
Dime Community Bancshares, Inc. | 22 | 429 | ||||||
Saul Centers, Inc. REIT | 8 | 429 | ||||||
QCR Holdings, Inc. | 9 | 427 | ||||||
First Foundation, Inc.* | 23 | 426 | ||||||
Greenhill & Company, Inc. | 15 | 426 | ||||||
Preferred Apartment Communities, Inc. — Class A REIT | 25 | 425 | ||||||
OFG Bancorp | 30 | 422 | ||||||
Oritani Financial Corp. | 26 | 421 | ||||||
Peoples Bancorp, Inc. | 11 | 416 | ||||||
Peapack Gladstone Financial Corp. | 12 | 415 | ||||||
Mercantile Bank Corp. | 11 | 407 | ||||||
BBX Capital Corp. | 45 | 406 | ||||||
Bank of Marin Bancorp | 5 | 404 | ||||||
Opus Bank | 14 | 402 | ||||||
First of Long Island Corp. | 16 | 398 | ||||||
Arbor Realty Trust, Inc. REIT | 38 | 396 | ||||||
Bridge Bancorp, Inc. | 11 | 395 | ||||||
New Senior Investment Group, Inc. REIT | 52 | 394 | ||||||
People’s Utah Bancorp | 11 | 393 | ||||||
RMR Group, Inc. — Class A | 5 | 392 | ||||||
TriState Capital Holdings, Inc.* | 15 | 392 | ||||||
Diamond Hill Investment Group, Inc. | 2 | 389 | ||||||
Old Line Bancshares, Inc. | 11 | 384 | ||||||
Alexander’s, Inc. REIT | 1 | 383 | ||||||
Fidelity Southern Corp. | 15 | 381 | ||||||
Equity Bancshares, Inc. — Class A* | 9 | 373 | ||||||
FB Financial Corp. | 9 | 366 | ||||||
Gladstone Commercial Corp. REIT | 19 | 365 | ||||||
Maiden Holdings Ltd. | 47 | 364 | ||||||
First Financial Corp. | 8 | 363 | ||||||
United Community Financial Corp. | 33 | 363 | ||||||
State Auto Financial Corp. | 12 | 359 | ||||||
Community Healthcare Trust, Inc. REIT | 12 | 358 | ||||||
Westwood Holdings Group, Inc. | 6 | 357 | ||||||
AG Mortgage Investment Trust, Inc. REIT | 19 | 357 | ||||||
Independent Bank Corp. | 14 | 357 | ||||||
Bancorp, Inc.* | 34 | 356 | ||||||
Blue Hills Bancorp, Inc. | 16 | 355 | ||||||
Atlantic Capital Bancshares, Inc.* | 18 | 354 | ||||||
Nationstar Mortgage Holdings, Inc.* | 20 | 351 | ||||||
First Community Bancshares, Inc. | 11 | 350 | ||||||
Allegiance Bancshares, Inc.* | 8 | 347 | ||||||
Front Yard Residential Corp. REIT | 33 | 344 | ||||||
Franklin Financial Network, Inc.* | 9 | 338 | ||||||
Nicolet Bankshares, Inc.* | 6 | 331 | ||||||
Financial Institutions, Inc. | 10 | 329 | ||||||
Whitestone REIT — Class B | 26 | 324 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Green Bancorp, Inc. | 15 | $ | 324 | |||||
FRP Holdings, Inc.* | 5 | 324 | ||||||
First Bancshares, Inc. | 9 | �� | 324 | |||||
Anworth Mortgage Asset Corp. REIT | 65 | 323 | ||||||
UMH Properties, Inc. REIT | 21 | 322 | ||||||
Ocwen Financial Corp.* | 81 | 321 | ||||||
Republic Bancorp, Inc. — Class A | 7 | 317 | ||||||
B. Riley Financial, Inc. | 14 | 316 | ||||||
First Mid-Illinois Bancshares, Inc. | 8 | 314 | ||||||
Merchants Bancorp | 11 | 314 | ||||||
NexPoint Residential Trust, Inc. REIT | 11 | 313 | ||||||
Industrial Logistics Properties Trust REIT | 14 | 313 | ||||||
HomeTrust Bancshares, Inc.* | 11 | 310 | ||||||
Spirit MTA REIT* | 30 | 309 | ||||||
First Connecticut Bancorp, Inc. | 10 | 306 | ||||||
Bar Harbor Bankshares | 10 | 303 | ||||||
CorEnergy Infrastructure Trust, Inc. REIT | 8 | 301 | ||||||
CNB Financial Corp. | 10 | 301 | ||||||
Greenlight Capital Re Ltd. — Class A* | 21 | 298 | ||||||
City Office REIT, Inc. | 23 | 295 | ||||||
Arrow Financial Corp. | 8 | 291 | ||||||
Waterstone Financial, Inc. | 17 | 290 | ||||||
RBB Bancorp | 9 | 289 | ||||||
Old Second Bancorp, Inc. | 20 | 288 | ||||||
eHealth, Inc.* | 13 | 287 | ||||||
Access National Corp. | 10 | 286 | ||||||
Enterprise Bancorp, Inc. | 7 | 283 | ||||||
Western Asset Mortgage Capital Corp. REIT | 27 | 281 | ||||||
Cedar Realty Trust, Inc. REIT | 59 | 278 | ||||||
West Bancorporation, Inc. | 11 | 277 | ||||||
PennyMac Financial Services, Inc. — Class A* | 14 | 275 | ||||||
United Insurance Holdings Corp. | 14 | 274 | ||||||
Farmers National Banc Corp. | 17 | 271 | ||||||
One Liberty Properties, Inc. REIT | 10 | 264 | ||||||
Metropolitan Bank Holding Corp.* | 5 | 262 | ||||||
Farmers Capital Bank Corp. | 5 | 260 | ||||||
Cambridge Bancorp | 3 | 260 | ||||||
Health Insurance Innovations, Inc. — Class A* | 8 | 259 | ||||||
Orchid Island Capital, Inc. REIT | 34 | 256 | ||||||
Sierra Bancorp | 9 | 254 | ||||||
Cowen, Inc. — Class A* | 18 | 249 | ||||||
Citizens, Inc.* | 32 | 249 | ||||||
Ares Commercial Real Estate Corp. REIT | 18 | 249 | ||||||
Byline Bancorp, Inc.* | 11 | 246 | ||||||
Farmers & Merchants Bancorp Incorp. | 6 | 242 | ||||||
American National Bankshares, Inc. | 6 | 240 | ||||||
PHH Corp.* | 22 | 239 | ||||||
On Deck Capital, Inc.* | 34 | 238 | ||||||
MidWestOne Financial Group, Inc. | 7 | 236 | ||||||
Republic First Bancorp, Inc.* | 30 | 236 | ||||||
Peoples Financial Services Corp. | 5 | 235 | ||||||
Global Indemnity Ltd | 6 | 234 | ||||||
Heritage Insurance Holdings, Inc.1 | 14 | 233 | ||||||
Home Bancorp, Inc. | 5 | 233 | ||||||
National Bankshares, Inc. | 5 | 232 | ||||||
Southern National Bancorp of Virginia, Inc. | 13 | 232 | ||||||
Ladenburg Thalmann Financial Services, Inc. | 68 | 231 | ||||||
Dynex Capital, Inc. REIT | 35 | 229 | ||||||
Newmark Group, Inc. — Class A | 16 | 228 | ||||||
Southern First Bancshares, Inc.* | 5 | 221 | ||||||
MedEquities Realty Trust, Inc. REIT | 20 | 220 | ||||||
Hingham Institution for Savings | 1 | 220 | ||||||
PCSB Financial Corp. | 11 | 219 | ||||||
Macatawa Bank Corp. | 18 | 219 | ||||||
Regional Management Corp.* | 6 | 210 | ||||||
Western New England Bancorp, Inc. | 19 | 209 | ||||||
HCI Group, Inc. | 5 | 208 | ||||||
Citizens & Northern Corp. | 8 | 207 | ||||||
BSB Bancorp, Inc.* | 6 | 206 | ||||||
SmartFinancial, Inc.* | 8 | 206 | ||||||
Braemar Hotels & Resorts, Inc. REIT | 18 | 206 | ||||||
Altisource Portfolio Solutions S.A.* | 7 | 204 | ||||||
Exantas Capital Corp. REIT | 20 | 204 | ||||||
KKR Real Estate Finance Trust, Inc. | 10 | 198 | ||||||
Northrim BanCorp, Inc. | 5 | 198 | ||||||
First Bancorp, Inc. | 7 | 198 | ||||||
Reliant Bancorp, Inc. | 7 | 196 | ||||||
Oppenheimer Holdings, Inc. — Class A | 7 | 196 | ||||||
Arlington Asset Investment Corp. — Class A | 19 | 196 | ||||||
Southern Missouri Bancorp, Inc. | 5 | 195 | ||||||
Sutherland Asset Management Corp. REIT | 12 | 195 | ||||||
Farmland Partners, Inc. REIT | 22 | 194 | ||||||
Charter Financial Corp. | 8 | 193 | ||||||
Summit Financial Group, Inc. | 7 | 188 | ||||||
Timberland Bancorp, Inc. | 5 | 187 | ||||||
Ames National Corp. | 6 | 185 | ||||||
Investors Title Co. | 1 | 185 | ||||||
FedNat Holding Co. | 8 | 185 | ||||||
Consolidated-Tomoka Land Co. | 3 | 184 | ||||||
Business First Bancshares, Inc. | 7 | 184 | ||||||
Codorus Valley Bancorp, Inc. | 6 | 184 | ||||||
Marlin Business Services Corp. | 6 | 179 | ||||||
BankFinancial Corp. | 10 | 176 | ||||||
WMIH Corp.* | 131 | 176 | ||||||
Goosehead Insurance, Inc. — Class A* | 7 | 175 | ||||||
Baycom Corp.* | 7 | 173 | ||||||
Jernigan Capital, Inc. REIT | 9 | 172 | ||||||
First Internet Bancorp | 5 | 170 | ||||||
HarborOne Bancorp, Inc.* | 9 | 170 | ||||||
ACNB Corp. | 5 | 170 | ||||||
Civista Bancshares, Inc. | 7 | 170 | ||||||
EMC Insurance Group, Inc. | 6 | 167 | ||||||
Safeguard Scientifics, Inc.* | 13 | 166 | ||||||
Capital City Bank Group, Inc. | 7 | 165 | ||||||
Guaranty Bancshares, Inc. | 5 | 165 | ||||||
Howard Bancorp, Inc.* | 9 | 162 | ||||||
Cherry Hill Mortgage Investment Corp. REIT | 9 | 161 |
104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Sterling Bancorp, Inc. | 12 | $ | 160 | |||||
Ohio Valley Banc Corp. | 3 | 157 | ||||||
Union Bankshares, Inc. | 3 | 156 | ||||||
Territorial Bancorp, Inc. | 5 | 155 | ||||||
First Bank | 11 | 153 | ||||||
Century Bancorp, Inc. — Class A | 2 | 153 | ||||||
Shore Bancshares, Inc. | 8 | 152 | ||||||
MutualFirst Financial, Inc. | 4 | 151 | ||||||
SB One Bancorp | 5 | 149 | ||||||
Central Valley Community Bancorp | 7 | 148 | ||||||
FNB Bancorp | 4 | 147 | ||||||
Innovative Industrial Properties, Inc. REIT | 4 | 146 | ||||||
Baldwin & Lyons, Inc. — Class B | 6 | 146 | ||||||
Forestar Group, Inc.* | 7 | 145 | ||||||
Norwood Financial Corp. | 4 | 144 | ||||||
GAIN Capital Holdings, Inc. | 19 | 143 | ||||||
Bank of Commerce Holdings | 11 | 140 | ||||||
Evans Bancorp, Inc. | 3 | 138 | ||||||
Investar Holding Corp. | 5 | 138 | ||||||
Penns Woods Bancorp, Inc. | 3 | 134 | ||||||
Bluerock Residential Growth REIT, Inc. | 15 | 134 | ||||||
Bank of Princeton* | 4 | 133 | ||||||
MidSouth Bancorp, Inc. | 10 | 133 | ||||||
Great Ajax Corp. REIT | 10 | 131 | ||||||
Premier Financial Bancorp, Inc. | 7 | 131 | ||||||
Orrstown Financial Services, Inc. | 5 | 130 | ||||||
First Business Financial Services, Inc. | 5 | 130 | ||||||
Bankwell Financial Group, Inc. | 4 | 129 | ||||||
MBT Financial Corp. | 12 | 128 | ||||||
Riverview Bancorp, Inc. | 15 | 127 | ||||||
FS Bancorp, Inc. | 2 | 127 | ||||||
First Community Corp. | 5 | 125 | ||||||
Community Bankers Trust Corp.* | 14 | 125 | ||||||
C&F Financial Corp. | 2 | 125 | ||||||
Curo Group Holdings Corp.* | 5 | 125 | ||||||
Fidelity D&D Bancorp, Inc. | 2 | 124 | ||||||
First Choice Bancorp | 4 | 122 | ||||||
Stratus Properties, Inc.* | 4 | 122 | ||||||
BCB Bancorp, Inc. | 8 | 120 | ||||||
NI Holdings, Inc.* | 7 | 119 | ||||||
LCNB Corp. | 6 | 118 | ||||||
Entegra Financial Corp.* | 4 | 117 | ||||||
Tiptree, Inc. — Class A | 17 | 116 | ||||||
Global Medical REIT, Inc. | 13 | 115 | ||||||
Luther Burbank Corp. | 10 | 115 | ||||||
1st Constitution Bancorp | 5 | 114 | ||||||
OP Bancorp* | 9 | 114 | ||||||
Oak Valley Bancorp | 5 | 114 | ||||||
Gladstone Land Corp. REIT | 9 | 114 | ||||||
Unity Bancorp, Inc. | 5 | 114 | ||||||
First Northwest Bancorp* | 7 | 112 | ||||||
ESSA Bancorp, Inc. | 7 | 111 | ||||||
Pzena Investment Management, Inc. — Class A | 12 | 111 | ||||||
Northeast Bancorp | 5 | 109 | ||||||
MVB Financial Corp. | 6 | 108 | ||||||
Select Bancorp, Inc.* | 8 | 108 | ||||||
Pacific Mercantile Bancorp* | 11 | 107 | ||||||
Community Financial Corp. | 3 | 106 | ||||||
Esquire Financial Holdings, Inc.* | 4 | 106 | ||||||
Mid Penn Bancorp, Inc. | 3 | 105 | ||||||
SI Financial Group, Inc. | 7 | 103 | ||||||
CB Financial Services, Inc. | 3 | 103 | ||||||
First United Corp. | 5 | 102 | ||||||
Elevate Credit, Inc.* | 12 | 102 | ||||||
Middlefield Banc Corp. | 2 | 101 | ||||||
Kingstone Companies, Inc. | 6 | 101 | ||||||
United Security Bancshares | 9 | 101 | ||||||
Chemung Financial Corp. | 2 | 100 | ||||||
Independence Holding Co. | 3 | 100 | ||||||
Auburn National Bancorporation, Inc. | 2 | 99 | ||||||
First Financial Northwest, Inc. | 5 | 98 | ||||||
Malvern Bancorp, Inc.* | 4 | 97 | ||||||
Prudential Bancorp, Inc. | 5 | 97 | ||||||
Peoples Bancorp of North Carolina, Inc. | 3 | 96 | ||||||
Safety Income & Growth, Inc. REIT | 5 | 95 | ||||||
Parke Bancorp, Inc. | 4 | 95 | ||||||
PDL Community Bancorp* | 6 | 94 | ||||||
Capstar Financial Holdings, Inc.* | 5 | 93 | ||||||
Hallmark Financial Services, Inc.* | 9 | 90 | ||||||
Clipper Realty, Inc. REIT | 10 | 85 | ||||||
County Bancorp, Inc. | 3 | 82 | ||||||
Donegal Group, Inc. — Class A | 6 | 82 | ||||||
Silvercrest Asset Management Group, Inc. — Class A | 5 | 81 | ||||||
GAMCO Investors, Inc. — Class A | 3 | 80 | ||||||
Provident Bancorp, Inc.* | 3 | 79 | ||||||
Trinity Place Holdings, Inc.* | 12 | 79 | ||||||
First Guaranty Bancshares, Inc. | 3 | 78 | ||||||
BRT Apartments Corp. REIT | 6 | 76 | ||||||
Associated Capital Group, Inc. — Class A | 2 | 76 | ||||||
First Savings Financial Group, Inc. | 1 | 73 | ||||||
Crawford & Co. — Class B | 8 | 69 | ||||||
Greene County Bancorp, Inc. | 2 | 68 | ||||||
Ashford, Inc.* | 1 | 65 | ||||||
Boston Omaha Corp. — Class A* | 3 | 63 | ||||||
Impac Mortgage Holdings, Inc.* | 6 | 57 | ||||||
Siebert Financial Corp.* | 5 | 52 | ||||||
Maui Land & Pineapple Company, Inc.* | 4 | 45 | ||||||
Griffin Industrial Realty, Inc. | 1 | 44 | ||||||
Transcontinental Realty Investors, Inc.* | 1 | 33 | ||||||
Oconee Federal Financial Corp. | 1 | 29 | ||||||
Total Financial | 379,272 | |||||||
Consumer, Non-cyclical - 3.6% | ||||||||
LivaNova plc* | 34 | 3,394 | ||||||
Haemonetics Corp.* | 37 | 3,318 | ||||||
FibroGen, Inc.* | 52 | 3,255 | ||||||
Loxo Oncology, Inc.* | 18 | 3,123 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 14 | 2,900 | ||||||
Neogen Corp.* | 35 | 2,807 | ||||||
Brink’s Co. | 35 | 2,791 | ||||||
HealthEquity, Inc.* | 37 | 2,779 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
ASGN, Inc.* | 35 | $ | 2,737 | |||||
Weight Watchers International, Inc.* | 27 | 2,730 | ||||||
Performance Food Group Co.* | 70 | 2,569 | ||||||
Teladoc, Inc.*,1 | 43 | 2,496 | ||||||
Insperity, Inc. | 26 | 2,476 | ||||||
Globus Medical, Inc. — Class A* | 49 | 2,473 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 32 | 2,460 | ||||||
Green Dot Corp. — Class A* | 33 | 2,422 | ||||||
Korn/Ferry International | 39 | 2,415 | ||||||
Array BioPharma, Inc.* | 141 | 2,366 | ||||||
Darling Ingredients, Inc.* | 113 | 2,246 | ||||||
Inogen, Inc.* | 12 | 2,236 | ||||||
Healthcare Services Group, Inc. | 51 | 2,203 | ||||||
Deluxe Corp. | 33 | 2,185 | ||||||
Cimpress N.V.* | 15 | 2,174 | ||||||
Immunomedics, Inc.* | 91 | 2,154 | ||||||
Aaron’s, Inc. | 49 | 2,129 | ||||||
Amicus Therapeutics, Inc.* | 131 | 2,046 | ||||||
Supernus Pharmaceuticals, Inc.* | 34 | 2,035 | ||||||
Adtalem Global Education, Inc.* | 41 | 1,972 | ||||||
Tenet Healthcare Corp.* | 58 | 1,947 | ||||||
AMN Healthcare Services, Inc.* | 33 | 1,934 | ||||||
Wright Medical Group N.V.* | 73 | 1,895 | ||||||
Horizon Pharma plc* | 114 | 1,888 | ||||||
NuVasive, Inc.* | 36 | 1,876 | ||||||
Edgewell Personal Care Co.* | 37 | 1,867 | ||||||
Blueprint Medicines Corp.* | 29 | 1,841 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 96 | 1,836 | ||||||
Avanos Medical, Inc.* | 32 | 1,832 | ||||||
Syneos Health, Inc.* | 39 | 1,829 | ||||||
Spark Therapeutics, Inc.* | 22 | 1,821 | ||||||
Lancaster Colony Corp. | 13 | 1,799 | ||||||
Boston Beer Company, Inc. — Class A* | 6 | 1,798 | ||||||
LHC Group, Inc.* | 21 | 1,797 | ||||||
Helen of Troy Ltd.* | 18 | 1,772 | ||||||
Medicines Co.* | 48 | 1,762 | ||||||
Merit Medical Systems, Inc.* | 34 | 1,741 | ||||||
Heron Therapeutics, Inc.* | 44 | 1,709 | ||||||
Amedisys, Inc.* | 20 | 1,709 | ||||||
Portola Pharmaceuticals, Inc.* | 45 | 1,700 | ||||||
Aerie Pharmaceuticals, Inc.* | 25 | 1,689 | ||||||
TriNet Group, Inc.* | 30 | 1,678 | ||||||
Myriad Genetics, Inc.* | 44 | 1,644 | ||||||
Magellan Health, Inc.* | 17 | 1,631 | ||||||
Travelport Worldwide Ltd. | 87 | 1,613 | ||||||
Nevro Corp.* | 20 | 1,597 | ||||||
Global Blood Therapeutics, Inc.* | 35 | 1,582 | ||||||
FTI Consulting, Inc.* | 26 | 1,572 | ||||||
Emergent BioSolutions, Inc.* | 31 | 1,565 | ||||||
Novocure Ltd.* | 50 | 1,565 | ||||||
Quidel Corp.* | 23 | 1,530 | ||||||
Avis Budget Group, Inc.* | 47 | 1,527 | ||||||
J&J Snack Foods Corp. | 10 | 1,525 | ||||||
Foundation Medicine, Inc.* | 11 | 1,504 | ||||||
Clovis Oncology, Inc.* | 33 | 1,500 | ||||||
United Natural Foods, Inc.* | 35 | 1,493 | ||||||
Arena Pharmaceuticals, Inc.* | 34 | 1,482 | ||||||
Sanderson Farms, Inc. | 14 | 1,472 | ||||||
Endo International plc* | 155 | 1,462 | ||||||
Halozyme Therapeutics, Inc.* | 86 | 1,451 | ||||||
REGENXBIO, Inc.* | 20 | 1,435 | ||||||
Spectrum Pharmaceuticals, Inc.* | 68 | 1,425 | ||||||
Prestige Brands Holdings, Inc.* | 37 | 1,420 | ||||||
Sotheby’s* | 26 | 1,413 | ||||||
Enanta Pharmaceuticals, Inc.* | 12 | 1,391 | ||||||
Select Medical Holdings Corp.* | 75 | 1,361 | ||||||
Integer Holdings Corp.* | 21 | 1,358 | ||||||
B&G Foods, Inc.1 | 45 | 1,346 | ||||||
ABM Industries, Inc. | 46 | 1,342 | ||||||
WD-40 Co. | 9 | 1,316 | ||||||
Acceleron Pharma, Inc.* | 27 | 1,310 | ||||||
iRhythm Technologies, Inc.* | 16 | 1,298 | ||||||
Matthews International Corp. — Class A | 22 | 1,294 | ||||||
Patterson Companies, Inc. | 57 | 1,292 | ||||||
Medifast, Inc. | 8 | 1,281 | ||||||
Monro, Inc. | 22 | 1,278 | ||||||
Repligen Corp.* | 27 | 1,270 | ||||||
Vector Group Ltd. | 66 | 1,259 | ||||||
Intercept Pharmaceuticals, Inc.* | 15 | 1,259 | ||||||
NxStage Medical, Inc.* | 45 | 1,256 | ||||||
Abaxis, Inc. | 15 | 1,245 | ||||||
CONMED Corp. | 17 | 1,244 | ||||||
Insmed, Inc.* | 52 | 1,230 | ||||||
LifePoint Health, Inc.* | 25 | 1,220 | ||||||
HMS Holdings Corp.* | 56 | 1,211 | ||||||
Cambrex Corp.* | 23 | 1,203 | ||||||
Xencor, Inc.* | 32 | 1,184 | ||||||
Puma Biotechnology, Inc.* | 20 | 1,183 | ||||||
Ensign Group, Inc. | 33 | 1,182 | ||||||
Paylocity Holding Corp.* | 20 | 1,177 | ||||||
Brookdale Senior Living, Inc. — Class A* | 129 | 1,173 | ||||||
AxoGen, Inc.* | 23 | 1,156 | ||||||
Editas Medicine, Inc.* | 32 | 1,147 | ||||||
Universal Corp. | 17 | 1,123 | ||||||
Madrigal Pharmaceuticals, Inc.* | 4 | 1,119 | ||||||
Momenta Pharmaceuticals, Inc.* | 53 | 1,084 | ||||||
McGrath RentCorp | 17 | 1,076 | ||||||
Mallinckrodt plc* | 57 | 1,064 | ||||||
Akorn, Inc.* | 64 | 1,062 | ||||||
Zogenix, Inc.* | 24 | 1,061 | ||||||
Calavo Growers, Inc. | 11 | 1,058 | ||||||
Corcept Therapeutics, Inc.* | 67 | 1,053 | ||||||
PTC Therapeutics, Inc.* | 31 | 1,046 | ||||||
OPKO Health, Inc.* | 222 | 1,043 | ||||||
MyoKardia, Inc.* | 21 | 1,043 | ||||||
ACADIA Pharmaceuticals, Inc.* | 68 | 1,038 | ||||||
USANA Health Sciences, Inc.* | 9 | 1,038 | ||||||
Atara Biotherapeutics, Inc.* | 28 | 1,029 | ||||||
Cal-Maine Foods, Inc.* | 22 | 1,009 | ||||||
ACCO Brands Corp. | 72 | 997 | ||||||
Diplomat Pharmacy, Inc.* | 39 | 997 |
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Sangamo Therapeutics, Inc.* | 70 | $ | 994 | |||||
BioTelemetry, Inc.* | 22 | 990 | ||||||
Tivity Health, Inc.* | 28 | 986 | ||||||
Amneal Pharmaceuticals, Inc.* | 60 | 985 | ||||||
Central Garden & Pet Co. — Class A* | 24 | 971 | ||||||
Varex Imaging Corp.* | 26 | 964 | ||||||
Herc Holdings, Inc.* | 17 | 958 | ||||||
Fresh Del Monte Produce, Inc. | 21 | 936 | ||||||
Glaukos Corp.* | 23 | 935 | ||||||
Hostess Brands, Inc.* | 68 | 925 | ||||||
AnaptysBio, Inc.* | 13 | 924 | ||||||
STAAR Surgical Co.* | 29 | 899 | ||||||
Pacira Pharmaceuticals, Inc.* | 28 | 897 | ||||||
EVERTEC, Inc. | 41 | 896 | ||||||
US Physical Therapy, Inc. | 9 | 864 | ||||||
ImmunoGen, Inc.* | 88 | 856 | ||||||
National Beverage Corp.* | 8 | 855 | ||||||
ICF International, Inc. | 12 | 853 | ||||||
Alarm.com Holdings, Inc.* | 21 | 848 | ||||||
Audentes Therapeutics, Inc.* | 22 | 841 | ||||||
Acorda Therapeutics, Inc.* | 29 | 832 | ||||||
Luminex Corp. | 28 | 827 | ||||||
Radius Health, Inc.* | 28 | 825 | ||||||
Arrowhead Pharmaceuticals, Inc.* | 60 | 816 | ||||||
Aimmune Therapeutics, Inc.* | 30 | 807 | ||||||
CBIZ, Inc.* | 35 | 805 | ||||||
MGP Ingredients, Inc. | 9 | 799 | ||||||
Strayer Education, Inc.1 | 7 | 791 | ||||||
Capella Education Co. | 8 | 790 | ||||||
NutriSystem, Inc. | 20 | 770 | ||||||
Retrophin, Inc.* | 28 | 763 | ||||||
Viad Corp.1 | 14 | 760 | ||||||
Natus Medical, Inc.* | 22 | 759 | ||||||
Biohaven Pharmaceutical Holding Company Ltd.* | 19 | 751 | ||||||
Intersect ENT, Inc.* | 20 | 749 | ||||||
Iovance Biotherapeutics, Inc.* | 57 | 730 | ||||||
Career Education Corp.* | 45 | 728 | ||||||
TrueBlue, Inc.* | 27 | 728 | ||||||
Cardiovascular Systems, Inc.* | 22 | 712 | ||||||
Genomic Health, Inc.* | 14 | 706 | ||||||
CryoLife, Inc.* | 25 | 696 | ||||||
TherapeuticsMD, Inc.*,1 | 111 | 693 | ||||||
OraSure Technologies, Inc.* | 42 | 692 | ||||||
Navigant Consulting, Inc.* | 31 | 686 | ||||||
Owens & Minor, Inc. | 41 | 685 | ||||||
Tandem Diabetes Care, Inc.* | 31 | 683 | ||||||
Orthofix International N.V.* | 12 | 682 | ||||||
Theravance Biopharma, Inc.* | 30 | 680 | ||||||
Intrexon Corp.* | 48 | 669 | ||||||
Vanda Pharmaceuticals, Inc.* | 35 | 667 | ||||||
Innoviva, Inc.* | 48 | 662 | ||||||
Cardtronics plc — Class A* | 27 | 653 | ||||||
Dean Foods Co. | 62 | 652 | ||||||
Andersons, Inc. | 19 | 650 | ||||||
Phibro Animal Health Corp. — Class A | 14 | 645 | ||||||
Inter Parfums, Inc. | 12 | 642 | ||||||
Mirati Therapeutics, Inc.* | 13 | 641 | ||||||
Alder Biopharmaceuticals, Inc.* | 40 | 632 | ||||||
Revance Therapeutics, Inc.* | 23 | 631 | ||||||
K2M Group Holdings, Inc.* | 28 | 630 | ||||||
Intellia Therapeutics, Inc.* | 23 | 629 | ||||||
Providence Service Corp.* | 8 | 628 | ||||||
Esperion Therapeutics, Inc.* | 16 | 627 | ||||||
Dynavax Technologies Corp.* | 41 | 625 | ||||||
Tactile Systems Technology, Inc.* | 12 | 624 | ||||||
AtriCure, Inc.* | 23 | 622 | ||||||
Endocyte, Inc.* | 45 | 621 | ||||||
CytomX Therapeutics, Inc.* | 27 | 617 | ||||||
Huron Consulting Group, Inc.* | 15 | 613 | ||||||
SpartanNash Co. | 24 | 612 | ||||||
G1 Therapeutics, Inc.* | 14 | 608 | ||||||
Simply Good Foods Co.* | 42 | 606 | ||||||
Atrion Corp. | 1 | 599 | ||||||
SP Plus Corp.* | 16 | 595 | ||||||
Triple-S Management Corp. — Class B* | 15 | 586 | ||||||
Flexion Therapeutics, Inc.* | 22 | 569 | ||||||
Hertz Global Holdings, Inc.* | 37 | 568 | ||||||
Cerus Corp.* | 85 | 567 | ||||||
National Healthcare Corp. | 8 | 563 | ||||||
Omeros Corp.* | 31 | 562 | ||||||
Karyopharm Therapeutics, Inc.* | 33 | 561 | ||||||
MacroGenics, Inc.* | 27 | 558 | ||||||
AngioDynamics, Inc.* | 25 | 556 | ||||||
Cymabay Therapeutics, Inc.* | 41 | 550 | ||||||
Apellis Pharmaceuticals, Inc.* | 25 | 550 | ||||||
Kforce, Inc. | 16 | 549 | ||||||
Intra-Cellular Therapies, Inc.* | 31 | 548 | ||||||
Athenex, Inc.* | 29 | 541 | ||||||
TG Therapeutics, Inc.* | 41 | 539 | ||||||
SUPERVALU, Inc.* | 26 | 534 | ||||||
Eagle Pharmaceuticals, Inc.* | 7 | 530 | ||||||
Heska Corp.* | 5 | 519 | ||||||
Kindred Healthcare, Inc.* | 57 | 513 | ||||||
Laureate Education, Inc. — Class A* | 35 | 502 | ||||||
NeoGenomics, Inc.* | 38 | 498 | ||||||
Surmodics, Inc.* | 9 | 497 | ||||||
Kelly Services, Inc. — Class A | 22 | 494 | ||||||
Epizyme, Inc.* | 36 | 488 | ||||||
Barrett Business Services, Inc. | 5 | 483 | ||||||
Quad/Graphics, Inc. | 23 | 479 | ||||||
Collegium Pharmaceutical, Inc.* | 20 | 477 | ||||||
Assembly Biosciences, Inc.* | 12 | 471 | ||||||
AMAG Pharmaceuticals, Inc.* | 24 | 468 | ||||||
American Public Education, Inc.* | 11 | 463 | ||||||
Team, Inc.*,1 | 20 | 462 | ||||||
Meridian Bioscience, Inc. | 29 | 461 | ||||||
WaVe Life Sciences Ltd.*,1 | 12 | 459 | ||||||
Heidrick & Struggles International, Inc. | 13 | 455 | ||||||
Coherus Biosciences, Inc.* | 32 | 448 | ||||||
MiMedx Group, Inc.*,1 | 70 | 447 | ||||||
John B Sanfilippo & Son, Inc. | 6 | 447 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Rent-A-Center, Inc.*,1 | 30 | $ | 442 | |||||
Apollo Medical Holdings, Inc.* | 17 | 440 | ||||||
La Jolla Pharmaceutical Co.* | 15 | 438 | ||||||
Sorrento Therapeutics, Inc.* | 60 | 432 | ||||||
K12, Inc.* | 26 | 426 | ||||||
Invacare Corp. | 22 | 409 | ||||||
Coca-Cola Bottling Company Consolidated | 3 | 406 | ||||||
Accelerate Diagnostics, Inc.* | 18 | 401 | ||||||
ANI Pharmaceuticals, Inc.* | 6 | 401 | ||||||
Chefs’ Warehouse, Inc.* | 14 | 399 | ||||||
Prothena Corporation plc* | 27 | 394 | ||||||
Adamas Pharmaceuticals, Inc.* | 15 | 387 | ||||||
Progenics Pharmaceuticals, Inc.* | 48 | 386 | ||||||
Reata Pharmaceuticals, Inc. — Class A* | 11 | 385 | ||||||
Amphastar Pharmaceuticals, Inc.* | 25 | 381 | ||||||
Dicerna Pharmaceuticals, Inc.* | 31 | 380 | ||||||
Lantheus Holdings, Inc.* | 26 | 378 | ||||||
BioCryst Pharmaceuticals, Inc.* | 66 | 378 | ||||||
Natera, Inc.* | 20 | 376 | ||||||
RadNet, Inc.* | 25 | 375 | ||||||
Weis Markets, Inc. | 7 | 373 | ||||||
GlycoMimetics, Inc.* | 23 | 371 | ||||||
Tejon Ranch Co.* | 15 | 364 | ||||||
Fate Therapeutics, Inc.* | 32 | 363 | ||||||
Cutera, Inc.* | 9 | 363 | ||||||
LSC Communications, Inc. | 23 | 360 | ||||||
Novavax, Inc.* | 263 | 352 | ||||||
Emerald Expositions Events, Inc. | 17 | 350 | ||||||
Akebia Therapeutics, Inc.* | 35 | 349 | ||||||
Lexicon Pharmaceuticals, Inc.* | 29 | 348 | ||||||
Five Prime Therapeutics, Inc.* | 22 | 348 | ||||||
Geron Corp.*,1 | 101 | 346 | ||||||
Ennis, Inc. | 17 | 346 | ||||||
Cara Therapeutics, Inc.*,1 | 18 | 345 | ||||||
Medpace Holdings, Inc.* | 8 | 344 | ||||||
Tootsie Roll Industries, Inc. | 11 | 339 | ||||||
Resources Connection, Inc. | 20 | 338 | ||||||
LeMaitre Vascular, Inc. | 10 | 335 | ||||||
ArQule, Inc.* | 60 | 332 | ||||||
CorVel Corp.* | 6 | 324 | ||||||
Invitae Corp.* | 44 | 324 | ||||||
Endologix, Inc.* | 57 | 323 | ||||||
Rigel Pharmaceuticals, Inc.* | 114 | 323 | ||||||
Anika Therapeutics, Inc.* | 10 | 320 | ||||||
Aclaris Therapeutics, Inc.* | 16 | 319 | ||||||
Sientra, Inc.* | 16 | 312 | ||||||
Everi Holdings, Inc.* | 43 | 310 | ||||||
Kura Oncology, Inc.* | 17 | 309 | ||||||
Aduro Biotech, Inc.* | 44 | 308 | ||||||
Optinose, Inc.* | 11 | 308 | ||||||
Innovate Biopharmaceuticals, Inc.*,1 | 13 | 306 | ||||||
Central Garden & Pet Co.* | 7 | 305 | ||||||
Abeona Therapeutics, Inc.* | 19 | 304 | ||||||
CAI International, Inc.* | 13 | 302 | ||||||
National Research Corp. — Class A | 8 | 299 | ||||||
Primo Water Corp.* | 17 | 297 | ||||||
Forrester Research, Inc. | 7 | 294 | ||||||
Voyager Therapeutics, Inc.* | 15 | 293 | ||||||
Stemline Therapeutics, Inc.* | 18 | 289 | ||||||
Synergy Pharmaceuticals, Inc.* | 166 | 289 | ||||||
Addus HomeCare Corp.* | 5 | 286 | ||||||
Ingles Markets, Inc. — Class A | 9 | 286 | ||||||
Textainer Group Holdings Ltd.* | 18 | 286 | ||||||
Viking Therapeutics, Inc.* | 30 | 285 | ||||||
CASI Pharmaceuticals, Inc.* | 34 | 280 | ||||||
Rocket Pharmaceuticals, Inc.* | 14 | 275 | ||||||
Pacific Biosciences of California, Inc.* | 77 | 273 | ||||||
Care.com, Inc.* | 13 | 271 | ||||||
RR Donnelley & Sons Co. | 47 | 271 | ||||||
Cross Country Healthcare, Inc.* | 24 | 270 | ||||||
CareDx, Inc.* | 22 | 269 | ||||||
ZIOPHARM Oncology, Inc.* | 89 | 269 | ||||||
Lannett Company, Inc.*,1 | 19 | 258 | ||||||
Hackett Group, Inc. | 16 | 257 | ||||||
Eloxx Pharmaceuticals, Inc.*,1 | 15 | 256 | ||||||
Achillion Pharmaceuticals, Inc.* | 90 | 255 | ||||||
CRA International, Inc. | 5 | 254 | ||||||
SEACOR Marine Holdings, Inc.* | 11 | 254 | ||||||
Depomed, Inc.* | 38 | 253 | ||||||
Antares Pharma, Inc.* | 98 | 253 | ||||||
Concert Pharmaceuticals, Inc.* | 15 | 252 | ||||||
Rhythm Pharmaceuticals, Inc.* | 8 | 250 | ||||||
Verastem, Inc.* | 36 | 248 | ||||||
Carriage Services, Inc. — Class A | 10 | 245 | ||||||
Vericel Corp.* | 25 | 243 | ||||||
PDL BioPharma, Inc.* | 103 | 241 | ||||||
Cytokinetics, Inc.* | 29 | 241 | ||||||
Dova Pharmaceuticals, Inc.* | 8 | 239 | ||||||
ViewRay, Inc.* | 34 | 235 | ||||||
Accuray, Inc.* | 56 | 230 | ||||||
CytoSorbents Corp.* | 20 | 228 | ||||||
TransEnterix, Inc.*,1 | 52 | 227 | ||||||
BioScrip, Inc.* | 77 | 226 | ||||||
Keryx Biopharmaceuticals, Inc.*,1 | 60 | 226 | ||||||
Paratek Pharmaceuticals, Inc.* | 22 | 224 | ||||||
GenMark Diagnostics, Inc.* | 35 | 223 | ||||||
Dermira, Inc.* | 24 | 221 | ||||||
Utah Medical Products, Inc. | 2 | 220 | ||||||
Oxford Immunotec Global plc* | 17 | 219 | ||||||
Vectrus, Inc.* | 7 | 216 | ||||||
Inovio Pharmaceuticals, Inc.* | 55 | 216 | ||||||
SIGA Technologies, Inc.* | 36 | 214 | ||||||
Solid Biosciences, Inc.* | 6 | 214 | ||||||
Akcea Therapeutics, Inc.*,1 | 9 | 213 | ||||||
e.l.f. Beauty, Inc.* | 14 | 214 | ||||||
Albireo Pharma, Inc.* | 6 | 213 | ||||||
MediciNova, Inc.* | 26 | 207 | ||||||
Bellicum Pharmaceuticals, Inc.* | 28 | 207 | ||||||
Nuvectra Corp.* | 10 | 205 | ||||||
Clearside Biomedical, Inc.* | 19 | 203 | ||||||
Adverum Biotechnologies, Inc.* | 38 | 201 | ||||||
ServiceSource International, Inc.* | 51 | 201 |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Great Lakes Dredge & Dock Corp.* | 38 | $ | 199 | |||||
ChemoCentryx, Inc.* | 15 | 198 | ||||||
Limoneira Co. | 8 | 197 | ||||||
22nd Century Group, Inc.*,1 | 80 | 197 | ||||||
Deciphera Pharmaceuticals, Inc.* | 5 | 197 | ||||||
Community Health Systems, Inc.*,1 | 59 | 196 | ||||||
Surgery Partners, Inc.* | 13 | 194 | ||||||
Savara, Inc.* | 17 | 192 | ||||||
NanoString Technologies, Inc.* | 14 | 192 | ||||||
Kadmon Holdings, Inc.* | 48 | 192 | ||||||
Achaogen, Inc.* | 22 | 190 | ||||||
Senseonics Holdings, Inc.* | 46 | 189 | ||||||
MannKind Corp.* | 97 | 184 | ||||||
Cadiz, Inc.* | 14 | 183 | ||||||
Farmer Brothers Co.* | 6 | 183 | ||||||
Pieris Pharmaceuticals, Inc.* | 36 | 183 | ||||||
Kindred Biosciences, Inc.* | 17 | 181 | ||||||
Catalyst Pharmaceuticals, Inc.* | 58 | 181 | ||||||
Civitas Solutions, Inc.* | 11 | 181 | ||||||
BioSpecifics Technologies Corp.*,1 | 4 | 179 | ||||||
Inspire Medical Systems, Inc.* | 5 | 178 | ||||||
Village Super Market, Inc. — Class A | 6 | 177 | ||||||
Marinus Pharmaceuticals, Inc.* | 25 | 177 | ||||||
Arbutus Biopharma Corp.* | 24 | 175 | ||||||
CTI BioPharma Corp.* | 35 | 174 | ||||||
Syros Pharmaceuticals, Inc.* | 17 | 174 | ||||||
Franklin Covey Co.* | 7 | 172 | ||||||
Capital Senior Living Corp.* | 16 | 171 | ||||||
RTI Surgical, Inc.* | 37 | 170 | ||||||
Denali Therapeutics, Inc.* | 11 | 168 | ||||||
Sienna Biopharmaceuticals, Inc.* | 11 | 167 | ||||||
Corbus Pharmaceuticals Holdings, Inc.*,1 | 33 | 167 | ||||||
Craft Brew Alliance, Inc.* | 8 | 165 | ||||||
Zafgen, Inc.* | 16 | 164 | ||||||
Mersana Therapeutics, Inc.* | 9 | 161 | ||||||
Turning Point Brands, Inc. | 5 | 160 | ||||||
AVEO Pharmaceuticals, Inc.* | 70 | 158 | ||||||
Rockwell Medical, Inc.* | 32 | 158 | ||||||
Cellular Biomedicine Group, Inc.* | 8 | 156 | ||||||
Willdan Group, Inc.* | 5 | 155 | ||||||
Enzo Biochem, Inc.* | 29 | 151 | ||||||
Durect Corp.* | 96 | 150 | ||||||
Veracyte, Inc.* | 16 | 149 | ||||||
Minerva Neurosciences, Inc.* | 18 | 148 | ||||||
Corium International, Inc.* | 18 | 144 | ||||||
Vital Therapies, Inc.* | 21 | 144 | ||||||
Homology Medicines, Inc.* | 7 | 143 | ||||||
Chimerix, Inc.* | 30 | 143 | ||||||
Cue Biopharma, Inc.* | 12 | 142 | ||||||
PolarityTE, Inc.* | 6 | 141 | ||||||
MoneyGram International, Inc.* | 21 | 140 | ||||||
T2 Biosystems, Inc.* | 18 | 139 | ||||||
Avid Bioservices, Inc.* | 35 | 137 | ||||||
Acacia Research Corp.* | 33 | 137 | ||||||
Athersys, Inc.* | 69 | 136 | ||||||
PRGX Global, Inc.* | 14 | 136 | ||||||
Seneca Foods Corp. — Class A* | 5 | 135 | ||||||
OrthoPediatrics Corp.* | 5 | 133 | ||||||
Palatin Technologies, Inc.* | 135 | 131 | ||||||
Reis, Inc. | 6 | 131 | ||||||
Harvard Bioscience, Inc.* | 24 | 128 | ||||||
Ocular Therapeutix, Inc.* | 19 | 128 | ||||||
Idera Pharmaceuticals, Inc.* | 95 | 125 | ||||||
Natural Health Trends Corp. | 5 | 125 | ||||||
Aratana Therapeutics, Inc.* | 29 | 123 | ||||||
Tetraphase Pharmaceuticals, Inc.* | 34 | 121 | ||||||
Ampio Pharmaceuticals, Inc.*,1 | 55 | 121 | ||||||
Seres Therapeutics, Inc.* | 14 | 120 | ||||||
BioTime, Inc.* | 58 | 119 | ||||||
Selecta Biosciences, Inc.* | 9 | 119 | ||||||
Aeglea BioTherapeutics, Inc.* | 11 | 116 | ||||||
BG Staffing, Inc. | 5 | 116 | ||||||
Insys Therapeutics, Inc.*,1 | 16 | 116 | ||||||
Agenus, Inc.* | 51 | 116 | ||||||
Miragen Therapeutics, Inc.* | 18 | 115 | ||||||
Odonate Therapeutics, Inc.* | 5 | 110 | ||||||
American Renal Associates Holdings, Inc.* | 7 | 110 | ||||||
Corvus Pharmaceuticals, Inc.* | 10 | 110 | ||||||
Synlogic, Inc.* | 11 | 108 | ||||||
Neos Therapeutics, Inc.* | 17 | 106 | ||||||
FONAR Corp.* | 4 | 106 | ||||||
Pulse Biosciences, Inc.* | 7 | 106 | ||||||
Revlon, Inc. — Class A* | 6 | 105 | ||||||
Calithera Biosciences, Inc.* | 21 | 105 | ||||||
Helius Medical Technologies, Inc.* | 11 | 105 | ||||||
Allena Pharmaceuticals, Inc.* | 8 | 104 | ||||||
SeaSpine Holdings Corp.* | 8 | 101 | ||||||
Cambium Learning Group, Inc.* | 9 | 100 | ||||||
ChromaDex Corp.* | 27 | 100 | ||||||
Quorum Health Corp.* | 20 | 100 | ||||||
Ra Pharmaceuticals, Inc.* | 10 | 99 | ||||||
Celcuity, Inc.* | 4 | 99 | ||||||
Cohbar, Inc.* | 15 | 98 | ||||||
Organovo Holdings, Inc.* | 70 | 98 | ||||||
PFSweb, Inc.* | 10 | 97 | ||||||
Teligent, Inc.* | 28 | 97 | ||||||
Kala Pharmaceuticals, Inc.* | 7 | 96 | ||||||
NewLink Genetics Corp.* | 20 | 95 | ||||||
Alliance One International, Inc.* | 6 | 95 | ||||||
Spring Bank Pharmaceuticals, Inc.* | 8 | 95 | ||||||
Catalyst Biosciences, Inc.* | 8 | 93 | ||||||
Tyme Technologies, Inc.* | 29 | 92 | ||||||
Information Services Group, Inc.* | 22 | 90 | ||||||
Aldeyra Therapeutics, Inc.* | 11 | 87 | ||||||
Ardelyx, Inc.* | 23 | 85 | ||||||
Tocagen, Inc.* | 9 | 84 | ||||||
Evolus, Inc.* | 3 | 84 | ||||||
XOMA Corp.* | 4 | 84 | ||||||
Fennec Pharmaceuticals, Inc.* | 8 | 84 | ||||||
Smart & Final Stores, Inc.* | 15 | 83 | ||||||
Mustang Bio, Inc.* | 12 | 83 | ||||||
Immune Design Corp.* | 18 | 82 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 109 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Surface Oncology, Inc.* | 5 | $ | 82 | |||||
Pfenex, Inc.* | 15 | 81 | ||||||
Jounce Therapeutics, Inc.* | 10 | 77 | ||||||
Natural Grocers by Vitamin Cottage, Inc.* | 6 | 76 | ||||||
AAC Holdings, Inc.* | 8 | 75 | ||||||
Calyxt, Inc.* | 4 | 75 | ||||||
Nymox Pharmaceutical Corp.* | 22 | 74 | ||||||
Celsius Holdings, Inc.* | 16 | 74 | ||||||
Spero Therapeutics, Inc.* | 5 | 73 | ||||||
Genesis Healthcare, Inc.* | 31 | 71 | ||||||
Marrone Bio Innovations, Inc.* | 38 | 70 | ||||||
Fortress Biotech, Inc.* | 23 | 69 | ||||||
Alico, Inc. | 2 | 63 | ||||||
Zomedica Pharmaceuticals Corp.* | 27 | 61 | ||||||
ADMA Biologics, Inc.* | 13 | 58 | ||||||
NantKwest, Inc.* | 19 | 58 | ||||||
Melinta Therapeutics, Inc.* | 9 | 57 | ||||||
Syndax Pharmaceuticals, Inc.* | 8 | 56 | ||||||
Nature’s Sunshine Products, Inc.* | 6 | 56 | ||||||
Arcus Biosciences, Inc.* | 4 | 49 | ||||||
Proteostasis Therapeutics, Inc.* | 17 | 47 | ||||||
Evelo Biosciences, Inc.* | 4 | 47 | ||||||
GTx, Inc.* | 3 | 46 | ||||||
resTORbio, Inc.* | 5 | 46 | ||||||
Recro Pharma, Inc.* | 9 | 45 | ||||||
UNITY Biotechnology, Inc.* | 3 | 45 | ||||||
Quanterix Corp.* | 3 | 43 | ||||||
Ovid therapeutics, Inc.* | 5 | 39 | ||||||
Arsanis, Inc.* | 3 | 11 | ||||||
Total Consumer, Non-cyclical | 324,823 | |||||||
Industrial - 2.3% | ||||||||
EMCOR Group, Inc. | 40 | 3,047 | ||||||
Cree, Inc.* | 70 | 2,910 | ||||||
Woodward, Inc. | 37 | 2,844 | ||||||
Louisiana-Pacific Corp. | 101 | 2,749 | ||||||
Trex Company, Inc.* | 41 | 2,566 | ||||||
KLX, Inc.* | 35 | 2,517 | ||||||
MSA Safety, Inc. | 24 | 2,312 | ||||||
MasTec, Inc.* | 45 | 2,284 | ||||||
Axon Enterprise, Inc.* | 36 | 2,274 | ||||||
Proto Labs, Inc.* | 19 | 2,260 | ||||||
Tetra Tech, Inc. | 38 | 2,223 | ||||||
Generac Holdings, Inc.* | 42 | 2,173 | ||||||
EnerSys | 29 | 2,165 | ||||||
Tech Data Corp.* | 26 | 2,135 | ||||||
Trinseo S.A. | 30 | 2,129 | ||||||
Vishay Intertechnology, Inc. | 91 | 2,111 | ||||||
KapStone Paper and Packaging Corp. | 61 | 2,105 | ||||||
Rexnord Corp.* | 71 | 2,063 | ||||||
RBC Bearings, Inc.* | 16 | 2,061 | ||||||
Hillenbrand, Inc. | 43 | 2,027 | ||||||
SYNNEX Corp. | 21 | 2,027 | ||||||
Summit Materials, Inc. — Class A* | 77 | 2,021 | ||||||
Kennametal, Inc. | 56 | 2,010 | ||||||
Barnes Group, Inc. | 34 | 2,003 | ||||||
Dycom Industries, Inc.* | 21 | 1,985 | ||||||
John Bean Technologies Corp. | 22 | 1,956 | ||||||
GATX Corp. | 26 | 1,930 | ||||||
Golar LNG Ltd. | 65 | 1,915 | ||||||
TopBuild Corp.* | 24 | 1,880 | ||||||
II-VI, Inc.* | 43 | 1,868 | ||||||
Applied Industrial Technologies, Inc. | 26 | 1,824 | ||||||
Simpson Manufacturing Company, Inc. | 29 | 1,804 | ||||||
Exponent, Inc. | 36 | 1,739 | ||||||
KBR, Inc. | 97 | 1,738 | ||||||
Moog, Inc. — Class A | 22 | 1,715 | ||||||
Belden, Inc. | 28 | 1,711 | ||||||
Granite Construction, Inc. | 30 | 1,670 | ||||||
Advanced Energy Industries, Inc.* | 27 | 1,568 | ||||||
Watts Water Technologies, Inc. — Class A | 19 | 1,490 | ||||||
Universal Forest Products, Inc. | 40 | 1,465 | ||||||
Saia, Inc.* | 18 | 1,455 | ||||||
Rogers Corp.* | 13 | 1,449 | ||||||
Franklin Electric Company, Inc. | 32 | 1,443 | ||||||
Novanta, Inc.* | 23 | 1,433 | ||||||
Builders FirstSource, Inc.* | 78 | 1,427 | ||||||
Aerojet Rocketdyne Holdings, Inc.* | 48 | 1,416 | ||||||
Itron, Inc.* | 23 | 1,381 | ||||||
Sanmina Corp.* | 47 | 1,377 | ||||||
JELD-WEN Holding, Inc.* | 48 | 1,372 | ||||||
Plexus Corp.* | 23 | 1,369 | ||||||
Masonite International Corp.* | 19 | 1,365 | ||||||
Esterline Technologies Corp.* | 18 | 1,328 | ||||||
Kaman Corp.1 | 19 | 1,324 | ||||||
Covanta Holding Corp. | 80 | 1,320 | ||||||
Chart Industries, Inc.* | 21 | 1,295 | ||||||
SPX FLOW, Inc.* | 29 | 1,269 | ||||||
Worthington Industries, Inc. | 30 | 1,259 | ||||||
Werner Enterprises, Inc. | 33 | 1,239 | ||||||
Advanced Disposal Services, Inc.* | 50 | 1,239 | ||||||
Harsco Corp.* | 56 | 1,238 | ||||||
Brady Corp. — Class A | 32 | 1,234 | ||||||
Actuant Corp. — Class A | 42 | 1,233 | ||||||
Mueller Water Products, Inc. — Class A | 104 | 1,219 | ||||||
Boise Cascade Co. | 27 | 1,207 | ||||||
Albany International Corp. — Class A | 20 | 1,203 | ||||||
Forward Air Corp. | 20 | 1,182 | ||||||
Greenbrier Companies, Inc. | 22 | 1,161 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 16 | 1,147 | ||||||
Hub Group, Inc. — Class A* | 23 | 1,145 | ||||||
Comfort Systems USA, Inc. | 25 | 1,145 | ||||||
Mueller Industries, Inc. | 38 | 1,121 | ||||||
Matson, Inc. | 29 | 1,113 | ||||||
TTM Technologies, Inc.* | 63 | 1,111 | ||||||
Cubic Corp. | 17 | 1,091 | ||||||
Aerovironment, Inc.* | 15 | 1,071 | ||||||
Evoqua Water Technologies Corp.* | 52 | 1,066 | ||||||
ESCO Technologies, Inc. | 18 | 1,039 | ||||||
AAR Corp. | 22 | 1,023 | ||||||
SPX Corp.* | 29 | 1,016 | ||||||
Methode Electronics, Inc. | 25 | 1,008 | ||||||
EnPro Industries, Inc. | 14 | 979 |
110 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Sun Hydraulics Corp. | 20 | $ | 964 | |||||
Benchmark Electronics, Inc. | 33 | 962 | ||||||
Raven Industries, Inc. | 25 | 961 | ||||||
Astec Industries, Inc. | 16 | 957 | ||||||
US Ecology, Inc. | 15 | 955 | ||||||
Greif, Inc. — Class A | 18 | 952 | ||||||
Tennant Co. | 12 | 948 | ||||||
Fitbit, Inc. — Class A* | 143 | 934 | ||||||
Federal Signal Corp. | 40 | 932 | ||||||
AAON, Inc. | 28 | 931 | ||||||
OSI Systems, Inc.* | 12 | 928 | ||||||
Fabrinet* | 25 | 922 | ||||||
Standex International Corp. | 9 | 920 | ||||||
Knowles Corp.* | 60 | 918 | ||||||
American Woodmark Corp.* | 10 | 915 | ||||||
Apogee Enterprises, Inc. | 19 | 915 | ||||||
TriMas Corp.* | 31 | 911 | ||||||
Patrick Industries, Inc.* | 16 | 910 | ||||||
Milacron Holdings Corp.* | 48 | 909 | ||||||
Badger Meter, Inc. | 20 | 894 | ||||||
KEMET Corp.* | 37 | 894 | ||||||
Advanced Drainage Systems, Inc. | 31 | 885 | ||||||
Air Transport Services Group, Inc.* | 39 | 881 | ||||||
Ship Finance International Ltd. | 58 | 867 | ||||||
Altra Industrial Motion Corp.1 | 20 | 862 | ||||||
Gibraltar Industries, Inc.* | 22 | 825 | ||||||
ArcBest Corp. | 18 | 823 | ||||||
CTS Corp. | 22 | 792 | ||||||
Primoris Services Corp. | 29 | 790 | ||||||
Continental Building Products, Inc.* | 25 | 789 | ||||||
AZZ, Inc. | 18 | 782 | ||||||
Kadant, Inc. | 8 | 769 | ||||||
Casella Waste Systems, Inc. — Class A* | 28 | 717 | ||||||
PGT Innovations, Inc.* | 34 | 709 | ||||||
Kratos Defense & Security Solutions, Inc.* | 61 | 702 | ||||||
Lindsay Corp. | 7 | 679 | ||||||
Sturm Ruger & Company, Inc. | 12 | 672 | ||||||
Triumph Group, Inc. | 34 | 666 | ||||||
Encore Wire Corp. | 14 | 664 | ||||||
FARO Technologies, Inc.* | 12 | 652 | ||||||
Columbus McKinnon Corp. | 15 | 650 | ||||||
Multi-Color Corp. | 10 | 647 | ||||||
Marten Transport Ltd. | 27 | 633 | ||||||
Stoneridge, Inc.* | 18 | 633 | ||||||
Alamo Group, Inc. | 7 | 633 | ||||||
Manitowoc Company, Inc.* | 24 | 621 | ||||||
Cactus, Inc. — Class A* | 18 | 608 | ||||||
Heartland Express, Inc. | 32 | 594 | ||||||
NCI Building Systems, Inc.* | 28 | 588 | ||||||
Chase Corp. | 5 | 586 | ||||||
Applied Optoelectronics, Inc.* | 13 | 584 | ||||||
US Concrete, Inc.* | 11 | 577 | ||||||
Scorpio Tankers, Inc. | 203 | 570 | ||||||
Aegion Corp. — Class A* | 22 | 566 | ||||||
Atkore International Group, Inc.* | 27 | 561 | ||||||
Echo Global Logistics, Inc.* | 19 | 556 | ||||||
Astronics Corp.* | 15 | 540 | ||||||
Lydall, Inc.* | 12 | 524 | ||||||
Vicor Corp.* | 12 | 523 | ||||||
GasLog Ltd. | 27 | 516 | ||||||
Briggs & Stratton Corp. | 29 | 511 | ||||||
Tidewater, Inc.* | 17 | 492 | ||||||
AVX Corp. | 31 | 486 | ||||||
Tutor Perini Corp.* | 26 | 480 | ||||||
Global Brass & Copper Holdings, Inc. | 15 | 470 | ||||||
GoPro, Inc. — Class A*,1 | 73 | 470 | ||||||
Hyster-Yale Materials Handling, Inc. | 7 | 450 | ||||||
DMC Global, Inc. | 10 | 449 | ||||||
TimkenSteel Corp.* | 27 | 441 | ||||||
American Outdoor Brands Corp.* | 36 | 433 | ||||||
Quanex Building Products Corp. | 24 | 431 | ||||||
Mesa Laboratories, Inc. | 2 | 422 | ||||||
DXP Enterprises, Inc.* | 11 | 420 | ||||||
Gorman-Rupp Co. | 12 | 420 | ||||||
NV5 Global, Inc.* | 6 | 416 | ||||||
Control4 Corp.* | 17 | 413 | ||||||
Argan, Inc. | 10 | 409 | ||||||
CIRCOR International, Inc. | 11 | 407 | ||||||
Myers Industries, Inc. | 21 | 403 | ||||||
Insteel Industries, Inc. | 12 | 401 | ||||||
Tredegar Corp. | 17 | 400 | ||||||
MYR Group, Inc.* | 11 | 390 | ||||||
National Presto Industries, Inc. | 3 | 372 | ||||||
NVE Corp. | 3 | 365 | ||||||
Teekay Corp. | 47 | 364 | ||||||
Ichor Holdings Ltd.* | 17 | 361 | ||||||
NN, Inc. | 19 | 359 | ||||||
Griffon Corp. | 20 | 356 | ||||||
International Seaways, Inc.* | 15 | 347 | ||||||
Electro Scientific Industries, Inc.* | 22 | 347 | ||||||
Kimball Electronics, Inc.* | 18 | 329 | ||||||
ZAGG, Inc.* | 18 | 311 | ||||||
SunPower Corp. — Class A*,1 | 40 | 307 | ||||||
Frontline Ltd.* | 52 | 304 | ||||||
Park Electrochemical Corp. | 13 | 301 | ||||||
Haynes International, Inc. | 8 | 294 | ||||||
VSE Corp. | 6 | 287 | ||||||
Scorpio Bulkers, Inc. | 40 | 284 | ||||||
Covenant Transportation Group, Inc. — Class A* | 9 | 283 | ||||||
Daseke, Inc.* | 28 | 278 | ||||||
DHT Holdings, Inc. | 58 | 272 | ||||||
Costamare, Inc. | 34 | 271 | ||||||
CryoPort, Inc.*,1 | 17 | 268 | ||||||
Vishay Precision Group, Inc.* | 7 | 267 | ||||||
Nordic American Tankers Ltd. | 92 | 247 | ||||||
Allied Motion Technologies, Inc. | 5 | 239 | ||||||
Ducommun, Inc.* | 7 | 232 | ||||||
YRC Worldwide, Inc.* | 23 | 231 | ||||||
Greif, Inc. — Class B | 4 | 230 | ||||||
Mistras Group, Inc.* | 12 | 226 | ||||||
Caesarstone Ltd. | 15 | 226 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Park-Ohio Holdings Corp. | 6 | $ | 224 | |||||
Sterling Construction Company, Inc.* | 17 | 221 | ||||||
Armstrong Flooring, Inc.* | 15 | 211 | ||||||
Powell Industries, Inc. | 6 | 209 | ||||||
Energous Corp.* | 14 | 208 | ||||||
Energy Recovery, Inc.* | 25 | 202 | ||||||
Heritage-Crystal Clean, Inc.* | 10 | 201 | ||||||
Hill International, Inc.* | 34 | 201 | ||||||
American Railcar Industries, Inc.1 | 5 | 197 | ||||||
ShotSpotter, Inc.* | 5 | 190 | ||||||
Eagle Bulk Shipping, Inc.* | 33 | 180 | ||||||
Hurco Companies, Inc. | 4 | 179 | ||||||
Ardmore Shipping Corp.* | 21 | 172 | ||||||
nLight, Inc.* | 5 | 165 | ||||||
IntriCon Corp.* | 4 | 161 | ||||||
Omega Flex, Inc. | 2 | 158 | ||||||
Universal Logistics Holdings, Inc. | 6 | 158 | ||||||
Orion Group Holdings, Inc.* | 19 | 157 | ||||||
Graham Corp. | 6 | 155 | ||||||
Twin Disc, Inc.* | 6 | 149 | ||||||
Advanced Emissions Solutions, Inc. | 13 | 148 | ||||||
GP Strategies Corp.* | 8 | 141 | ||||||
LB Foster Co. — Class A* | 6 | 138 | ||||||
FreightCar America, Inc. | 8 | 134 | ||||||
Teekay Tankers Ltd. — Class A | 114 | 133 | ||||||
Bel Fuse, Inc. — Class B | 6 | 125 | ||||||
Manitex International, Inc.* | 10 | 125 | ||||||
AquaVenture Holdings Ltd.* | 8 | 125 | ||||||
UFP Technologies, Inc.* | 4 | 123 | ||||||
CECO Environmental Corp. | 20 | 123 | ||||||
Olympic Steel, Inc. | 6 | 123 | ||||||
Lawson Products, Inc.* | 5 | 122 | ||||||
Synalloy Corp. | 6 | 120 | ||||||
USA Truck, Inc.* | 5 | 117 | ||||||
Napco Security Technologies, Inc.* | 8 | 117 | ||||||
Forterra, Inc.* | 12 | 117 | ||||||
Overseas Shipholding Group, Inc. — Class A* | 30 | 116 | ||||||
Northwest Pipe Co.* | 6 | 116 | ||||||
Safe Bulkers, Inc.* | 34 | 116 | ||||||
Dorian LPG Ltd.* | 15 | 115 | ||||||
Pure Cycle Corp.* | 12 | 114 | ||||||
Sparton Corp.* | 6 | 114 | ||||||
Eastern Co. | 4 | 112 | ||||||
Infrastructure and Energy Alternatives, Inc.* | 12 | 112 | ||||||
Fluidigm Corp.* | 18 | 107 | ||||||
Radiant Logistics, Inc.* | 26 | 102 | ||||||
Turtle Beach Corp.* | 5 | 102 | ||||||
IES Holdings, Inc.* | 6 | 100 | ||||||
Gencor Industries, Inc.* | 6 | 97 | ||||||
General Finance Corp.* | 7 | 95 | ||||||
PAM Transportation Services, Inc.* | 2 | 94 | ||||||
Genco Shipping & Trading Ltd.* | 6 | 93 | ||||||
Iteris, Inc.* | 17 | 82 | ||||||
LSB Industries, Inc.* | 15 | 79 | ||||||
Willis Lease Finance Corp.* | 2 | 63 | ||||||
Babcock & Wilcox Enterprises, Inc.* | 22 | 52 | ||||||
NL Industries, Inc.* | 6 | 52 | ||||||
Total Industrial | 205,488 | |||||||
Consumer, Cyclical - 2.1% | ||||||||
Five Below, Inc.* | 38 | 3,713 | ||||||
Texas Roadhouse, Inc. — Class A | 47 | 3,079 | ||||||
FirstCash, Inc. | 31 | 2,785 | ||||||
Planet Fitness, Inc. — Class A* | 61 | 2,680 | ||||||
American Eagle Outfitters, Inc. | 110 | 2,557 | ||||||
Deckers Outdoor Corp.* | 22 | 2,484 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 34 | 2,465 | ||||||
ILG, Inc. | 73 | 2,411 | ||||||
Churchill Downs, Inc. | 8 | 2,372 | ||||||
SiteOne Landscape Supply, Inc.* | 28 | 2,351 | ||||||
Signet Jewelers Ltd. | 41 | 2,286 | ||||||
Wolverine World Wide, Inc. | 63 | 2,190 | ||||||
Steven Madden Ltd. | 40 | 2,124 | ||||||
Dana, Inc. | 101 | 2,039 | ||||||
Cracker Barrel Old Country Store, Inc.1 | 13 | 2,031 | ||||||
Beacon Roofing Supply, Inc.* | 47 | 2,003 | ||||||
Penn National Gaming, Inc.* | 58 | 1,948 | ||||||
UniFirst Corp. | 11 | 1,946 | ||||||
Boyd Gaming Corp. | 56 | 1,941 | ||||||
Scientific Games Corp. — Class A* | 38 | 1,868 | ||||||
Bed Bath & Beyond, Inc. | 93 | 1,853 | ||||||
SkyWest, Inc. | 35 | 1,817 | ||||||
RH*,1 | 13 | 1,816 | ||||||
Eldorado Resorts, Inc.* | 45 | 1,759 | ||||||
Spirit Airlines, Inc.* | 47 | 1,708 | ||||||
Jack in the Box, Inc. | 20 | 1,702 | ||||||
Marriott Vacations Worldwide Corp. | 15 | 1,694 | ||||||
TRI Pointe Group, Inc.* | 103 | 1,685 | ||||||
Cheesecake Factory, Inc. | 30 | 1,652 | ||||||
Red Rock Resorts, Inc. — Class A | 48 | 1,608 | ||||||
KB Home | 59 | 1,607 | ||||||
Taylor Morrison Home Corp. — Class A* | 77 | 1,600 | ||||||
Cooper-Standard Holdings, Inc.* | 12 | 1,568 | ||||||
Tenneco, Inc. | 35 | 1,539 | ||||||
LCI Industries | 17 | 1,533 | ||||||
Lithia Motors, Inc. — Class A | 16 | 1,513 | ||||||
Mobile Mini, Inc. | 31 | 1,454 | ||||||
Tupperware Brands Corp. | 35 | 1,443 | ||||||
iRobot Corp.* | 19 | 1,440 | ||||||
Brinker International, Inc. | 30 | 1,428 | ||||||
Herman Miller, Inc. | 41 | 1,390 | ||||||
Navistar International Corp.* | 34 | 1,384 | ||||||
Sally Beauty Holdings, Inc.* | 85 | 1,363 | ||||||
PriceSmart, Inc. | 15 | 1,357 | ||||||
Dave & Buster’s Entertainment, Inc.* | 28 | 1,333 | ||||||
G-III Apparel Group Ltd.* | 30 | 1,332 | ||||||
Children’s Place, Inc. | 11 | 1,329 | ||||||
Dorman Products, Inc.* | 19 | 1,298 | ||||||
Roku, Inc.*,1 | 30 | 1,279 | ||||||
Anixter International, Inc.* | 20 | 1,266 | ||||||
Rite Aid Corp.* | 726 | 1,256 |
112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Allegiant Travel Co. — Class A | 9 | $ | 1,251 | |||||
Cavco Industries, Inc.* | 6 | 1,246 | ||||||
Hawaiian Holdings, Inc. | 34 | 1,222 | ||||||
Callaway Golf Co. | 64 | 1,214 | ||||||
DSW, Inc. — Class A | 47 | 1,214 | ||||||
Big Lots, Inc. | 29 | 1,212 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 77 | 1,198 | ||||||
Meritor, Inc.* | 58 | 1,193 | ||||||
Meritage Homes Corp.* | 27 | 1,187 | ||||||
Pinnacle Entertainment, Inc.* | 35 | 1,181 | ||||||
Bloomin’ Brands, Inc. | 58 | 1,166 | ||||||
Fox Factory Holding Corp.* | 25 | 1,164 | ||||||
Abercrombie & Fitch Co. — Class A | 47 | 1,151 | ||||||
Shake Shack, Inc. — Class A*,1 | 17 | 1,125 | ||||||
HNI Corp. | 30 | 1,116 | ||||||
Triton International Ltd. | 36 | 1,104 | ||||||
Wingstop, Inc. | 20 | 1,042 | ||||||
GameStop Corp. — Class A1 | 69 | 1,005 | ||||||
Caleres, Inc. | 29 | 997 | ||||||
Oxford Industries, Inc. | 12 | 996 | ||||||
BMC Stock Holdings, Inc.* | 47 | 980 | ||||||
La-Z-Boy, Inc. | 32 | 979 | ||||||
Office Depot, Inc. | 384 | 979 | ||||||
Asbury Automotive Group, Inc.* | 14 | 960 | ||||||
Gentherm, Inc.* | 24 | 943 | ||||||
World Fuel Services Corp. | 46 | 939 | ||||||
MDC Holdings, Inc. | 30 | 923 | ||||||
Cooper Tire & Rubber Co. | 35 | 921 | ||||||
Interface, Inc. — Class A | 40 | 918 | ||||||
Rush Enterprises, Inc. — Class A* | 21 | 911 | ||||||
Dine Brands Global, Inc. | 12 | 898 | ||||||
Group 1 Automotive, Inc. | 14 | 882 | ||||||
Cannae Holdings, Inc.* | 47 | 872 | ||||||
Tailored Brands, Inc. | 34 | 868 | ||||||
Sonic Corp.1 | 25 | 860 | ||||||
Guess?, Inc. | 40 | 856 | ||||||
Winnebago Industries, Inc. | 21 | 853 | ||||||
Installed Building Products, Inc.* | 15 | 848 | ||||||
IMAX Corp.* | 38 | 842 | ||||||
National Vision Holdings, Inc.* | 23 | 841 | ||||||
BJ’s Restaurants, Inc. | 14 | 840 | ||||||
Fossil Group, Inc.* | 31 | 833 | ||||||
SeaWorld Entertainment, Inc.* | 38 | 829 | ||||||
Crocs, Inc.* | 47 | 828 | ||||||
Papa John’s International, Inc. | 16 | 811 | ||||||
Liberty TripAdvisor Holdings, Inc. — Class A* | 50 | 805 | ||||||
H&E Equipment Services, Inc. | 21 | 790 | ||||||
Steelcase, Inc. — Class A | 58 | 783 | ||||||
International Speedway Corp. — Class A | 17 | 760 | ||||||
Dillard’s, Inc. — Class A1 | 8 | 756 | ||||||
LGI Homes, Inc.*,1 | 13 | 750 | ||||||
Wabash National Corp. | 39 | 728 | ||||||
Core-Mark Holding Company, Inc. | 32 | 726 | ||||||
Sleep Number Corp.* | 25 | 726 | ||||||
Standard Motor Products, Inc. | 15 | 725 | ||||||
Douglas Dynamics, Inc. | 15 | 720 | ||||||
Chico’s FAS, Inc. | 88 | 716 | ||||||
At Home Group, Inc.* | 18 | 705 | ||||||
Knoll, Inc. | 33 | 687 | ||||||
ScanSource, Inc.* | 17 | 685 | ||||||
Denny’s Corp.* | 43 | 685 | ||||||
Belmond Ltd. — Class A* | 61 | 680 | ||||||
PetMed Express, Inc.1 | 14 | 617 | ||||||
Modine Manufacturing Co.* | 33 | 602 | ||||||
GMS, Inc.* | 22 | 596 | ||||||
Vista Outdoor, Inc.* | 38 | 589 | ||||||
Malibu Boats, Inc. — Class A* | 14 | 587 | ||||||
Acushnet Holdings Corp. | 24 | 587 | ||||||
AMC Entertainment Holdings, Inc. ��� Class A1 | 36 | 572 | ||||||
Century Communities, Inc.* | 18 | 568 | ||||||
Ruth’s Hospitality Group, Inc. | 20 | 561 | ||||||
Camping World Holdings, Inc. — Class A1 | 22 | 550 | ||||||
Movado Group, Inc. | 11 | 531 | ||||||
Genesco, Inc.* | 13 | 516 | ||||||
Buckle, Inc.1 | 19 | 511 | ||||||
Freshpet, Inc.* | 18 | 494 | ||||||
J.C. Penney Company, Inc.*,1 | 209 | 489 | ||||||
William Lyon Homes — Class A* | 21 | 487 | ||||||
M/I Homes, Inc.* | 18 | 477 | ||||||
Hudson Ltd. — Class A* | 27 | 472 | ||||||
Express, Inc.* | 51 | 467 | ||||||
Ascena Retail Group, Inc.* | 117 | 466 | ||||||
Lumber Liquidators Holdings, Inc.* | 19 | 463 | ||||||
Fiesta Restaurant Group, Inc.* | 16 | 459 | ||||||
National CineMedia, Inc. | 53 | 445 | ||||||
Conn’s, Inc.* | 13 | 429 | ||||||
Red Robin Gourmet Burgers, Inc.* | 9 | 419 | ||||||
Ethan Allen Interiors, Inc. | 17 | 416 | ||||||
Wesco Aircraft Holdings, Inc.* | 37 | 416 | ||||||
Tower International, Inc. | 13 | 413 | ||||||
Kimball International, Inc. — Class B | 25 | 404 | ||||||
EZCORP, Inc. — Class A* | 33 | 398 | ||||||
Regis Corp.* | 24 | 397 | ||||||
Marcus Corp. | 12 | 390 | ||||||
MCBC Holdings, Inc.* | 13 | 376 | ||||||
Hooker Furniture Corp. | 8 | 375 | ||||||
Cato Corp. — Class A | 15 | 369 | ||||||
Titan International, Inc. | 34 | 365 | ||||||
Carrols Restaurant Group, Inc.* | 24 | 356 | ||||||
Monarch Casino & Resort, Inc.* | 8 | 353 | ||||||
Golden Entertainment, Inc.* | 13 | 351 | ||||||
Party City Holdco, Inc.* | 23 | 351 | ||||||
Sonic Automotive, Inc. — Class A | 17 | 350 | ||||||
Spartan Motors, Inc. | 23 | 347 | ||||||
Essendant, Inc. | 26 | 344 | ||||||
Willscot Corp.* | 23 | 340 | ||||||
REV Group, Inc. | 20 | 340 | ||||||
Chuy’s Holdings, Inc.* | 11 | 338 | ||||||
Zumiez, Inc.* | 13 | 326 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Beazer Homes USA, Inc.* | 22 | $ | 324 | |||||
Drive Shack, Inc.* | 42 | 324 | ||||||
Veritiv Corp.* | 8 | 319 | ||||||
Unifi, Inc.* | 10 | 317 | ||||||
Nautilus, Inc.* | 20 | 314 | ||||||
Del Taco Restaurants, Inc.* | 21 | 298 | ||||||
Hibbett Sports, Inc.* | 13 | 298 | ||||||
Universal Electronics, Inc.* | 9 | 297 | ||||||
Winmark Corp. | 2 | 297 | ||||||
Superior Industries International, Inc. | 16 | 287 | ||||||
MarineMax, Inc.* | 15 | 284 | ||||||
Haverty Furniture Companies, Inc. | 13 | 281 | ||||||
Systemax, Inc. | 8 | 275 | ||||||
Boot Barn Holdings, Inc.* | 13 | 270 | ||||||
PC Connection, Inc. | 8 | 266 | ||||||
Eros International plc* | 20 | 260 | ||||||
Barnes & Noble, Inc. | 40 | 254 | ||||||
Johnson Outdoors, Inc. — Class A | 3 | 254 | ||||||
America’s Car-Mart, Inc.* | 4 | 248 | ||||||
Citi Trends, Inc. | 9 | 247 | ||||||
Perry Ellis International, Inc.* | 9 | 244 | ||||||
Motorcar Parts of America, Inc.* | 13 | 243 | ||||||
Shoe Carnival, Inc. | 7 | 227 | ||||||
BlueLinx Holdings, Inc.* | 6 | 225 | ||||||
Blue Bird Corp.* | 10 | 224 | ||||||
Tile Shop Holdings, Inc. | 28 | 216 | ||||||
Daktronics, Inc. | 24 | 204 | ||||||
GNC Holdings, Inc. — Class A* | 57 | 201 | ||||||
Flexsteel Industries, Inc. | 5 | 200 | ||||||
Vera Bradley, Inc.* | 14 | 197 | ||||||
Potbelly Corp.* | 15 | 194 | ||||||
Bassett Furniture Industries, Inc. | 7 | 193 | ||||||
Reading International, Inc. — Class A* | 12 | 191 | ||||||
RCI Hospitality Holdings, Inc. | 6 | 190 | ||||||
Nathan’s Famous, Inc. | 2 | 188 | ||||||
PetIQ, Inc.* | 7 | 188 | ||||||
Titan Machinery, Inc.* | 12 | 187 | ||||||
Biglari Holdings, Inc. — Class B* | 1 | 183 | ||||||
Francesca’s Holdings Corp.* | 24 | 181 | ||||||
Miller Industries, Inc. | 7 | 179 | ||||||
Del Frisco’s Restaurant Group, Inc.* | 14 | 176 | ||||||
Skyline Champion Corp. | 5 | 175 | ||||||
Nexeo Solutions, Inc.* | 19 | 173 | ||||||
Bojangles’, Inc.* | 12 | 173 | ||||||
Lindblad Expeditions Holdings, Inc.* | 13 | 172 | ||||||
Culp, Inc. | 7 | 172 | ||||||
AV Homes, Inc.* | 8 | 171 | ||||||
PICO Holdings, Inc.* | 14 | 163 | ||||||
El Pollo Loco Holdings, Inc.* | 14 | 160 | ||||||
Green Brick Partners, Inc.* | 16 | 157 | ||||||
Foundation Building Materials, Inc.* | 10 | 154 | ||||||
Tilly’s, Inc. — Class A | 10 | 151 | ||||||
Rocky Brands, Inc. | 5 | 150 | ||||||
Century Casinos, Inc.* | 17 | 149 | ||||||
Barnes & Noble Education, Inc.* | 26 | 147 | ||||||
Weyco Group, Inc. | 4 | 146 | ||||||
Town Sports International Holdings, Inc.* | 10 | 145 | ||||||
Duluth Holdings, Inc. — Class B* | 6 | 143 | ||||||
Gaia, Inc.* | 7 | 142 | ||||||
Habit Restaurants, Inc. — Class A* | 14 | 140 | ||||||
Speedway Motorsports, Inc. | 8 | 139 | ||||||
Hovnanian Enterprises, Inc. — Class A* | 84 | 137 | ||||||
Rush Enterprises, Inc. — Class B* | 3 | 132 | ||||||
Pier 1 Imports, Inc. | 54 | 129 | ||||||
Red Lion Hotels Corp.* | 11 | 128 | ||||||
Sportsman’s Warehouse Holdings, Inc.* | 25 | 128 | ||||||
Zoe’s Kitchen, Inc.* | 13 | 127 | ||||||
Commercial Vehicle Group, Inc.* | 17 | 125 | ||||||
Superior Group of Companies, Inc. | 6 | 124 | ||||||
Bluegreen Vacations Corp. | 5 | 119 | ||||||
Kirkland’s, Inc.* | 10 | 116 | ||||||
Hamilton Beach Brands Holding Co. — Class A | 4 | 116 | ||||||
Clarus Corp.* | 14 | 115 | ||||||
Big 5 Sporting Goods Corp. | 14 | 106 | ||||||
New York & Company, Inc.* | 20 | 102 | ||||||
J Alexander’s Holdings, Inc.* | 9 | 100 | ||||||
Escalade, Inc. | 7 | 99 | ||||||
Noodles & Co.*,1 | 8 | 98 | ||||||
J. Jill, Inc.* | 10 | 93 | ||||||
Container Store Group, Inc.* | 11 | 92 | ||||||
Marine Products Corp. | 5 | 89 | ||||||
Lifetime Brands, Inc. | 7 | 89 | ||||||
Funko, Inc. — Class A* | 7 | 88 | ||||||
EnviroStar, Inc. | 2 | 81 | ||||||
New Home Company, Inc.* | 8 | 80 | ||||||
Castle Brands, Inc.* | 60 | 71 | ||||||
Sears Holdings Corp.* | 28 | 66 | ||||||
Empire Resorts, Inc.* | 2 | 40 | ||||||
CompX International, Inc. | 1 | 13 | ||||||
Total Consumer, Cyclical | 188,843 | |||||||
Technology - 1.5% | ||||||||
Blackbaud, Inc. | 33 | 3,381 | ||||||
Entegris, Inc. | 97 | 3,288 | ||||||
Medidata Solutions, Inc.* | 40 | 3,222 | ||||||
HubSpot, Inc.*,1 | 25 | 3,135 | ||||||
New Relic, Inc.* | 31 | 3,118 | ||||||
Silicon Laboratories, Inc.* | 30 | 2,988 | ||||||
Integrated Device Technology, Inc.* | 91 | 2,901 | ||||||
CACI International, Inc. — Class A* | 17 | 2,865 | ||||||
MAXIMUS, Inc. | 45 | 2,795 | ||||||
j2 Global, Inc. | 32 | 2,772 | ||||||
Lumentum Holdings, Inc.* | 43 | 2,490 | ||||||
Science Applications International Corp. | 29 | 2,347 | ||||||
Coupa Software, Inc.* | 37 | 2,303 | ||||||
Box, Inc. — Class A* | 88 | 2,199 | ||||||
Semtech Corp.* | 45 | 2,117 | ||||||
Perspecta, Inc. | 99 | 2,034 | ||||||
Verint Systems, Inc.* | 44 | 1,951 | ||||||
ACI Worldwide, Inc.* | 79 | 1,949 | ||||||
Qualys, Inc.* | 23 | 1,939 | ||||||
Cabot Microelectronics Corp. | 18 | 1,936 |
114 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
CommVault Systems, Inc.* | 27 | $ | 1,778 | |||||
Cornerstone OnDemand, Inc.* | 37 | 1,755 | ||||||
VeriFone Systems, Inc.* | 76 | 1,734 | ||||||
Envestnet, Inc.* | 31 | 1,703 | ||||||
NetScout Systems, Inc.* | 57 | 1,693 | ||||||
Cirrus Logic, Inc.* | 44 | 1,687 | ||||||
Acxiom Corp.* | 54 | 1,617 | ||||||
Brooks Automation, Inc. | 48 | 1,566 | ||||||
Convergys Corp. | 63 | 1,540 | ||||||
Allscripts Healthcare Solutions, Inc.* | 123 | 1,476 | ||||||
Power Integrations, Inc. | 20 | 1,461 | ||||||
Avaya Holdings Corp.* | 72 | 1,446 | ||||||
Varonis Systems, Inc.* | 19 | 1,415 | ||||||
Bottomline Technologies de, Inc.* | 28 | 1,395 | ||||||
Omnicell, Inc.* | 26 | 1,364 | ||||||
Five9, Inc.* | 39 | 1,348 | ||||||
ExlService Holdings, Inc.* | 23 | 1,302 | ||||||
Ebix, Inc. | 17 | 1,296 | ||||||
Mercury Systems, Inc.* | 32 | 1,218 | ||||||
Synaptics, Inc.* | 24 | 1,209 | ||||||
Progress Software Corp. | 31 | 1,203 | ||||||
Cotiviti Holdings, Inc.* | 27 | 1,192 | ||||||
Insight Enterprises, Inc.* | 24 | 1,174 | ||||||
MINDBODY, Inc. — Class A* | 29 | 1,119 | ||||||
TiVo Corp. | 83 | 1,116 | ||||||
Pitney Bowes, Inc. | 130 | 1,114 | ||||||
Electronics for Imaging, Inc.* | 31 | 1,009 | ||||||
3D Systems Corp.*,1 | 73 | 1,008 | ||||||
Evolent Health, Inc. — Class A* | 47 | 989 | ||||||
Cloudera, Inc.* | 71 | 968 | ||||||
ManTech International Corp. — Class A | 18 | 966 | ||||||
Blackline, Inc.* | 22 | 955 | ||||||
Inphi Corp.* | 29 | 946 | ||||||
CSG Systems International, Inc. | 23 | 940 | ||||||
Instructure, Inc.* | 22 | 936 | ||||||
Diodes, Inc.* | 27 | 931 | ||||||
Virtusa Corp.* | 19 | 925 | ||||||
Rambus, Inc.* | 73 | 915 | ||||||
MicroStrategy, Inc. — Class A* | 7 | 894 | ||||||
SPS Commerce, Inc.* | 12 | 882 | ||||||
Hortonworks, Inc.* | 47 | 856 | ||||||
Everbridge, Inc.* | 18 | 854 | ||||||
Ambarella, Inc.*,1 | 22 | 849 | ||||||
Apptio, Inc. — Class A* | 23 | 833 | ||||||
LivePerson, Inc.* | 39 | 823 | ||||||
Sykes Enterprises, Inc.* | 27 | 777 | ||||||
Syntel, Inc.* | 24 | 770 | ||||||
Tabula Rasa HealthCare, Inc.* | 12 | 766 | ||||||
Alteryx, Inc. — Class A* | 19 | 725 | ||||||
Quality Systems, Inc.* | 37 | 722 | ||||||
MACOM Technology Solutions Holdings, Inc.*,1 | 31 | 714 | ||||||
ForeScout Technologies, Inc.* | 20 | 685 | ||||||
Cray, Inc.* | 27 | 664 | ||||||
PROS Holdings, Inc.* | 18 | 658 | ||||||
MaxLinear, Inc. — Class A* | 42 | 655 | ||||||
FormFactor, Inc.* | 49 | 652 | ||||||
Stratasys Ltd.* | 34 | 651 | ||||||
Super Micro Computer, Inc.* | 27 | 638 | ||||||
SailPoint Technologies Holding, Inc.* | 26 | 638 | ||||||
MTS Systems Corp.1 | 12 | 632 | ||||||
Rudolph Technologies, Inc.* | 21 | 622 | ||||||
Appfolio, Inc. — Class A* | 10 | 611 | ||||||
Amkor Technology, Inc.* | 70 | 601 | ||||||
Diebold Nixdorf, Inc.1 | 50 | 597 | ||||||
Carbonite, Inc.* | 17 | 593 | ||||||
Monotype Imaging Holdings, Inc. | 29 | 589 | ||||||
Altair Engineering, Inc. — Class A* | 17 | 581 | ||||||
Vocera Communications, Inc.* | 19 | 568 | ||||||
Nanometrics, Inc.* | 16 | 567 | ||||||
Lattice Semiconductor Corp.* | 81 | 531 | ||||||
Xperi Corp. | 33 | 531 | ||||||
USA Technologies, Inc.* | 36 | 504 | ||||||
Xcerra Corp.* | 36 | 503 | ||||||
Inovalon Holdings, Inc. — Class A* | 48 | 476 | ||||||
Benefitfocus, Inc.* | 14 | 470 | ||||||
Cohu, Inc. | 19 | 466 | ||||||
Workiva, Inc.* | 19 | 464 | ||||||
Veeco Instruments, Inc.* | 32 | 456 | ||||||
CEVA, Inc.* | 15 | 453 | ||||||
Glu Mobile, Inc.* | 70 | 449 | ||||||
Unisys Corp.* | 34 | 439 | ||||||
Axcelis Technologies, Inc.* | 21 | 416 | ||||||
Ultra Clean Holdings, Inc.* | 25 | 415 | ||||||
OneSpan, Inc.* | 21 | 413 | ||||||
Cision Ltd.* | 27 | 404 | ||||||
Donnelley Financial Solutions, Inc.* | 23 | 400 | ||||||
Upland Software, Inc.* | 11 | 378 | ||||||
Engility Holdings, Inc.* | 12 | 368 | ||||||
Photronics, Inc.* | 45 | 359 | ||||||
QAD, Inc. — Class A | 7 | 351 | ||||||
Immersion Corp.* | 21 | 324 | ||||||
TTEC Holdings, Inc. | 9 | 311 | ||||||
PlayAGS, Inc.* | 11 | 298 | ||||||
Model N, Inc.* | 16 | 298 | ||||||
KeyW Holding Corp.* | 32 | 280 | ||||||
Impinj, Inc.* | 12 | 265 | ||||||
Computer Programs & Systems, Inc. | 8 | 263 | ||||||
American Software, Inc. — Class A | 18 | 262 | ||||||
Presidio, Inc.* | 20 | 262 | ||||||
InnerWorkings, Inc.* | 30 | 261 | ||||||
Digi International, Inc.* | 18 | 238 | ||||||
Ribbon Communications, Inc.* | 32 | 228 | ||||||
PDF Solutions, Inc.* | 19 | 228 | ||||||
Castlight Health, Inc. — Class B* | 53 | 225 | ||||||
Brightcove, Inc.* | 23 | 222 | ||||||
MobileIron, Inc.* | 49 | 218 | ||||||
Alpha & Omega Semiconductor Ltd.* | 14 | 199 | ||||||
Rosetta Stone, Inc.* | 12 | 192 | ||||||
SMART Global Holdings, Inc.* | 6 | 191 | ||||||
Digimarc Corp.* | 7 | 188 | ||||||
Mitek Systems, Inc.* | 21 | 187 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 115 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
AXT, Inc.* | 26 | $ | 183 | |||||
Aquantia Corp.* | 15 | 174 | ||||||
ConvergeOne Holdings, Inc. | 17 | 160 | ||||||
SendGrid, Inc.* | 6 | 159 | ||||||
Exela Technologies, Inc.* | 33 | 157 | ||||||
Carbon Black, Inc.* | 6 | 156 | ||||||
Simulations Plus, Inc. | 7 | 156 | ||||||
Agilysys, Inc.* | 10 | 155 | ||||||
pdvWireless, Inc.* | 6 | 150 | ||||||
Sigma Designs, Inc.* | 24 | 146 | ||||||
PAR Technology Corp.* | 8 | 141 | ||||||
Amber Road, Inc.* | 14 | 132 | ||||||
Kopin Corp.* | 42 | 120 | ||||||
Maxwell Technologies, Inc.* | 23 | 120 | ||||||
Vuzix Corp.*,1 | 16 | 119 | ||||||
Asure Software, Inc.* | 7 | 112 | ||||||
Telenav, Inc.* | 19 | 106 | ||||||
Adesto Technologies Corp.* | 12 | 101 | ||||||
Avid Technology, Inc.* | 19 | 99 | ||||||
Veritone, Inc.* | 5 | 84 | ||||||
Remark Holdings, Inc.* | 19 | 74 | ||||||
Park City Group, Inc.* | 9 | 71 | ||||||
ACM Research, Inc. — Class A* | 6 | 65 | ||||||
SecureWorks Corp. — Class A* | 5 | 62 | ||||||
Rimini Street, Inc.* | 7 | 46 | ||||||
Eastman Kodak Co.* | 11 | 42 | ||||||
NantHealth, Inc.* | 12 | 40 | ||||||
Fluent, Inc.* | 15 | 37 | ||||||
Majesco* | 4 | 25 | ||||||
Total Technology | 139,384 | |||||||
Communications - 1.0% | ||||||||
Etsy, Inc.* | 83 | 3,502 | ||||||
Stamps.com, Inc.* | 12 | 3,037 | ||||||
Ciena Corp.* | 99 | 2,625 | ||||||
ViaSat, Inc.*,1 | 38 | 2,497 | ||||||
New York Times Co. — Class A | 91 | 2,357 | ||||||
Nexstar Media Group, Inc. — Class A | 31 | 2,275 | ||||||
Yelp, Inc. — Class A* | 56 | 2,194 | ||||||
World Wrestling Entertainment, Inc. — Class A | 29 | 2,112 | ||||||
Shutterfly, Inc.* | 23 | 2,071 | ||||||
Trade Desk, Inc. — Class A* | 22 | 2,064 | ||||||
Chegg, Inc.* | 74 | 2,056 | ||||||
Vonage Holdings Corp.* | 153 | 1,972 | ||||||
Maxar Technologies Ltd.1 | 39 | 1,970 | ||||||
InterDigital, Inc. | 24 | 1,942 | ||||||
Plantronics, Inc. | 23 | 1,754 | ||||||
Liberty Expedia Holdings, Inc. — Class A* | 38 | 1,670 | ||||||
TEGNA, Inc. | 150 | 1,628 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 50 | 1,608 | ||||||
Viavi Solutions, Inc.* | 156 | 1,597 | ||||||
Cogent Communications Holdings, Inc. | 29 | 1,549 | ||||||
Liberty Latin America Ltd. — Class C* | 79 | 1,531 | ||||||
Q2 Holdings, Inc.* | 25 | 1,426 | ||||||
Cars.com, Inc.* | 50 | 1,419 | ||||||
Pandora Media, Inc.*,1 | 177 | 1,395 | ||||||
Finisar Corp.* | 77 | 1,386 | ||||||
Meredith Corp. | 27 | 1,377 | ||||||
NETGEAR, Inc.* | 22 | 1,375 | ||||||
Groupon, Inc. — Class A* | 305 | 1,311 | ||||||
8x8, Inc.* | 63 | 1,263 | ||||||
Blucora, Inc.* | 32 | 1,184 | ||||||
Cargurus, Inc.* | 34 | 1,181 | ||||||
Imperva, Inc.* | 24 | 1,158 | ||||||
Yext, Inc.* | 56 | 1,083 | ||||||
GTT Communications, Inc.* | 24 | 1,080 | ||||||
Iridium Communications, Inc.* | 66 | 1,063 | ||||||
Shenandoah Telecommunications Co. | 32 | 1,046 | ||||||
Oclaro, Inc.* | 113 | 1,009 | ||||||
Infinera Corp.* | 99 | 983 | ||||||
MSG Networks, Inc. — Class A* | 41 | 982 | ||||||
ePlus, Inc.* | 9 | 847 | ||||||
Scholastic Corp.1 | 19 | 842 | ||||||
Gray Television, Inc.* | 53 | 837 | ||||||
Carvana Co.*,1 | 20 | 832 | ||||||
Gannett Company, Inc. | 77 | 824 | ||||||
New Media Investment Group, Inc. | 41 | 758 | ||||||
Quotient Technology, Inc.* | 55 | 720 | ||||||
Rapid7, Inc.* | 25 | 705 | ||||||
Web.com Group, Inc.* | 27 | 698 | ||||||
NIC, Inc. | 43 | 669 | ||||||
Acacia Communications, Inc.*,1 | 19 | 661 | ||||||
Entercom Communications Corp. — Class A1 | 85 | 642 | ||||||
TrueCar, Inc.* | 63 | 636 | ||||||
Perficient, Inc.*,1 | 24 | 633 | ||||||
Boingo Wireless, Inc.* | 28 | 632 | ||||||
Liberty Media Corporation-Liberty Braves — Class C* | 24 | 621 | ||||||
Shutterstock, Inc.* | 13 | 617 | ||||||
Extreme Networks, Inc.* | 76 | 605 | ||||||
Liberty Latin America Ltd. — Class A* | 30 | 574 | ||||||
CalAmp Corp.* | 24 | 562 | ||||||
Consolidated Communications Holdings, Inc. | 45 | 556 | ||||||
Houghton Mifflin Harcourt Co.* | 71 | 543 | ||||||
ORBCOMM, Inc.* | 51 | 515 | ||||||
XO Group, Inc.* | 16 | 512 | ||||||
Comtech Telecommunications Corp. | 16 | 510 | ||||||
Endurance International Group Holdings, Inc.* | 48 | 478 | ||||||
ADTRAN, Inc. | 32 | 475 | ||||||
Overstock.com, Inc.*,1 | 14 | 471 | ||||||
Intelsat S.A.* | 28 | 467 | ||||||
HealthStream, Inc. | 17 | 464 | ||||||
Cincinnati Bell, Inc.* | 29 | 455 | ||||||
Tucows, Inc. — Class A* | 7 | 425 | ||||||
EW Scripps Co. — Class A | 31 | 415 | ||||||
TechTarget, Inc.* | 14 | 398 | ||||||
ATN International, Inc. | 7 | 369 | ||||||
Zscaler, Inc.*,1 | 10 | 357 | ||||||
Quantenna Communications, Inc.* | 23 | 357 |
116 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Loral Space & Communications, Inc.* | 9 | $ | 338 | |||||
Limelight Networks, Inc.* | 74 | 331 | ||||||
QuinStreet, Inc.* | 25 | 317 | ||||||
Frontier Communications Corp.1 | 54 | 290 | ||||||
ChannelAdvisor Corp.* | 17 | 239 | ||||||
NII Holdings, Inc.* | 61 | 238 | ||||||
Daily Journal Corp.* | 1 | 230 | ||||||
Central European Media Enterprises Ltd. — Class A* | 55 | 228 | ||||||
Calix, Inc.* | 29 | 226 | ||||||
1-800-Flowers.com, Inc. — Class A* | 18 | 226 | ||||||
Harmonic, Inc.* | 53 | 225 | ||||||
Entravision Communications Corp. — Class A | 44 | 220 | ||||||
tronc, Inc.* | 12 | 207 | ||||||
Meet Group, Inc.* | 46 | 206 | ||||||
A10 Networks, Inc.* | 33 | 206 | ||||||
Spok Holdings, Inc. | 13 | 196 | ||||||
Lands’ End, Inc.* | 7 | 195 | ||||||
Zix Corp.* | 36 | 194 | ||||||
Gogo, Inc.* | 38 | 185 | ||||||
eGain Corp.* | 12 | 181 | ||||||
Liberty Media Corporation-Liberty Braves — Class A* | 7 | 180 | ||||||
Preformed Line Products Co. | 2 | 178 | ||||||
MDC Partners, Inc. — Class A* | 38 | 175 | ||||||
WideOpenWest, Inc.* | 18 | 174 | ||||||
Hemisphere Media Group, Inc.* | 13 | 170 | ||||||
Ooma, Inc.* | 12 | 170 | ||||||
HC2 Holdings, Inc.* | 28 | 164 | ||||||
Casa Systems, Inc.* | 10 | 163 | ||||||
Internap Corp.* | 14 | 146 | ||||||
NeoPhotonics Corp.* | 23 | 143 | ||||||
KVH Industries, Inc.* | 10 | 134 | ||||||
Windstream Holdings, Inc.* | 25 | 132 | ||||||
Telaria, Inc.* | 30 | 121 | ||||||
Liquidity Services, Inc.* | 18 | 118 | ||||||
Hawaiian Telcom Holdco, Inc.* | 4 | 116 | ||||||
VirnetX Holding Corp.* | 34 | 116 | ||||||
Saga Communications, Inc. — Class A | 3 | 115 | ||||||
Clear Channel Outdoor Holdings, Inc. — Class A | 25 | 107 | ||||||
Leaf Group Ltd.* | 9 | 98 | ||||||
RigNet, Inc.* | 9 | 93 | ||||||
Aerohive Networks, Inc.* | 23 | 91 | ||||||
Clearfield, Inc.* | 8 | 88 | ||||||
Cardlytics, Inc.* | 4 | 87 | ||||||
Fusion Connect, Inc.* | 14 | 55 | ||||||
Travelzoo* | 3 | 51 | ||||||
Beasley Broadcast Group, Inc. — Class A | 3 | 34 | ||||||
Value Line, Inc. | 1 | 24 | ||||||
Total Communications | 95,335 | |||||||
Energy - 0.8% | ||||||||
Delek US Holdings, Inc. | 59 | 2,910 | ||||||
PDC Energy, Inc.* | 46 | 2,781 | ||||||
Peabody Energy Corp. | 56 | 2,547 | ||||||
McDermott International, Inc.* | 124 | 2,437 | ||||||
Oasis Petroleum, Inc.* | 186 | 2,412 | ||||||
Southwestern Energy Co.* | 407 | 2,157 | ||||||
Matador Resources Co.* | 68 | 2,043 | ||||||
SRC Energy, Inc.* | 167 | 1,840 | ||||||
Oceaneering International, Inc. | 68 | 1,731 | ||||||
Callon Petroleum Co.* | 152 | 1,633 | ||||||
Murphy USA, Inc.* | 21 | 1,560 | ||||||
Gulfport Energy Corp.* | 121 | 1,521 | ||||||
Carrizo Oil & Gas, Inc.* | 54 | 1,504 | ||||||
Denbury Resources, Inc.* | 304 | 1,462 | ||||||
Rowan Companies plc — Class A* | 88 | 1,427 | ||||||
California Resources Corp.* | 31 | 1,409 | ||||||
SemGroup Corp. — Class A | 55 | 1,397 | ||||||
Dril-Quip, Inc.* | 26 | 1,336 | ||||||
Oil States International, Inc.* | 41 | 1,316 | ||||||
MRC Global, Inc.* | 58 | 1,257 | ||||||
Ocean Rig UDW, Inc. — Class A* | 38 | 1,120 | ||||||
C&J Energy Services, Inc.* | 45 | 1,062 | ||||||
Archrock, Inc. | 88 | 1,056 | ||||||
Noble Corporation plc* | 166 | 1,051 | ||||||
Pattern Energy Group, Inc. — Class A | 56 | 1,050 | ||||||
Laredo Petroleum, Inc.* | 107 | 1,029 | ||||||
Arch Coal, Inc. — Class A | 13 | 1,020 | ||||||
Superior Energy Services, Inc.* | 104 | 1,013 | ||||||
NOW, Inc.* | 75 | 1,000 | ||||||
Unit Corp.* | 36 | 920 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 43 | 897 | ||||||
Sunrun, Inc.* | 66 | 868 | ||||||
Helix Energy Solutions Group, Inc.* | 96 | 800 | ||||||
ProPetro Holding Corp.* | 49 | 768 | ||||||
Penn Virginia Corp.* | 9 | 764 | ||||||
CONSOL Energy, Inc.* | 19 | 729 | ||||||
Warrior Met Coal, Inc. | 25 | 689 | ||||||
SEACOR Holdings, Inc.* | 12 | 687 | ||||||
Forum Energy Technologies, Inc.* | 54 | 667 | ||||||
Newpark Resources, Inc.* | 58 | 629 | ||||||
TerraForm Power, Inc. — Class A | 51 | 597 | ||||||
SunCoke Energy, Inc.* | 44 | 590 | ||||||
Jagged Peak Energy, Inc.*,1 | 44 | 573 | ||||||
Exterran Corp.* | 22 | 551 | ||||||
Keane Group, Inc.* | 38 | 519 | ||||||
Ring Energy, Inc.* | 40 | 505 | ||||||
Thermon Group Holdings, Inc.* | 22 | 503 | ||||||
Green Plains, Inc.1 | 27 | 494 | ||||||
Bonanza Creek Energy, Inc.* | 13 | 492 | ||||||
WildHorse Resource Development Corp.* | 19 | 482 | ||||||
Resolute Energy Corp.*,1 | 15 | 468 | ||||||
Tellurian, Inc.* | 56 | 466 | ||||||
W&T Offshore, Inc.* | 64 | 458 | ||||||
HighPoint Resources Corp.* | 75 | 456 | ||||||
Select Energy Services, Inc. — Class A* | 31 | 450 | ||||||
Alta Mesa Resources, Inc.* | 66 | 450 | ||||||
Renewable Energy Group, Inc.* | 25 | 446 | ||||||
Talos Energy, Inc.* | 13 | 418 | ||||||
CVR Energy, Inc.1 | 11 | 407 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 117 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Enphase Energy, Inc.* | 60 | $ | 404 | |||||
Halcon Resources Corp.* | 91 | 400 | ||||||
Frank’s International N.V. | 51 | 398 | ||||||
SandRidge Energy, Inc.* | 21 | 373 | ||||||
Par Pacific Holdings, Inc.* | 21 | 365 | ||||||
Clean Energy Fuels Corp.* | 94 | 347 | ||||||
TETRA Technologies, Inc.* | 76 | 338 | ||||||
Matrix Service Co.* | 18 | 330 | ||||||
REX American Resources Corp.* | 4 | 324 | ||||||
Bristow Group, Inc.* | 22 | 310 | ||||||
Pioneer Energy Services Corp.* | 52 | 304 | ||||||
Plug Power, Inc.* | 148 | 299 | ||||||
Abraxas Petroleum Corp.* | 103 | 298 | ||||||
TPI Composites, Inc.* | 10 | 292 | ||||||
Solaris Oilfield Infrastructure, Inc. — Class A* | 18 | 257 | ||||||
Ultra Petroleum Corp.* | 110 | 254 | ||||||
FutureFuel Corp. | 18 | 252 | ||||||
Northern Oil and Gas, Inc.* | 75 | 236 | ||||||
Sanchez Energy Corp.* | 48 | 217 | ||||||
FTS International, Inc.* | 15 | 214 | ||||||
Panhandle Oil and Gas, Inc. — Class A | 11 | 210 | ||||||
Trecora Resources* | 14 | 208 | ||||||
Mammoth Energy Services, Inc.* | 6 | 204 | ||||||
Nine Energy Service, Inc.* | 6 | 199 | ||||||
Natural Gas Services Group, Inc.* | 8 | 189 | ||||||
Liberty Oilfield Services, Inc. — Class A*,1 | 10 | 187 | ||||||
Energy XXI Gulf Coast, Inc.* | 20 | 177 | ||||||
Cloud Peak Energy, Inc.* | 49 | 171 | ||||||
ION Geophysical Corp.* | 7 | 170 | ||||||
Era Group, Inc.* | 13 | 168 | ||||||
Evolution Petroleum Corp. | 17 | 167 | ||||||
Lilis Energy, Inc.* | 29 | 151 | ||||||
Zion Oil & Gas, Inc.* | 37 | 150 | ||||||
SilverBow Resources, Inc.* | 5 | 144 | ||||||
Basic Energy Services, Inc.* | 12 | 133 | ||||||
CARBO Ceramics, Inc.* | 14 | 128 | ||||||
Isramco, Inc.* | 1 | 123 | ||||||
Flotek Industries, Inc.* | 37 | 120 | ||||||
Dawson Geophysical Co.* | 15 | 119 | ||||||
Earthstone Energy, Inc. — Class A* | 13 | 115 | ||||||
Key Energy Services, Inc.* | 7 | 114 | ||||||
Amyris, Inc.* | 17 | 109 | ||||||
NCS Multistage Holdings, Inc.* | 7 | 102 | ||||||
NACCO Industries, Inc. — Class A | 3 | 101 | ||||||
Gulfmark Offshore, Inc.* | 3 | 101 | ||||||
Independence Contract Drilling, Inc.* | 24 | 99 | ||||||
Midstates Petroleum Company, Inc.* | 7 | 95 | ||||||
Eclipse Resources Corp.* | 59 | 94 | ||||||
Vivint Solar, Inc.* | 19 | 94 | ||||||
PHI, Inc.* | 8 | 81 | ||||||
EP Energy Corp. — Class A* | 27 | 81 | ||||||
Hallador Energy Co. | 11 | 78 | ||||||
Goodrich Petroleum Corp.* | 6 | 74 | ||||||
FuelCell Energy, Inc.* | 56 | 74 | ||||||
Approach Resources, Inc.* | 29 | 71 | ||||||
Profire Energy, Inc.* | 16 | 54 | ||||||
Adams Resources & Energy, Inc. | 1 | 43 | ||||||
Ramaco Resources, Inc.* | 4 | 28 | ||||||
Rosehill Resources, Inc.* | 1 | 8 | ||||||
Total Energy | 74,770 | |||||||
Basic Materials - 0.6% | ||||||||
PolyOne Corp. | 55 | 2,377 | ||||||
Ingevity Corp.* | 29 | 2,345 | ||||||
Allegheny Technologies, Inc.* | 87 | 2,185 | ||||||
Balchem Corp. | 22 | 2,159 | ||||||
Sensient Technologies Corp. | 29 | 2,075 | ||||||
HB Fuller Co. | 35 | 1,879 | ||||||
Minerals Technologies, Inc. | 24 | 1,808 | ||||||
Cleveland-Cliffs, Inc.* | 205 | 1,728 | ||||||
Commercial Metals Co. | 80 | 1,689 | ||||||
Carpenter Technology Corp. | 32 | 1,682 | ||||||
Compass Minerals International, Inc. | 24 | 1,578 | ||||||
GCP Applied Technologies, Inc.* | 49 | 1,419 | ||||||
Quaker Chemical Corp. | 9 | 1,394 | ||||||
U.S. Silica Holdings, Inc. | 54 | 1,387 | ||||||
Innospec, Inc. | 17 | 1,301 | ||||||
Tronox Ltd. — Class A | 65 | 1,279 | ||||||
Ferro Corp.* | 58 | 1,209 | ||||||
Kaiser Aluminum Corp. | 11 | 1,145 | ||||||
Stepan Co. | 14 | 1,092 | ||||||
Tahoe Resources, Inc. | 215 | 1,058 | ||||||
Neenah, Inc. | 12 | 1,018 | ||||||
Kraton Corp.* | 21 | 969 | ||||||
Coeur Mining, Inc.* | 124 | 942 | ||||||
Hecla Mining Co. | 270 | 939 | ||||||
AK Steel Holding Corp.* | 215 | 933 | ||||||
Schweitzer-Mauduit International, Inc. | 21 | 918 | ||||||
A. Schulman, Inc. | 18 | 801 | ||||||
AdvanSix, Inc.* | 21 | 769 | ||||||
Materion Corp. | 14 | 758 | ||||||
KMG Chemicals, Inc. | 10 | 738 | ||||||
Innophos Holdings, Inc. | 13 | 619 | ||||||
Schnitzer Steel Industries, Inc. — Class A | 18 | 607 | ||||||
PH Glatfelter Co. | 30 | 588 | ||||||
CSW Industrials, Inc.* | 11 | 581 | ||||||
Rayonier Advanced Materials, Inc. | 33 | 564 | ||||||
Koppers Holdings, Inc.* | 14 | 537 | ||||||
Century Aluminum Co.* | 34 | 535 | ||||||
Verso Corp. — Class A* | 24 | 523 | ||||||
Codexis, Inc.* | 35 | 504 | ||||||
PQ Group Holdings, Inc.* | 25 | 450 | ||||||
American Vanguard Corp. | 19 | 436 | ||||||
Covia Holdings Corp.* | 21 | 390 | ||||||
Kronos Worldwide, Inc. | 15 | 338 | ||||||
OMNOVA Solutions, Inc.* | 30 | 312 | ||||||
Landec Corp.* | 18 | 268 | ||||||
Intrepid Potash, Inc.* | 64 | 263 | ||||||
Clearwater Paper Corp.* | 11 | 254 | ||||||
Gold Resource Corp. | 35 | 231 | ||||||
Klondex Mines Ltd.* | 93 | 215 |
118 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Hawkins, Inc. | 6 | $ | 212 | |||||
AgroFresh Solutions, Inc.* | 22 | 154 | ||||||
Uranium Energy Corp.* | 93 | 150 | ||||||
Oil-Dri Corporation of America | 3 | 127 | ||||||
Ryerson Holding Corp.* | 11 | 123 | ||||||
Universal Stainless & Alloy Products, Inc.* | 5 | 118 | ||||||
Energy Fuels, Inc.* | 51 | 116 | ||||||
Shiloh Industries, Inc.* | 10 | 87 | ||||||
United States Lime & Minerals, Inc. | 1 | 84 | ||||||
Valhi, Inc. | 17 | 81 | ||||||
Smart Sand, Inc.* | 15 | 80 | ||||||
Total Basic Materials | 51,121 | |||||||
Utilities - 0.5% | ||||||||
IDACORP, Inc. | 35 | 3,228 | ||||||
WGL Holdings, Inc. | 35 | 3,106 | ||||||
ALLETE, Inc. | 36 | 2,787 | ||||||
ONE Gas, Inc. | 36 | 2,691 | ||||||
New Jersey Resources Corp. | 60 | 2,685 | ||||||
Portland General Electric Co. | 62 | 2,651 | ||||||
Southwest Gas Holdings, Inc. | 33 | 2,517 | ||||||
Spire, Inc. | 34 | 2,402 | ||||||
Avista Corp. | 45 | 2,370 | ||||||
Black Hills Corp. | 37 | 2,265 | ||||||
PNM Resources, Inc. | 54 | 2,101 | ||||||
South Jersey Industries, Inc. | 59 | 1,975 | ||||||
NorthWestern Corp. | 34 | 1,947 | ||||||
El Paso Electric Co. | 28 | 1,655 | ||||||
MGE Energy, Inc. | 24 | 1,513 | ||||||
Ormat Technologies, Inc. | 27 | 1,436 | ||||||
American States Water Co. | 25 | 1,429 | ||||||
California Water Service Group | 33 | 1,285 | ||||||
Otter Tail Corp. | 27 | 1,285 | ||||||
Northwest Natural Gas Co. | 20 | 1,276 | ||||||
Chesapeake Utilities Corp. | 11 | 879 | ||||||
SJW Group | 12 | 795 | ||||||
NRG Yield, Inc. — Class C | 43 | 740 | ||||||
Connecticut Water Service, Inc. | 8 | 522 | ||||||
Unitil Corp. | 10 | 510 | ||||||
Middlesex Water Co. | 11 | 464 | ||||||
NRG Yield, Inc. — Class A | 24 | 409 | ||||||
York Water Co. | 9 | 286 | ||||||
Artesian Resources Corp. — Class A | 5 | 194 | ||||||
Atlantic Power Corp.* | 77 | 169 | ||||||
Ameresco, Inc. — Class A* | 12 | 144 | ||||||
Consolidated Water Company Ltd. | 10 | 129 | ||||||
RGC Resources, Inc. | 4 | 117 | ||||||
Spark Energy, Inc. — Class A | 8 | 78 | ||||||
Global Water Resources, Inc. | 7 | 66 | ||||||
Total Utilities | 48,106 | |||||||
Diversified - 0.0% | ||||||||
HRG Group, Inc.* | 83 | 1,087 | ||||||
Government - 0.0% | ||||||||
Banco Latinoamericano de Comercio Exterior S.A. — Class E | 21 | 517 | ||||||
Total Common Stocks | ||||||||
(Cost $1,144,031) | 1,508,746 | |||||||
WARRANTS†† - 0.0% | ||||||||
Imperial Holdings, Inc. | ||||||||
$10.75, 10/06/19* | 2 | — | ||||||
Total Warrants | ||||||||
(Cost $—) | — | |||||||
RIGHTS††† - 0.0% | ||||||||
Omthera Pharmaceuticals, Inc.*,2 | 37 | — | ||||||
Tobira Therapeutics, Inc.*,2 | 8 | — | ||||||
Dyax Corp.*,2 | 406 | — | ||||||
Nexstar Media Group, Inc.*,2 | 132 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
MUTUAL FUNDS† - 58.7% | ||||||||
Guggenheim Strategy Fund I3 | 124,212 | 3,110,258 | ||||||
Guggenheim Strategy Fund II3 | 90,556 | 2,263,004 | ||||||
Total Mutual Funds | ||||||||
(Cost $5,366,811) | 5,373,262 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 3.3% | ||||||||
U.S. Treasury Bills | ||||||||
1.87% due 09/20/184,5,6 | $ | 300,000 | 298,750 | |||||
1.72% due 07/12/185,6,10 | 4,000 | 3,998 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $302,721) | 302,748 | |||||||
REPURCHASE AGREEMENTS††,7 - 23.8% | ||||||||
JPMorgan Chase & Co. | 1,197,035 | 1,197,035 | ||||||
Barclays Capital | 587,800 | 587,800 | ||||||
Bank of America Merrill Lynch | 391,867 | 391,867 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $2,176,702) | 2,176,702 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 119 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
SECURITIES LENDING COLLATERAL†,8 - 0.4% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%9 | 37,998 | $ | 37,998 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $37,998) | 37,998 | |||||||
Total Investments - 102.7% | ||||||||
(Cost $9,028,263) | $ | 9,399,456 | ||||||
Other Assets & Liabilities, net - (2.7)% | (248,776 | ) | ||||||
Total Net Assets - 100.0% | $ | 9,150,680 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
Russell 2000 Index Mini Futures Contracts | 1 | Sep 2018 | $ | 82,335 | $ | (1,483 | ) |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||||
Barclays Bank plc | Russell 2000 Index | 1.98 | % | At Maturity | 07/31/18 | 2,759 | $ | 4,533,046 | $ | 7,214 | |||||||||||||||
BNP Paribas | Russell 2000 Index | 2.09 | % | At Maturity | 07/30/18 | 317 | 520,217 | 829 | |||||||||||||||||
Goldman Sachs International | Russell 2000 Index | 1.83 | % | At Maturity | 07/27/18 | 4,315 | 7,089,125 | (109,839 | ) | ||||||||||||||||
$ | 12,142,388 | $ | (101,796 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Security was fair valued by the Valuation Committee at June 30, 2018. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
3 | Affiliated issuer. |
4 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | Zero coupon rate security. |
7 | Repurchase Agreements — See Note 6. |
8 | Securities lending collateral — See Note 7. |
9 | Rate indicated is the 7 day yield as of June 30, 2018. |
10 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
RUSSELL 2000® 1.5x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 1,508,746 | $ | — | $ | — | $ | 1,508,746 | ||||||||
Warrants | — | —* | — | — | ||||||||||||
Rights | — | — | —* | — | ||||||||||||
Mutual Funds | 5,373,262 | — | — | 5,373,262 | ||||||||||||
U.S. Treasury Bills | — | 302,748 | — | 302,748 | ||||||||||||
Repurchase Agreements | — | 2,176,702 | — | 2,176,702 | ||||||||||||
Securities Lending Collateral | 37,998 | — | — | 37,998 | ||||||||||||
Equity Index Swap Agreements** | — | 8,043 | — | 8,043 | ||||||||||||
Total Assets | $ | 6,920,006 | $ | 2,487,493 | $ | — | $ | 9,407,499 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts** | $ | 1,483 | $ | — | $ | — | $ | 1,483 | ||||||||
Equity Index Swap Agreements** | — | 109,839 | — | 109,839 | ||||||||||||
Total Liabilities | $ | 1,483 | $ | 109,839 | $ | — | $ | 111,322 |
* | Includes securities with a market value of $0 |
** | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 2,584,967 | $ | 2,626,694 | $ | (2,100,000 | ) | $ | (3,212 | ) | $ | 1,809 | $ | 3,110,258 | 124,212 | $ | 26,600 | |||||||||||||||
Guggenheim Strategy Fund II | 2,536,218 | 228,599 | (500,000 | ) | 203 | (2,016 | ) | 2,263,004 | 90,556 | 28,615 | ||||||||||||||||||||||
$ | 5,121,185 | $ | 2,855,293 | $ | (2,600,000 | ) | $ | (3,009 | ) | $ | (207 | ) | $ | 5,373,262 | $ | 55,215 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
RUSSELL 2000® 1.5x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $36,893 of securities loaned (cost $1,484,750) | $ | 1,849,492 | ||
Investments in affiliated issuers, at value (cost $5,366,811) | 5,373,262 | |||
Repurchase agreements, at value (cost $2,176,702) | 2,176,702 | |||
Cash | 45 | |||
Segregated cash with broker | 1,711 | |||
Unrealized appreciation on swap agreements | 8,043 | |||
Receivables: | ||||
Dividends | 14,530 | |||
Fund shares sold | 12,159 | |||
Interest | 252 | |||
Securities lending income | 68 | |||
Total assets | 9,436,264 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 109,839 | |||
Payable for: | ||||
Fund shares redeemed | 88,062 | |||
Return of securities loaned | 37,998 | |||
Securities purchased | 13,540 | |||
Management fees | 7,526 | |||
Swap settlement | 2,366 | |||
Transfer agent and administrative fees | 2,091 | |||
Investor service fees | 2,091 | |||
Portfolio accounting fees | 836 | |||
Trustees’ fees* | 291 | |||
Variation margin | 200 | |||
Miscellaneous | 20,744 | |||
Total liabilities | 285,584 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 9,150,680 | ||
Net assets consist of: | ||||
Paid in capital | $ | 7,961,285 | ||
Undistributed net investment income | 4,446 | |||
Accumulated net realized gain on investments | 917,035 | |||
Net unrealized appreciation on investments | 267,914 | |||
Net assets | $ | 9,150,680 | ||
Capital shares outstanding | 111,902 | |||
Net asset value per share | $ | 81.77 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $4) | $ | 14,298 | ||
Dividends from securities of affiliated issuers | 55,215 | |||
Interest | 21,144 | |||
Income from securities lending, net | 823 | |||
Total investment income | 91,480 | |||
Expenses: | ||||
Management fees | 43,751 | |||
Investor service fees | 12,153 | |||
Transfer agent and administrative fees | 12,153 | |||
Professional fees | 9,516 | |||
Portfolio accounting fees | 4,861 | |||
Trustees’ fees* | 902 | |||
Custodian fees | 650 | |||
Line of credit fees | 11 | |||
Miscellaneous | 2,551 | |||
Total expenses | 86,548 | |||
Net investment income | 4,932 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (133,150 | ) | ||
Investments in affiliated issuers | (3,009 | ) | ||
Swap agreements | 680,372 | |||
Futures contracts | (7,402 | ) | ||
Net realized gain | 536,811 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (218 | ) | ||
Investments in affiliated issuers | (207 | ) | ||
Swap agreements | (50,681 | ) | ||
Futures contracts | 429 | |||
Net change in unrealized appreciation (depreciation) | (50,677 | ) | ||
Net realized and unrealized gain | 486,134 | |||
Net increase in net assets resulting from operations | $ | 491,066 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
122 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 1.5x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 4,932 | $ | (19,459 | ) | |||
Net realized gain on investments | 536,811 | 1,115,012 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (50,677 | ) | (76,931 | ) | ||||
Net increase in net assets resulting from operations | 491,066 | 1,018,622 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (283,182 | ) | |||||
Total distributions to shareholders | — | (283,182 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 28,358,378 | 64,226,025 | ||||||
Distributions reinvested | — | 283,182 | ||||||
Cost of shares redeemed | (28,768,330 | ) | (65,934,245 | ) | ||||
Net decrease from capital share transactions | (409,952 | ) | (1,425,038 | ) | ||||
Net increase (decrease) in net assets | 81,114 | (689,598 | ) | |||||
Net assets: | ||||||||
Beginning of period | 9,069,566 | 9,759,164 | ||||||
End of period | $ | 9,150,680 | $ | 9,069,566 | ||||
Undistributed net investment income/Accumulated net investment loss at end of period | $ | 4,446 | $ | (486 | ) | |||
Capital share activity: | ||||||||
Shares sold | 369,434 | 947,877 | ||||||
Shares issued from reinvestment of distributions | — | 4,237 | ||||||
Shares redeemed | (379,134 | ) | (982,925 | ) | ||||
Net decrease in shares | (9,700 | ) | (30,811 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
RUSSELL 2000® 1.5x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 74.58 | $ | 64.03 | $ | 49.10 | $ | 53.99 | $ | 51.77 | $ | 32.64 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .04 | (.14 | ) | (.38 | ) | (.46 | ) | (.48 | ) | (.34 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 7.15 | 12.71 | 15.31 | (4.43 | ) | 2.70 | 19.47 | |||||||||||||||||
Total from investment operations | 7.19 | 12.57 | 14.93 | (4.89 | ) | 2.22 | 19.13 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (2.02 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (2.02 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 81.77 | $ | 74.58 | $ | 64.03 | $ | 49.10 | $ | 53.99 | $ | 51.77 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 9.64 | % | 20.01 | % | 30.41 | % | (9.08 | %) | 4.29 | % | 58.56 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,151 | $ | 9,070 | $ | 9,759 | $ | 6,342 | $ | 11,085 | $ | 12,521 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.10 | % | (0.21 | %) | (0.74 | %) | (0.84 | %) | (0.94 | %) | (0.80 | %) | ||||||||||||
Total expensesd | 1.78 | % | 1.80 | % | 1.77 | % | 1.70 | % | 1.76 | % | 1.74 | % | ||||||||||||
Portfolio turnover rate | 143 | % | 234 | % | 1,198 | % | 406 | % | 624 | % | 352 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
INVERSE RUSSELL 2000® STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is the inverse (opposite) of the performance of the Russell 2000® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: May 3, 2004
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 27.2% |
Guggenheim Strategy Fund I | 11.7% |
Total | 38.9% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Inverse Russell 2000® Strategy Fund | (7.52%) | (15.35%) | (13.79%) | (16.25%) |
Russell 2000 Index | 7.66% | 17.57% | 15.43% | 12.93% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 125 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
INVERSE RUSSELL 2000® STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 38.9% | ||||||||
Guggenheim Strategy Fund II1 | 9,963 | $ | 248,969 | |||||
Guggenheim Strategy Fund I1 | 4,281 | 107,208 | ||||||
Total Mutual Funds | ||||||||
(Cost $353,250) | 356,177 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 20.3% | ||||||||
Fannie Mae2 | ||||||||
1.13% due 07/20/18 | $ | 70,000 | 69,973 | |||||
Federal Farm Credit Bank3 | ||||||||
2.04% (1 Month USD LIBOR - 0.05%) due 01/23/194 | 50,000 | 50,023 | ||||||
4.13% due 12/10/18 | 16,000 | 16,142 | ||||||
Total Federal Farm Credit Bank | 66,165 | |||||||
Freddie Mac2 | ||||||||
0.80% due 07/11/18 | 50,000 | 49,986 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $186,118) | 186,124 | |||||||
U.S. TREASURY BILLS†† - 11.6% | ||||||||
U.S. Treasury Bills | ||||||||
1.87% due 09/20/185,6,7 | 100,000 | 99,583 | ||||||
1.72% due 07/12/186,7,9 | 7,000 | 6,997 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $106,571) | 106,580 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 10.9% | ||||||||
Federal Home Loan Bank3 | ||||||||
1.85% due 07/06/186,7 | 100,000 | 99,974 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,974) | 99,974 | |||||||
REPURCHASE AGREEMENTS††,8 - 11.9% | ||||||||
JPMorgan Chase & Co. | 59,903 | 59,903 | ||||||
Barclays Capital | 29,415 | 29,415 | ||||||
Bank of America Merrill Lynch | 19,610 | 19,610 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $108,928) | 108,928 | |||||||
Total Investments - 93.6% | ||||||||
(Cost $854,841) | $ | 857,783 | ||||||
Other Assets & Liabilities, net - 6.4% | 58,188 | |||||||
Total Net Assets - 100.0% | $ | 915,971 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||||
Russell 2000 Index Mini Futures Contracts | 1 | Sep 2018 | $ | 82,335 | $ | 1,479 |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements Sold Short†† | |||||||||||||||||||||||||
Goldman Sachs International | Russell 2000 Index | (1.53 | %) | At Maturity | 07/27/18 | 242 | $ | 398,322 | $ | 4,827 | |||||||||||||||
BNP Paribas | Russell 2000 Index | (1.59 | %) | At Maturity | 07/30/18 | 43 | 70,682 | (114 | ) | ||||||||||||||||
Barclays Bank plc | Russell 2000 Index | (1.48 | %) | At Maturity | 07/31/18 | 222 | 364,057 | (579 | ) | ||||||||||||||||
$ | 833,061 | $ | 4,134 |
126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
INVERSE RUSSELL 2000® STRATEGY FUND |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | Variable rate security. Rate indicated is the rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
5 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. |
6 | Rate indicated is the effective yield at the time of purchase. |
7 | Zero coupon rate security. |
8 | Repurchase Agreements — See Note 6. |
9 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
LIBOR — London Interbank Offered Rate | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 356,177 | $ | — | $ | — | $ | 356,177 | ||||||||
Federal Agency Notes | — | 186,124 | — | 186,124 | ||||||||||||
U.S. Treasury Bills | — | 106,580 | — | 106,580 | ||||||||||||
Federal Agency Discount Notes | — | 99,974 | — | 99,974 | ||||||||||||
Repurchase Agreements | — | 108,928 | — | 108,928 | ||||||||||||
Equity Futures Contracts* | 1,479 | — | — | 1,479 | ||||||||||||
Equity Index Swap Agreements* | — | 4,827 | — | 4,827 | ||||||||||||
Total Assets | $ | 357,656 | $ | 506,433 | $ | — | $ | 864,089 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Index Swap Agreements* | $ | — | $ | 693 | $ | — | $ | 693 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 127 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
INVERSE RUSSELL 2000® STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 204,695 | $ | 362,590 | $ | (460,000 | ) | $ | 7 | $ | (84 | ) | $ | 107,208 | 4,281 | $ | 2,587 | |||||||||||||||
Guggenheim Strategy Fund II | 305,436 | 53,737 | (110,000 | ) | 542 | (746 | ) | 248,969 | 9,963 | 3,731 | ||||||||||||||||||||||
$ | 510,131 | $ | 416,327 | $ | (570,000 | ) | $ | 549 | $ | (830 | ) | $ | 356,177 | $ | 6,318 |
128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $392,663) | $ | 392,678 | ||
Investments in affiliated issuers, at value (cost $353,250) | 356,177 | |||
Repurchase agreements, at value (cost $108,928) | 108,928 | |||
Segregated cash with broker | 172 | |||
Unrealized appreciation on swap agreements | 4,827 | |||
Prepaid Expenses | 207 | |||
Receivables: | ||||
Fund shares sold | 55,820 | |||
Dividends | 1,272 | |||
Interest | 614 | |||
Variation margin | 200 | |||
Total assets | 920,895 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 693 | |||
Payable for: | ||||
Securities purchased | 1,301 | |||
Management fees | 1,206 | |||
Swap settlement | 607 | |||
Transfer agent and administrative fees | 335 | |||
Investor service fees | 335 | |||
Licensing fees | 256 | |||
Portfolio accounting fees | 134 | |||
Trustees’ fees* | 42 | |||
Fund shares redeemed | 15 | |||
Total liabilities | 4,924 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 915,971 | ||
Net assets consist of: | ||||
Paid in capital | $ | 7,630,247 | ||
Undistributed net investment income | 888 | |||
Accumulated net realized loss on investments | (6,723,719 | ) | ||
Net unrealized appreciation on investments | 8,555 | |||
Net assets | $ | 915,971 | ||
Capital shares outstanding | 16,120 | |||
Net asset value per share | $ | 56.82 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 6,318 | ||
Interest | 4,460 | |||
Total investment income | 10,778 | |||
Expenses: | ||||
Management fees | 4,983 | |||
Investor service fees | 1,384 | |||
Transfer agent and administrative fees | 1,384 | |||
Professional fees | 834 | |||
Portfolio accounting fees | 554 | |||
Trustees’ fees* | 106 | |||
Custodian fees | 70 | |||
Miscellaneous | 575 | |||
Total expenses | 9,890 | |||
Net investment income | 888 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 549 | |||
Swap agreements | (104,755 | ) | ||
Futures contracts | (12,485 | ) | ||
Net realized loss | (116,691 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 15 | |||
Investments in affiliated issuers | (830 | ) | ||
Swap agreements | (2,551 | ) | ||
Futures contracts | 2,145 | |||
Net change in unrealized appreciation (depreciation) | (1,221 | ) | ||
Net realized and unrealized loss | (117,912 | ) | ||
Net decrease in net assets resulting from operations | $ | (117,024 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 129 |
INVERSE RUSSELL 2000® STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 888 | $ | (26,976 | ) | |||
Net realized loss on investments | (116,691 | ) | (714,962 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (1,221 | ) | (107,182 | ) | ||||
Net decrease in net assets resulting from operations | (117,024 | ) | (849,120 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 10,176,999 | 59,108,576 | ||||||
Cost of shares redeemed | (10,067,399 | ) | (69,646,127 | ) | ||||
Net increase (decrease) from capital share transactions | 109,600 | (10,537,551 | ) | |||||
Net decrease in net assets | (7,424 | ) | (11,386,671 | ) | ||||
Net assets: | ||||||||
Beginning of period | 923,395 | 12,310,066 | ||||||
End of period | $ | 915,971 | $ | 923,395 | ||||
Undistributed net investment income at end of period | $ | 888 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 172,001 | 864,931 | ||||||
Shares redeemed | (170,909 | ) | (1,023,191 | ) | ||||
Net increase (decrease) in shares | 1,092 | (158,260 | ) |
130 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 61.44 | $ | 71.04 | $ | 89.12 | $ | 89.01 | $ | 97.61 | $ | 141.19 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .05 | (.51 | ) | (.35 | ) | (1.20 | ) | (1.44 | ) | (1.98 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.67 | ) | (9.09 | ) | (17.73 | ) | 1.31 | (7.16 | ) | (41.60 | ) | |||||||||||||
Total from investment operations | (4.62 | ) | (9.60 | ) | (18.08 | ) | .11 | (8.60 | ) | (43.58 | ) | |||||||||||||
Net asset value, end of period | $ | 56.82 | $ | 61.44 | $ | 71.04 | $ | 89.12 | $ | 89.01 | $ | 97.61 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (7.52 | %) | (13.49 | %) | (20.28 | %) | 0.10 | % | (8.85 | %) | (30.85 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 916 | $ | 923 | $ | 12,310 | $ | 6,949 | $ | 1,592 | $ | 2,066 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.16 | % | (0.74 | %) | (1.14 | %) | (1.39 | %) | (1.50 | %) | (1.69 | %) | ||||||||||||
Total expensesd | 1.79 | % | 1.80 | % | 1.75 | % | 1.71 | % | 1.76 | % | 1.74 | % | ||||||||||||
Portfolio turnover rate | 86 | % | 445 | % | 1,160 | % | 452 | % | 415 | % | — |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse Share Split — Per share amounts for periods presented through December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
f | Reverse Share Split — Per share amounts for periods presented through December 31, 2014 have been restated to reflect a 1:3 reverse share split effective January 24, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 131 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
DOW 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the performance of the Dow Jones Industrial Average® Index (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: May 3, 2004
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 33.0% |
Guggenheim Strategy Fund I | 28.0% |
Boeing Co. | 1.7% |
UnitedHealth Group, Inc. | 1.2% |
Goldman Sachs Group, Inc. | 1.1% |
3M Co. | 1.0% |
Home Depot, Inc. | 1.0% |
Apple, Inc. | 0.9% |
McDonald’s Corp. | 0.8% |
International Business Machines Corp. | 0.7% |
Top Ten Total | 69.4% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Dow 2x Strategy Fund | (4.97%) | 28.04% | 22.42% | 15.39% |
Dow Jones Industrial Average Index | (0.73%) | 16.31% | 12.96% | 10.78% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Dow Jones Industrial Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
132 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
DOW 2x STRATEGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 18.2% | ||||||||
Industrial - 4.0% | ||||||||
Boeing Co. | 747 | $ | 250,626 | |||||
3M Co. | 747 | 146,950 | ||||||
Caterpillar, Inc. | 747 | 101,346 | ||||||
United Technologies Corp. | 747 | 93,397 | ||||||
Total Industrial | 592,319 | |||||||
Financial - 3.5% | ||||||||
Goldman Sachs Group, Inc. | 747 | 164,766 | ||||||
Visa, Inc. — Class A | 747 | 98,940 | ||||||
Travelers Companies, Inc. | 747 | 91,388 | ||||||
JPMorgan Chase & Co. | 747 | 77,837 | ||||||
American Express Co. | 747 | 73,206 | ||||||
Total Financial | 506,137 | |||||||
Consumer, Non-cyclical - 3.0% | ||||||||
UnitedHealth Group, Inc. | 747 | 183,269 | ||||||
Johnson & Johnson | 747 | 90,641 | ||||||
Procter & Gamble Co. | 747 | 58,311 | ||||||
Merck & Company, Inc. | 747 | 45,343 | ||||||
Coca-Cola Co. | 747 | 32,763 | ||||||
Pfizer, Inc. | 747 | 27,101 | ||||||
Total Consumer, Non-cyclical | 437,428 | |||||||
Consumer, Cyclical - 2.9% | ||||||||
Home Depot, Inc. | 747 | 145,740 | ||||||
McDonald’s Corp. | 747 | 117,047 | ||||||
Walmart, Inc. | 747 | 63,981 | ||||||
NIKE, Inc. — Class B | 747 | 59,521 | ||||||
Walgreens Boots Alliance, Inc. | 747 | 44,831 | ||||||
Total Consumer, Cyclical | 431,120 | |||||||
Technology - 2.4% | ||||||||
Apple, Inc. | 747 | 138,277 | ||||||
International Business Machines Corp. | 747 | 104,356 | ||||||
Microsoft Corp. | 747 | 73,662 | ||||||
Intel Corp. | 747 | 37,133 | ||||||
Total Technology | 353,428 | |||||||
Energy - 1.1% | ||||||||
Chevron Corp. | 747 | 94,443 | ||||||
Exxon Mobil Corp. | 747 | 61,800 | ||||||
Total Energy | 156,243 | |||||||
Communications - 1.0% | ||||||||
Walt Disney Co. | 747 | 78,293 | ||||||
Verizon Communications, Inc. | 747 | 37,582 | ||||||
Cisco Systems, Inc. | 747 | 32,143 | ||||||
Total Communications | 148,018 | |||||||
Basic Materials - 0.3% | ||||||||
DowDuPont, Inc. | 747 | 49,242 | ||||||
Total Common Stocks | ||||||||
(Cost $2,065,596) | 2,673,935 | |||||||
MUTUAL FUNDS† - 61.0% | ||||||||
Guggenheim Strategy Fund II1 | 193,478 | 4,835,017 | ||||||
Guggenheim Strategy Fund I1 | 164,360 | 4,115,569 | ||||||
Total Mutual Funds | ||||||||
(Cost $8,934,304) | 8,950,586 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 8.6% | ||||||||
U.S. Treasury Bills | ||||||||
1.87% due 09/20/182,3,4 | $ | 1,100,000 | 1,095,417 | |||||
1.72% due 07/12/183,4,6 | 173,000 | 172,919 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,268,225) | 1,268,336 | |||||||
REPURCHASE AGREEMENTS††,5 - 4.9% | ||||||||
JPMorgan Chase & Co. | 392,281 | 392,281 | ||||||
Barclays Capital | 192,629 | 192,629 | ||||||
Bank of America Merrill Lynch | 128,419 | 128,419 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $713,329) | 713,329 | |||||||
Total Investments - 92.7% | ||||||||
(Cost $12,981,454) | $ | 13,606,186 | ||||||
Other Assets & Liabilities, net - 7.3% | 1,067,449 | |||||||
Total Net Assets - 100.0% | $ | 14,673,635 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 133 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
DOW 2x STRATEGY FUND |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
Dow Jones Industrial Average Index Mini Futures Contracts | 49 | Sep 2018 | $ | 5,943,700 | $ | (227,655 | ) |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||||||||
Barclays Bank plc | Dow Jones Industrial Average Index | 2.48 | % | At Maturity | 07/31/18 | 638 | $ | 15,490,931 | $ | 98,169 | |||||||||||||||
BNP Paribas | Dow Jones Industrial Average Index | 2.59 | % | At Maturity | 07/30/18 | 216 | 5,245,824 | 26,468 | |||||||||||||||||
$ | 20,736,755 | $ | 124,637 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Zero coupon rate security. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 2,673,935 | $ | — | $ | — | $ | 2,673,935 | ||||||||
Mutual Funds | 8,950,586 | — | — | 8,950,586 | ||||||||||||
U.S. Treasury Bills | — | 1,268,336 | — | 1,268,336 | ||||||||||||
Repurchase Agreements | — | 713,329 | — | 713,329 | ||||||||||||
Equity Index Swap Agreements* | — | 124,637 | — | 124,637 | �� | |||||||||||
Total Assets | $ | 11,624,521 | $ | 2,106,302 | $ | — | $ | 13,730,823 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts* | $ | 227,655 | $ | — | $ | — | $ | 227,655 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
134 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
DOW 2x STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 6,839,170 | $ | 6,078,065 | $ | (8,800,000 | ) | $ | 2,416 | $ | (4,082 | ) | $ | 4,115,569 | 164,360 | $ | 33,073 | |||||||||||||||
Guggenheim Strategy Fund II | 6,953,642 | 985,017 | (3,100,000 | ) | (4,742 | ) | 1,100 | 4,835,017 | 193,478 | 79,963 | ||||||||||||||||||||||
$ | 13,792,812 | $ | 7,063,082 | $ | (11,900,000 | ) | $ | (2,326 | ) | $ | (2,982 | ) | $ | 8,950,586 | $ | 113,036 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 135 |
DOW 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $3,333,821) | $ | 3,942,271 | ||
Investments in affiliated issuers, at value (cost $8,934,304) | 8,950,586 | |||
Repurchase agreements, at value (cost $713,329) | 713,329 | |||
Segregated cash with broker | 468,326 | |||
Unrealized appreciation on swap agreements | 124,637 | |||
Receivables: | ||||
Fund shares sold | 515,599 | |||
Dividends | 23,939 | |||
Variation margin | 9,800 | |||
Interest | 83 | |||
Total assets | 14,748,570 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 23,129 | |||
Management fees | 12,217 | |||
Transfer agent and administrative fees | 3,394 | |||
Investor service fees | 3,394 | |||
Swap settlement | 2,782 | |||
Portfolio accounting fees | 1,357 | |||
Fund shares redeemed | 1,135 | |||
Trustees’ fees* | 413 | |||
Miscellaneous | 27,114 | |||
Total liabilities | 74,935 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 14,673,635 | ||
Net assets consist of: | ||||
Paid in capital | $ | 12,070,603 | ||
Undistributed net investment income | 74,755 | |||
Accumulated net realized gain on investments | 2,006,563 | |||
Net unrealized appreciation on investments | 521,714 | |||
Net assets | $ | 14,673,635 | ||
Capital shares outstanding | 90,066 | |||
Net asset value per share | $ | 162.92 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 76,891 | ||
Dividends from securities of affiliated issuers | 113,036 | |||
Interest | 30,785 | |||
Total investment income | 220,712 | |||
Expenses: | ||||
Management fees | 90,203 | |||
Investor service fees | 25,056 | |||
Transfer agent and administrative fees | 25,056 | |||
Professional fees | 18,620 | |||
Portfolio accounting fees | 10,023 | |||
Trustees’ fees* | 2,592 | |||
Custodian fees | 1,437 | |||
Line of credit fees | 384 | |||
Miscellaneous | 4,244 | |||
Total expenses | 177,615 | |||
Net investment income | 43,097 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (493,201 | ) | ||
Investments in affiliated issuers | (2,326 | ) | ||
Swap agreements | (1,412,507 | ) | ||
Futures contracts | 436,402 | |||
Net realized loss | (1,471,632 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (15,015 | ) | ||
Investments in affiliated issuers | (2,982 | ) | ||
Swap agreements | 294,535 | |||
Futures contracts | (278,376 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,838 | ) | ||
Net realized and unrealized loss | (1,473,470 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,430,373 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
136 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DOW 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 43,097 | $ | 31,658 | ||||
Net realized gain (loss) on investments | (1,471,632 | ) | 8,121,706 | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,838 | ) | (420,249 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (1,430,373 | ) | 7,733,115 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (8,701 | ) | |||||
Net realized gains | — | (303,555 | ) | |||||
Total distributions to shareholders | — | (312,256 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 50,877,487 | 101,953,788 | ||||||
Distributions reinvested | — | 312,256 | ||||||
Cost of shares redeemed | (58,092,464 | ) | (102,877,419 | ) | ||||
Net decrease from capital share transactions | (7,214,977 | ) | (611,375 | ) | ||||
Net increase (decrease) in net assets | (8,645,350 | ) | 6,809,484 | |||||
Net assets: | ||||||||
Beginning of period | 23,318,985 | 16,509,501 | ||||||
End of period | $ | 14,673,635 | $ | 23,318,985 | ||||
Undistributed net investment income at end of period | $ | 74,755 | $ | 31,658 | ||||
Capital share activity: | ||||||||
Shares sold | 295,402 | 783,548 | ||||||
Shares issued from reinvestment of distributions | — | 2,407 | ||||||
Shares redeemed | (341,353 | ) | (799,910 | ) | ||||
Net decrease in shares | (45,951 | ) | (13,955 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 137 |
DOW 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 171.44 | $ | 110.08 | $ | 84.22 | $ | 112.60 | $ | 169.97 | $ | 104.48 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .37 | .25 | .06 | (.06 | ) | (.40 | ) | (.40 | ) | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (8.89 | ) | 63.43 | 25.80 | (2.89 | ) | 27.20 | 65.89 | ||||||||||||||||
Total from investment operations | (8.52 | ) | 63.68 | 25.86 | (2.95 | ) | 26.80 | 65.49 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.06 | ) | — | — | — | — | |||||||||||||||||
Net realized gains | — | (2.26 | ) | — | (25.43 | ) | (84.17 | ) | — | |||||||||||||||
Total distributions | — | (2.32 | ) | — | (25.43 | ) | (84.17 | ) | — | |||||||||||||||
Net asset value, end of period | $ | 162.92 | $ | 171.44 | $ | 110.08 | $ | 84.22 | $ | 112.60 | $ | 169.97 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (4.97 | %) | 58.51 | % | 30.72 | % | (4.22 | %) | 16.80 | % | 62.70 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,674 | $ | 23,319 | $ | 16,510 | $ | 21,905 | $ | 19,978 | $ | 23,727 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.43 | % | 0.18 | % | 0.07 | % | (0.06 | %) | (0.25 | %) | (0.29 | %) | ||||||||||||
Total expensesd | 1.77 | % | 1.81 | % | 1.77 | % | 1.72 | % | 1.76 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | 196 | % | 256 | % | 361 | % | 212 | % | 227 | % | 518 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
138 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
INVERSE DOW 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the Dow Jones Industrial AverageSM (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: May 3, 2004
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 23.0% |
Guggenheim Strategy Fund II | 21.0% |
Total | 44.0% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Inverse Dow 2x Strategy Fund | (1.24%) | (27.74%) | (25.16%) | (26.47%) |
Dow Jones Industrial Average Index | (0.73%) | 16.31% | 12.96% | 10.78% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Dow Jones Industrial Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
INVERSE DOW 2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 44.0% | ||||||||
Guggenheim Strategy Fund I1 | 21,526 | $ | 539,003 | |||||
Guggenheim Strategy Fund II1 | 19,635 | 490,666 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,029,501) | 1,029,669 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 12.6% | ||||||||
Freddie Mac2 | ||||||||
0.80% due 07/11/18 | $ | 100,000 | 99,972 | |||||
Federal Farm Credit Bank3 | ||||||||
0.75% due 07/18/18 | 100,000 | 99,950 | ||||||
Fannie Mae2 | ||||||||
1.13% due 12/14/18 | 95,000 | 94,571 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $294,601) | 294,493 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 8.6% | ||||||||
Federal Home Loan Bank3 | ||||||||
1.85% due 07/03/184,5 | 100,000 | 99,990 | ||||||
1.85% due 07/06/184,5 | 100,000 | 99,974 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $199,964) | 199,964 | |||||||
U.S. TREASURY BILLS†† - 0.2% | ||||||||
U.S. Treasury Bills | ||||||||
1.72% due 07/12/184,5,8 | 5,000 | 4,998 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $4,997) | 4,998 | |||||||
REPURCHASE AGREEMENTS††,6 - 37.2% | ||||||||
JPMorgan Chase & Co. | 478,337 | 478,337 | ||||||
Barclays Capital | 234,886 | 234,886 | ||||||
Bank of America Merrill Lynch | 156,591 | 156,591 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $869,814) | 869,814 | |||||||
Total Investments - 102.6% | ||||||||
(Cost $2,398,877) | $ | 2,398,938 | ||||||
Other Assets & Liabilities, net - (2.6)% | (59,655 | ) | ||||||
Total Net Assets - 100.0% | $ | 2,339,283 |
Total Return Swap Agreements | |||||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||||||||
OTC Equity Index Swap Agreements Sold Short†† | |||||||||||||||||||||||||
Barclays Bank plc | Dow Jones Industrial Average Index | (2.23 | %) | At Maturity | 07/31/18 | 11 | $ | 265,190 | $ | (1,680 | ) | ||||||||||||||
BNP Paribas | Dow Jones Industrial Average Index | (2.09 | %) | At Maturity | 07/30/18 | 181 | 4,393,671 | (27,244 | ) | ||||||||||||||||
$ | 4,658,861 | $ | (28,924 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
7 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2018. |
8 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
See Sector Classification in Other Information section. |
140 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
INVERSE DOW 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 1,029,669 | $ | — | $ | — | $ | 1,029,669 | ||||||||
Federal Agency Notes | — | 294,493 | — | 294,493 | ||||||||||||
Federal Agency Discount Notes | — | 199,964 | — | 199,964 | ||||||||||||
U.S. Treasury Bills | — | 4,998 | — | 4,998 | ||||||||||||
Repurchase Agreements | — | 869,814 | — | 869,814 | ||||||||||||
Total Assets | $ | 1,029,669 | $ | 1,369,269 | $ | — | $ | 2,398,938 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Index Swap Agreements* | $ | — | $ | 28,924 | $ | — | $ | 28,924 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 892,337 | $ | 1,256,659 | $ | (1,610,000 | ) | $ | (210 | ) | $ | 217 | $ | 539,003 | 21,526 | $ | 6,659 | |||||||||||||||
Guggenheim Strategy Fund II | 992,937 | 1,058,318 | (1,560,000 | ) | (822 | ) | 233 | 490,666 | 19,635 | 8,327 | ||||||||||||||||||||||
$ | 1,885,274 | $ | 2,314,977 | $ | (3,170,000 | ) | $ | (1,032 | ) | $ | 450 | $ | 1,029,669 | $ | 14,986 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 141 |
INVERSE DOW 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $499,562) | $ | 499,455 | ||
Investments in affiliated issuers, at value (cost $1,029,501) | 1,029,669 | |||
Repurchase agreements, at value (cost $869,814) | 869,814 | |||
Receivables: | ||||
Fund shares sold | 3,550 | |||
Dividends | 2,320 | |||
Interest | 868 | |||
Swap settlement | 284 | |||
Total assets | 2,405,960 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 28,924 | |||
Payable for: | ||||
Fund shares redeemed | 31,316 | |||
Securities purchased | 2,404 | |||
Management fees | 1,287 | |||
Transfer agent and administrative fees | 357 | |||
Investor service fees | 357 | |||
Portfolio accounting fees | 143 | |||
Trustees’ fees* | 41 | |||
Miscellaneous | 1,848 | |||
Total liabilities | 66,677 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 2,339,283 | ||
Net assets consist of: | ||||
Paid in capital | $ | 20,603,455 | ||
Undistributed net investment income | 2,610 | |||
Accumulated net realized loss on investments | (18,237,919 | ) | ||
Net unrealized depreciation on investments | (28,863 | ) | ||
Net assets | $ | 2,339,283 | ||
Capital shares outstanding | 58,596 | |||
Net asset value per share | $ | 39.92 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 14,986 | ||
Interest | 8,910 | |||
Total investment income | 23,896 | |||
Expenses: | ||||
Management fees | 10,832 | |||
Investor service fees | 3,009 | |||
Transfer agent and administrative fees | 3,009 | |||
Professional fees | 2,623 | |||
Portfolio accounting fees | 1,203 | |||
Trustees’ fees* | 264 | |||
Custodian fees | 173 | |||
Line of credit fees | 5 | |||
Miscellaneous | 168 | |||
Total expenses | 21,285 | |||
Net investment income | 2,610 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (1,032 | ) | ||
Swap agreements | (97,068 | ) | ||
Futures contracts | (113,513 | ) | ||
Net realized loss | (211,613 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (107 | ) | ||
Investments in affiliated issuers | 450 | |||
Swap agreements | (46,669 | ) | ||
Net change in unrealized appreciation (depreciation) | (46,326 | ) | ||
Net realized and unrealized loss | (257,939 | ) | ||
Net decrease in net assets resulting from operations | $ | (255,329 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
142 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE DOW 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 2,610 | $ | (22,925 | ) | |||
Net realized loss on investments | (211,613 | ) | (1,964,989 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (46,326 | ) | (32,320 | ) | ||||
Net decrease in net assets resulting from operations | (255,329 | ) | (2,020,234 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 19,321,344 | 88,085,116 | ||||||
Cost of shares redeemed | (20,425,709 | ) | (85,769,402 | ) | ||||
Net increase (decrease) from capital share transactions | (1,104,365 | ) | 2,315,714 | |||||
Net increase (decrease) in net assets | (1,359,694 | ) | 295,480 | |||||
Net assets: | ||||||||
Beginning of period | 3,698,977 | 3,403,497 | ||||||
End of period | $ | 2,339,283 | $ | 3,698,977 | ||||
Undistributed net investment income at end of period | $ | 2,610 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 499,231 | 1,601,378 | ||||||
Shares redeemed | (532,157 | ) | (1,561,252 | ) | ||||
Net increase (decrease) in shares | (32,926 | ) | 40,126 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 143 |
INVERSE DOW 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 40.42 | $ | 66.22 | $ | 94.11 | $ | 102.38 | $ | 130.67 | $ | 233.06 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .04 | (.32 | ) | (.25 | ) | (1.50 | ) | (1.80 | ) | (2.82 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.54 | ) | (25.48 | ) | (27.64 | ) | (6.77 | ) | (26.49 | ) | (99.57 | ) | ||||||||||||
Total from investment operations | (.50 | ) | (25.80 | ) | (27.89 | ) | (8.27 | ) | (28.29 | ) | (102.39 | ) | ||||||||||||
Net asset value, end of period | $ | 39.92 | $ | 40.42 | $ | 66.22 | $ | 94.11 | $ | 102.38 | $ | 130.67 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (1.24 | %) | (38.95 | %) | (29.65 | %) | (8.03 | %) | (21.77 | %) | (43.89 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,339 | $ | 3,699 | $ | 3,403 | $ | 5,057 | $ | 2,305 | $ | 2,577 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.22 | % | (0.58 | %) | (0.84 | %) | (1.52 | %) | (1.51 | %) | (1.67 | %) | ||||||||||||
Total expensesd | 1.77 | % | 1.81 | % | 1.77 | % | 1.72 | % | 1.77 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | 189 | % | 915 | % | 642 | % | 270 | % | 247 | % | — |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2014, have been restated to reflect a 1:10 reverse share split effective January 24, 2014. |
f | Reverse share split — Per share amounts for the periods presented through December 31, 2016, have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
144 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correspond, before fees and expenses, to a benchmark for U.S. Government securities on a daily basis. The Fund’s current benchmark is 120% of the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: August 18, 1997
The Fund invests principally in U.S. Government securities and in derivative investments such as futures contracts.
Largest Holdings (% of Total Net Assets) | |
U.S. Treasury Bond | 40.0% |
Guggenheim Strategy Fund II | 14.4% |
Guggenheim Strategy Fund I | 9.7% |
Total | 64.1% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Government Long Bond 1.2x Strategy Fund | (5.22%) | (2.29%) | 4.01% | 5.52% |
Daily Price Movement of Long Treasury Bond** | (4.87%) | (2.73%) | 1.46% | 2.27% |
Bloomberg Barclays U.S. Long Treasury Bond Index | (3.00%) | (0.13%) | 4.55% | 6.05% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Long Treasury Bond Index and the Daily Price Movement of Long Treasury Bond are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Does not reflect any interest. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 145 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 24.1% | ||||||||
Guggenheim Strategy Fund II1 | 69,759 | $ | 1,743,282 | |||||
Guggenheim Strategy Fund I1 | 46,754 | 1,170,726 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,909,186) | 2,914,008 | |||||||
Face | ||||||||
U.S. GOVERNMENT SECURITIES†† - 40.0% | ||||||||
U.S. Treasury Bond | ||||||||
3.13% due 05/15/48 | $ | 4,700,000 | 4,825,578 | |||||
Total U.S. Government Securities | ||||||||
(Cost $4,618,826) | 4,825,578 | |||||||
FEDERAL AGENCY NOTES†† - 8.3% | ||||||||
Fannie Mae2 | ||||||||
1.13% due 07/20/18 | 500,000 | 499,805 | ||||||
Federal Farm Credit Bank3 | ||||||||
0.75% due 07/18/18 | 500,000 | 499,751 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $999,545) | 999,556 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 4.8% | ||||||||
Freddie Mac2 | ||||||||
1.85% due 07/09/184,5 | 380,000 | 379,844 | ||||||
Federal Home Loan Bank3 | ||||||||
1.40% due 07/02/184,5 | 200,000 | 199,990 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $579,834) | 579,834 | |||||||
U.S. TREASURY BILLS†† - 0.9% | ||||||||
U.S. Treasury Bills | ||||||||
1.72% due 07/12/184,5,7 | 110,000 | 109,949 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $109,940) | 109,949 | |||||||
REPURCHASE AGREEMENTS††,6 - 20.2% | ||||||||
JPMorgan Chase & Co. | 1,343,382 | 1,343,382 | ||||||
Barclays Capital | 659,664 | 659,664 | ||||||
Bank of America Merrill Lynch | 439,776 | 439,776 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $2,442,822) | 2,442,822 | |||||||
Total Investments - 98.3% | ||||||||
(Cost $11,660,153) | $ | 11,871,747 | ||||||
Other Assets & Liabilities, net - 1.7% | 204,365 | |||||||
Total Net Assets - 100.0% | $ | 12,076,112 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 70 | Sep 2018 | $ | 11,154,063 | $ | 128,201 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
7 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
See Sector Classification in Other Information section. |
146 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 2,914,008 | $ | — | $ | — | $ | 2,914,008 | ||||||||
U.S. Government Securities | — | 4,825,578 | — | 4,825,578 | ||||||||||||
Federal Agency Notes | — | 999,556 | — | 999,556 | ||||||||||||
Federal Agency Discount Notes | — | 579,834 | — | 579,834 | ||||||||||||
U.S. Treasury Bills | — | 109,949 | — | 109,949 | ||||||||||||
Repurchase Agreements | — | 2,442,822 | — | 2,442,822 | ||||||||||||
Interest Rate Futures Contracts* | 128,201 | — | — | 128,201 | ||||||||||||
Total Assets | $ | 3,042,209 | $ | 8,957,739 | $ | — | $ | 11,999,948 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 1,606,986 | $ | 6,464,234 | $ | (6,900,000 | ) | $ | (1,714 | ) | $ | 1,220 | $ | 1,170,726 | 46,754 | $ | 14,069 | |||||||||||||||
Guggenheim Strategy Fund II | 2,512,682 | 6,730,939 | (7,500,000 | ) | 8,224 | (8,563 | ) | 1,743,282 | 69,759 | 20,658 | ||||||||||||||||||||||
$ | 4,119,668 | $ | 13,195,173 | $ | (14,400,000 | ) | $ | 6,510 | $ | (7,343 | ) | $ | 2,914,008 | $ | 34,727 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 147 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $6,308,145) | $ | 6,514,917 | ||
Investments in affiliated issuers, at value (cost $2,909,186) | 2,914,008 | |||
Repurchase agreements, at value (cost $2,442,822) | 2,442,822 | |||
Segregated cash with broker | 121,616 | |||
Receivables: | ||||
Securities sold | 1,026,719 | |||
Interest | 31,301 | |||
Fund shares sold | 24,594 | |||
Dividends | 4,294 | |||
Total assets | 13,080,271 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 952,701 | |||
Variation margin | 19,687 | |||
Securities purchased | 4,533 | |||
Management fees | 4,433 | |||
Investor service fees | 2,217 | |||
Transfer agent and administrative fees | 1,773 | |||
Portfolio accounting fees | 887 | |||
Trustees’ fees* | 303 | |||
Miscellaneous | 17,625 | |||
Total liabilities | 1,004,159 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 12,076,112 | ||
Net assets consist of: | ||||
Paid in capital | $ | 23,779,969 | ||
Distributions in excess of net investment income | (327 | ) | ||
Accumulated net realized loss on investments | (12,043,325 | ) | ||
Net unrealized appreciation on investments | 339,795 | |||
Net assets | $ | 12,076,112 | ||
Capital shares outstanding | 403,820 | |||
Net asset value per share | $ | 29.90 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 34,727 | ||
Interest | 140,551 | |||
Total investment income | 175,278 | |||
Expenses: | ||||
Management fees | 31,764 | |||
Investor service fees | 15,882 | |||
Transfer agent and administrative fees | 12,706 | |||
Professional fees | 9,874 | |||
Portfolio accounting fees | 6,353 | |||
Trustees’ fees* | 1,446 | |||
Custodian fees | 807 | |||
Line of credit fees | 658 | |||
Miscellaneous | 1,939 | |||
Total expenses | 81,429 | |||
Net investment income | 93,849 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (560,767 | ) | ||
Investments in affiliated issuers | 6,510 | |||
Futures contracts | (271,464 | ) | ||
Net realized loss | (825,721 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 154,256 | |||
Investments in affiliated issuers | (7,343 | ) | ||
Futures contracts | 22,709 | |||
Net change in unrealized appreciation (depreciation) | 169,622 | |||
Net realized and unrealized loss | (656,099 | ) | ||
Net decrease in net assets resulting from operations | $ | (562,250 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
148 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 93,849 | $ | 190,590 | ||||
Net realized gain (loss) on investments | (825,721 | ) | 997,554 | |||||
Net change in unrealized appreciation (depreciation) on investments | 169,622 | (231,937 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (562,250 | ) | 956,207 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | (94,321 | ) | (190,445 | ) | ||||
Total distributions to shareholders | (94,321 | ) | (190,445 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 152,572,722 | 305,778,361 | ||||||
Distributions reinvested | 94,321 | 190,445 | ||||||
Cost of shares redeemed | (151,551,726 | ) | (312,241,675 | ) | ||||
Net increase (decrease) from capital share transactions | 1,115,317 | (6,272,869 | ) | |||||
Net increase (decrease) in net assets | 458,746 | (5,507,107 | ) | |||||
Net assets: | ||||||||
Beginning of period | 11,617,366 | 17,124,473 | ||||||
End of period | $ | 12,076,112 | $ | 11,617,366 | ||||
(Distributions in excess of) undistributed net investment income at end of period | $ | (327 | ) | $ | 145 | |||
Capital share activity: | ||||||||
Shares sold | 5,170,581 | 9,987,452 | ||||||
Shares issued from reinvestment of distributions | 3,213 | 6,217 | ||||||
Shares redeemed | (5,135,462 | ) | (10,211,356 | ) | ||||
Net increase (decrease) in shares | 38,332 | (217,687 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 149 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 31.79 | $ | 29.36 | $ | 29.73 | $ | 45.27 | $ | 33.88 | $ | 45.61 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .22 | .38 | .31 | .32 | .29 | .33 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.89 | ) | 2.43 | (.38 | ) | (3.29 | ) | 11.38 | (8.52 | ) | ||||||||||||||
Total from investment operations | (1.67 | ) | 2.81 | (.07 | ) | (2.97 | ) | 11.67 | (8.19 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (.22 | ) | (.38 | ) | (.30 | ) | (.31 | ) | (.28 | ) | (.33 | ) | ||||||||||||
Net realized gains | — | — | — | (12.26 | ) | — | (3.21 | ) | ||||||||||||||||
Total distributions | (.22 | ) | (.38 | ) | (.30 | ) | (12.57 | ) | (.28 | ) | (3.54 | ) | ||||||||||||
Net asset value, end of period | $ | 29.90 | $ | 31.79 | $ | 29.36 | $ | 29.73 | $ | 45.27 | $ | 33.88 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (5.22 | %) | 9.64 | % | (0.33 | %) | (5.09 | %) | 34.67 | % | (18.25 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,076 | $ | 11,617 | $ | 17,124 | $ | 17,372 | $ | 28,003 | $ | 9,994 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.48 | % | 1.24 | % | 0.93 | % | 0.86 | % | 0.72 | % | 0.78 | % | ||||||||||||
Total expensesd | 1.28 | % | 1.30 | % | 1.25 | % | 1.21 | % | 1.26 | % | 1.24 | % | ||||||||||||
Portfolio turnover rate | 1,365 | % | 2,055 | % | 1,386 | % | 1,800 | % | 1,763 | % | 3,661 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2014, have been restated to reflect a 1:3 reverse share split effective January 24, 2014. |
150 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
OBJECTIVE: Seeks to provide total returns that inversely correlate, before fees and expenses, to the price movements of a benchmark for U.S. Treasury debt instruments or futures contracts on a specified debt instrument on a daily basis. The Fund’s current benchmark is the daily price movement of the Long Treasury Bond. The Long Treasury Bond is the U.S. Treasury bond with the longest maturity, which is currently 30 years. The price movement of the Long Treasury Bond is based on the daily price change of the most recently issued Long Treasury Bond. The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: May 1, 2003
The Fund invests principally in short sales and derivative investments such as futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 32.7% |
Guggenheim Strategy Fund I | 30.0% |
Top Ten Total | 62.7% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Inverse Government Long Bond Strategy Fund | 3.88% | 0.53% | (6.28%) | (9.25%) |
Daily Price Movement of Long Treasury Bond** | (4.87%) | (2.73%) | 1.46% | 2.27% |
Bloomberg Barclays U.S. Long Treasury Bond Index | (3.00%) | (0.13%) | 4.55% | 6.05% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Long Treasury Bond Index and the Daily Price Movement of Long Treasury Bond are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
** | Does not reflect interest. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 151 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 62.7% | ||||||||
Guggenheim Strategy Fund II1 | 48,222 | $ | 1,205,072 | |||||
Guggenheim Strategy Fund I1 | 44,058 | 1,103,222 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,299,023) | 2,308,294 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 10.9% | ||||||||
Federal Home Loan Bank2 | �� | |||||||
1.85% due 07/06/183,4 | $ | 300,000 | 299,923 | |||||
1.53% due 07/02/183,4 | 100,000 | 99,995 | ||||||
Total Federal Home Loan Bank | 399,918 | |||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $399,918) | 399,918 | |||||||
U.S. TREASURY BILLS†† - 0.6% | ||||||||
U.S. Treasury Bills | ||||||||
1.72% due 07/12/183,4,7 | 24,000 | 23,989 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $23,987) | 23,989 | |||||||
REPURCHASE AGREEMENTS†† - 116.1% | ||||||||
Individual Repurchase Agreements5 | ||||||||
Barclays Capital | 1,723,375 | 1,723,375 | ||||||
Mizuho Financial Group, Inc. | 1,521,015 | 1,521,015 | ||||||
Joint Repurchase Agreements6 | ||||||||
JPMorgan Chase & Co. | 566,010 | 566,010 | ||||||
Barclays Capital | 277,938 | 277,938 | ||||||
Bank of America Merrill Lynch | 185,292 | 185,292 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $4,273,630) | 4,273,630 | |||||||
Total Investments - 190.3% | ||||||||
(Cost $6,996,558) | $ | 7,005,831 | ||||||
U.S. GOVERNMENT SECURITIES SOLD SHORT†† - (89.3)% | ||||||||
U.S. Treasury Bond | ||||||||
3.13% due 05/15/48 | 3,200,000 | (3,285,500 | ) | |||||
Total U.S. Government Securities Sold Short | ||||||||
(Proceeds $3,191,871) | (3,285,500 | ) | ||||||
Other Assets & Liabilities, net - (1.0)% | (38,079 | ) | ||||||
Total Net Assets - 100.0% | $ | 3,682,252 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 3 | Sep 2018 | $ | 478,031 | $ | (8,626 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Zero coupon rate security. |
5 | All or a portion of this security is pledged as short security collateral at June 30, 2018. |
6 | Repurchase Agreements — See Note 6. |
7 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
See Sector Classification in Other Information section. |
152 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 2,308,294 | $ | — | $ | — | $ | 2,308,294 | ||||||||
Federal Agency Discount Notes | — | 399,918 | — | 399,918 | ||||||||||||
U.S. Treasury Bills | — | 23,989 | — | 23,989 | ||||||||||||
Repurchase Agreements | — | 4,273,630 | — | 4,273,630 | ||||||||||||
Total Assets | $ | 2,308,294 | $ | 4,697,537 | $ | — | $ | 7,005,831 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Government Securities | $ | — | $ | 3,285,500 | $ | — | $ | 3,285,500 | ||||||||
Interest Rate Futures Contracts* | 8,626 | — | — | 8,626 | ||||||||||||
Total Liabilities | $ | 8,626 | $ | 3,285,500 | $ | — | $ | 3,294,126 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 1,239,073 | $ | 645,036 | $ | (780,000 | ) | $ | (134 | ) | $ | (753 | ) | $ | 1,103,222 | 44,058 | $ | 14,930 | ||||||||||||||
Guggenheim Strategy Fund II | 1,538,100 | 1,513,664 | (1,845,000 | ) | (813 | ) | (879 | ) | 1,205,072 | 48,222 | 18,479 | |||||||||||||||||||||
$ | 2,777,173 | $ | 2,158,700 | $ | (2,625,000 | ) | $ | (947 | ) | $ | (1,632 | ) | $ | 2,308,294 | $ | 33,409 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 153 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $423,905) | $ | 423,907 | ||
Investments in affiliated issuers, at value (cost $2,299,023) | 2,308,294 | |||
Repurchase agreements, at value (cost $4,273,630) | 4,273,630 | |||
Receivables: | ||||
Dividends | 6,589 | |||
Variation margin | 844 | |||
Interest | 453 | |||
Total assets | 7,013,717 | |||
Liabilities: | ||||
Securities sold short, at value (proceeds $3,191,871) | 3,285,500 | |||
Payable for: | ||||
Fund shares redeemed | 14,915 | |||
Securities purchased | 6,776 | |||
Management fees | 3,128 | |||
Transfer agent and administrative fees | 869 | |||
Investor service fees | 869 | |||
Portfolio accounting fees | 347 | |||
Trustees’ fees* | 151 | |||
Miscellaneous | 18,910 | |||
Total liabilities | 3,331,465 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 3,682,252 | ||
Net assets consist of: | ||||
Paid in capital | $ | 10,777,795 | ||
Accumulated net investment loss | (31,497 | ) | ||
Accumulated net realized loss on investments | (6,971,064 | ) | ||
Net unrealized depreciation on investments | (92,982 | ) | ||
Net assets | $ | 3,682,252 | ||
Capital shares outstanding | 37,408 | |||
Net asset value per share | $ | 98.43 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 33,409 | ||
Interest | 45,448 | |||
Total investment income | 78,857 | |||
Expenses: | ||||
Management fees | 22,824 | |||
Investor service fees | 6,340 | |||
Transfer agent and administrative fees | 6,340 | |||
Short interest expense | 66,540 | |||
Portfolio accounting fees | 2,536 | |||
Trustees’ fees* | 491 | |||
Custodian fees | 323 | |||
Miscellaneous | 4,960 | |||
Total expenses | 110,354 | |||
Net investment loss | (31,497 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 15 | |||
Investments in affiliated issuers | (947 | ) | ||
Futures contracts | 42,551 | |||
Securities sold short | 255,867 | |||
Net realized gain | 297,486 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 3 | |||
Investments in affiliated issuers | (1,632 | ) | ||
Securities sold short | (83,523 | ) | ||
Futures contracts | (1,741 | ) | ||
Net change in unrealized appreciation (depreciation) | (86,893 | ) | ||
Net realized and unrealized gain | 210,593 | |||
Net increase in net assets resulting from operations | $ | 179,096 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
154 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (31,497 | ) | $ | (100,248 | ) | ||
Net realized gain (loss) on investments | 297,486 | (379,988 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (86,893 | ) | (89,386 | ) | ||||
Net increase (decrease) in net assets resulting from operations | 179,096 | (569,622 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 35,697,620 | 188,057,984 | ||||||
Cost of shares redeemed | (36,870,605 | ) | (186,633,374 | ) | ||||
Net increase (decrease) from capital share transactions | (1,172,985 | ) | 1,424,610 | |||||
Net increase (decrease) in net assets | (993,889 | ) | 854,988 | |||||
Net assets: | ||||||||
Beginning of period | 4,676,141 | 3,821,153 | ||||||
End of period | $ | 3,682,252 | $ | 4,676,141 | ||||
Accumulated net investment loss at end of period | $ | (31,497 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 356,609 | 1,913,948 | ||||||
Shares redeemed | (368,556 | ) | (1,901,334 | ) | ||||
Net increase (decrease) in shares | (11,947 | ) | 12,614 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 155 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 94.75 | $ | 104.00 | $ | 107.17 | $ | 108.46 | $ | 159.80 | $ | 138.61 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.62 | ) | (1.88 | ) | (.87 | ) | (3.63 | ) | (5.40 | ) | (5.40 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.30 | (7.37 | ) | (2.30 | ) | 2.34 | (33.58 | ) | 26.59 | |||||||||||||||
Total from investment operations | 3.68 | (9.25 | ) | (3.17 | ) | (1.29 | ) | (38.98 | ) | 21.19 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | — | — | (12.36 | ) | — | |||||||||||||||||
Total distributions | — | — | — | — | (12.36 | ) | — | |||||||||||||||||
Net asset value, end of period | $ | 98.43 | $ | 94.75 | $ | 104.00 | $ | 107.17 | $ | 108.46 | $ | 159.80 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 3.88 | % | (8.89 | %) | (2.94 | %) | (1.22 | %) | (24.91 | %) | 15.26 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,682 | $ | 4,676 | $ | 3,821 | $ | 4,740 | $ | 6,595 | $ | 19,598 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.24 | %) | (1.89 | %) | (2.59 | %) | (3.39 | %) | (3.90 | %) | (3.56 | %) | ||||||||||||
Total expensesd,g | 4.35 | % | 4.00 | % | 3.65 | % | 3.66 | % | 4.10 | % | 3.59 | % | ||||||||||||
Portfolio turnover rate | 662 | % | 2,300 | % | 1,384 | % | 1,305 | % | 2,537 | % | 5,999 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2014, have been restated to reflect a 1:5 reverse share split effective January 24, 2014. |
f | Reverse share split — Per share amounts for the periods presented through December 31, 2016, have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
g | Total expenses may include interest expense related to short sales. Excluding interest expense, the net expense ratios for the periods presented would be: |
2018 | 2017 | 2016 | 2015 | 2014 | 2013 | ||
1.73% | 1.75% | 1.72% | 1.65% | 1.71% | 1.69% |
156 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
HIGH YIELD STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of the high yield bond market.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: October 15, 2014
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 29.3% |
Guggenheim Strategy Fund I | 26.9% |
iShares iBoxx $ High Yield Corporate Bond ETF | 0.1% |
SPDR Bloomberg Barclays High Yield Bond ETF | 0.0%* |
Total | 56.3% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns**,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | Since |
High Yield Strategy Fund | (1.14%) | 1.58% | 4.77% |
Bloomberg Barclays U.S. Corporate High Yield Index | 0.16% | 2.62% | 5.17% |
S&P 500 Index | 2.65% | 14.37% | 13.06% |
* | Less than 0.01%. |
** | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Bloomberg Barclays U.S. Corporate High Yield Index and the S&P 500 Index are unmanaged indicies and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 157 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
HIGH YIELD STRATEGY FUND |
| Shares | Value | ||||||
EXCHANGE-TRADED FUNDS† - 0.1% | ||||||||
iShares iBoxx $ High Yield Corporate Bond ETF1 | 20 | $ | 1,702 | |||||
SPDR Bloomberg Barclays High Yield Bond ETF1 | 47 | 1,667 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $3,012) | 3,369 | |||||||
MUTUAL FUNDS† - 56.2% | ||||||||
Guggenheim Strategy Fund II2 | 53,815 | 1,344,832 | ||||||
Guggenheim Strategy Fund I2 | 49,370 | 1,236,220 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,557,045) | 2,581,052 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 10.9% | ||||||||
Federal Farm Credit Bank3 | ||||||||
2.04% (1 Month USD LIBOR -0.05%) due 01/23/194 | $ | 150,000 | 150,068 | |||||
0.75% due 07/18/18 | 100,000 | 99,951 | ||||||
Total Federal Farm Credit Bank | 250,019 | |||||||
Freddie Mac5 | ||||||||
0.80% due 07/11/18 | 250,000 | 249,931 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $499,930) | 499,950 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 8.0% | ||||||||
Federal Home Loan Bank3 | ||||||||
1.85% due 07/06/186,7 | 200,000 | 199,949 | ||||||
1.86% due 07/09/186,7 | 167,000 | 166,931 | ||||||
Total Federal Home Loan Bank | 366,880 | |||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $366,880) | 366,880 | |||||||
U.S. TREASURY BILLS†† - 0.6% | ||||||||
U.S. Treasury Bills | ||||||||
1.72% due 07/12/186,7,12 | 27,000 | 26,987 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $26,985) | 26,987 | |||||||
REPURCHASE AGREEMENTS††,8 - 17.6% | ||||||||
JPMorgan Chase & Co. | 444,368 | 444,368 | ||||||
Barclays Capital | 218,205 | 218,205 | ||||||
Bank of America Merrill Lynch | 145,470 | 145,470 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $808,043) | 808,043 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,9 - 0.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%10 | 2,583 | 2,583 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $2,583) | 2,583 | |||||||
Total Investments - 93.5% | ||||||||
(Cost $4,264,478) | $ | 4,288,864 | ||||||
Other Assets & Liabilities, net - 6.5% | 300,301 | |||||||
Total Net Assets - 100.0% | $ | 4,589,165 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||||
U.S. Treasury 5 Year Note Futures Contracts | 34 | Sep 2018 | $ | 3,862,453 | $ | 6,497 |
Centrally Cleared Credit Default Swap Agreements Protection Sold††
| |||||||||||||||||||||||||||
Counterparty | Exchange | Index | Protection | Payment | Maturity | Notional | Value | Upfront | Unrealized | ||||||||||||||||||
Barclays Bank plc | ICE | CDX.NA.HY.30 Index | 5.00 | % | At Maturity | 06/20/23 | $ | 4,050,000 | $ | 231,660 | $ | 238,447 | $ | (6,787 | ) |
158 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
HIGH YIELD STRATEGY FUND |
Total Return Swap Agreements | ||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | |||||||||||||||
OTC Credit Index Swap Agreements††,11 | ||||||||||||||||||||||
Goldman Sachs International | iShares iBoxx High Yield Corporate Bond | 1.60 | % | At Maturity | 07/27/18 | 4,190 | $ | 356,485 | $ | (1,924 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Affiliated issuer. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | Variable rate security. Rate indicated is the rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
5 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
6 | Rate indicated is the effective yield at the time of purchase. |
7 | Zero coupon rate security. |
8 | Repurchase Agreements — See Note 6. |
9 | Securities lending collateral — See Note 7. |
10 | Rate indicated is the 7 day yield as of June 30, 2018. |
11 | Total Return based on iShares iBoxx $ High Yield Corporate Bond ETF +/- financing at variable rate. Rate indicated is the rate effective at June 30, 2018. |
12 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
CDX.NA.HY.30 Index — Credit Default Swap North American High Yield Series 30 Index | |
ICE — Intercontinental Exchange | |
LIBOR — London Interbank Offered Rate | |
USD — United States Dollar | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 159 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
HIGH YIELD STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange-Traded Funds | $ | 3,369 | $ | — | $ | — | $ | 3,369 | ||||||||
Mutual Funds | 2,581,052 | — | — | 2,581,052 | ||||||||||||
Federal Agency Notes | — | 499,950 | — | 499,950 | ||||||||||||
Federal Agency Discount Notes | — | 366,880 | — | 366,880 | ||||||||||||
U.S. Treasury Bills | — | 26,987 | — | 26,987 | ||||||||||||
Repurchase Agreements | — | 808,043 | — | 808,043 | ||||||||||||
Securities Lending Collateral | 2,583 | — | — | 2,583 | ||||||||||||
Interest Rate Futures Contracts* | 6,497 | — | — | 6,497 | ||||||||||||
Total Assets | $ | 2,593,501 | $ | 1,701,860 | $ | — | $ | 4,295,361 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Default Swap Agreements* | $ | — | $ | 6,787 | $ | — | $ | 6,787 | ||||||||
Credit Index Swap Agreements* | — | 1,924 | — | 1,924 | ||||||||||||
Total Liabilities | $ | — | $ | 8,711 | $ | — | $ | 8,711 |
* | This derivative is reported as unrealized gain/loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 1,720,466 | $ | 616,261 | $ | (1,100,000 | ) | $ | 4,766 | $ | (5,273 | ) | $ | 1,236,220 | 49,370 | $ | 16,191 | |||||||||||||||
Guggenheim Strategy Fund II | 2,125,460 | 20,291 | (800,000 | ) | 3,273 | (4,192 | ) | 1,344,832 | 53,815 | 20,063 | ||||||||||||||||||||||
$ | 3,845,926 | $ | 636,552 | $ | (1,900,000 | ) | $ | 8,039 | $ | (9,465 | ) | $ | 2,581,052 | $ | 36,254 |
160 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $2,518 of securities loaned (cost $899,390) | $ | 899,769 | ||
Investments in affiliated issuers, at value (cost $2,557,045) | 2,581,052 | |||
Repurchase agreements, at value (cost $808,043) | 808,043 | |||
Unamortized upfront premiums paid on credit default swaps | 238,447 | |||
Receivables: | ||||
Fund shares sold | 116,526 | |||
Interest | 7,633 | |||
Dividends | 6,955 | |||
Variation margin on credit default swap agreements | 131 | |||
Securities lending income | 25 | |||
Total assets | 4,658,581 | |||
Liabilities: | ||||
Segregated cash due to broker | 41,840 | |||
Unrealized depreciation on swap agreements | 1,924 | |||
Payable for: | ||||
Securities purchased | 7,164 | |||
Management fees | 2,836 | |||
Return of securities loaned | 2,583 | |||
Variation margin on futures contracts | 1,328 | |||
Transfer agent and administrative fees | 945 | |||
Investor service fees | 945 | |||
Portfolio accounting fees | 378 | |||
Trustees’ fees* | 132 | |||
Fund shares redeemed | 64 | |||
Swap settlement | 35 | |||
Miscellaneous | 9,242 | |||
Total liabilities | 69,416 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 4,589,165 | ||
Net assets consist of: | ||||
Paid in capital | $ | 4,316,486 | ||
Undistributed net investment income | 313,372 | |||
Accumulated net realized loss on investments | (62,865 | ) | ||
Net unrealized appreciation on investments | 22,172 | |||
Net assets | $ | 4,589,165 | ||
Capital shares outstanding | 55,563 | |||
Net asset value per share | $ | 82.59 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 9,121 | ||
Dividends from securities of affiliated issuers | 36,254 | |||
Interest | 10,963 | |||
Income from securities lending, net | 1,163 | |||
Total investment income | 57,501 | |||
Expenses: | ||||
Management fees | 18,453 | |||
Investor service fees | 6,151 | |||
Transfer agent and administrative fees | 6,151 | |||
Professional fees | 4,773 | |||
Portfolio accounting fees | 2,460 | |||
Trustees’ fees* | 493 | |||
Custodian fees | 323 | |||
Line of credit fees | 2 | |||
Miscellaneous | 90 | |||
Total expenses | 38,896 | |||
Net investment income | 18,605 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (8,463 | ) | ||
Investments in affiliated issuers | 8,039 | |||
Swap agreements | 105,993 | |||
Futures contracts | (120,803 | ) | ||
Net realized loss | (15,234 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (7,111 | ) | ||
Investments in affiliated issuers | (9,465 | ) | ||
Swap agreements | (75,944 | ) | ||
Futures contracts | 31,581 | |||
Net change in unrealized appreciation (depreciation) | (60,939 | ) | ||
Net realized and unrealized loss | (76,173 | ) | ||
Net decrease in net assets resulting from operations | $ | (57,568 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 161 |
HIGH YIELD STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 18,605 | $ | 27,422 | ||||
Net realized gain (loss) on investments | (15,234 | ) | 663,785 | |||||
Net change in unrealized appreciation (depreciation) on investments | (60,939 | ) | (180,503 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (57,568 | ) | 510,704 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (320,362 | ) | |||||
Total distributions to shareholders | — | (320,362 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 10,700,763 | 26,835,037 | ||||||
Distributions reinvested | — | 320,362 | ||||||
Cost of shares redeemed | (12,577,810 | ) | (28,212,332 | ) | ||||
Net decrease from capital share transactions | (1,877,047 | ) | (1,056,933 | ) | ||||
Net decrease in net assets | (1,934,615 | ) | (866,591 | ) | ||||
Net assets: | ||||||||
Beginning of period | 6,523,780 | 7,390,371 | ||||||
End of period | $ | 4,589,165 | $ | 6,523,780 | ||||
Undistributed net investment income at end of period | $ | 313,372 | $ | 294,767 | ||||
Capital share activity: | ||||||||
Shares sold | 129,489 | 322,071 | ||||||
Shares issued from reinvestment of distributions | — | 3,919 | ||||||
Shares redeemed | (152,014 | ) | (338,582 | ) | ||||
Net decrease in shares | (22,525 | ) | (12,592 | ) |
162 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 83.54 | $ | 81.50 | $ | 75.17 | $ | 76.12 | $ | 75.00 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)c | .31 | .29 | .14 | (.30 | ) | (.09 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.26 | ) | 5.23 | 6.99 | (.29 | ) | 1.21 | |||||||||||||
Total from investment operations | (.95 | ) | 5.52 | 7.13 | (.59 | ) | 1.12 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | (3.48 | ) | (.80 | ) | — | — | |||||||||||||
Net realized gains | — | — | — | (.36 | ) | — | ||||||||||||||
Total distributions | — | (3.48 | ) | (.80 | ) | (.36 | ) | — | ||||||||||||
Net asset value, end of period | $ | 82.59 | $ | 83.54 | $ | 81.50 | $ | 75.17 | $ | 76.12 | ||||||||||
| ||||||||||||||||||||
Total Returnd | (1.14 | %) | 6.87 | % | 11.62 | % | (0.71 | %) | 1.48 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,589 | $ | 6,524 | $ | 7,390 | $ | 6,751 | $ | 4,060 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net investment income (loss) | 0.76 | % | 0.35 | % | 0.51 | % | (0.39 | %) | (0.51 | %) | ||||||||||
Total expensese | 1.58 | % | 1.60 | % | 1.56 | % | 1.49 | % | 1.57 | % | ||||||||||
Portfolio turnover rate | 55 | % | 124 | % | 255 | % | 258 | % | — |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Since commencement of operations: October 15, 2014. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
c | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
d | Total return does not reflect the impact of any additional fees charged by insurance companies. |
e | Does not include expenses of the underlying funds in which the Fund invests. |
f | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 163 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
U.S. GOVERNMENT MONEY MARKET FUND
OBJECTIVE: Seeks to provide security of principal, high current income, and liquidity.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
FADN — Federal Agency Discount Note
FAN — Federal Agency Note
Inception Date: May 7, 1997
The Fund invests principally in money market instruments issued or guaranteed as to principal and interest by the U.S. Government, its agencies or instrumentalities and enters into repurchase agreements fully collateralized by U.S. government securities.
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
U.S. Government Money Market Fund | 0.17% | 0.18% | 0.04% | 0.06% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
164 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
U.S. GOVERNMENT MONEY MARKET FUND |
| Face | Value | ||||||
FEDERAL AGENCY NOTES†† - 52.4% | ||||||||
Federal Home Loan Bank1 | ||||||||
1.94% (1 Month USD LIBOR - 0.14%) due 08/22/182 | $ | 5,000,000 | $ | 5,000,000 | ||||
2.21% (3 Month USD LIBOR - 0.13%) due 09/14/182 | 2,505,000 | 2,506,405 | ||||||
1.38% due 03/18/19 | 1,150,000 | 1,142,505 | ||||||
1.90% (1 Month USD LIBOR - 0.10%) due 11/02/182 | 1,000,000 | 1,000,117 | ||||||
1.97% (1 Month USD LIBOR - 0.13%) due 11/23/182 | 1,000,000 | 1,000,000 | ||||||
1.75% due 12/21/18 | 550,000 | 549,051 | ||||||
0.88% due 10/15/18 | 510,000 | 508,217 | ||||||
1.00% due 09/06/18 | 500,000 | 499,048 | ||||||
2.21% (3 Month USD LIBOR - 0.12%) due 09/20/182 | 300,000 | 300,029 | ||||||
2.11% (3 Month USD LIBOR - 0.22%) due 07/09/182 | 100,000 | 99,998 | ||||||
1.00% due 09/25/18 | 90,000 | 89,832 | ||||||
Total Federal Home Loan Bank | 12,695,202 | |||||||
Federal Farm Credit Bank1 | ||||||||
1.92% (U.S. Prime Rate - 3.08%) due 03/12/192 | 5,000,000 | 4,995,236 | ||||||
1.94% (U.S. Prime Rate - 3.06%) due 06/05/192 | 5,000,000 | 4,995,083 | ||||||
2.15% (U.S. Prime Rate - 2.85%) due 08/10/182 | 1,000,000 | 1,000,309 | ||||||
2.31% (3 Month USD LIBOR - 0.03%) due 09/18/182 | 500,000 | 500,155 | ||||||
0.88% due 09/20/18 | 238,000 | 237,516 | ||||||
2.25% (U.S. Prime Rate - 2.75%) due 07/18/182 | 200,000 | 200,024 | ||||||
1.85% due 09/19/18 | 175,000 | 175,009 | ||||||
Total Federal Farm Credit Bank | 12,103,332 | |||||||
Fannie Mae3 | ||||||||
1.88% due 09/18/18 | 1,991,000 | 1,990,697 | ||||||
1.38% due 03/13/19 | 1,000,000 | 993,570 | ||||||
1.50% due 11/30/18 | 750,000 | 748,222 | ||||||
1.13% due 01/04/19 | 500,000 | 497,191 | ||||||
1.25% due 09/27/18 | 425,000 | 424,402 | ||||||
Total Fannie Mae | 4,654,082 | |||||||
Freddie Mac3 | ||||||||
1.20% due 09/24/18 | 730,000 | 728,991 | ||||||
1.10% due 09/13/18 | 500,000 | 499,047 | ||||||
1.35% due 01/25/19 | 250,000 | 248,736 | ||||||
Total Freddie Mac | 1,476,774 | |||||||
Total Federal Agency Notes | ||||||||
(Cost $30,929,390) | 30,929,390 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 11.1% | ||||||||
Federal Home Loan Bank1 | ||||||||
1.91% due 10/01/184,5 | 5,000,000 | 4,975,339 | ||||||
1.67% due 12/04/184,5 | 1,100,000 | 1,092,040 | ||||||
1.93% due 08/31/184,5 | 200,000 | 199,346 | ||||||
1.95% due 09/10/184,5 | 100,000 | 99,614 | ||||||
Total Federal Home Loan Bank | 6,366,339 | |||||||
Federal Farm Credit Bank1 | ||||||||
1.70% due 09/12/184,5 | 100,000 | 99,655 | ||||||
1.97% due 10/02/184,5 | 100,000 | 99,486 | ||||||
Total Federal Farm Credit Bank | 199,141 | |||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $6,565,480) | 6,565,480 | |||||||
REPURCHASE AGREEMENTS††,6 - 41.6% | ||||||||
JPMorgan Chase & Co. | 13,505,032 | 13,505,032 | ||||||
Barclays Capital | 6,631,609 | 6,631,609 | ||||||
Bank of America Merrill Lynch | 4,421,072 | 4,421,072 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $24,557,713) | 24,557,713 | |||||||
Total Investments - 105.1% | ||||||||
(Cost $62,052,583) | $ | 62,052,583 | ||||||
Other Assets & Liabilities, net - (5.1)% | (3,023,256 | ) | ||||||
Total Net Assets - 100.0% | $ | 59,029,327 |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
2 | Variable rate security. Rate indicated is the rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Zero coupon rate security. |
6 | Repurchase Agreements — See Note 6. |
LIBOR — London Interbank Offered Rate | |
USD — United States Dollar | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 165 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
U.S. GOVERNMENT MONEY MARKET FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Federal Agency Notes | $ | — | $ | 30,929,390 | $ | — | $ | 30,929,390 | ||||||||
Federal Agency Discount Notes | — | 6,565,480 | — | 6,565,480 | ||||||||||||
Repurchase Agreements | — | 24,557,713 | — | 24,557,713 | ||||||||||||
Total Assets | $ | — | $ | 62,052,583 | $ | — | $ | 62,052,583 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
166 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. GOVERNMENT MONEY MARKET FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value (cost $37,494,870) | $ | 37,494,870 | ||
Repurchase agreements, at value (cost $24,557,713) | 24,557,713 | |||
Receivables: | ||||
Interest | 58,580 | |||
Total assets | 62,111,163 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 2,936,445 | |||
Management fees | 25,056 | |||
Investor service fees | 12,528 | |||
Transfer agent and administrative fees | 10,023 | |||
Portfolio accounting fees | 5,011 | |||
Trustees’ fees* | 1,660 | |||
Miscellaneous | 91,113 | |||
Total liabilities | 3,081,836 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 59,029,327 | ||
Net assets consist of: | ||||
Paid in capital | $ | 59,026,788 | ||
Distributions in excess of net investment income | (1,053 | ) | ||
Accumulated net realized gain on investments | 3,592 | |||
Net unrealized appreciation on investments | — | |||
Net assets | $ | 59,029,327 | ||
Capital shares outstanding | 59,013,181 | |||
Net asset value per share | $ | 1.00 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Interest | $ | 558,101 | ||
Total investment income | 558,101 | |||
Expenses: | ||||
Management fees | 171,823 | |||
Investor service fees | 85,911 | |||
Transfer agent and administrative fees | 68,730 | |||
Professional fees | 56,447 | |||
Portfolio accounting fees | 34,364 | |||
Trustees’ fees* | 8,322 | |||
Custodian fees | 4,454 | |||
Miscellaneous | 10,139 | |||
Total expenses | 440,190 | |||
Net investment income | 117,911 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 2,164 | |||
Net realized gain | 2,164 | |||
Net increase in net assets resulting from operations | $ | 120,075 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 167 |
U.S. GOVERNMENT MONEY MARKET FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 117,911 | $ | 1,135 | ||||
Net realized gain on investments | 2,164 | 1,605 | ||||||
Net change in unrealized appreciation (depreciation) on investments | — | — | ||||||
Net increase in net assets resulting from operations | 120,075 | 2,740 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | (118,964 | ) | (1,312 | ) | ||||
Net realized gains | — | (6,371 | ) | |||||
Total distributions to shareholders | (118,964 | ) | (7,683 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 89,177,331 | 137,795,910 | ||||||
Distributions reinvested | 118,964 | 7,683 | ||||||
Cost of shares redeemed | (108,537,294 | ) | (121,233,340 | ) | ||||
Net increase (decrease) from capital share transactions | (19,240,999 | ) | 16,570,253 | |||||
Net increase (decrease) in net assets | (19,239,888 | ) | 16,565,310 | |||||
Net assets: | ||||||||
Beginning of period | 78,269,215 | 61,703,905 | ||||||
End of period | $ | 59,029,327 | $ | 78,269,215 | ||||
Distributions in excess of net investment income at end of period | $ | (1,053 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 89,177,331 | 137,794,598 | ||||||
Shares issued from reinvestment of distributions | 118,964 | 7,681 | ||||||
Shares redeemed | (108,537,294 | ) | (121,233,339 | ) | ||||
Net increase (decrease) in shares | (19,240,999 | ) | 16,568,940 |
168 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
U.S. GOVERNMENT MONEY MARKET FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | — | c | — | c | — | c | — | c | — | c | — | c | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | — | c | — | c | — | c | — | c | — | c | — | c | ||||||||||||
Total from investment operations | — | — | — | — | — | — | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | ||||||||||||
Net realized gains | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | ||||||||||||
Total distributions | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | ||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | 0.17 | % | 0.01 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 59,029 | $ | 78,269 | $ | 61,704 | $ | 99,178 | $ | 98,358 | $ | 98,655 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.34 | % | — | f | — | f | — | f | — | f | — | f | ||||||||||||
Total expenses | 1.28 | % | 1.31 | % | 1.25 | % | 1.20 | % | 1.26 | % | 1.23 | % | ||||||||||||
Net expensese | 1.28 | % | 0.96 | % | 0.40 | % | 0.13 | % | 0.05 | % | 0.07 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Less than $0.01 per share. |
d | Total return does not reflect the impact of any additional fees charged by insurance companies. |
e | Net expense information reflects the expense ratios after expense waivers. |
f | Less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 169 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. At June 30, 2018, the Trust consisted of forty-nine funds. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.
This report covers the Nova Fund, Inverse S&P 500® Strategy Fund, NASDAQ-100® Fund, Inverse NASDAQ-100® Strategy Fund, S&P 500® 2x Strategy Fund, NASDAQ-100® 2x Strategy Fund, Mid-Cap1.5x Strategy Fund, Inverse Mid-Cap Strategy Fund, Russell 2000® 2x Strategy Fund, Russell 2000® 1.5x Strategy Fund, Inverse Russell 2000® Strategy Fund, Dow 2x Strategy Fund, Inverse Dow 2x Strategy Fund, Government Long Bond 1.2x Strategy Fund, Inverse Government Long Bond Strategy Fund, High Yield Strategy Fund and U.S. Government Money Market Fund (the “Funds”), each a non-diversified investment company, with the exception of U.S. Government Money Market Fund which is a diversified investment company.
The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The net asset value per share (“NAV”) of a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, by the number of outstanding shares of the fund.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sale price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
Open-end investment companies (“mutual funds”) are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds (“ETFs”) are valued at the last quoted sale price.
The U.S. Government Money Market Fund values debt securities at amortized cost pursuant to Rule 2a-7 of the 1940 Act, which approximates market value.
170 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
With the exception of the U.S. Government Money Market Fund, U.S. government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition are valued at amortized cost, provided such amount approximates market value. Money market funds are valued at net asset value.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The values of over-the-counter (“OTC”) swap agreements and credit default swap agreements entered into by a Fund are accounted for using the unrealized gains or losses on the agreements that are determined by marking the agreements to the last quoted value of the index that the swaps pertain to at the close of the NYSE.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
(b) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(c) Short Sales
When a Fund engages in a short sale of a security, an amount equal to the proceeds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Fund maintains a segregated account of cash and/or securities as collateral for short sales.
Fees, if any, paid to brokers to borrow securities in connection with short sales are recorded as interest expense. In addition, the Fund must pay out the dividend rate of the equity or coupon rate of the obligation to the lender and record this as an expense. Short dividend or interest expense is a cost associated with the investment objective of short sales transactions, rather than an operational cost associated with the day-to-day management of any mutual fund. The Fund may also receive rebate income from the broker resulting from the investment of the proceeds from securities sold short.
(d) Futures Contracts
Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(e) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Credit default swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Upfront payments received or made by a Fund on credit default swap agreements are amortized over the expected life of the agreement. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
(f) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2018, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(g) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(h) Distributions
Dividends from net investment income are declared daily in the Government Long Bond 1.2x Strategy Fund and the U.S. Government Money Market Fund. Dividends are reinvested in additional shares unless shareholders request payment in cash. Distributions of net investment income in the remaining Funds and distributions of net realized gains, if any, in all Funds are declared at least annually and recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
(i) Cash
The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 1.91% at June 30, 2018.
(j) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds utilize short sales and a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of amounts recognized in the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also
172 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
Duration: the use of an instrument to manage the interest rate risk of a portfolio.
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
The following table represents the Funds’ use and volume of futures on a quarterly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Nova Fund | Index exposure, Leverage, Liquidity | $ | 6,424,906 | $ | — | ||||
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | — | 66,031 | ||||||
NASDAQ-100® Fund | Index exposure, Liquidity | 12,968,158 | — | ||||||
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 2,727,156 | — | ||||||
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 27,698,118 | — | ||||||
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 2,091,710 | — | ||||||
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 152,990 | — | ||||||
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 614,880 | — | ||||||
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | — | 155,910 | ||||||
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | 4,238,570 | — | ||||||
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 361,920 | ||||||
Government Long Bond 1.2x Strategy Fund | Duration, Index exposure, Leverage, Liquidity | 13,680,703 | — | ||||||
Inverse Government Long Bond Strategy Fund | Duration, Index exposure, Liquidity | — | 559,953 | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | 4,106,281 | — |
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing OTC swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is a limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like an exchange-traded futures contract. Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin payments or receipts are made or received by the Fund, depending on fluctuations in the fair value of the reference entity. For funds utilizing interest rate swaps, the exchange bears the risk of loss for interest rate swaps.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as index or basket) or a fixed or variable interest rate. Index swaps will usually be computed based on the current index value as of the close of regular trading on the NYSE or other exchange. A fund utilizing a total return index swap bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying index declines in value.
The following table represents the Funds’ use and volume of total return swaps on a quarterly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Nova Fund | Index exposure, Leverage, Liquidity | $ | 44,252,328 | $ | — | ||||
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | — | 3,306,163 | ||||||
NASDAQ-100® Fund | Index exposure, Liquidity | 30,463,428 | — | ||||||
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | — | 805,268 | ||||||
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 79,297,986 | — | ||||||
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 74,143,256 | — | ||||||
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 7,535,762 | — | ||||||
Inverse Mid-Cap Strategy Fund | Index exposure, Liquidity | — | 170,501 | ||||||
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 8,459,957 | — | ||||||
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 11,327,076 | — | ||||||
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | — | 725,125 | ||||||
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | 25,129,025 | — | ||||||
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 4,141,751 | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | 182,609 | — |
Credit default swaps are instruments which allow for the full or partial transfer of third party credit risk, with respect to a particular entity or entities, from one counterparty to the other. In accordance with its principal investment strategy, the Funds enter into credit default swaps as a seller of protection primarily to gain exposure similar to the high yield bond market. A seller of credit default swaps is selling credit protection or assuming credit risk with respect to the underlying entity or entities. If a credit event occurs, as defined under the terms of the swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. The Notional Principal reflects the maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs. As the seller of protection, the Fund receives periodic premium payments from the counterparty and may also receive or pay an upfront premium adjustment to the stated periodic premium. In the event a credit event occurs, an adjustment will be made to any upfront premiums that were received by a reduction of 1.00% per credit event.
The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of credit default swaps on a quarterly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | $ | — | $ | 4,225,000 |
A credit default swap enables a Fund to buy or sell protection against a defined credit event of an issuer or a basket of securities. Generally, the seller of credit protection against an issuer or basket of securities receives a periodic payment from the buyer to compensate against potential default events. If a default event occurs, the seller must pay the buyer the full notional value of the reference obligation in exchange for the reference obligation. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the Fund selling the credit protection. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty, or in the case of a credit default swap in which the Fund is selling credit protection, the default of a third party issuer.
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of June 30, 2018:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Interest Rate contracts | Variation margin | Variation margin |
Equity/Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
Credit contracts | Variation margin on credit default swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2018:
Asset Derivative Investments Value | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total Value at | |||||||||||||||
Nova Fund | $ | — | $ | 235,076 | $ | — | $ | — | $ | 235,076 | ||||||||||
Inverse S&P 500® Strategy Fund | — | 3,117 | — | — | 3,117 | |||||||||||||||
NASDAQ-100® Fund | — | 210,018 | — | — | 210,018 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | — | 985 | — | — | 985 | |||||||||||||||
S&P 500® 2x Strategy Fund | — | 357,035 | — | — | 357,035 | |||||||||||||||
NASDAQ-100® 2x Strategy Fund | — | 470,453 | — | — | 470,453 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | — | 5,529 | — | — | 5,529 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | — | 438 | — | — | 438 | |||||||||||||||
Russell 2000® 2x Strategy Fund | — | 6,022 | — | — | 6,022 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | — | 8,043 | — | — | 8,043 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | 1,479 | 4,827 | — | — | 6,306 | |||||||||||||||
Dow 2x Strategy Fund | — | 124,637 | — | — | 124,637 | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | 128,201 | — | 128,201 | |||||||||||||||
High Yield Strategy Fund | — | — | 6,497 | — | 6,497 |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Liability Derivative Investments Value | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total Value at | |||||||||||||||
Nova Fund | $ | 444 | $ | — | $ | — | $ | — | $ | 444 | ||||||||||
Inverse S&P 500® Strategy Fund | — | 8,718 | — | — | 8,718 | |||||||||||||||
NASDAQ-100® Fund | 199,675 | 30,132 | — | — | 229,807 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | — | 4,089 | — | — | 4,089 | |||||||||||||||
S&P 500® 2x Strategy Fund | 444 | 23,677 | — | — | 24,121 | |||||||||||||||
NASDAQ-100® 2x Strategy Fund | 221,091 | 160,518 | — | — | 381,609 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | 30,350 | 41,705 | — | — | 72,055 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | — | 349 | — | — | 349 | |||||||||||||||
Russell 2000® 2x Strategy Fund | — | 6,024 | — | — | 6,024 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | 1,483 | 109,839 | — | — | 111,322 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | — | 693 | — | — | 693 | |||||||||||||||
Dow 2x Strategy Fund | 227,655 | — | — | — | 227,655 | |||||||||||||||
Inverse Dow 2x Strategy Fund | — | 28,924 | — | — | 28,924 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | 8,626 | — | 8,626 | |||||||||||||||
High Yield Strategy Fund | — | — | — | 8,711 | 8,711 |
* | Includes cumulative appreciation (depreciation) of futures contracts and credit default swap agreements as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended June 30, 2018:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Interest Rate contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
Equity/Credit contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended June 30, 2018:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total | |||||||||||||||
Nova Fund | $ | 57,239 | $ | (425,425 | ) | $ | — | $ | — | $ | (368,186 | ) | ||||||||
Inverse S&P 500® Strategy Fund | 19,644 | 44,278 | — | — | 63,922 | |||||||||||||||
NASDAQ-100® Fund | 1,184,744 | 1,362,404 | — | — | 2,547,148 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | — | (97,297 | ) | — | — | (97,297 | ) | |||||||||||||
S&P 500® 2x Strategy Fund | 72,210 | (1,553,071 | ) | — | — | (1,480,861 | ) | |||||||||||||
NASDAQ-100® 2x Strategy Fund | 1,361,120 | 5,279,925 | — | — | 6,641,045 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | 140,406 | 122,768 | — | — | 263,174 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | — | (36,050 | ) | — | — | (36,050 | ) | |||||||||||||
Russell 2000® 2x Strategy Fund | 208,266 | 300,239 | — | — | 508,505 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | (7,402 | ) | 680,372 | — | — | 672,970 | ||||||||||||||
Inverse Russell 2000® Strategy Fund | (12,485 | ) | (104,755 | ) | — | — | (117,240 | ) | ||||||||||||
Dow 2x Strategy Fund | 436,402 | (1,412,507 | ) | — | — | (976,105 | ) | |||||||||||||
Inverse Dow 2x Strategy Fund | (113,513 | ) | (97,068 | ) | — | — | (210,581 | ) | ||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | (271,464 | ) | — | (271,464 | ) | |||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | 42,551 | — | 42,551 | |||||||||||||||
High Yield Strategy Fund | — | — | (120,803 | ) | 105,993 | (14,810 | ) |
176 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total | |||||||||||||||
Nova Fund | $ | (134,479 | ) | $ | 348,861 | $ | — | $ | — | $ | 214,382 | |||||||||
Inverse S&P 500® Strategy Fund | 1,779 | (15,182 | ) | — | — | (13,403 | ) | |||||||||||||
NASDAQ-100® Fund | (281,856 | ) | 245,505 | — | — | (36,351 | ) | |||||||||||||
Inverse NASDAQ-100® Strategy Fund | — | (7,992 | ) | — | — | (7,992 | ) | |||||||||||||
S&P 500® 2x Strategy Fund | (157,664 | ) | 558,047 | — | — | 400,383 | ||||||||||||||
NASDAQ-100® 2x Strategy Fund | (227,289 | ) | 965,471 | — | — | 738,182 | ||||||||||||||
Mid-Cap 1.5x Strategy Fund | (61,293 | ) | (16,057 | ) | — | — | (77,350 | ) | ||||||||||||
Inverse Mid-Cap Strategy Fund | — | (512 | ) | — | — | (512 | ) | |||||||||||||
Russell 2000® 2x Strategy Fund | 2,205 | 61,090 | — | — | 63,295 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | 429 | (50,681 | ) | — | — | (50,252 | ) | |||||||||||||
Inverse Russell 2000® Strategy Fund | 2,145 | (2,551 | ) | — | — | (406 | ) | |||||||||||||
Dow 2x Strategy Fund | (278,376 | ) | 294,535 | — | — | 16,159 | ||||||||||||||
Inverse Dow 2x Strategy Fund | — | (46,669 | ) | — | — | (46,669 | ) | |||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | 22,709 | — | 22,709 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | (1,741 | ) | — | (1,741 | ) | |||||||||||||
High Yield Strategy Fund | — | — | 31,581 | (75,944 | ) | (44,363 | ) |
In conjunction with the use of short sales and derivative instruments, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
Note 3 – Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 177 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Nova Fund | Swap equity contracts | $ | 235,076 | $ | — | $ | 235,076 | $ | — | $ | — | $ | 235,076 | ||||||||||||
Inverse S&P 500® Strategy Fund | Swap equity contracts | 3,117 | — | 3,117 | — | — | 3,117 | ||||||||||||||||||
NASDAQ-100® Fund | Swap equity contracts | 210,018 | — | 210,018 | — | — | 210,018 | ||||||||||||||||||
Inverse NASDAQ-100® Strategy Fund | Swap equity contracts | 985 | — | 985 | — | — | 985 | ||||||||||||||||||
S&P 500® 2x Strategy Fund | Swap equity contracts | 357,035 | — | 357,035 | — | — | 357,035 | ||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | Swap equity contracts | 470,453 | — | 470,453 | — | — | 470,453 | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | Swap equity contracts | 5,529 | — | 5,529 | — | — | 5,529 | ||||||||||||||||||
Inverse Mid-Cap Strategy Fund | Swap equity contracts | 438 | — | 438 | — | — | 438 | ||||||||||||||||||
Russell 2000® 2x Strategy Fund | Swap equity contracts | 6,022 | — | 6,022 | — | — | 6,022 | ||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | Swap equity contracts | 8,043 | — | 8,043 | — | — | 8,043 | ||||||||||||||||||
Inverse Russell 2000® Strategy Fund | Swap equity contracts | 4,827 | — | 4,827 | — | — | 4,827 | ||||||||||||||||||
Dow 2x Strategy Fund | Swap equity contracts | 124,637 | — | 124,637 | — | — | 124,637 |
178 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Inverse S&P 500® Strategy Fund | Swap equity contracts | $ | 8,718 | $ | — | $ | 8,718 | $ | 1,031 | $ | — | $ | 7,687 | ||||||||||||
NASDAQ-100® Fund | Swap equity contracts | 30,132 | — | 30,132 | 30,132 | — | — | ||||||||||||||||||
Inverse NASDAQ-100® Strategy Fund | Swap equity contracts | 4,089 | — | 4,089 | — | 4,089 | — | ||||||||||||||||||
S&P 500® 2x Strategy Fund | Swap equity contracts | 23,677 | — | 23,677 | 23,677 | — | — | ||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | Swap equity contracts | 160,518 | — | 160,518 | 160,518 | — | — | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | Swap equity contracts | 41,705 | — | 41,705 | 41,705 | — | — | ||||||||||||||||||
Inverse Mid-Cap Strategy Fund | Swap equity contracts | 349 | — | 349 | — | 349 | — | ||||||||||||||||||
Russell 2000® 2x Strategy Fund | Swap equity contracts | 6,024 | — | 6,024 | 6,024 | — | — | ||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | Swap equity contracts | 109,839 | — | 109,839 | 109,839 | — | — | ||||||||||||||||||
Inverse Russell 2000® Strategy Fund | Swap equity contracts | 693 | — | 693 | — | 693 | — | ||||||||||||||||||
Inverse Dow 2x Strategy Fund | Swap equity contracts | 28,924 | — | 28,924 | — | 28,924 | — | ||||||||||||||||||
High Yield Strategy Fund | Swap credit contracts | 1,924 | — | 1,924 | — | — | 1,924 |
1 | Exchange-traded futures and centrally cleared swaps are excluded from these reported amounts. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 179 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table presents deposits held by others in connection with derivative investments as of June 30, 2018. The derivatives tables following the Schedule of Investments list each counterparty for which cash collateral may have been pledged or received at period end. The Funds have the right to offset these deposits against any related liabilities outstanding with each counterparty.
Fund | Counterparty/Clearing Agent | Asset Type | Cash | Cash | ||||||
Nova Fund | Barclays Bank plc | Total Return Swap agreements | $ | 3,824 | $ | — | ||||
Nova Fund Total |
|
| 3,824 | — | ||||||
Inverse S&P 500® Strategy Fund | Barclays Bank plc | Total Return Swap agreements | 564 | — | ||||||
Inverse S&P 500® Strategy Fund Total |
|
| 564 | — | ||||||
NASDAQ-100® Fund | Barclays Bank plc | Total Return Swap agreements | 383,154 | — | ||||||
| Goldman Sachs Group | Futures contracts | 289,443 | — | ||||||
NASDAQ-100® Fund Total |
|
| 672,597 | — | ||||||
S&P 500® 2x Strategy Fund | Barclays Bank plc | Total Return Swap agreements | 51,950 | — | ||||||
S&P 500® 2x Strategy Fund Total |
|
| 51,950 | — | ||||||
NASDAQ-100® 2x Strategy Fund | Barclays Bank plc | Total Return Swap agreements | 981,472 | — | ||||||
NASDAQ-100® 2x Strategy Fund Total |
|
| 981,472 | — | ||||||
Mid-Cap 1.5x Strategy Fund | Barclays Bank plc | Total Return Swap agreements | 516 | — | ||||||
Mid-Cap 1.5x Strategy Fund Total |
|
| 516 | — | ||||||
Russell 2000® 1.5x Strategy Fund | Barclays Bank plc | Total Return Swap agreements | 1,711 | — | ||||||
Russell 2000® 1.5x Strategy Fund Total |
|
| 1,711 | — | ||||||
Inverse Russell 2000® Strategy Fund | Barclays Bank plc | Total Return Swap agreements | 172 | — | ||||||
Inverse Russell 2000® Strategy Fund Total |
|
| 172 | — | ||||||
Dow 2x Strategy Fund | Barclays Bank plc | Total Return Swap agreements | 400,258 | — | ||||||
| Goldman Sachs Group | Futures contracts | 68,068 | — | ||||||
Dow 2x Strategy Fund Total |
|
| 468,326 | — | ||||||
Government Long Bond 1.2x Strategy Fund | Goldman Sachs Group | Futures contracts | 121,616 | — | ||||||
Government Long Bond 1.2x Strategy Fund Total |
|
| 121,616 | — | ||||||
High Yield Strategy Fund | Barclays Bank plc | Credit Default Swaps agreements | — | 41,840 | ||||||
High Yield Strategy Fund Total |
|
| — | 41,840 |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
180 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees |
Nova Fund | 0.75% |
Inverse S&P 500® Strategy Fund | 0.90% |
NASDAQ-100® Fund | 0.75% |
Inverse NASDAQ-100® Strategy Fund | 0.90% |
S&P 500® 2x Strategy Fund | 0.90% |
NASDAQ-100® 2x Strategy Fund | 0.90% |
Mid-Cap 1.5x Strategy Fund | 0.90% |
Inverse Mid-Cap Strategy Fund | 0.90% |
Russell 2000® 2x Strategy Fund | 0.90% |
Russell 2000® 1.5x Strategy Fund | 0.90% |
Inverse Russell 2000® Strategy Fund | 0.90% |
Dow 2x Strategy Fund | 0.90% |
Inverse Dow 2x Strategy Fund | 0.90% |
Government Long Bond 1.2x Strategy Fund | 0.50% |
Inverse Government Long Bond Strategy Fund | 0.90% |
High Yield Strategy Fund | 0.75% |
U.S. Government Money Market Fund | 0.50% |
GI engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted an Investor Services Plan for which GFD and other firms that provide investor services (“Service Providers”) may receive compensation. The Funds will pay investor service fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for investor services it performs.
If a Fund invests in an affiliated fund, the investing Fund’s adviser has agreed to waive fees at the investing fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2018, the Funds did not waive any fees related to investments in affiliated funds.
GI and its affiliates have voluntarily agreed to waive their fees, including but not limited to accounting, shareholder investor services and investment advisory fees, in an attempt to maintain a positive net yield for the U.S. Government Money Market Fund. GI or its affiliates may terminate this voluntary waiver at any time upon notice to the Fund. When shareholder investor services fees are waived, dealer compensation will be reduced to the extent of such waiver.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors, and/or employees of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. U.S Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of each Fund’s average daily net assets and out of pocket expenses.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 181 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2018, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:
Fund | Percentage of |
High Yield Strategy Fund | 44.30% |
Note 6 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The joint account includes other Funds in the Guggenheim complex not covered in this report. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
At June 30, 2018, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price |
| Collateral | Par Value | Fair Value | ||||||||||||
JPMorgan Chase & Co. | U.S. Treasury Notes | |||||||||||||||||
2.10% | 1.88% - 2.50% | |||||||||||||||||
Due 07/02/18 | $ | 47,042,511 | $ | 47,050,743 | 08/31/22 - 08/15/25 | $ | 46,464,300 | $ | 45,313,928 | |||||||||
U.S. Treasury Bonds | ||||||||||||||||||
3.00% - 3.38% | ||||||||||||||||||
05/15/44 - 05/15/47 | 2,559,600 | 2,582,788 | ||||||||||||||||
47,896,716 | ||||||||||||||||||
Barclays Capital | U.S. TIP Notes | |||||||||||||||||
2.07% | 0.39% - 1.00% | |||||||||||||||||
Due 07/02/18 | 23,100,095 | 23,104,080 | 01/15/26 - 02/15/46 | 18,009,827 | 17,794,154 | |||||||||||||
U.S. Treasury Note | ||||||||||||||||||
1.88% | ||||||||||||||||||
03/31/22 | 5,903,500 | 5,752,223 | ||||||||||||||||
23,546,377 | ||||||||||||||||||
Bank of America Merrill Lynch | U.S. Treasury Note | |||||||||||||||||
2.08% | 4.00% | |||||||||||||||||
Due 07/02/18 | 15,400,064 | 15,402,733 | 08/15/18 | 15,438,500 | 15,658,625 |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment adviser, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
Note 7 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund — Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering
182 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
their securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
At June 30, 2018, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the | Securities Lending Collateral | ||||||||||||||||||||||||
Fund | Value of | Collateral | Net | Cash | Cash | Total | |||||||||||||||||||
Nova Fund | $ | 15,579 | $ | (15,579 | ) | $ | — | $ | 16,093 | $ | — | $ | 16,093 | ||||||||||||
NASDAQ-100® Fund | 427,631 | (427,631 | ) | — | 444,129 | — | 444,129 | ||||||||||||||||||
S&P 500® 2x Strategy Fund | 3,151 | (3,151 | ) | — | 3,303 | — | 3,303 | ||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | 221,757 | (221,757 | ) | — | 230,349 | — | 230,349 | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | 5,509 | (5,509 | ) | — | 5,670 | — | 5,670 | ||||||||||||||||||
Russell 2000® 2x Strategy Fund | 11,156 | (11,156 | ) | — | 11,478 | — | 11,478 | ||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | 36,893 | (36,893 | ) | — | 37,998 | — | 37,998 | ||||||||||||||||||
High Yield Strategy Fund | 2,518 | (2,518 | ) | — | 2,583 | — | 2,583 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to overcollateralization. |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
Note 8 – Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 183 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2018, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value were as follows:
Fund | Tax | Tax | Tax | Net | ||||||||||||
Nova Fund | $ | 43,473,984 | $ | 176,270 | $ | (70,658 | ) | $ | 105,612 | |||||||
Inverse S&P 500® Strategy Fund | 3,357,137 | 11,712 | (9,037 | ) | 2,675 | |||||||||||
NASDAQ-100® Fund | 76,594,421 | 26,236,997 | (519,470 | ) | 25,717,527 | |||||||||||
Inverse NASDAQ-100® Strategy Fund | 715,159 | 3,591 | (4,089 | ) | (498 | ) | ||||||||||
S&P 500® 2x Strategy Fund | 36,539,039 | — | (589,287 | ) | (589,287 | ) | ||||||||||
NASDAQ-100® 2x Strategy Fund | 65,104,872 | 6,585,455 | (448,146 | ) | 6,137,309 | |||||||||||
Mid-Cap 1.5x Strategy Fund | 6,314,525 | 106,282 | (76,369 | ) | 29,913 | |||||||||||
Inverse Mid-Cap Strategy Fund | 147,141 | 746 | (354 | ) | 392 | |||||||||||
Russell 2000® 2x Strategy Fund | 11,089,512 | 127,167 | (11,368 | ) | 115,799 | |||||||||||
Russell 2000® 1.5x Strategy Fund | 9,110,645 | 314,395 | (128,863 | ) | 185,532 | |||||||||||
Inverse Russell 2000® Strategy Fund | 855,055 | 9,034 | (693 | ) | 8,341 | |||||||||||
Dow 2x Strategy Fund | 13,097,601 | 639,603 | (234,036 | ) | 405,567 | |||||||||||
Inverse Dow 2x Strategy Fund | 2,399,990 | — | (29,976 | ) | (29,976 | ) | ||||||||||
Government Long Bond 1.2x Strategy Fund | 11,688,062 | 311,887 | (1 | ) | 311,886 | |||||||||||
Inverse Government Long Bond Strategy Fund | 3,805,099 | 9,236 | (102,630 | ) | (93,394 | ) | ||||||||||
High Yield Strategy Fund | 4,269,689 | 25,672 | (8,711 | ) | 16,961 | |||||||||||
U.S. Government Money Market Fund | 62,052,583 | — | — | — |
Note 9 – Securities Transactions
For the period ended June 30, 2018, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
Nova Fund | $ | 105,430,498 | $ | 110,793,040 | ||||
Inverse S&P 500® Strategy Fund | 7,899,402 | 8,140,000 | ||||||
NASDAQ-100® Fund | 41,096,973 | 33,007,681 | ||||||
Inverse NASDAQ-100® Strategy Fund | 455,725 | 360,000 | ||||||
S&P 500® 2x Strategy Fund | 75,537,465 | 77,507,777 | ||||||
NASDAQ-100® 2x Strategy Fund | 77,126,552 | 83,710,239 | ||||||
Mid-Cap 1.5x Strategy Fund | 2,482,392 | 3,046,078 | ||||||
Inverse Mid-Cap Strategy Fund | 314,160 | 320,000 | ||||||
Russell 2000® 2x Strategy Fund | 12,473,270 | 14,996,789 | ||||||
Russell 2000® 1.5x Strategy Fund | 9,830,856 | 10,176,445 | ||||||
Inverse Russell 2000® Strategy Fund | 416,327 | 570,000 | ||||||
Dow 2x Strategy Fund | 30,759,488 | 36,339,506 | ||||||
Inverse Dow 2x Strategy Fund | 2,314,976 | 3,170,000 | ||||||
Government Long Bond 1.2x Strategy Fund | 13,195,174 | 14,400,000 | ||||||
Inverse Government Long Bond Strategy Fund | 2,158,700 | 2,625,000 | ||||||
High Yield Strategy Fund | 1,778,046 | 3,399,787 | ||||||
U.S. Government Money Market Fund | — | — |
For the period ended June 30, 2018, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | Purchases | Sales | ||||||
Government Long Bond 1.2x Strategy Fund | $ | 121,654,781 | $ | 119,930,625 | ||||
Inverse Government Long Bond Strategy Fund | 41,569,875 | 41,220,367 |
184 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended June 30, 2018, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Realized | |||||||||
Nova Fund | $ | 11,646,781 | $ | 38,536,597 | $ | (154,944 | ) | |||||
NASDAQ-100® Fund | 14,454,425 | 13,990,936 | 552,857 | |||||||||
S&P 500® 2x Strategy Fund | 44,206,706 | 57,522,585 | 1,327,986 | |||||||||
NASDAQ-100® 2x Strategy Fund | 31,436,096 | 55,055,950 | 1,767,179 | |||||||||
Mid-Cap 1.5x Strategy Fund | 1,045,551 | 940,412 | (40,787 | ) | ||||||||
Russell 2000® 2x Strategy Fund | 4,573,535 | 5,939,981 | 59,646 | |||||||||
Russell 2000® 1.5x Strategy Fund | 6,751,859 | 4,826,897 | (68,057 | ) | ||||||||
Dow 2x Strategy Fund | 5,909,768 | 16,865,732 | 5,686 | |||||||||
U.S. Government Money Market Fund | 4,993,454 | — | — |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $75,000,000 line of credit from U.S. Bank, N.A., which expires June 9, 2019. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 2.66% for the period ended June 30, 2018. The Funds did not have any borrowings outstanding under this agreement at June 30, 2018.
The average daily balances borrowed for the period ended June 30, 2018, were as follows:
Fund | Average Daily Balance | |||
Nova Fund | $ | 584 | ||
NASDAQ-100® Fund | 395 | |||
Inverse NASDAQ-100® Strategy Fund | 19 | |||
S&P 500® 2x Strategy Fund | 6,041 | |||
NASDAQ-100® 2x Strategy Fund | 4,756 | |||
Russell 2000® 2x Strategy Fund | 1,389 | |||
Russell 2000® 1.5x Strategy Fund | 416 | |||
Inverse Russell 2000® Strategy Fund | 3 | |||
Dow 2x Strategy Fund | 13,781 | |||
Inverse Dow 2x Strategy Fund | 181 | |||
Government Long Bond 1.2x Strategy Fund | 23,800 | |||
High Yield Strategy Fund | 66 |
Note 11 – Legal Proceedings
Tribune Company
Rydex Variable Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Variable Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Variable Trust, the proceeds they received in connection with the LBO.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 185 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Variable Trust has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order. On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. On April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.”
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. The Court concluded that the plaintiff had failed to allege that Tribune entered the LBO with actual intent to hinder, delay, or defraud its creditors, and therefore the complaint failed to state a claim. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law. On March 8, 2018, the plaintiff renewed his request for leave to file a motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
None of these lawsuits alleges any wrongdoing on the part of Rydex Variable Trust. The following series of Rydex Variable Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 2x Strategy Fund, Multi-Cap Core Equity Fund, S&P 500 Pure Value Fund, Hedged Equity Fund and Multi-Hedge Strategies Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $12,580, $2,380, $1,360, $148,376, $2,720, and $119,034, respectively. At this stage of the proceedings, Rydex Variable Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
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OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Variable Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 21, 2018, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 25, 2018 (together, with the May 21st meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 25th meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the Investment Advisory Agreement the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements, and participated in discussions with representatives of the Advisor during which the representatives answered the Independent Trustees’ questions and agreed to provide certain additional information for their consideration. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund
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OTHER INFORMATION (Unaudited)(continued) |
performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In its deliberations, the Trustees did not identify any particular factor or factors as controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to each Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board, however, examined whether the loss of certain advisory personnel in connection with the recent sale of the Guggenheim ETF business might affect the services provided by the Advisor to the remaining Funds. The Board was assured that such personnel were not previously involved in the management of the Funds and that their departure would not affect the nature, extent or quality of the services provided by the Advisor. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the FUSE reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies, index rebalance frequency, and, in certain cases, the Fund’s tradability feature) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. With respect to the Funds that track an underlying index (“Index Funds”), the Board also discussed the correlation between an Index Fund’s assets under management and tracking error, noting that an Index Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Index Fund’s size. The Board also considered and requested information detailing the effect of the recent sale of the Guggenheim ETF business on the expense allocation methodology employed by the Advisor. After reviewing the additional information provided by the Advisor, the Board determined the impact on the Funds would be minimal. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. The Board also considered the effect of the recent sale of the Guggenheim ETF business on the Advisor’s and its affiliates’ profitability, and similar to its conclusion with respect to expenses, determined that the impact would be minimal. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
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OTHER INFORMATION (Unaudited)(concluded) |
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds, the current expectation that assets levels are likely to remain the same or decline in the near future due to changes in demand for variable insurance products, and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited trading that is permitted among most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be derived by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the investor services agreement and investor services plan with respect to the Funds, and under separate distribution agreements, Distribution Plans and Distribution and Shareholder Services Plans pursuant to Rule 12b-1 of the 1940 Act with respect to other of the funds in the Funds’ family of funds. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the Investment Advisory Agreement was in the best interests of each Fund and its shareholders.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, 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 visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and | Position(s) Held with the | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | ||||
Amy J. Lee** (1961) | Trustee (February 2018-present) and President (2017-present) | Current: Interested Trustee, certain other funds in the Fund Complex (February 2018-present); Chief Legal Officer and Vice President, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-February 2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 165 | None. |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, and Member of the Compliance and Risk Oversight Committee from 2016 to present; and Member of the Governance and Nominating Committee and Chairwoman of the Compliance and Risk Oversight Committee from 2017 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm)
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 110 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 110 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 110 | Epiphany Funds (2) (2009-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and | Position(s) Held with the | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret (1940) | Trustee and Member of the Audit Committee from 1997 to present; Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 110 | None. |
Werner E. Keller (1940) | Chairman of the Board from 2014 to present; Trustee and Member of the Audit Committee from 2005 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 110 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; Chairman and Member of the Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2018 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 110 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trust (3) (2017-present). |
Patrick T. McCarville (1942) | Trustee and Member of the Audit Committee from 1998 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 110 | None. |
Sandra G. Sponem (1958) | Trustee, Member of the Audit Committee and Chairwoman and Member of the Investment and Performance Committee from 2016 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 110 | None. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (2000-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); Senior Managing Director, Guggenheim Investments (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present) and Director and Chairman, Advisory Research Center, Inc. (2006-present).
Former: Manager, Guggenheim Specialized Products, LLC (2005-April 2018); Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC (now MUFG Investor Services (US), LLC); Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present).
Former: Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-April 2018); Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Mark E. Mathiasen (1978) | Secretary (2017-present) | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2007-present).
Former: Tax Compliance Manager, Ernst & Young LLP (1990-2009). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: CCO, Security Investors, LLC (2012-2018); CCO, Guggenheim Funds Investment Advisors, LLC (2012-2018); CCO, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS - concluded | ||
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955) | Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer (2017-present) | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present).
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”) (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | This Trustee is an “interested person” (as defined in Section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of her affiliation with Guggenheim Investments. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The Affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 195 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
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In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
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If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
196 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
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6.30.2018
Rydex Variable Trust Semi-Annual Report
Domestic Equity Funds |
S&P 500® Pure Growth Fund |
S&P 500® Pure Value Fund |
S&P MidCap 400® Pure Growth Fund |
S&P MidCap 400® Pure Value Fund |
S&P SmallCap 600® Pure Growth Fund |
S&P SmallCap 600® Pure Value Fund |
International Equity Funds |
Europe 1.25x Strategy Fund |
Japan 2x Strategy Fund |
Specialty Funds |
Strengthening Dollar 2x Strategy Fund |
Weakening Dollar 2x Strategy Fund |
GuggenheimInvestments.com | RVATB2-SEMI-0618x1218 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 4 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS | 6 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 7 |
S&P 500® PURE GROWTH FUND | 9 |
S&P 500® PURE VALUE FUND | 15 |
S&P MIDCAP 400® PURE GROWTH FUND | 22 |
S&P MIDCAP 400® PURE VALUE FUND | 29 |
S&P SMALLCAP 600® PURE GROWTH FUND | 35 |
S&P SMALLCAP 600® PURE VALUE FUND | 42 |
EUROPE 1.25x STRATEGY FUND | 49 |
JAPAN 2x STRATEGY FUND | 57 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | 63 |
WEAKENING DOLLAR 2x STRATEGY FUND | 70 |
NOTES TO FINANCIAL STATEMENTS | 76 |
OTHER INFORMATION | 89 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 92 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 96 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
| June 30, 2018 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for ten funds that are part of the Rydex Variable Trust (the “Funds”). This report covers performance of the Funds for the semi-annual period ended June 30, 2018.
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
July 31, 2018
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
Inverse and leveraged Funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● Inverse Funds involve certain risks, which include increased volatility due to the Funds’ possible use of short sales of securities and derivatives, such as options and futures. ● The Funds’ use of derivatives, such as futures, options, and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Short-selling involves increased risks and costs. You risk paying more for a security than you received from its sale. ● Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the Funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those Funds that use leverage as part of their investment strategy, may prevent a Fund from correlating with the monthly, quarterly, annual, or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse Funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. For those Funds that consistently apply leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a Fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse Funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the prospectus.
Pure Style Funds may not be suitable for all investors. ● The Funds are subject to the risk that large, medium and small-capitalization stocks may under-perform other segments of the equity market or the equity market as a whole ● Value stocks are subject to the risk that the intrinsic value of the stock may never be realized by the market or that the price goes down. Growth stocks typically invest a high portion of their earnings back into their business and may lack the dividend yield that could cushion their decline in a market downturn. Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing company. ● The Funds are subject to the risk that unanticipated early closings of securities exchanges and other financial markets may result in the Funds’ inability to buy or sell securities or other financial instruments on that day. In certain circumstances, it may be difficult for the Funds to purchase and sell particular investments within a reasonable time at a fair price. ● Unlike many investment companies, the Funds are not actively “managed.” This means that based on market and economic conditions, the Funds’ performance could be lower than other types of Funds that may actively shift their portfolio assets to take advantage of market opportunities or to lessen the impact of a market decline ● The Funds are subject to active trading and tracking error risks, which may increase volatility, impact the Funds’ ability to achieve its investment objective and may decrease the Fund’s performance. ● These Funds are considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● Securities are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested. ● Please read the prospectus for more detailed information regarding these and other risks.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| June 30, 2018 |
Strengthening Dollar 2x Strategy Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will appreciate in value relative to the U.S. dollar. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. These risks may cause the Fund to experience higher losses and/or volatility than a Fund that does not invest in derivatives, use leverage or have exposure to foreign currencies. ● Also, the Fund is subject to active trading and tracking error risks that may increase volatility, decrease performance and impact the Fund’s ability to achieve its investment objective. ● Please read the prospectus for more detailed information regarding these and other risks.
Weakening Dollar 2x Strategy Fund is subject to a number of risks and may not be suitable for all investors. ● The Fund’s use of derivatives such as futures, options and swap agreements may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● The Fund’s indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. dollar, or, in the case of short positions, that the US dollar will decline in value relative to the currency being hedged. ● The more the Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. These risks may cause the Fund to experience higher losses and/or volatility than a fund that does not invest in derivatives, use leverage or have exposure to foreign currencies. ● Also, the Fund is subject to active trading and tracking error risks that may increase volatility, decrease performance and impact the Fund’s ability to achieve its investment objective ● Please read the prospectus for more detailed information regarding these and other risks.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2018 |
As the U.S. economy powers along, with second quarter 2018 gross domestic product (“GDP”) coming in at 4.1% annualized, geopolitical risk continues to weigh on the market. Positive headlines surrounding growth and the labor market are offset by the trade war launched by the U.S. against both its rivals and its allies. In May, the Trump administration allowed the aluminum and steel tariff exemptions to expire for Canada, Mexico, and the European Union, instituting 25% tariffs on steel and 10% tariffs on aluminum imported from these regions. In June, the U.S. administration announced it would also impose 25% tariffs on $50 billion worth of Chinese imports ($34 billion of which would be tariffed beginning in July), followed by the publication of a list of $200 billion in additional Chinese goods to be targeted, to which China promised retaliation. The European Union has also announced retaliation, approving tariffs of 25% on a long list of American goods. Over this period, 10-year U.S. Treasury yields peaked at 3.1% and finished the quarter at 2.9%.
The bond market’s reaction to trade rhetoric indicates that there is a tug of war at hand. While fiscal stimulus pushed up bond yields initially, tariffs are weighing them down. Markets are right to be concerned about the consequences of a trade war in which no one wins. Outside of the U.S., this trade war will have the intended impact of squeezing economic growth in export-heavy regions, but among the losers will also be U.S. consumers. Some corporations may slow or postpone hiring as they manage for rising input costs. Others will pass higher prices on to the consumer, causing disposable incomes to suffer. In either case, tariffs reduce the benefit of the fiscal stimulus.
The U.S. Federal Reserve’s (the “Fed”) confidence in the U.S. economy seems to have sharpened in recent weeks despite trade war uncertainty. In the June Summary of Economic Projections (“SEP”), the U.S. Federal Reserve Open Market Committee’s (“FOMC”) median expectations for 2018 GDP growth rose from 2.7% to 2.8%. The FOMC now expects a lower unemployment rate, higher personal consumption expenditures inflation and a higher federal funds rate for 2018 and 2019 than previously expected. The Fed is determined to tighten financial conditions until economic growth and hiring slow to a more sustainable pace.
We believe that the net effect of all factors affecting rates—fiscal stimulus, trade war, and monetary policy tightening—will keep long-term interest rates from moving much higher than current levels. The market is currently pricing this in to the yield curve; in July the difference between 30-year and two-year U.S. Treasury yields hit its lowest level since July 2007. The bond market is sending a warning signal that makes us wary of taking on too much credit risk at this stage.
We maintain our view that a recession could come in 2020 and markets may discount this as early as 2019. In the meantime, we are watching for exogenous factors that could cause a recession to come sooner.
For the six months ended June 30, 2018, the Standard & Poor’s 500® (“S&P 500”) Index* returned 2.65%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -2.37%. The return of the MSCI Emerging Markets Index* was -6.51%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -1.62% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 0.16%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.81% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2018 |
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
Nikkei-225 Stock Average Index is a price-weighted index comprised of Japan’s top 225 blue-chip companies on the Tokyo Stock Exchange.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
S&P 500® Pure Growth Index is narrow in focus, containing only those S&P 500 Index companies with strong growth characteristics as selected by S&P. The S&P 500 Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).
S&P 500® Pure Value Index is narrow in focus, containing only those S&P 500 Index companies with strong value characteristics as selected by S&P. The S&P 500 Index is a capitalization-weighted index covering 500 industrial, utility, transportation and financial companies of the U.S. markets (mostly NYSE Euronext issues).
S&P MidCap 400® Pure Growth Index is narrow in focus, containing only those S&P MidCap 400 Index companies with strong growth characteristics as selected by S&P. The S&P MidCap 400 Index measures the performance of the mid-capitalization sector of the U.S. equity market.
S&P MidCap 400® Pure Value Index is narrow in focus, containing only those S&P MidCap 400 Index companies with strong value characteristics as selected by S&P. The S&P MidCap 400 Index measures the performance of the mid-capitalization sector of the U.S. equity market.
S&P SmallCap 600® Pure Growth Index is narrow in focus, containing only those S&P SmallCap 600 Index companies with strong growth characteristics as selected by S&P. The S&P SmallCap 600 Index measures the performance of the small-capitalization sector of the U.S. equity market.
S&P SmallCap 600® Pure Value Index is narrow in focus, containing only those S&P SmallCap 600 Index companies with strong value characteristics as selected by S&P. The S&P SmallCap 600 Index measures the performance of the small-capitalization sector of the U.S. equity market.
STOXX 50® Index provides a blue-chip representation of supersector leaders in the eurozone. The index covers 50 stocks from 12 eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain.
USD or U.S. Dollar Index® (USDX) is an index that determines the relative value of the United States dollar to a basket of foreign currencies. This formulated “basket” of currencies comprises the weighting of six other currencies as follows: Euro (EUR), 57.6% + Japanese Yen (JPY), 13.6% + Pound Sterling (GBP), 11.9% + Canadian Dollar (CAD), 9.1% + Swedish Krona (SEK), 4.2% + Swiss Franc (CHF) 3.6%.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) |
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Many of the Funds described in this report are benchmarked daily to leveraged and/or inverse leveraged versions of published indices. To properly evaluate the performance of these funds, it is essential to understand the effect of mathematical compounding on their respective returns.
Because of the nonlinear effects of leverage applied over time, it is possible for a fund to perform in-line with its benchmark for several individual periods in a row, yet seem to trail the benchmark over the entire period on a cumulative basis. It is also possible that a fund that performs in-line with its benchmark on a daily basis may seem to outperform its benchmark over longer periods.
An Example of Compounding
For example, consider a hypothetical fund that is designed to produce returns that correspond to 150% of an index. On the first day of a period, the index rises from a level of 100 to a level of 106, producing a 6.0% gain and an expectation that the fund will rise by 9.0%. On the same day, the fund’s net asset value per share (“NAV”) increases from $10.00 to $10.90 for a gain of 9.0% — in line with its benchmark.
On day two, assume the index falls from 106 to 99 for a loss of about 6.6%. The fund, as expected, falls 9.9% to a price of $9.82. On each day, the fund performed exactly in line with its benchmark, but for the two-day period, the fund was down 1.8%, while the index was down only 1.0%. Without taking into account the daily compounding of returns, one would expect the fund to lose 1.5% and would see the fund as trailing by 0.3% when in fact it had performed perfectly. This example is summarized in the table below.
| Index | Index | Fund | Fund | Fund | Assessment |
Start | 100 | $ 10.00 | ||||
Day 1 | 106 | 6.0% | 9.0% | $ 10.90 | 9.0% | In line |
Day 2 | 99 | -6.6% | -9.9% | $ 9.82 | -9.9% | In line |
Cumulative | -1.0% | -1.5% | -1.8% | -0.3% |
As illustrated by this simple example, the effect of leverage can make it difficult to form expectations or judgments about fund performance given only the returns of the unleveraged index.
Because certain funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. Investors should monitor their leveraged and inverse funds’ holdings to ensure that they are consistent with their strategies, as frequently as daily. For those funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. For more on correlation, leverage and other risks, please read the prospectus.
In general, any change in direction in an index will produce compounding that seems to work against an investor. Were the index to move in the same direction (either up or down) for two or more periods in a row, the compounding of those returns would work in an investor’s favor, causing the fund to seemingly beat its benchmark.
As a general rule of thumb, more leverage in a fund will magnify the compounding effect, while less leverage will generally produce results that are more in line with expectations. In addition, periods of high volatility in an underlying index will also cause the effects of compounding to be more pronounced, while lower volatility will produce a more muted effect.
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
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All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the 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 examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning December 31, 2017 and ending June 30, 2018.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s 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 provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. 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 transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
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| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
S&P 500® Pure Growth Fund | 1.59% | 8.95% | $ 1,000.00 | $ 1,089.50 | $ 8.24 |
S&P 500® Pure Value Fund | 1.59% | (0.40%) | 1,000.00 | 996.00 | 7.87 |
S&P MidCap 400® Pure Growth Fund | 1.59% | 4.32% | 1,000.00 | 1,043.20 | 8.05 |
S&P MidCap 400® Pure Value Fund | 1.59% | 0.70% | 1,000.00 | 1,007.00 | 7.91 |
S&P SmallCap 600® Pure Growth Fund | 1.59% | 11.03% | 1,000.00 | 1,110.30 | 8.32 |
S&P SmallCap 600® Pure Value Fund | 1.59% | 5.94% | 1,000.00 | 1,059.40 | 8.12 |
Europe 1.25x Strategy Fund | 1.73% | (6.64%) | 1,000.00 | 933.60 | 8.29 |
Japan 2x Strategy Fund | 1.54% | (2.73%) | 1,000.00 | 972.70 | 7.53 |
Strengthening Dollar 2x Strategy Fund | 1.77% | 6.53% | 1,000.00 | 1,065.30 | 9.06 |
Weakening Dollar 2x Strategy Fund | 1.77% | (6.91%) | 1,000.00 | 930.90 | 8.47 |
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Table 2. Based on hypothetical 5% return (before expenses) | |||||
S&P 500® Pure Growth Fund | 1.59% | 5.00% | $ 1,000.00 | $ 1,016.91 | $ 7.95 |
S&P 500® Pure Value Fund | 1.59% | 5.00% | 1,000.00 | 1,016.91 | 7.95 |
S&P MidCap 400® Pure Growth Fund | 1.59% | 5.00% | 1,000.00 | 1,016.91 | 7.95 |
S&P MidCap 400® Pure Value Fund | 1.59% | 5.00% | 1,000.00 | 1,016.91 | 7.95 |
S&P SmallCap 600® Pure Growth Fund | 1.59% | 5.00% | 1,000.00 | 1,016.91 | 7.95 |
S&P SmallCap 600® Pure Value Fund | 1.59% | 5.00% | 1,000.00 | 1,016.91 | 7.95 |
Europe 1.25x Strategy Fund | 1.73% | 5.00% | 1,000.00 | 1,016.22 | 8.65 |
Japan 2x Strategy Fund | 1.54% | 5.00% | 1,000.00 | 1,017.16 | 7.70 |
Strengthening Dollar 2x Strategy Fund | 1.77% | 5.00% | 1,000.00 | 1,016.02 | 8.85 |
Weakening Dollar 2x Strategy Fund | 1.77% | 5.00% | 1,000.00 | 1,016.02 | 8.85 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies. |
3 | Actual cumulative return at net asset value for the period December 31, 2017 to June 30, 2018. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
S&P 500® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
Netflix, Inc. | 2.7% |
Adobe Systems, Inc. | 1.9% |
Align Technology, Inc. | 1.9% |
Amazon.com, Inc. | 1.8% |
ABIOMED, Inc. | 1.7% |
Centene Corp. | 1.7% |
NVIDIA Corp. | 1.7% |
Vertex Pharmaceuticals, Inc. | 1.6% |
PayPal Holdings, Inc. | 1.5% |
MSCI, Inc. — Class A | 1.5% |
Top Ten Total | 18.0% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® Pure Growth Fund | 8.95% | 20.62% | 13.82% | 11.70% |
S&P 500 Pure Growth Index | 9.81% | 22.83% | 15.73% | 13.75% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
S&P 500® PURE GROWTH FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.8% | ||||||||
Consumer, Non-cyclical - 30.0% | ||||||||
Align Technology, Inc.* | 3,310 | $ | 1,132,483 | |||||
ABIOMED, Inc.* | 2,500 | 1,022,625 | ||||||
Centene Corp.* | 8,141 | 1,003,053 | ||||||
Vertex Pharmaceuticals, Inc.* | 5,719 | 972,002 | ||||||
PayPal Holdings, Inc.* | 10,717 | 892,405 | ||||||
Total System Services, Inc. | 9,260 | 782,655 | ||||||
Intuitive Surgical, Inc.* | 1,540 | 736,859 | ||||||
Illumina, Inc.* | 2,500 | 698,225 | ||||||
UnitedHealth Group, Inc. | 2,430 | 596,176 | ||||||
Edwards Lifesciences Corp.* | 4,020 | 585,191 | ||||||
IDEXX Laboratories, Inc.* | 2,450 | 533,953 | ||||||
AbbVie, Inc. | 5,677 | 525,974 | ||||||
Global Payments, Inc. | 4,661 | 519,655 | ||||||
FleetCor Technologies, Inc.* | 2,430 | 511,879 | ||||||
Moody’s Corp. | 2,880 | 491,213 | ||||||
Hologic, Inc.* | 12,291 | 488,567 | ||||||
Cintas Corp. | 2,472 | 457,493 | ||||||
Estee Lauder Companies, Inc. — Class A | 3,110 | 443,766 | ||||||
United Rentals, Inc.* | 2,860 | 422,193 | ||||||
ResMed, Inc. | 3,878 | 401,683 | ||||||
Boston Scientific Corp.* | 11,675 | 381,773 | ||||||
Gartner, Inc.* | 2,732 | 363,083 | ||||||
Cigna Corp. | 2,080 | 353,496 | ||||||
Stryker Corp. | 2,030 | 342,786 | ||||||
S&P Global, Inc. | 1,670 | 340,496 | ||||||
Constellation Brands, Inc. — Class A | 1,420 | 310,795 | ||||||
Abbott Laboratories | 5,080 | 309,829 | ||||||
Avery Dennison Corp. | 2,960 | 302,216 | ||||||
Cooper Companies, Inc. | 1,270 | 299,022 | ||||||
Zoetis, Inc. | 3,190 | 271,756 | ||||||
Becton Dickinson and Co. | 1,130 | 270,703 | ||||||
Monster Beverage Corp.* | 4,390 | 251,547 | ||||||
Regeneron Pharmaceuticals, Inc.* | 700 | 241,493 | ||||||
Incyte Corp.* | 2,407 | 161,269 | ||||||
Celgene Corp.* | 1,898 | 150,739 | ||||||
Nektar Therapeutics* | 2,750 | 134,283 | ||||||
Total Consumer, Non-cyclical | 17,703,336 | |||||||
Technology - 28.5% | ||||||||
Adobe Systems, Inc.* | 4,650 | 1,133,716 | ||||||
NVIDIA Corp. | 4,229 | 1,001,850 | ||||||
MSCI, Inc. — Class A | 5,347 | 884,554 | ||||||
salesforce.com, Inc.* | 6,263 | 854,273 | ||||||
Activision Blizzard, Inc. | 11,180 | 853,258 | ||||||
Red Hat, Inc.* | 6,111 | 821,135 | ||||||
IPG Photonics Corp.* | 3,620 | 798,681 | ||||||
Applied Materials, Inc. | 17,154 | 792,343 | ||||||
Lam Research Corp. | 4,271 | 738,242 | ||||||
Broadcom, Inc. | 2,902 | 704,141 | ||||||
Broadridge Financial Solutions, Inc. | 5,910 | 680,241 | ||||||
Qorvo, Inc.* | 8,191 | 656,673 | ||||||
Apple, Inc. | 3,240 | 599,756 | ||||||
Micron Technology, Inc.* | 11,030 | 578,413 | ||||||
Cadence Design Systems, Inc.* | 12,474 | 540,249 | ||||||
Skyworks Solutions, Inc. | 5,463 | 527,999 | ||||||
ANSYS, Inc.* | 2,870 | 499,897 | ||||||
Microchip Technology, Inc. | 5,395 | 490,675 | ||||||
Cerner Corp.* | 8,087 | 483,522 | ||||||
Intuit, Inc. | 2,310 | 471,944 | ||||||
Cognizant Technology Solutions Corp. — Class A | 5,380 | 424,966 | ||||||
Synopsys, Inc.* | 4,700 | 402,179 | ||||||
NetApp, Inc. | 4,949 | 388,645 | ||||||
Analog Devices, Inc. | 4,005 | 384,160 | ||||||
Electronic Arts, Inc.* | 2,632 | 371,165 | ||||||
KLA-Tencor Corp. | 2,640 | 270,679 | ||||||
Fiserv, Inc.* | 3,440 | 254,870 | ||||||
Texas Instruments, Inc. | 2,283 | 251,701 | ||||||
Total Technology | 16,859,927 | |||||||
Financial - 12.3% | ||||||||
CBRE Group, Inc. — Class A* | 14,301 | 682,730 | ||||||
Visa, Inc. — Class A | 4,960 | 656,952 | ||||||
Cboe Global Markets, Inc. | 6,179 | 643,049 | ||||||
Mastercard, Inc. — Class A | 3,120 | 613,142 | ||||||
Progressive Corp. | 9,888 | 584,875 | ||||||
Prologis, Inc. REIT | 8,687 | 570,649 | ||||||
E*TRADE Financial Corp.* | 8,947 | 547,199 | ||||||
SBA Communications Corp. REIT* | 2,950 | 487,104 | ||||||
American Tower Corp. — Class A REIT | 3,270 | 471,436 | ||||||
Extra Space Storage, Inc. REIT | 4,473 | 446,450 | ||||||
Intercontinental Exchange, Inc. | 6,019 | 442,697 | ||||||
T. Rowe Price Group, Inc. | 2,880 | 334,339 | ||||||
SVB Financial Group* | 1,120 | 323,411 | ||||||
Charles Schwab Corp. | 5,717 | 292,139 | ||||||
Equinix, Inc. REIT | 460 | 197,749 | ||||||
Total Financial | 7,293,921 | |||||||
Communications - 11.6% | ||||||||
Netflix, Inc.* | 4,066 | 1,591,554 | ||||||
Amazon.com, Inc.* | 640 | 1,087,872 | ||||||
Facebook, Inc. — Class A* | 4,031 | 783,304 | ||||||
VeriSign, Inc.* | 4,297 | 590,494 | ||||||
Motorola Solutions, Inc. | 4,429 | 515,403 | ||||||
eBay, Inc.* | 13,477 | 488,676 | ||||||
Twitter, Inc.* | 9,860 | 430,586 | ||||||
Charter Communications, Inc. — Class A* | 1,380 | 404,630 | ||||||
Booking Holdings, Inc.* | 194 | 393,256 | ||||||
Alphabet, Inc. — Class A* | 238 | 268,747 | ||||||
Alphabet, Inc. — Class C* | 240 | 267,756 | ||||||
LogMeIn, Inc. | 1 | 103 | ||||||
Total Communications | 6,822,381 | |||||||
Industrial - 8.2% | ||||||||
Boeing Co. | 1,590 | 533,461 | ||||||
Corning, Inc. | 16,460 | 452,815 | ||||||
Agilent Technologies, Inc. | 6,108 | 377,719 | ||||||
Roper Technologies, Inc. | 1,240 | 342,128 | ||||||
Waste Management, Inc. | 4,120 | 335,121 | ||||||
TransDigm Group, Inc. | 970 | 334,786 | ||||||
Mettler-Toledo International, Inc.* | 570 | 329,819 |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
S&P 500® PURE GROWTH FUND |
|
| Value | ||||||
Rockwell Collins, Inc. | 2,360 | $ | 317,845 | |||||
Waters Corp.* | 1,540 | 298,129 | ||||||
AMETEK, Inc. | 4,080 | 294,413 | ||||||
Amphenol Corp. — Class A | 3,330 | 290,209 | ||||||
AO Smith Corp. | 4,826 | 285,458 | ||||||
CSX Corp. | 4,240 | 270,427 | ||||||
Fortune Brands Home & Security, Inc. | 4,699 | 252,289 | ||||||
Illinois Tool Works, Inc. | 1,130 | 156,550 | ||||||
Total Industrial | 4,871,169 | |||||||
Consumer, Cyclical - 8.1% | ||||||||
PulteGroup, Inc. | 24,313 | 698,999 | ||||||
Copart, Inc.* | 11,530 | 652,137 | ||||||
DR Horton, Inc. | 14,589 | 598,149 | ||||||
Marriott International, Inc. — Class A | 4,640 | 587,424 | ||||||
Aptiv plc | 5,201 | 476,567 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 9,607 | 453,931 | ||||||
Home Depot, Inc. | 2,040 | 398,004 | ||||||
Michael Kors Holdings Ltd.* | 5,562 | 370,429 | ||||||
Dollar Tree, Inc.* | 3,955 | 336,175 | ||||||
Wynn Resorts Ltd. | 1,380 | 230,929 | ||||||
Total Consumer, Cyclical | 4,802,744 | |||||||
Basic Materials - 1.1% | ||||||||
Sherwin-Williams Co. | 980 | 399,419 | ||||||
FMC Corp. | 2,730 | 243,543 | ||||||
Total Basic Materials | 642,962 | |||||||
Total Common Stocks | ||||||||
(Cost $44,591,428) | 58,996,440 |
| Face |
| ||||||
REPURCHASE AGREEMENTS††,1 - 0.4% | ||||||||
JPMorgan Chase & Co. | $ | 121,984 | 121,984 | |||||
Barclays Capital | 59,900 | 59,900 | ||||||
Bank of America Merrill Lynch | 39,933 | 39,933 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $221,817) | 221,817 | |||||||
Total Investments - 100.2% | ||||||||
(Cost $44,813,245) | $ | 59,218,257 | ||||||
Other Assets & Liabilities, net - (0.2)% | (112,723 | ) | ||||||
Total Net Assets - 100.0% | $ | 59,105,534 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Repurchase Agreements — See Note 6. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 58,996,440 | $ | — | $ | — | $ | 58,996,440 | ||||||||
Repurchase Agreements | — | 221,817 | — | 221,817 | ||||||||||||
Total Assets | $ | 58,996,440 | $ | 221,817 | $ | — | $ | 59,218,257 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
S&P 500® PURE GROWTH FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value (cost $44,591,428) | $ | 58,996,440 | ||
Repurchase agreements, at value (cost $221,817) | 221,817 | |||
Receivables: | ||||
Fund shares sold | 664,569 | |||
Dividends | 11,324 | |||
Interest | 26 | |||
Total assets | 59,894,176 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 652,137 | |||
Management fees | 36,811 | |||
Transfer agent and administrative fees | 12,270 | |||
Investor service fees | 12,270 | |||
Portfolio accounting fees | 4,908 | |||
Fund shares redeemed | 3,264 | |||
Trustees’ fees* | 1,557 | |||
Miscellaneous | 65,425 | |||
Total liabilities | 788,642 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 59,105,534 | ||
Net assets consist of: | ||||
Paid in capital | $ | 41,527,920 | ||
Accumulated net investment loss | (228,185 | ) | ||
Accumulated net realized gain on investments | 3,400,787 | |||
Net unrealized appreciation on investments | 14,405,012 | |||
Net assets | $ | 59,105,534 | ||
Capital shares outstanding | 1,079,215 | |||
Net asset value per share | $ | 54.77 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1) | $ | 210,678 | ||
Interest | 2,536 | |||
Income from securities lending, net | 113 | |||
Total investment income | 213,327 | |||
Expenses: | ||||
Management fees | 208,492 | |||
Investor service fees | 69,497 | |||
Transfer agent and administrative fees | 69,497 | |||
Professional fees | 44,722 | |||
Portfolio accounting fees | 27,799 | |||
Trustees’ fees* | 5,768 | |||
Custodian fees | 3,560 | |||
Line of credit fees | 11 | |||
Miscellaneous | 12,166 | |||
Total expenses | 441,512 | |||
Net investment loss | (228,185 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 68,875 | |||
Net realized gain | 68,875 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 4,408,712 | |||
Net change in unrealized appreciation (depreciation) | 4,408,712 | |||
Net realized and unrealized gain | 4,477,587 | |||
Net increase in net assets resulting from operations | $ | 4,249,402 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE GROWTH FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (228,185 | ) | $ | (380,607 | ) | ||
Net realized gain on investments | 68,875 | 6,058,588 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 4,408,712 | 4,261,174 | ||||||
Net increase in net assets resulting from operations | 4,249,402 | 9,939,155 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (2,087,780 | ) | |||||
Total distributions to shareholders | — | (2,087,780 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 52,885,535 | 135,382,187 | ||||||
Distributions reinvested | — | 2,087,780 | ||||||
Cost of shares redeemed | (53,051,908 | ) | (134,206,512 | ) | ||||
Net increase (decrease) from capital share transactions | (166,373 | ) | 3,263,455 | |||||
Net increase in net assets | 4,083,029 | 11,114,830 | ||||||
Net assets: | ||||||||
Beginning of period | 55,022,505 | 43,907,675 | ||||||
End of period | $ | 59,105,534 | $ | 55,022,505 | ||||
Accumulated net investment loss at end of period | $ | (228,185 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 985,796 | 2,880,090 | ||||||
Shares issued from reinvestment of distributions | — | 45,200 | ||||||
Shares redeemed | (1,001,019 | ) | (2,868,566 | ) | ||||
Net increase (decrease) in shares | (15,223 | ) | 56,724 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
S&P 500® PURE GROWTH FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 50.27 | $ | 42.31 | $ | 43.72 | $ | 47.51 | $ | 47.61 | $ | 33.69 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.22 | ) | (.38 | ) | (.23 | ) | (.25 | ) | (.33 | ) | (.18 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.72 | 10.51 | 1.38 | .91 | 6.19 | 14.10 | ||||||||||||||||||
Total from investment operations | 4.50 | 10.13 | 1.15 | .66 | 5.86 | 13.92 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (2.17 | ) | (2.56 | ) | (4.45 | ) | (5.96 | ) | — | ||||||||||||||
Total distributions | — | (2.17 | ) | (2.56 | ) | (4.45 | ) | (5.96 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 54.77 | $ | 50.27 | $ | 42.31 | $ | 43.72 | $ | 47.51 | $ | 47.61 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 8.95 | % | 24.39 | % | 2.58 | % | 1.08 | % | 12.42 | % | 41.32 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 59,106 | $ | 55,023 | $ | 43,908 | $ | 77,644 | $ | 87,942 | $ | 61,887 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.82 | %) | (0.80 | %) | (0.54 | %) | (0.54 | %) | (0.67 | %) | (0.44 | %) | ||||||||||||
Total expenses | 1.59 | % | 1.67 | % | 1.56 | % | 1.51 | % | 1.57 | % | 1.54 | % | ||||||||||||
Portfolio turnover rate | 83 | % | 303 | % | 265 | % | 174 | % | 251 | % | 324 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
S&P 500® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for large-cap value securities on a daily basis. The Fund’s current benchmark is the S&P 500® Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
CenturyLink, Inc. | 2.8% |
Envision Healthcare Corp. | 2.7% |
Kohl’s Corp. | 2.5% |
Macy’s, Inc. | 2.4% |
Berkshire Hathaway, Inc. — Class B | 2.2% |
Archer-Daniels-Midland Co. | 2.1% |
Valero Energy Corp. | 1.9% |
Andeavor | 1.8% |
XL Group Ltd. | 1.7% |
General Motors Co. | 1.7% |
Top Ten Total | 21.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® Pure Value Fund | (0.40%) | 11.10% | 10.71% | 11.16% |
S&P 500 Pure Value Index | 0.31% | 12.74% | 12.49% | 13.37% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
S&P 500® PURE VALUE FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Financial - 26.6% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 4,113 | $ | 767,691 | |||||
XL Group Ltd. | 10,701 | 598,721 | ||||||
Jefferies Financial Group, Inc. | 21,468 | 488,182 | ||||||
Loews Corp. | 9,189 | 443,645 | ||||||
Prudential Financial, Inc. | 4,710 | 440,432 | ||||||
Assurant, Inc. | 3,837 | 397,091 | ||||||
Capital One Financial Corp. | 4,089 | 375,779 | ||||||
Everest Re Group Ltd. | 1,548 | 356,783 | ||||||
Lincoln National Corp. | 5,713 | 355,634 | ||||||
MetLife, Inc. | 7,658 | 333,889 | ||||||
Citigroup, Inc. | 4,840 | 323,893 | ||||||
American International Group, Inc. | 5,801 | 307,569 | ||||||
Hartford Financial Services Group, Inc. | 6,007 | 307,138 | ||||||
Citizens Financial Group, Inc. | 7,627 | 296,690 | ||||||
Regions Financial Corp. | 13,665 | 242,964 | ||||||
Travelers Companies, Inc. | 1,870 | 228,776 | ||||||
Aflac, Inc. | 5,254 | 226,027 | ||||||
Unum Group | 5,950 | 220,091 | ||||||
Morgan Stanley | 4,610 | 218,514 | ||||||
Goldman Sachs Group, Inc. | 988 | 217,923 | ||||||
People’s United Financial, Inc. | 12,025 | 217,532 | ||||||
SunTrust Banks, Inc. | 3,294 | 217,470 | ||||||
Zions Bancorporation | 3,524 | 185,679 | ||||||
Chubb Ltd. | 1,422 | 180,622 | ||||||
KeyCorp | 9,005 | 175,958 | ||||||
Fifth Third Bancorp | 6,124 | 175,759 | ||||||
BB&T Corp. | 3,201 | 161,458 | ||||||
Wells Fargo & Co. | 2,820 | 156,341 | ||||||
Bank of New York Mellon Corp. | 2,870 | 154,779 | ||||||
JPMorgan Chase & Co. | 1,390 | 144,838 | ||||||
Cincinnati Financial Corp. | 1,953 | 130,578 | ||||||
Huntington Bancshares, Inc. | 8,654 | 127,733 | ||||||
PNC Financial Services Group, Inc. | 886 | 119,699 | ||||||
Invesco Ltd. | 3,351 | 89,003 | ||||||
Total Financial | 9,384,881 | |||||||
Consumer, Cyclical - 21.8% | ||||||||
Kohl’s Corp. | 12,147 | 885,516 | ||||||
Macy’s, Inc. | 22,763 | 852,019 | ||||||
General Motors Co. | 14,957 | 589,306 | ||||||
Ford Motor Co. | 49,624 | 549,338 | ||||||
Target Corp. | 6,644 | 505,741 | ||||||
United Continental Holdings, Inc.* | 6,883 | 479,952 | ||||||
Best Buy Company, Inc. | 6,052 | 451,358 | ||||||
Foot Locker, Inc. | 7,441 | 391,769 | ||||||
Goodyear Tire & Rubber Co. | 15,312 | 356,616 | ||||||
Newell Brands, Inc. | 12,985 | 334,883 | ||||||
Advance Auto Parts, Inc. | 2,444 | 331,651 | ||||||
Nordstrom, Inc. | 5,534 | 286,551 | ||||||
Whirlpool Corp. | 1,957 | 286,172 | ||||||
Walgreens Boots Alliance, Inc. | 3,739 | 224,396 | ||||||
Walmart, Inc. | 2,408 | 206,245 | ||||||
PVH Corp. | 1,346 | 201,523 | ||||||
Delta Air Lines, Inc. | 3,538 | 175,272 | ||||||
Costco Wholesale Corp. | 750 | 156,735 | ||||||
Alaska Air Group, Inc. | 2,453 | 148,137 | ||||||
Gap, Inc. | 4,573 | 148,119 | ||||||
Genuine Parts Co. | 1,292 | 118,593 | ||||||
Total Consumer, Cyclical | 7,679,892 | |||||||
Consumer, Non-cyclical - 17.8% | ||||||||
Envision Healthcare Corp.* | 21,966 | 966,724 | ||||||
Archer-Daniels-Midland Co. | 15,959 | 731,401 | ||||||
Express Scripts Holding Co.* | 7,194 | 555,449 | ||||||
CVS Health Corp. | 6,927 | 445,752 | ||||||
Kroger Co. | 15,515 | 441,402 | ||||||
McKesson Corp. | 3,045 | 406,203 | ||||||
Cardinal Health, Inc. | 7,446 | 363,588 | ||||||
Quanta Services, Inc.* | 10,539 | 352,003 | ||||||
AmerisourceBergen Corp. — Class A | 3,155 | 269,027 | ||||||
Molson Coors Brewing Co. — Class B | 3,502 | 238,276 | ||||||
Humana, Inc. | 800 | 238,104 | ||||||
DaVita, Inc.* | 3,364 | 233,596 | ||||||
Universal Health Services, Inc. — Class B | 2,060 | 229,566 | ||||||
Mylan N.V.* | 5,845 | 211,238 | ||||||
Sysco Corp. | 2,756 | 188,207 | ||||||
Tyson Foods, Inc. — Class A | 2,536 | 174,604 | ||||||
Coty, Inc. — Class A | 9,272 | 130,735 | ||||||
JM Smucker Co. | 1,046 | 112,424 | ||||||
Total Consumer, Non-cyclical | 6,288,299 | |||||||
Energy - 12.6% | ||||||||
Valero Energy Corp. | 5,914 | 655,449 | ||||||
Andeavor | 4,740 | 621,793 | ||||||
TechnipFMC plc | 18,018 | 571,891 | ||||||
Baker Hughes a GE Co. | 16,430 | 542,683 | ||||||
Marathon Petroleum Corp. | 6,073 | 426,082 | ||||||
Phillips 66 | 3,327 | 373,655 | ||||||
HollyFrontier Corp. | 5,260 | 359,942 | ||||||
National Oilwell Varco, Inc. | 7,496 | 325,326 | ||||||
Kinder Morgan, Inc. | 15,492 | 273,744 | ||||||
Chevron Corp. | 1,400 | 177,002 | ||||||
Exxon Mobil Corp. | 1,570 | 129,886 | ||||||
Total Energy | 4,457,453 | |||||||
Communications - 6.3% | ||||||||
CenturyLink, Inc. | 52,355 | 975,897 | ||||||
Viacom, Inc. — Class B | 10,099 | 304,586 | ||||||
News Corp. — Class A | 14,777 | 229,044 | ||||||
Discovery, Inc. — Class C* | 7,226 | 184,263 | ||||||
AT&T, Inc. | 5,390 | 173,073 | ||||||
Discovery, Inc. — Class A*,1 | 5,413 | 148,857 | ||||||
Interpublic Group of Companies, Inc. | 5,918 | 138,718 | ||||||
News Corp. — Class B | 4,724 | 74,875 | ||||||
Total Communications | 2,229,313 | |||||||
Industrial - 4.6% | ||||||||
Fluor Corp. | 9,648 | 470,629 | ||||||
Jacobs Engineering Group, Inc. | 4,344 | 275,801 | ||||||
WestRock Co. | 4,410 | 251,458 | ||||||
Johnson Controls International plc | 6,064 | 202,841 |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
S&P 500® PURE VALUE FUND |
|
| Value | ||||||
Textron, Inc. | 2,623 | $ | 172,882 | |||||
Eaton Corporation plc | 1,832 | 136,924 | ||||||
General Electric Co. | 8,580 | 116,774 | ||||||
Total Industrial | 1,627,309 | |||||||
Utilities - 4.1% | ||||||||
AES Corp. | 32,820 | 440,116 | ||||||
SCANA Corp. | 9,043 | 348,337 | ||||||
Exelon Corp. | 7,072 | 301,267 | ||||||
PG&E Corp. | 4,797 | 204,160 | ||||||
Duke Energy Corp. | 1,769 | 139,893 | ||||||
Total Utilities | 1,433,773 | |||||||
Technology - 3.1% | ||||||||
Hewlett Packard Enterprise Co. | 36,220 | 529,174 | ||||||
Xerox Corp. | 14,348 | 344,352 | ||||||
Western Digital Corp. | 2,711 | 209,859 | ||||||
Total Technology | 1,083,385 | |||||||
Basic Materials - 2.6% | ||||||||
Mosaic Co. | 19,091 | 535,502 | ||||||
Nucor Corp. | 3,794 | 237,125 | ||||||
DowDuPont, Inc. | 2,280 | 150,298 | ||||||
Total Basic Materials | 922,925 | |||||||
Total Common Stocks | ||||||||
(Cost $28,258,675) | 35,107,230 | |||||||
| Face | |||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
JPMorgan Chase & Co. | $ | 139,936 | 139,936 | |||||
Barclays Capital | 68,715 | 68,715 | ||||||
Bank of America Merrill Lynch | 45,810 | 45,810 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $254,461) | 254,461 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.3% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 116,532 | 116,532 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $116,532) | 116,532 | |||||||
Total Investments - 100.5% | ||||||||
(Cost $28,629,668) | $ | 35,478,223 | ||||||
Other Assets & Liabilities, net - (0.5)% | (191,156 | ) | ||||||
Total Net Assets - 100.0% | $ | 35,287,067 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
S&P 500® PURE VALUE FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 35,107,230 | $ | — | $ | — | $ | 35,107,230 | ||||||||
Repurchase Agreements | — | 254,461 | — | 254,461 | ||||||||||||
Securities Lending Collateral | 116,532 | — | — | 116,532 | ||||||||||||
Total Assets | $ | 35,223,762 | $ | 254,461 | $ | — | $ | 35,478,223 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $109,560 of securities loaned (cost $28,375,207) | $ | 35,223,762 | ||
Repurchase agreements, at value (cost $254,461) | 254,461 | |||
Receivables: | ||||
Fund shares sold | 597,721 | |||
Dividends | 46,573 | |||
Interest | 30 | |||
Securities lending income | 10 | |||
Total assets | 36,122,557 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 610,439 | |||
Return of securities loaned | 116,532 | |||
Management fees | 23,387 | |||
Transfer agent and administrative fees | 7,796 | |||
Investor service fees | 7,796 | |||
Portfolio accounting fees | 3,118 | |||
Fund shares redeemed | 1,908 | |||
Trustees’ fees* | 1,063 | |||
Miscellaneous | 63,451 | |||
Total liabilities | 835,490 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 35,287,067 | ||
Net assets consist of: | ||||
Paid in capital | $ | 27,166,698 | ||
Undistributed net investment income | 422,923 | |||
Accumulated net realized gain on investments | 848,891 | |||
Net unrealized appreciation on investments | 6,848,555 | |||
Net assets | $ | 35,287,067 | ||
Capital shares outstanding | 573,040 | |||
Net asset value per share | $ | 61.58 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends | $ | 473,993 | ||
Interest | 1,678 | |||
Income from securities lending, net | 439 | |||
Total investment income | 476,110 | |||
Expenses: | ||||
Management fees | 144,447 | |||
Investor service fees | 48,149 | |||
Transfer agent and administrative fees | 48,149 | |||
Professional fees | 34,914 | |||
Portfolio accounting fees | 19,259 | |||
Trustees’ fees* | 3,782 | |||
Custodian fees | 2,494 | |||
Line of credit fees | 2 | |||
Miscellaneous | 4,325 | |||
Total expenses | 305,521 | |||
Net investment income | 170,589 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 427,204 | |||
Net realized gain | 427,204 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (569,853 | ) | ||
Net change in unrealized appreciation (depreciation) | (569,853 | ) | ||
Net realized and unrealized loss | (142,649 | ) | ||
Net increase in net assets resulting from operations | $ | 27,940 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
S&P 500® PURE VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 170,589 | $ | 254,646 | ||||
Net realized gain on investments | 427,204 | 4,034,225 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (569,853 | ) | 1,242,426 | |||||
Net increase in net assets resulting from operations | 27,940 | 5,531,297 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (313,901 | ) | |||||
Net realized gains | — | (1,917,632 | ) | |||||
Total distributions to shareholders | — | (2,231,533 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 27,641,889 | 45,594,001 | ||||||
Distributions reinvested | — | 2,231,533 | ||||||
Cost of shares redeemed | (36,878,306 | ) | (51,478,447 | ) | ||||
Net decrease from capital share transactions | (9,236,417 | ) | (3,652,913 | ) | ||||
Net decrease in net assets | (9,208,477 | ) | (353,149 | ) | ||||
Net assets: | ||||||||
Beginning of period | 44,495,544 | 44,848,693 | ||||||
End of period | $ | 35,287,067 | $ | 44,495,544 | ||||
Undistributed net investment income at end of period | $ | 422,923 | $ | 252,334 | ||||
Capital share activity: | ||||||||
Shares sold | 443,588 | 778,343 | ||||||
Shares issued from reinvestment of distributions | — | 39,764 | ||||||
Shares redeemed | (590,240 | ) | (892,928 | ) | ||||
Net decrease in shares | (146,652 | ) | (74,821 | ) |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® PURE VALUE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 61.83 | $ | 56.45 | $ | 50.08 | $ | 71.22 | $ | 69.60 | $ | 47.91 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .27 | .35 | .83 | .63 | .42 | .21 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.52 | ) | 8.28 | 9.87 | (5.87 | ) | 7.10 | 21.48 | ||||||||||||||||
Total from investment operations | (.25 | ) | 8.63 | 10.70 | (5.24 | ) | 7.52 | 21.69 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.46 | ) | (1.23 | ) | (.82 | ) | (.34 | ) | — | ||||||||||||||
Net realized gains | — | (2.79 | ) | (3.10 | ) | (15.08 | ) | (5.56 | ) | — | ||||||||||||||
Total distributions | — | (3.25 | ) | (4.33 | ) | (15.90 | ) | (5.90 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 61.58 | $ | 61.83 | $ | 56.45 | $ | 50.08 | $ | 71.22 | $ | 69.60 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (0.40 | %) | 15.86 | % | 17.40 | % | (9.38 | %) | 10.94 | % | 45.26 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 35,287 | $ | 44,496 | $ | 44,849 | $ | 32,326 | $ | 63,165 | $ | 74,001 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.89 | % | 0.61 | % | 0.88 | % | 1.02 | % | 0.58 | % | 0.35 | % | ||||||||||||
Total expenses | 1.59 | % | 1.61 | % | 1.56 | % | 1.51 | % | 1.57 | % | 1.54 | % | ||||||||||||
Portfolio turnover rate | 60 | % | 127 | % | 207 | % | 162 | % | 209 | % | 371 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 2:1 share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
S&P MIDCAP 400® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
Medidata Solutions, Inc. | 2.1% |
Five Below, Inc. | 2.1% |
Fortinet, Inc. | 2.1% |
Churchill Downs, Inc. | 1.9% |
LivaNova plc | 1.8% |
Exelixis, Inc. | 1.8% |
Louisiana-Pacific Corp. | 1.8% |
MKS Instruments, Inc. | 1.7% |
Jabil, Inc. | 1.7% |
Zebra Technologies Corp. — Class A | 1.6% |
Top Ten Total | 18.6% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P MidCap 400® Pure Growth Fund | 4.32% | 14.23% | 8.92% | 10.37% |
S&P MidCap 400 Pure Growth Index | 5.12% | 16.18% | 10.65% | 12.15% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
S&P MIDCAP 400® PURE GROWTH FUND |
|
| Value | ||||||
COMMON STOCKS† - 100.0% | ||||||||
Consumer, Non-cyclical - 26.2% | ||||||||
LivaNova plc* | 4,600 | $ | 459,172 | |||||
Exelixis, Inc.* | 20,580 | 442,882 | ||||||
ICU Medical, Inc.* | 1,330 | 390,554 | ||||||
Catalent, Inc.* | 8,490 | 355,646 | ||||||
Masimo Corp.* | 3,540 | 345,681 | ||||||
Globus Medical, Inc. — Class A* | 6,830 | 344,642 | ||||||
Hill-Rom Holdings, Inc. | 3,520 | 307,437 | ||||||
Charles River Laboratories International, Inc.* | 2,430 | 272,792 | ||||||
Encompass Health Corp. | 3,970 | 268,848 | ||||||
Healthcare Services Group, Inc. | 5,790 | 250,070 | ||||||
Chemed Corp. | 770 | 247,794 | ||||||
Brink’s Co. | 3,060 | 244,035 | ||||||
Akorn, Inc.* | 14,463 | 239,941 | ||||||
Lamb Weston Holdings, Inc. | 3,446 | 236,086 | ||||||
Sprouts Farmers Market, Inc.* | 10,047 | 221,737 | ||||||
Bio-Techne Corp. | 1,450 | 214,527 | ||||||
Service Corporation International | 5,410 | 193,624 | ||||||
Cantel Medical Corp. | 1,960 | 192,786 | ||||||
Teleflex, Inc. | 700 | 187,747 | ||||||
MarketAxess Holdings, Inc. | 908 | 179,657 | ||||||
Sotheby’s* | 3,300 | 179,322 | ||||||
Rollins, Inc. | 3,320 | 174,565 | ||||||
CoreLogic, Inc.* | 3,221 | 167,170 | ||||||
PRA Health Sciences, Inc.* | 1,690 | 157,779 | ||||||
WEX, Inc.* | 820 | 156,194 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 410 | 118,301 | ||||||
Total Consumer, Non-cyclical | 6,548,989 | |||||||
Consumer, Cyclical - 21.5% | ||||||||
Five Below, Inc.* | 5,382 | 525,875 | ||||||
Churchill Downs, Inc. | 1,565 | 464,023 | ||||||
Scientific Games Corp. — Class A* | 7,843 | 385,483 | ||||||
TRI Pointe Group, Inc.* | 22,720 | 371,699 | ||||||
KB Home | 13,540 | 368,829 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 4,790 | 347,275 | ||||||
Skechers U.S.A., Inc. — Class A* | 11,034 | 331,130 | ||||||
NVR, Inc.* | 109 | 323,768 | ||||||
Live Nation Entertainment, Inc.* | 6,563 | 318,765 | ||||||
Toll Brothers, Inc. | 7,620 | 281,864 | ||||||
Domino’s Pizza, Inc. | 989 | 279,066 | ||||||
Thor Industries, Inc. | 2,440 | 237,632 | ||||||
Herman Miller, Inc. | 6,610 | 224,079 | ||||||
Delphi Technologies plc | 4,300 | 195,478 | ||||||
Polaris Industries, Inc. | 1,430 | 174,718 | ||||||
Boyd Gaming Corp. | 4,683 | 162,313 | ||||||
Pool Corp. | 1,038 | 157,257 | ||||||
Wyndham Hotels & Resorts, Inc. | 2,170 | 127,661 | ||||||
Wyndham Destinations, Inc. | 2,170 | 96,066 | ||||||
Total Consumer, Cyclical | 5,372,981 | |||||||
Technology - 18.1% | ||||||||
Medidata Solutions, Inc.* | 6,590 | 530,890 | ||||||
Fortinet, Inc.* | 8,360 | 521,915 | ||||||
MKS Instruments, Inc. | 4,470 | 427,779 | ||||||
Zebra Technologies Corp. — Class A* | 2,796 | 400,527 | ||||||
Monolithic Power Systems, Inc. | 2,465 | 329,497 | ||||||
Integrated Device Technology, Inc.* | 9,349 | 298,046 | ||||||
Blackbaud, Inc. | 2,680 | 274,566 | ||||||
Teradyne, Inc. | 6,650 | 253,165 | ||||||
Tyler Technologies, Inc.* | 1,000 | 222,100 | ||||||
Fair Isaac Corp.* | 1,045 | 202,020 | ||||||
Ultimate Software Group, Inc.* | 781 | 200,959 | ||||||
j2 Global, Inc. | 2,199 | 190,455 | ||||||
Silicon Laboratories, Inc.* | 1,810 | 180,276 | ||||||
Jack Henry & Associates, Inc. | 1,290 | 168,165 | ||||||
Cirrus Logic, Inc.* | 4,333 | 166,084 | ||||||
MAXIMUS, Inc. | 2,600 | 161,486 | ||||||
Total Technology | 4,527,930 | |||||||
Industrial - 14.6% | ||||||||
Louisiana-Pacific Corp. | 16,090 | 437,970 | ||||||
Jabil, Inc. | 15,320 | 423,751 | ||||||
KLX, Inc.* | 5,410 | 388,979 | ||||||
Dycom Industries, Inc.* | 3,250 | 307,158 | ||||||
Cognex Corp. | 6,318 | 281,846 | ||||||
Graco, Inc. | 5,950 | 269,059 | ||||||
Littelfuse, Inc. | 1,063 | 242,555 | ||||||
Coherent, Inc.* | 1,420 | 222,117 | ||||||
Old Dominion Freight Line, Inc. | 1,472 | 219,269 | ||||||
Lennox International, Inc. | 920 | 184,138 | ||||||
Teledyne Technologies, Inc.* | 750 | 149,295 | ||||||
IDEX Corp. | 890 | 121,467 | ||||||
Eagle Materials, Inc. | 1,018 | 106,859 | ||||||
National Instruments Corp. | 2,440 | 102,431 | ||||||
Trimble, Inc.* | 3,000 | 98,520 | ||||||
Nordson Corp. | 760 | 97,592 | ||||||
Total Industrial | 3,653,006 | |||||||
Financial - 14.3% | ||||||||
Evercore, Inc. — Class A | 3,360 | 354,312 | ||||||
LendingTree, Inc.*,1 | 1,460 | 312,148 | ||||||
CNO Financial Group, Inc. | 15,820 | 301,213 | ||||||
First Industrial Realty Trust, Inc. REIT | 8,878 | 295,992 | ||||||
Kemper Corp. | 3,640 | 275,366 | ||||||
Primerica, Inc. | 2,680 | 266,928 | ||||||
DCT Industrial Trust, Inc. REIT | 3,718 | 248,102 | ||||||
Janus Henderson Group plc | 6,696 | 205,768 | ||||||
CoreSite Realty Corp. REIT | 1,818 | 201,471 | ||||||
Synovus Financial Corp. | 3,721 | 196,580 | ||||||
SEI Investments Co. | 2,799 | 174,993 | ||||||
East West Bancorp, Inc. | 2,621 | 170,889 | ||||||
Bank of the Ozarks | 3,766 | 169,621 | ||||||
Texas Capital Bancshares, Inc.* | 1,401 | 128,192 | ||||||
Interactive Brokers Group, Inc. — Class A | 1,577 | 101,575 | ||||||
Federated Investors, Inc. — Class B | 3,760 | 87,683 | ||||||
Eaton Vance Corp. | 1,590 | 82,982 | ||||||
Total Financial | 3,573,815 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
S&P MIDCAP 400® PURE GROWTH FUND |
|
| Value | ||||||
Communications - 2.9% | ||||||||
New York Times Co. — Class A | 8,247 | $ | 213,597 | |||||
LogMeIn, Inc. | 1,948 | 201,131 | ||||||
InterDigital, Inc. | 1,874 | 151,606 | ||||||
FactSet Research Systems, Inc. | 765 | 151,547 | ||||||
Total Communications | 717,881 | |||||||
Basic Materials - 2.4% | ||||||||
Royal Gold, Inc. | 2,832 | 262,923 | ||||||
Versum Materials, Inc. | 5,883 | 218,553 | ||||||
Chemours Co. | 2,350 | 104,246 | ||||||
Total Basic Materials | 585,722 | |||||||
Total Common Stocks | ||||||||
(Cost $22,776,501) | 24,980,324 |
| Face |
| ||||||
REPURCHASE AGREEMENTS††,2 - 0.3% | ||||||||
JPMorgan Chase & Co. | $ | 46,438 | 46,438 | |||||
Barclays Capital | 22,803 | 22,803 | ||||||
Bank of America Merrill Lynch | 15,202 | 15,202 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $84,443) | 84,443 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.6% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 152,295 | 152,295 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $152,295) | 152,295 | |||||||
Total Investments - 100.9% | ||||||||
(Cost $23,013,239) | $ | 25,217,062 | ||||||
Other Assets & Liabilities, net - (0.9)% | (227,755 | ) | ||||||
Total Net Assets - 100.0% | $ | 24,989,307 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
S&P MIDCAP 400® PURE GROWTH FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 24,980,324 | $ | — | $ | — | $ | 24,980,324 | ||||||||
Repurchase Agreements | — | 84,443 | — | 84,443 | ||||||||||||
Securities Lending Collateral | 152,295 | — | — | 152,295 | ||||||||||||
Total Assets | $ | 25,132,619 | $ | 84,443 | $ | — | $ | 25,217,062 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
S&P MIDCAP 400® PURE GROWTH FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $151,798 of securities loaned (cost $22,928,796) | $ | 25,132,619 | ||
Repurchase agreements, at value (cost $84,443) | 84,443 | |||
Receivables: | ||||
Securities sold | 382,793 | |||
Fund shares sold | 28,285 | |||
Dividends | 11,734 | |||
Securities lending income | 28 | |||
Interest | 10 | |||
Total assets | 25,639,912 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 442,882 | |||
Return of securities loaned | 152,295 | |||
Management fees | 14,575 | |||
Transfer agent and administrative fees | 4,859 | |||
Investor service fees | 4,859 | |||
Portfolio accounting fees | 1,943 | |||
Trustees’ fees* | 574 | |||
Fund shares redeemed | 513 | |||
Miscellaneous | 28,105 | |||
Total liabilities | 650,605 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 24,989,307 | ||
Net assets consist of: | ||||
Paid in capital | $ | 20,898,392 | ||
Accumulated net investment loss | (113,516 | ) | ||
Accumulated net realized gain on investments | 2,000,608 | |||
Net unrealized appreciation on investments | 2,203,823 | |||
Net assets | $ | 24,989,307 | ||
Capital shares outstanding | 609,368 | |||
Net asset value per share | $ | 41.01 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends | $ | 71,966 | ||
Interest | 1,093 | |||
Income from securities lending, net | 156 | |||
Total investment income | 73,215 | |||
Expenses: | ||||
Management fees | 88,304 | |||
Investor service fees | 29,435 | |||
Transfer agent and administrative fees | 29,435 | |||
Professional fees | 18,324 | |||
Portfolio accounting fees | 11,774 | |||
Trustees’ fees* | 2,658 | |||
Custodian fees | 1,495 | |||
Line of credit fees | 20 | |||
Miscellaneous | 5,286 | |||
Total expenses | 186,731 | |||
Net investment loss | (113,516 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,079,760 | |||
Net realized gain | 1,079,760 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (352,769 | ) | ||
Net change in unrealized appreciation (depreciation) | (352,769 | ) | ||
Net realized and unrealized gain | 726,991 | |||
Net increase in net assets resulting from operations | $ | 613,475 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE GROWTH FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (113,516 | ) | $ | (144,598 | ) | ||
Net realized gain on investments | 1,079,760 | 2,534,052 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (352,769 | ) | 1,073,528 | |||||
Net increase in net assets resulting from operations | 613,475 | 3,462,982 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 18,873,182 | 37,220,117 | ||||||
Cost of shares redeemed | (14,891,671 | ) | (39,349,617 | ) | ||||
Net increase (decrease) from capital share transactions | 3,981,511 | (2,129,500 | ) | |||||
Net increase in net assets | 4,594,986 | 1,333,482 | ||||||
Net assets: | ||||||||
Beginning of period | 20,394,321 | 19,060,839 | ||||||
End of period | $ | 24,989,307 | $ | 20,394,321 | ||||
Accumulated net investment loss at end of period | $ | (113,516 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 461,720 | 1,043,953 | ||||||
Shares redeemed | (371,185 | ) | (1,100,852 | ) | ||||
Net increase (decrease) in shares | 90,535 | (56,899 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
S&P MIDCAP 400® PURE GROWTH FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 39.31 | $ | 33.11 | $ | 32.23 | $ | 34.05 | $ | 43.02 | $ | 34.66 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.20 | ) | (.25 | ) | (.22 | ) | (.22 | ) | (.28 | ) | (.17 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.90 | 6.45 | 1.10 | .88 | (.31 | ) | 11.79 | |||||||||||||||||
Total from investment operations | 1.70 | 6.20 | .88 | .66 | (.59 | ) | 11.62 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | — | (2.48 | ) | (8.38 | ) | (3.26 | ) | |||||||||||||||
Total distributions | — | — | — | (2.48 | ) | (8.38 | ) | (3.26 | ) | |||||||||||||||
Net asset value, end of period | $ | 41.01 | $ | 39.31 | $ | 33.11 | $ | 32.23 | $ | 34.05 | $ | 43.02 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 4.32 | % | 18.73 | % | 2.70 | % | 1.32 | % | (1.55 | %) | 34.05 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 24,989 | $ | 20,394 | $ | 19,061 | $ | 34,144 | $ | 29,927 | $ | 49,701 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.96 | %) | (0.70 | %) | (0.71 | %) | (0.64 | %) | (0.67 | %) | (0.43 | %) | ||||||||||||
Total expenses | 1.59 | % | 1.61 | % | 1.56 | % | 1.50 | % | 1.57 | % | 1.54 | % | ||||||||||||
Portfolio turnover rate | 74 | % | 233 | % | 296 | % | 269 | % | 380 | % | 335 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
S&P MIDCAP 400® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for mid-cap value securities on a daily basis. The Fund’s current benchmark is the S&P MidCap 400® Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
Dillard’s, Inc. — Class A | 3.8% |
Genworth Financial, Inc. — Class A | 3.4% |
LifePoint Health, Inc. | 2.7% |
Signet Jewelers Ltd. | 2.7% |
Avnet, Inc. | 2.7% |
NOW, Inc. | 2.3% |
PBF Energy, Inc. — Class A | 2.3% |
Dick’s Sporting Goods, Inc. | 2.1% |
TreeHouse Foods, Inc. | 2.0% |
Bed Bath & Beyond, Inc. | 1.9% |
Top Ten Total | 25.9% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P MidCap 400® Pure Value Fund | 0.70% | 11.32% | 10.06% | 9.67% |
S&P MidCap 400 Pure Value Index | 1.56% | 13.29% | 12.02% | 11.96% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P MidCap 400 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
S&P MIDCAP 400® PURE VALUE FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Energy - 20.1% | ||||||||
NOW, Inc.* | 21,990 | $ | 293,127 | |||||
PBF Energy, Inc. — Class A | 6,830 | 286,382 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 10,250 | 213,815 | ||||||
Ensco plc — Class A1 | 27,320 | 198,343 | ||||||
McDermott International, Inc.* | 9,243 | 181,625 | ||||||
QEP Resources, Inc.* | 13,881 | 170,181 | ||||||
Range Resources Corp. | 8,990 | 150,403 | ||||||
Oceaneering International, Inc. | 5,287 | 134,607 | ||||||
Rowan Companies plc — Class A* | 8,170 | 132,517 | ||||||
Murphy USA, Inc.* | 1,742 | 129,413 | ||||||
CNX Resources Corp.* | 6,870 | 122,149 | ||||||
Gulfport Energy Corp.* | 9,470 | 119,038 | ||||||
Oasis Petroleum, Inc.* | 9,130 | 118,416 | ||||||
Murphy Oil Corp. | 3,289 | 111,069 | ||||||
Chesapeake Energy Corp.*,1 | 20,850 | 109,254 | ||||||
Callon Petroleum Co.* | 4,800 | 51,552 | ||||||
Total Energy | 2,521,891 | |||||||
Financial - 19.0% | ||||||||
Genworth Financial, Inc. — Class A* | 95,997 | 431,986 | ||||||
Navient Corp. | 12,920 | 168,348 | ||||||
Old Republic International Corp. | 8,027 | 159,818 | ||||||
Legg Mason, Inc. | 4,329 | 150,346 | ||||||
Reinsurance Group of America, Inc. — Class A | 966 | 128,942 | ||||||
Aspen Insurance Holdings Ltd. | 2,940 | 119,658 | ||||||
Sabra Health Care REIT, Inc. | 5,180 | 112,561 | ||||||
Hanover Insurance Group, Inc. | 929 | 111,071 | ||||||
Alleghany Corp. | 180 | 103,495 | ||||||
WR Berkley Corp. | 1,388 | 100,505 | ||||||
FNB Corp. | 6,920 | 92,866 | ||||||
LaSalle Hotel Properties REIT | 2,489 | 85,198 | ||||||
New York Community Bancorp, Inc. | 7,550 | 83,352 | ||||||
Stifel Financial Corp. | 1,560 | 81,510 | ||||||
Associated Banc-Corp. | 2,657 | 72,536 | ||||||
Mercury General Corp. | 1,548 | 70,527 | ||||||
American Financial Group, Inc. | 650 | 69,764 | ||||||
Umpqua Holdings Corp. | 2,920 | 65,963 | ||||||
PacWest Bancorp | 1,330 | 65,729 | ||||||
United Bankshares, Inc. | 1,691 | 61,552 | ||||||
Alexander & Baldwin, Inc. REIT | 2,133 | 50,126 | ||||||
Total Financial | 2,385,853 | |||||||
Industrial - 17.4% | ||||||||
Avnet, Inc. | 7,770 | 333,255 | ||||||
Arrow Electronics, Inc.* | 3,134 | 235,928 | ||||||
Tech Data Corp.* | 2,569 | 210,966 | ||||||
AECOM* | 6,177 | 204,027 | ||||||
Esterline Technologies Corp.* | 2,110 | 155,718 | ||||||
SYNNEX Corp. | 1,335 | 128,841 | ||||||
Regal Beloit Corp. | 1,394 | 114,029 | ||||||
Ryder System, Inc. | 1,543 | 110,880 | ||||||
AGCO Corp. | 1,492 | 90,594 | ||||||
Trinity Industries, Inc. | 2,520 | 86,335 | ||||||
Kirby Corp.* | 958 | 80,089 | ||||||
EMCOR Group, Inc. | 1,051 | 80,065 | ||||||
KBR, Inc. | 4,260 | 76,339 | ||||||
Greif, Inc. — Class A | 1,411 | 74,628 | ||||||
GATX Corp. | 952 | 70,667 | ||||||
Worthington Industries, Inc. | 1,620 | 67,992 | ||||||
Owens-Illinois, Inc.* | 3,240 | 54,464 | ||||||
Total Industrial | 2,174,817 | |||||||
Consumer, Cyclical - 15.9% | ||||||||
Dillard’s, Inc. — Class A1 | 5,000 | 472,500 | ||||||
Signet Jewelers Ltd. | 5,990 | 333,942 | ||||||
Dick’s Sporting Goods, Inc. | 7,450 | 262,612 | ||||||
Bed Bath & Beyond, Inc. | 12,230 | 243,683 | ||||||
World Fuel Services Corp. | 10,409 | 212,448 | ||||||
AutoNation, Inc.* | 3,370 | 163,715 | ||||||
JetBlue Airways Corp.* | 4,400 | 83,512 | ||||||
Big Lots, Inc. | 1,961 | 81,930 | ||||||
HNI Corp. | 1,884 | 70,085 | ||||||
International Speedway Corp. — Class A | 1,411 | 63,072 | ||||||
Total Consumer, Cyclical | 1,987,499 | |||||||
Consumer, Non-cyclical - 13.5% | ||||||||
LifePoint Health, Inc.* | 6,976 | 340,429 | ||||||
TreeHouse Foods, Inc.* | 4,720 | 247,847 | ||||||
Acadia Healthcare Company, Inc.* | 5,210 | 213,141 | ||||||
United Natural Foods, Inc.* | 4,791 | 204,384 | ||||||
Aaron’s, Inc. | 2,877 | 125,006 | ||||||
Patterson Companies, Inc. | 5,480 | 124,232 | ||||||
Graham Holdings Co. — Class B | 186 | 109,015 | ||||||
ManpowerGroup, Inc. | 1,197 | 103,014 | ||||||
Avis Budget Group, Inc.* | 2,560 | 83,200 | ||||||
Adtalem Global Education, Inc.* | 1,495 | 71,909 | ||||||
MEDNAX, Inc.* | 1,470 | 63,621 | ||||||
Total Consumer, Non-cyclical | 1,685,798 | |||||||
Basic Materials - 7.2% | ||||||||
Domtar Corp. | 4,887 | 233,306 | ||||||
United States Steel Corp. | 6,090 | 211,628 | ||||||
Reliance Steel & Aluminum Co. | 2,400 | 210,096 | ||||||
Commercial Metals Co. | 8,266 | 174,495 | ||||||
Allegheny Technologies, Inc.* | 3,170 | 79,630 | ||||||
Total Basic Materials | 909,155 | |||||||
Communications - 3.3% | ||||||||
Telephone & Data Systems, Inc. | 7,265 | 199,206 | ||||||
Ciena Corp.* | 5,120 | 135,731 | ||||||
ARRIS International plc* | 3,030 | 74,069 | ||||||
Total Communications | 409,006 | |||||||
Technology - 3.1% | ||||||||
Synaptics, Inc.* | 2,800 | 141,036 | ||||||
Convergys Corp. | 4,840 | 118,289 | ||||||
NCR Corp.* | 2,320 | 69,554 | ||||||
NetScout Systems, Inc.* | 1,950 | 57,915 | ||||||
Total Technology | 386,794 | |||||||
Total Common Stocks | ||||||||
(Cost $9,872,105) | 12,460,813 |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
S&P MIDCAP 400® PURE VALUE FUND |
| Face | Value | ||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
JPMorgan Chase & Co. | $ | 48,886 | $ | 48,886 | ||||
Barclays Capital | 24,005 | 24,005 | ||||||
Bank of America Merrill Lynch | 16,003 | 16,003 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $88,894) | 88,894 | |||||||
|
|
| ||||||
SECURITIES LENDING COLLATERAL†,3 - 6.2% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 772,724 | 772,724 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $772,724) | 772,724 | |||||||
Total Investments - 106.4% | ||||||||
(Cost $10,733,723) | $ | 13,322,431 | ||||||
Other Assets & Liabilities, net - (6.4)% | (800,967 | ) | ||||||
Total Net Assets - 100.0% | $ | 12,521,464 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 12,460,813 | $ | — | $ | — | $ | 12,460,813 | ||||||||
Repurchase Agreements | — | 88,894 | — | 88,894 | ||||||||||||
Securities Lending Collateral | 772,724 | — | — | 772,724 | ||||||||||||
Total Assets | $ | 13,233,537 | $ | 88,894 | $ | — | $ | 13,322,431 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
S&P MIDCAP 400® PURE VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $744,816 of securities loaned (cost $10,644,829) | $ | 13,233,537 | ||
Repurchase agreements, at value (cost $88,894) | 88,894 | |||
Cash | 419 | |||
Receivables: | ||||
Dividends | 8,404 | |||
Securities lending income | 970 | |||
Interest | 10 | |||
Total assets | 13,332,234 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 772,724 | |||
Management fees | 7,891 | |||
Transfer agent and administrative fees | 2,630 | |||
Investor service fees | 2,630 | |||
Portfolio accounting fees | 1,052 | |||
Fund shares redeemed | 499 | |||
Trustees’ fees* | 344 | |||
Miscellaneous | 23,000 | |||
Total liabilities | 810,770 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 12,521,464 | ||
Net assets consist of: | ||||
Paid in capital | $ | 9,230,608 | ||
Undistributed net investment income | 9,561 | |||
Accumulated net realized gain on investments | 692,587 | |||
Net unrealized appreciation on investments | 2,588,708 | |||
Net assets | $ | 12,521,464 | ||
Capital shares outstanding | 249,723 | |||
Net asset value per share | $ | 50.14 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends | $ | 110,010 | ||
Interest | 705 | |||
Income from securities lending, net | 6,515 | |||
Total investment income | 117,230 | |||
Expenses: | ||||
Management fees | 50,947 | |||
Investor service fees | 16,982 | |||
Transfer agent and administrative fees | 16,982 | |||
Professional fees | 12,709 | |||
Portfolio accounting fees | 6,793 | |||
Trustees’ fees* | 1,441 | |||
Custodian fees | 887 | |||
Line of credit fees | 1 | |||
Miscellaneous | 927 | |||
Total expenses | 107,669 | |||
Net investment income | 9,561 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (363,545 | ) | ||
Net realized loss | (363,545 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 327,703 | |||
Net change in unrealized appreciation (depreciation) | 327,703 | |||
Net realized and unrealized loss | (35,842 | ) | ||
Net decrease in net assets resulting from operations | $ | (26,281 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P MIDCAP 400® PURE VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 9,561 | $ | (17,660 | ) | |||
Net realized gain (loss) on investments | (363,545 | ) | 3,203,311 | |||||
Net change in unrealized appreciation (depreciation) on investments | 327,703 | (1,434,502 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (26,281 | ) | 1,751,149 | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (2,937,929 | ) | |||||
Total distributions to shareholders | — | (2,937,929 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 9,725,937 | 20,987,144 | ||||||
Distributions reinvested | — | 2,937,929 | ||||||
Cost of shares redeemed | (14,593,629 | ) | (35,529,984 | ) | ||||
Net decrease from capital share transactions | (4,867,692 | ) | (11,604,911 | ) | ||||
Net decrease in net assets | (4,893,973 | ) | (12,791,691 | ) | ||||
Net assets: | ||||||||
Beginning of period | 17,415,437 | 30,207,128 | ||||||
End of period | $ | 12,521,464 | $ | 17,415,437 | ||||
Undistributed net investment income at end of period | $ | 9,561 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 199,023 | 407,681 | ||||||
Shares issued from reinvestment of distributions | — | 64,912 | ||||||
Shares redeemed | (299,107 | ) | (678,573 | ) | ||||
Net decrease in shares | (100,084 | ) | (205,980 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
S&P MIDCAP 400® PURE VALUE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 49.79 | $ | 54.35 | $ | 42.30 | $ | 53.78 | $ | 58.55 | $ | 43.15 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .03 | (.05 | ) | (.06 | ) | .26 | .05 | .03 | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .32 | e | 6.13 | 12.41 | (5.93 | ) | 3.68 | 15.42 | ||||||||||||||||
Total from investment operations | .35 | 6.08 | 12.35 | (5.67 | ) | 3.73 | 15.45 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.30 | ) | (.08 | ) | (.05 | ) | (.05 | ) | ||||||||||||||
Net realized gains | — | (10.64 | ) | — | (5.73 | ) | (8.45 | ) | — | |||||||||||||||
Total distributions | — | (10.64 | ) | (.30 | ) | (5.81 | ) | (8.50 | ) | (.05 | ) | |||||||||||||
Net asset value, end of period | $ | 50.14 | $ | 49.79 | $ | 54.35 | $ | 42.30 | $ | 53.78 | $ | 58.55 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 0.70 | % | 13.15 | % | 28.89 | % | (11.86 | %) | 6.72 | % | 35.80 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,521 | $ | 17,415 | $ | 30,207 | $ | 12,007 | $ | 17,460 | $ | 28,156 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.14 | % | (0.10 | %) | (0.07 | %) | 0.52 | % | 0.08 | % | 0.04 | % | ||||||||||||
Total expenses | 1.59 | % | 1.61 | % | 1.56 | % | 1.50 | % | 1.57 | % | 1.54 | % | ||||||||||||
Portfolio turnover rate | 69 | % | 144 | % | 282 | % | 280 | % | 353 | % | 499 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 2:1 share split effective December 1, 2016. |
e | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the period because of the sales and repurchases of the Fund shares in relation to fluctuating market value of the investments of the Fund. |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
S&P SMALLCAP 600® PURE GROWTH FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap growth securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Growth Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
Enanta Pharmaceuticals, Inc. | 2.0% |
World Wrestling Entertainment, Inc. — Class A | 1.9% |
BioTelemetry, Inc. | 1.7% |
Supernus Pharmaceuticals, Inc. | 1.7% |
KEMET Corp. | 1.6% |
Qualys, Inc. | 1.6% |
Applied Optoelectronics, Inc. | 1.6% |
Brooks Automation, Inc. | 1.6% |
Insperity, Inc. | 1.5% |
Stamps.com, Inc. | 1.3% |
Top Ten Total | 16.5% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P SmallCap 600® Pure Growth Fund | 11.03% | 21.89% | 13.62% | 11.82% |
S&P SmallCap 600 Pure Growth Index | 12.01% | 24.01% | 15.61% | 14.08% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P SmallCap 600 Pure Growth Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
S&P SMALLCAP 600® PURE GROWTH FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.4% | ||||||||
Consumer, Non-cyclical - 34.3% | ||||||||
Enanta Pharmaceuticals, Inc.* | 4,242 | $ | 491,648 | |||||
BioTelemetry, Inc.* | 9,579 | 431,055 | ||||||
Supernus Pharmaceuticals, Inc.* | 7,051 | 422,002 | ||||||
Insperity, Inc. | 3,965 | 377,666 | ||||||
Amedisys, Inc.* | 3,496 | 298,768 | ||||||
Medifast, Inc. | 1,821 | 291,651 | ||||||
Calavo Growers, Inc. | 3,018 | 290,181 | ||||||
Integer Holdings Corp.* | 4,442 | 287,175 | ||||||
Innoviva, Inc.* | 20,746 | 286,295 | ||||||
OraSure Technologies, Inc.* | 17,102 | 281,670 | ||||||
AMN Healthcare Services, Inc.* | 4,611 | 270,205 | ||||||
Cutera, Inc.* | 6,433 | 259,250 | ||||||
Corcept Therapeutics, Inc.* | 15,198 | 238,912 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 1,146 | 237,417 | ||||||
Inogen, Inc.*,1 | 1,272 | 237,012 | ||||||
Korn/Ferry International | 3,812 | 236,077 | ||||||
Providence Service Corp.* | 2,972 | 233,451 | ||||||
ASGN, Inc.* | 2,851 | 222,920 | ||||||
LHC Group, Inc.* | 2,500 | 213,975 | ||||||
Emergent BioSolutions, Inc.* | 3,630 | 183,278 | ||||||
Momenta Pharmaceuticals, Inc.* | 8,900 | 182,005 | ||||||
LeMaitre Vascular, Inc. | 5,098 | 170,681 | ||||||
Merit Medical Systems, Inc.* | 3,259 | 166,861 | ||||||
Central Garden & Pet Co. — Class A* | 4,013 | 162,406 | ||||||
Repligen Corp.* | 3,401 | 159,983 | ||||||
MiMedx Group, Inc.*,1 | 24,035 | 153,584 | ||||||
Surmodics, Inc.* | 2,598 | 143,410 | ||||||
NutriSystem, Inc. | 3,536 | 136,136 | ||||||
Neogen Corp.* | 1,659 | 133,035 | ||||||
Green Dot Corp. — Class A* | 1,710 | 125,497 | ||||||
ANI Pharmaceuticals, Inc.* | 1,874 | 125,183 | ||||||
Myriad Genetics, Inc.* | 3,340 | 124,816 | ||||||
CorVel Corp.* | 2,257 | 121,878 | ||||||
Heska Corp.* | 1,120 | 116,245 | ||||||
Phibro Animal Health Corp. — Class A | 2,509 | 115,539 | ||||||
MGP Ingredients, Inc. | 1,230 | 109,237 | ||||||
Tivity Health, Inc.* | 2,990 | 105,248 | ||||||
Eagle Pharmaceuticals, Inc.* | 1,345 | 101,763 | ||||||
Coca-Cola Bottling Company Consolidated | 717 | 96,888 | ||||||
Orthofix International N.V.* | 1,333 | 75,741 | ||||||
Inter Parfums, Inc. | 1,392 | 74,472 | ||||||
Central Garden & Pet Co.* | 1,169 | 50,828 | ||||||
Lantheus Holdings, Inc.* | 2,492 | 36,258 | ||||||
Total Consumer, Non-cyclical | 8,578,302 | |||||||
Industrial - 18.0% | ||||||||
KEMET Corp.* | 17,074 | 412,337 | ||||||
Applied Optoelectronics, Inc.* | 8,899 | 399,565 | ||||||
TTM Technologies, Inc.* | 16,766 | 295,585 | ||||||
TopBuild Corp.* | 3,400 | 266,356 | ||||||
Proto Labs, Inc.* | 2,010 | 239,089 | ||||||
PGT Innovations, Inc.* | 11,315 | 235,918 | ||||||
Trex Company, Inc.* | 3,612 | 226,075 | ||||||
Control4 Corp.* | 7,000 | 170,170 | ||||||
Vicor Corp.* | 3,824 | 166,535 | ||||||
II-VI, Inc.* | 3,830 | 166,413 | ||||||
Patrick Industries, Inc.* | 2,838 | 161,340 | ||||||
EnPro Industries, Inc. | 2,302 | 161,025 | ||||||
Axon Enterprise, Inc.* | 2,498 | 157,824 | ||||||
Aerovironment, Inc.* | 1,913 | 136,646 | ||||||
Electro Scientific Industries, Inc.* | 8,223 | 129,677 | ||||||
Harsco Corp.* | 5,333 | 117,859 | ||||||
Comfort Systems USA, Inc. | 2,540 | 116,332 | ||||||
US Concrete, Inc.*,1 | 2,111 | 110,828 | ||||||
Rogers Corp.* | 960 | 107,002 | ||||||
John Bean Technologies Corp. | 1,133 | 100,724 | ||||||
Alamo Group, Inc. | 1,016 | 91,806 | ||||||
Aerojet Rocketdyne Holdings, Inc.* | 2,972 | 87,644 | ||||||
Simpson Manufacturing Company, Inc. | 1,242 | 77,240 | ||||||
Forward Air Corp. | 1,305 | 77,099 | ||||||
Barnes Group, Inc. | 1,101 | 64,849 | ||||||
American Woodmark Corp.* | 690 | 63,169 | ||||||
Raven Industries, Inc. | 1,565 | 60,174 | ||||||
Albany International Corp. — Class A | 928 | 55,819 | ||||||
Advanced Energy Industries, Inc.* | 877 | 50,945 | ||||||
Total Industrial | 4,506,045 | |||||||
Technology - 15.6% | ||||||||
Qualys, Inc.* | 4,819 | 406,242 | ||||||
Brooks Automation, Inc. | 12,000 | 391,440 | ||||||
Rudolph Technologies, Inc.* | 10,093 | 298,753 | ||||||
Cohu, Inc. | 11,183 | 274,095 | ||||||
Virtusa Corp.* | 4,761 | 231,765 | ||||||
Mercury Systems, Inc.* | 6,013 | 228,855 | ||||||
FormFactor, Inc.* | 16,120 | 214,396 | ||||||
Tabula Rasa HealthCare, Inc.* | 3,230 | 206,171 | ||||||
Kulicke & Soffa Industries, Inc. | 8,593 | 204,685 | ||||||
Axcelis Technologies, Inc.* | 10,020 | 198,396 | ||||||
Quality Systems, Inc.* | 9,612 | 187,434 | ||||||
Ebix, Inc. | 2,037 | 155,321 | ||||||
CEVA, Inc.* | 5,073 | 153,205 | ||||||
Omnicell, Inc.* | 2,815 | 147,647 | ||||||
Cabot Microelectronics Corp. | 1,220 | 131,223 | ||||||
MaxLinear, Inc. — Class A* | 7,523 | 117,284 | ||||||
ExlService Holdings, Inc.* | 1,841 | 104,219 | ||||||
SPS Commerce, Inc.* | 1,090 | 80,093 | ||||||
TTEC Holdings, Inc. | 2,000 | 69,100 | ||||||
Progress Software Corp. | 1,500 | 58,230 | ||||||
Rambus, Inc.* | 3,608 | 45,244 | ||||||
Total Technology | 3,903,798 | |||||||
Consumer, Cyclical - 12.3% | ||||||||
Cavco Industries, Inc.* | 1,177 | 244,404 | ||||||
LGI Homes, Inc.*,1 | 4,031 | 232,710 | ||||||
Fox Factory Holding Corp.* | 4,697 | 218,645 | ||||||
FirstCash, Inc. | 2,200 | 197,670 | ||||||
RH*,1 | 1,413 | 197,396 | ||||||
Installed Building Products, Inc.* | 3,461 | 195,719 | ||||||
Ruth’s Hospitality Group, Inc. | 6,822 | 191,357 | ||||||
Penn National Gaming, Inc.* | 5,251 | 176,381 | ||||||
Wingstop, Inc. | 3,304 | 172,205 |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
S&P SMALLCAP 600® PURE GROWTH FUND |
|
| Value | ||||||
Marriott Vacations Worldwide Corp. | 1,402 | $ | 158,370 | |||||
Sleep Number Corp.* | 5,393 | 156,505 | ||||||
Dave & Buster’s Entertainment, Inc.* | 3,105 | 147,798 | ||||||
Winnebago Industries, Inc. | 3,362 | 136,497 | ||||||
iRobot Corp.*,1 | 1,741 | 131,915 | ||||||
PetMed Express, Inc.1 | 2,926 | 128,890 | ||||||
Monarch Casino & Resort, Inc.* | 2,893 | 127,437 | ||||||
LCI Industries | 1,120 | 100,968 | ||||||
Shake Shack, Inc. — Class A*,1 | 1,433 | 94,836 | ||||||
Interface, Inc. — Class A | 2,871 | 65,890 | ||||||
Total Consumer, Cyclical | 3,075,593 | |||||||
Financial - 10.9% | ||||||||
National Storage Affiliates Trust REIT | 10,559 | 325,428 | ||||||
National Bank Holdings Corp. — Class A | 7,774 | 299,999 | ||||||
Four Corners Property Trust, Inc. REIT | 12,036 | 296,447 | ||||||
NMI Holdings, Inc. — Class A* | 18,129 | 295,503 | ||||||
Walker & Dunlop, Inc. | 5,263 | 292,886 | ||||||
BofI Holding, Inc.* | 5,245 | 214,573 | ||||||
Third Point Reinsurance Ltd.* | 12,134 | 151,675 | ||||||
Easterly Government Properties, Inc. REIT | 7,012 | 138,557 | ||||||
LegacyTexas Financial Group, Inc. | 2,966 | 115,733 | ||||||
HFF, Inc. — Class A | 3,170 | 108,890 | ||||||
Pacific Premier Bancorp, Inc.* | 2,730 | 104,149 | ||||||
Meta Financial Group, Inc. | 1,050 | 102,270 | ||||||
ServisFirst Bancshares, Inc. | 2,038 | 85,046 | ||||||
Lexington Realty Trust REIT | 8,031 | 70,111 | ||||||
EastGroup Properties, Inc. REIT | 717 | 68,516 | ||||||
WageWorks, Inc.* | 1,090 | 54,500 | ||||||
Total Financial | 2,724,283 | |||||||
Communications - 6.9% | ||||||||
World Wrestling Entertainment, Inc. — Class A | 6,621 | 482,141 | ||||||
Stamps.com, Inc.* | 1,289 | 326,181 | ||||||
XO Group, Inc.* | 7,132 | 228,224 | ||||||
QuinStreet, Inc.* | 17,540 | 222,758 | ||||||
CalAmp Corp.* | 6,307 | 147,773 | ||||||
Vonage Holdings Corp.* | 8,434 | 108,714 | ||||||
Extreme Networks, Inc.* | 9,764 | 77,722 | ||||||
Shutterstock, Inc.* | 1,621 | 76,933 | ||||||
Cogent Communications Holdings, Inc. | 1,159 | 61,891 | ||||||
Total Communications | 1,732,337 | |||||||
Basic Materials - 1.4% | ||||||||
Kraton Corp.* | 4,025 | 185,714 | ||||||
Koppers Holdings, Inc.* | 3,050 | 116,967 | ||||||
Ingevity Corp.* | 690 | 55,793 | ||||||
Total Basic Materials | 358,474 | |||||||
Total Common Stocks | ||||||||
(Cost $20,239,371) | 24,878,832 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
JPMorgan Chase & Co. | $ | 89,243 | 89,243 | |||||
Barclays Capital | 43,823 | 43,823 | ||||||
Bank of America Merrill Lynch | 29,215 | 29,215 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $162,281) | 162,281 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.8% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 705,657 | 705,657 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $705,657) | 705,657 | |||||||
Total Investments - 102.9% | ||||||||
(Cost $21,107,309) | $ | 25,746,770 | ||||||
Other Assets & Liabilities, net - (2.9)% | (720,916 | ) | ||||||
Total Net Assets - 100.0% | $ | 25,025,854 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
S&P SMALLCAP 600® PURE GROWTH FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 24,878,832 | $ | — | $ | — | $ | 24,878,832 | ||||||||
Repurchase Agreements | — | 162,281 | — | 162,281 | ||||||||||||
Securities Lending Collateral | 705,657 | — | — | 705,657 | ||||||||||||
Total Assets | $ | 25,584,489 | $ | 162,281 | $ | — | $ | 25,746,770 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE GROWTH FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $682,980 of securities loaned (cost $20,945,028) | $ | 25,584,489 | ||
Repurchase agreements, at value (cost $162,281) | 162,281 | |||
Receivables: | ||||
Fund shares sold | 301,120 | |||
Dividends | 9,297 | |||
Securities lending income | 4,078 | |||
Interest | 19 | |||
Total assets | 26,061,284 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 705,657 | |||
Securities purchased | 274,006 | |||
Management fees | 14,925 | |||
Transfer agent and administrative fees | 4,975 | |||
Investor service fees | 4,975 | |||
Portfolio accounting fees | 1,990 | |||
Trustees’ fees* | 551 | |||
Fund shares redeemed | 10 | |||
Miscellaneous | 28,341 | |||
Total liabilities | 1,035,430 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 25,025,854 | ||
Net assets consist of: | ||||
Paid in capital | $ | 19,728,210 | ||
Accumulated net investment loss | (67,419 | ) | ||
Accumulated net realized gain on investments | 725,602 | |||
Net unrealized appreciation on investments | 4,639,461 | |||
Net assets | $ | 25,025,854 | ||
Capital shares outstanding | 410,172 | |||
Net asset value per share | $ | 61.01 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends | $ | 46,396 | ||
Interest | 862 | |||
Income from securities lending, net | 21,889 | |||
Total investment income | 69,147 | |||
Expenses: | ||||
Management fees | 64,871 | |||
Investor service fees | 21,624 | |||
Transfer agent and administrative fees | 21,624 | |||
Professional fees | 14,881 | |||
Portfolio accounting fees | 8,649 | |||
Trustees’ fees* | 1,592 | |||
Custodian fees | 1,126 | |||
Line of credit fees | 64 | |||
Miscellaneous | 3,356 | |||
Total expenses | 137,787 | |||
Net investment loss | (68,640 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 740,742 | |||
Net realized gain | 740,742 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,132,629 | |||
Net change in unrealized appreciation (depreciation) | 1,132,629 | |||
Net realized and unrealized gain | 1,873,371 | |||
Net increase in net assets resulting from operations | $ | 1,804,731 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
S&P SMALLCAP 600® PURE GROWTH FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (68,640 | ) | $ | (173,656 | ) | ||
Net realized gain on investments | 740,742 | 1,913,809 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,132,629 | 383,097 | ||||||
Net increase in net assets resulting from operations | 1,804,731 | 2,123,250 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (799,644 | ) | |||||
Total distributions to shareholders | — | (799,644 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 27,635,437 | 48,903,502 | ||||||
Distributions reinvested | — | 799,644 | ||||||
Cost of shares redeemed | (24,852,502 | ) | (51,432,819 | ) | ||||
Net increase (decrease) from capital share transactions | 2,782,935 | (1,729,673 | ) | |||||
Net increase (decrease) in net assets | 4,587,666 | (406,067 | ) | |||||
Net assets: | ||||||||
Beginning of period | 20,438,188 | 20,844,255 | ||||||
End of period | $ | 25,025,854 | $ | 20,438,188 | ||||
(Accumulated net investment loss)/Undistributed net investment income at end of period | $ | (67,419 | ) | $ | 1,221 | |||
Capital share activity: | ||||||||
Shares sold | 476,245 | 940,267 | ||||||
Shares issued from reinvestment of distributions | — | 15,863 | ||||||
Shares redeemed | (438,042 | ) | (1,002,241 | ) | ||||
Net increase (decrease) in shares | 38,203 | (46,111 | ) |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE GROWTH FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 54.95 | $ | 49.86 | $ | 42.01 | $ | 45.67 | $ | 45.67 | $ | 34.20 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.23 | ) | (.47 | ) | (.14 | ) | (.30 | ) | (.38 | ) | (.32 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.29 | 8.25 | 7.99 | .62 | .38 | 14.34 | ||||||||||||||||||
Total from investment operations | 6.06 | 7.78 | 7.85 | .32 | — | 14.02 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (2.69 | ) | — | (3.98 | ) | — | (2.55 | ) | |||||||||||||||
Total distributions | — | (2.69 | ) | — | (3.98 | ) | — | (2.55 | ) | |||||||||||||||
Net asset value, end of period | $ | 61.01 | $ | 54.95 | $ | 49.86 | $ | 42.01 | $ | 45.67 | $ | 45.67 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 11.03 | % | 16.08 | % | 18.69 | % | (0.37 | %) | 0.00 | % | 41.30 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 25,026 | $ | 20,438 | $ | 20,844 | $ | 22,156 | $ | 25,379 | $ | 48,492 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.79 | %) | (0.90 | %) | (0.32 | %) | (0.64 | %) | (0.85 | %) | (0.78 | %) | ||||||||||||
Total expenses | 1.59 | % | 1.61 | % | 1.56 | % | 1.50 | % | 1.57 | % | 1.54 | % | ||||||||||||
Portfolio turnover rate | 120 | % | 280 | % | 475 | % | 282 | % | 268 | % | 350 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
S&P SMALLCAP 600® PURE VALUE FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a benchmark for small-cap value securities on a daily basis. The Fund’s current benchmark is the S&P SmallCap 600® Pure Value Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
GameStop Corp. — Class A | 1.4% |
Cato Corp. — Class A | 1.4% |
Office Depot, Inc. | 1.4% |
Veritiv Corp. | 1.4% |
Fossil Group, Inc. | 1.3% |
Abercrombie & Fitch Co. — Class A | 1.3% |
Green Plains, Inc. | 1.3% |
ScanSource, Inc. | 1.2% |
Big 5 Sporting Goods Corp. | 1.2% |
Perry Ellis International, Inc. | 1.2% |
Top Ten Total | 13.1% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
S&P SmallCap 600® Pure Value Fund | 5.94% | 16.43% | 8.32% | 9.97% |
S&P SmallCap 600 Pure Value Index | 6.76% | 18.49% | 10.13% | 12.07% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P SmallCap 600 Pure Value Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
S&P SMALLCAP 600® PURE VALUE FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.7% | ||||||||
Consumer, Cyclical - 37.2% | ||||||||
GameStop Corp. — Class A1 | 16,970 | $ | 247,253 | |||||
Cato Corp. — Class A | 9,800 | 241,276 | ||||||
Office Depot, Inc. | 94,245 | 240,325 | ||||||
Veritiv Corp.* | 5,953 | 237,227 | ||||||
Fossil Group, Inc.* | 8,660 | 232,694 | ||||||
Abercrombie & Fitch Co. — Class A | 9,275 | 227,052 | ||||||
ScanSource, Inc.* | 5,227 | 210,648 | ||||||
Big 5 Sporting Goods Corp.1 | 27,320 | 207,632 | ||||||
Perry Ellis International, Inc.* | 7,501 | 203,802 | ||||||
Superior Industries International, Inc. | 10,883 | 194,806 | ||||||
Shoe Carnival, Inc. | 5,852 | 189,897 | ||||||
Hibbett Sports, Inc.* | 8,286 | 189,749 | ||||||
Barnes & Noble, Inc. | 28,373 | 180,168 | ||||||
Sonic Automotive, Inc. — Class A | 7,864 | 161,998 | ||||||
Genesco, Inc.* | 3,741 | 148,518 | ||||||
Barnes & Noble Education, Inc.* | 26,005 | 146,668 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 9,320 | 145,019 | ||||||
G-III Apparel Group Ltd.* | 2,930 | 130,092 | ||||||
Vera Bradley, Inc.* | 9,060 | 127,202 | ||||||
Express, Inc.* | 13,866 | 126,874 | ||||||
Anixter International, Inc.* | 1,912 | 121,030 | ||||||
Kirkland’s, Inc.* | 9,975 | 116,109 | ||||||
EZCORP, Inc. — Class A* | 9,522 | 114,740 | ||||||
Regis Corp.* | 6,905 | 114,209 | ||||||
Ascena Retail Group, Inc.* | 28,494 | 113,549 | ||||||
Vitamin Shoppe, Inc.*,1 | 16,069 | 111,680 | ||||||
Group 1 Automotive, Inc. | 1,756 | 110,628 | ||||||
Guess?, Inc. | 5,162 | 110,467 | ||||||
Cooper Tire & Rubber Co. | 4,150 | 109,145 | ||||||
MarineMax, Inc.* | 5,671 | 107,465 | ||||||
M/I Homes, Inc.* | 4,010 | 106,185 | ||||||
Chico’s FAS, Inc. | 12,960 | 105,494 | ||||||
Zumiez, Inc.* | 4,105 | 102,830 | ||||||
Caleres, Inc. | 2,899 | 99,697 | ||||||
DSW, Inc. — Class A | 3,730 | 96,309 | ||||||
Asbury Automotive Group, Inc.*,1 | 1,311 | 89,869 | ||||||
Francesca’s Holdings Corp.* | 11,613 | 87,678 | ||||||
Essendant, Inc. | 6,406 | 84,687 | ||||||
Red Robin Gourmet Burgers, Inc.* | 1,810 | 84,346 | ||||||
J.C. Penney Company, Inc.*,1 | 35,137 | 82,221 | ||||||
Movado Group, Inc. | 1,612 | 77,860 | ||||||
Haverty Furniture Companies, Inc. | 3,562 | 76,939 | ||||||
Cooper-Standard Holdings, Inc.* | 471 | 61,546 | ||||||
Vista Outdoor, Inc.* | 3,930 | 60,876 | ||||||
Core-Mark Holding Company, Inc. | 2,651 | 60,178 | ||||||
El Pollo Loco Holdings, Inc.* | 4,586 | 52,280 | ||||||
Titan International, Inc. | 4,850 | 52,040 | ||||||
Daktronics, Inc. | 5,529 | 47,052 | ||||||
Standard Motor Products, Inc. | 810 | 39,155 | ||||||
Unifi, Inc.* | 1,106 | 35,060 | ||||||
Total Consumer, Cyclical | 6,420,224 | |||||||
Industrial - 15.6% | ||||||||
Olympic Steel, Inc. | 9,812 | 200,263 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 2,332 | 167,204 | ||||||
Orion Group Holdings, Inc.* | 19,815 | 163,672 | ||||||
ArcBest Corp. | 3,461 | 158,168 | ||||||
DXP Enterprises, Inc.* | 3,660 | 139,812 | ||||||
Sanmina Corp.* | 4,613 | 135,161 | ||||||
Benchmark Electronics, Inc. | 4,446 | 129,601 | ||||||
Boise Cascade Co. | 2,710 | 121,137 | ||||||
Powell Industries, Inc. | 3,276 | 114,103 | ||||||
Greenbrier Companies, Inc. | 2,032 | 107,188 | ||||||
TimkenSteel Corp.* | 6,376 | 104,248 | ||||||
Hub Group, Inc. — Class A* | 2,085 | 103,833 | ||||||
MYR Group, Inc.* | 2,910 | 103,189 | ||||||
Echo Global Logistics, Inc.* | 3,489 | 102,053 | ||||||
Tredegar Corp. | 4,051 | 95,199 | ||||||
Matson, Inc. | 2,362 | 90,654 | ||||||
Fabrinet* | 2,170 | 80,051 | ||||||
KapStone Paper and Packaging Corp. | 2,311 | 79,729 | ||||||
AAR Corp. | 1,612 | 74,942 | ||||||
Haynes International, Inc. | 1,780 | 65,397 | ||||||
Encore Wire Corp. | 1,278 | 60,641 | ||||||
Briggs & Stratton Corp. | 3,299 | 58,095 | ||||||
Bel Fuse, Inc. — Class B | 2,718 | 56,806 | ||||||
Triumph Group, Inc. | 2,730 | 53,508 | ||||||
Plexus Corp.* | 753 | 44,834 | ||||||
Knowles Corp.* | 2,790 | 42,687 | ||||||
Aegion Corp. — Class A* | 1,406 | 36,204 | ||||||
Total Industrial | 2,688,379 | |||||||
Financial - 13.2% | ||||||||
Enova International, Inc.* | 4,948 | 180,850 | ||||||
INTL FCStone, Inc.* | 2,993 | 154,768 | ||||||
OFG Bancorp | 10,371 | 145,712 | ||||||
Stewart Information Services Corp. | 3,247 | 139,848 | ||||||
American Equity Investment Life Holding Co. | 3,862 | 139,032 | ||||||
First BanCorp* | 16,404 | 125,491 | ||||||
CBL & Associates Properties, Inc. REIT1 | 21,727 | 121,019 | ||||||
Hersha Hospitality Trust REIT | 5,620 | 120,549 | ||||||
PennyMac Mortgage Investment Trust REIT | 5,770 | 109,572 | ||||||
Maiden Holdings Ltd. | 13,254 | 102,718 | ||||||
Infinity Property & Casualty Corp. | 617 | 87,830 | ||||||
Navigators Group, Inc. | 1,252 | 71,364 | ||||||
New York Mortgage Trust, Inc. REIT1 | 11,843 | 71,177 | ||||||
United Fire Group, Inc. | 1,272 | 69,337 | ||||||
World Acceptance Corp.* | 614 | 68,160 | ||||||
ARMOUR Residential REIT, Inc. | 2,800 | 63,868 | ||||||
Invesco Mortgage Capital, Inc. REIT | 4,015 | 63,839 | ||||||
Apollo Commercial Real Estate Finance, Inc. REIT | 3,490 | 63,797 | ||||||
Washington Prime Group, Inc. REIT | 7,810 | 63,339 | ||||||
Capstead Mortgage Corp. REIT | 6,801 | 60,869 | ||||||
Opus Bank | 1,808 | 51,890 | ||||||
HomeStreet, Inc.* | 1,812 | 48,833 | ||||||
United Insurance Holdings Corp. | 2,201 | 43,096 | ||||||
DiamondRock Hospitality Co. REIT | 3,362 | 41,285 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
S&P SMALLCAP 600® PURE VALUE FUND |
|
| Value | ||||||
Kite Realty Group Trust REIT | 2,160 | $ | 36,893 | |||||
Horace Mann Educators Corp. | 795 | 35,457 | ||||||
Total Financial | 2,280,593 | |||||||
Consumer, Non-cyclical - 13.0% | ||||||||
Owens & Minor, Inc. | 11,450 | 191,330 | ||||||
Dean Foods Co. | 15,365 | 161,486 | ||||||
Universal Corp. | 2,343 | 154,755 | ||||||
Kelly Services, Inc. — Class A | 6,766 | 151,897 | ||||||
Andersons, Inc. | 4,359 | 149,078 | ||||||
Seneca Foods Corp. — Class A* | 5,500 | 148,500 | ||||||
Diplomat Pharmacy, Inc.* | 5,738 | 146,663 | ||||||
Team, Inc.*,1 | 6,259 | 144,583 | ||||||
Magellan Health, Inc.* | 1,330 | 127,613 | ||||||
SpartanNash Co. | 4,180 | 106,673 | ||||||
LSC Communications, Inc. | 6,723 | 105,282 | ||||||
SUPERVALU, Inc.* | 5,009 | 102,785 | ||||||
TrueBlue, Inc.* | 3,742 | 100,847 | ||||||
Navigant Consulting, Inc.* | 3,780 | 83,689 | ||||||
FTI Consulting, Inc.* | 1,300 | 78,624 | ||||||
ABM Industries, Inc. | 2,090 | 60,986 | ||||||
Invacare Corp. | 2,889 | 53,736 | ||||||
Cross Country Healthcare, Inc.* | 4,290 | 48,263 | ||||||
Community Health Systems, Inc.*,1 | 14,281 | 47,413 | ||||||
AngioDynamics, Inc.* | 2,080 | 46,259 | ||||||
Resources Connection, Inc. | 2,378 | 40,188 | ||||||
Total Consumer, Non-cyclical | 2,250,650 | |||||||
Energy - 9.2% | ||||||||
Green Plains, Inc.1 | 12,045 | 220,424 | ||||||
Renewable Energy Group, Inc.* | 11,140 | 198,849 | ||||||
Pioneer Energy Services Corp.* | 28,917 | 169,164 | ||||||
Cloud Peak Energy, Inc.* | 42,342 | 147,774 | ||||||
Matrix Service Co.* | 7,454 | 136,781 | ||||||
Unit Corp.* | 4,220 | 107,863 | ||||||
Par Pacific Holdings, Inc.* | 5,700 | 99,066 | ||||||
Archrock, Inc. | 7,300 | 87,600 | ||||||
Flotek Industries, Inc.* | 21,776 | 70,336 | ||||||
SunCoke Energy, Inc.* | 4,877 | 65,352 | ||||||
Bristow Group, Inc.* | 4,127 | 58,232 | ||||||
Helix Energy Solutions Group, Inc.* | 6,444 | 53,679 | ||||||
Oil States International, Inc.* | 1,662 | 53,350 | ||||||
Newpark Resources, Inc.* | 4,602 | 49,932 | ||||||
Gulf Island Fabrication, Inc. | 4,081 | 36,729 | ||||||
REX American Resources Corp.* | 420 | 34,007 | ||||||
Total Energy | 1,589,138 | |||||||
Technology - 5.4% | ||||||||
Insight Enterprises, Inc.* | 3,628 | 177,518 | ||||||
Super Micro Computer, Inc.* | 7,330 | 173,355 | ||||||
Digi International, Inc.* | 8,933 | 117,916 | ||||||
Engility Holdings, Inc.* | 3,730 | 114,287 | ||||||
CACI International, Inc. — Class A* | 505 | 85,118 | ||||||
Photronics, Inc.* | 9,018 | 71,919 | ||||||
Sykes Enterprises, Inc.* | 1,926 | 55,430 | ||||||
Veeco Instruments, Inc.* | 3,382 | 48,193 | ||||||
Diebold Nixdorf, Inc.1 | 3,550 | 42,422 | ||||||
ManTech International Corp. — Class A | 717 | 38,460 | ||||||
Total Technology | 924,618 | |||||||
Communications - 4.1% | ||||||||
Comtech Telecommunications Corp. | 4,378 | 139,570 | ||||||
Gannett Company, Inc. | 11,666 | 124,826 | ||||||
Iridium Communications, Inc.* | 6,530 | 105,133 | ||||||
Scholastic Corp.1 | 2,027 | 89,817 | ||||||
New Media Investment Group, Inc. | 4,125 | 76,230 | ||||||
Finisar Corp.* | 3,270 | 58,860 | ||||||
Spok Holdings, Inc. | 3,118 | 46,926 | ||||||
FTD Companies, Inc.* | 7,999 | 37,115 | ||||||
Frontier Communications Corp.1 | 6,591 | 35,328 | ||||||
Total Communications | 713,805 | |||||||
Basic Materials - 2.0% | ||||||||
PH Glatfelter Co. | 5,161 | 101,104 | ||||||
Clearwater Paper Corp.* | 2,620 | 60,522 | ||||||
Aceto Corp. | 15,434 | 51,704 | ||||||
Hawkins, Inc. | 1,430 | 50,550 | ||||||
A. Schulman, Inc. | 994 | 44,233 | ||||||
AK Steel Holding Corp.* | 9,563 | 41,504 | ||||||
Total Basic Materials | 349,617 | |||||||
Total Common Stocks | ||||||||
(Cost $14,074,220) | 17,217,024 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.4% | ||||||||
JPMorgan Chase & Co. | $ | 37,091 | 37,091 | |||||
Barclays Capital | 18,213 | 18,213 | ||||||
Bank of America Merrill Lynch | 12,143 | 12,143 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $67,447) | 67,447 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 6.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 1,031,229 | 1,031,229 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $1,031,229) | 1,031,229 | |||||||
Total Investments - 106.1% | ||||||||
(Cost $15,172,896) | $ | 18,315,700 | ||||||
Other Assets & Liabilities, net - (6.1)% | (1,052,894 | ) | ||||||
Total Net Assets - 100.0% | $ | 17,262,806 |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
S&P SMALLCAP 600® PURE VALUE FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Repurchase Agreements — See Note 6. |
3 | Securities lending collateral — See Note 7. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 17,217,024 | $ | — | $ | — | $ | 17,217,024 | ||||||||
Repurchase Agreements | — | 67,447 | — | 67,447 | ||||||||||||
Securities Lending Collateral | 1,031,229 | — | — | 1,031,229 | ||||||||||||
Total Assets | $ | 18,248,253 | $ | 67,447 | $ | — | $ | 18,315,700 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
S&P SMALLCAP 600® PURE VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $990,491 of securities loaned (cost $15,105,449) | $ | 18,248,253 | ||
Repurchase agreements, at value (cost $67,447) | 67,447 | |||
Receivables: | ||||
Dividends | 24,362 | |||
Securities lending income | 1,864 | |||
Fund shares sold | 102 | |||
Interest | 8 | |||
Total assets | 18,342,036 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 1,031,229 | |||
Management fees | 10,747 | |||
Transfer agent and administrative fees | 3,582 | |||
Investor service fees | 3,582 | |||
Fund shares redeemed | 2,787 | |||
Portfolio accounting fees | 1,433 | |||
Trustees’ fees* | 453 | |||
Miscellaneous | 25,417 | |||
Total liabilities | 1,079,230 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 17,262,806 | ||
Net assets consist of: | ||||
Paid in capital | $ | 17,598,465 | ||
Undistributed net investment income | 16,991 | |||
Accumulated net realized loss on investments | (3,495,454 | ) | ||
Net unrealized appreciation on investments | 3,142,804 | |||
Net assets | $ | 17,262,806 | ||
Capital shares outstanding | 245,112 | |||
Net asset value per share | $ | 70.43 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $119) | $ | 126,947 | ||
Interest | 725 | |||
Income from securities lending, net | 10,949 | |||
Total investment income | 138,621 | |||
Expenses: | ||||
Management fees | 57,473 | |||
Investor service fees | 19,158 | |||
Transfer agent and administrative fees | 19,158 | |||
Professional fees | 14,533 | |||
Portfolio accounting fees | 7,663 | |||
Trustees’ fees* | 1,614 | |||
Custodian fees | 995 | |||
Line of credit fees | 1 | |||
Miscellaneous | 1,035 | |||
Total expenses | 121,630 | |||
Net investment income | 16,991 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (641,837 | ) | ||
Net realized loss | (641,837 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,072,928 | |||
Net change in unrealized appreciation (depreciation) | 1,072,928 | |||
Net realized and unrealized gain | 431,091 | |||
Net increase in net assets resulting from operations | $ | 448,082 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P SMALLCAP 600® PURE VALUE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 16,991 | $ | (63,031 | ) | |||
Net realized loss on investments | (641,837 | ) | (18,013 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 1,072,928 | (1,426,664 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 448,082 | (1,507,708 | ) | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (398,643 | ) | |||||
Total distributions to shareholders | — | (398,643 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 18,079,305 | 32,718,612 | ||||||
Distributions reinvested | — | 398,643 | ||||||
Cost of shares redeemed | (19,012,609 | ) | (41,870,956 | ) | ||||
Net decrease from capital share transactions | (933,304 | ) | (8,753,701 | ) | ||||
Net decrease in net assets | (485,222 | ) | (10,660,052 | ) | ||||
Net assets: | ||||||||
Beginning of period | 17,748,028 | 28,408,080 | ||||||
End of period | $ | 17,262,806 | $ | 17,748,028 | ||||
Undistributed net investment income at end of period | $ | 16,991 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 264,961 | 502,067 | ||||||
Shares issued from reinvestment of distributions | — | 6,643 | ||||||
Shares redeemed | (286,813 | ) | (652,665 | ) | ||||
Net decrease in shares | (21,852 | ) | (143,955 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
S&P SMALLCAP 600® PURE VALUE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 66.48 | $ | 69.13 | $ | 52.48 | $ | 65.72 | $ | 79.11 | $ | 55.59 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .07 | (.23 | ) | (.45 | ) | (.06 | ) | (.39 | ) | (.29 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.88 | (.20 | ) | 17.10 | (8.15 | ) | 1.28 | 24.08 | ||||||||||||||||
Total from investment operations | 3.95 | (.43 | ) | 16.65 | (8.21 | ) | .89 | 23.79 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (2.22 | ) | — | (5.03 | ) | (14.28 | ) | (.27 | ) | ||||||||||||||
Total distributions | — | (2.22 | ) | — | (5.03 | ) | (14.28 | ) | (.27 | ) | ||||||||||||||
Net asset value, end of period | $ | 70.43 | $ | 66.48 | $ | 69.13 | $ | 52.48 | $ | 65.72 | $ | 79.11 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 5.94 | % | (0.28 | %) | 31.74 | % | (13.54 | %) | 1.31 | % | 42.83 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 17,263 | $ | 17,748 | $ | 28,408 | $ | 11,747 | $ | 14,318 | $ | 29,575 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.22 | % | (0.35 | %) | (0.44 | %) | (0.09 | %) | (0.50 | %) | (0.43 | %) | ||||||||||||
Total expenses | 1.59 | % | 1.61 | % | 1.56 | % | 1.50 | % | 1.57 | % | 1.54 | % | ||||||||||||
Portfolio turnover rate | 104 | % | 204 | % | 303 | % | 245 | % | 144 | % | 260 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 2:1 share split effective December 1, 2016. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
EUROPE 1.25x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 125% of the fair value of the STOXX® Europe 50 Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: October 1, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 27.1% |
Guggenheim Strategy Fund I | 21.3% |
Nestle S.A. ADR | 2.3% |
HSBC Holdings plc ADR | 1.8% |
Novartis AG ADR | 1.7% |
Total S.A. ADR | 1.5% |
Royal Dutch Shell plc — Class A ADR | 1.5% |
Roche Holding AG ADR | 1.5% |
BP plc ADR | 1.4% |
SAP SE ADR | 1.2% |
Top Ten Total | 61.3% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Country Diversification
Country | % of Long-Term |
United Kingdom | 33% |
France | 18% |
Switzerland | 16% |
Germany | 15% |
Netherlands | 5% |
Spain | 4% |
Swaziland | 3% |
Other | 6% |
Total Long-Term Investments | 100% |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2018 |
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Europe 1.25x Strategy Fund | (6.64%) | 0.51% | 2.59% | (2.49%) |
STOXX Europe 50 Index | (4.65%) | 3.09% | 4.34% | 0.88% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The STOXX Europe 50 Index (Total Return/Dollars) is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
EUROPE 1.25x STRATEGY FUND |
|
| Value | ||||||
COMMON STOCKS† - 39.5% | ||||||||
Consumer, Non-cyclical - 15.3% | ||||||||
Nestle S.A. ADR | 1,208 | $ | 93,535 | |||||
Novartis AG ADR | 933 | 70,479 | ||||||
Roche Holding AG ADR | 2,187 | 60,427 | ||||||
British American Tobacco plc ADR | 884 | 44,598 | ||||||
GlaxoSmithKline plc ADR | 961 | 38,738 | ||||||
Bayer AG ADR | 1,360 | 37,509 | ||||||
Sanofi ADR | 877 | 35,089 | ||||||
Diageo plc ADR | 239 | 34,419 | ||||||
AstraZeneca plc ADR | 966 | 33,916 | ||||||
Unilever N.V. — Class Y | 585 | 32,596 | ||||||
Novo Nordisk A/S ADR | 680 | 31,361 | ||||||
Anheuser-Busch InBev S.A. ADR | 295 | 29,724 | ||||||
Unilever plc ADR | 471 | 26,037 | ||||||
L’Oreal S.A. ADR | 476 | 23,414 | ||||||
Reckitt Benckiser Group plc ADR | 1,332 | 21,998 | ||||||
Imperial Brands plc ADR | 370 | 13,742 | ||||||
Total Consumer, Non-cyclical | 627,582 | |||||||
Financial - 8.5% | ||||||||
HSBC Holdings plc ADR | 1,567 | 73,869 | ||||||
Allianz SE ADR | 1,705 | 34,918 | ||||||
Banco Santander S.A. ADR | 6,242 | 33,332 | ||||||
BNP Paribas S.A. ADR | 894 | 27,500 | ||||||
Lloyds Banking Group plc ADR | 6,952 | 23,150 | ||||||
UBS Group AG* | 1,495 | 22,933 | ||||||
Prudential plc ADR | 501 | 22,896 | ||||||
ING Groep N.V. ADR1 | 1,513 | 21,666 | ||||||
AXA S.A. ADR | 808 | 19,679 | ||||||
Banco Bilbao Vizcaya Argentaria S.A. ADR | 2,582 | 18,074 | ||||||
Zurich Insurance Group AG ADR | 589 | 17,384 | ||||||
Intesa Sanpaolo SpA ADR | 949 | 16,475 | ||||||
Barclays plc ADR | 1,533 | 15,376 | ||||||
Total Financial | 347,252 | |||||||
Energy - 4.9% | ||||||||
Total S.A. ADR | 1,030 | 62,377 | ||||||
Royal Dutch Shell plc — Class A ADR | 888 | 61,476 | ||||||
BP plc ADR | 1,282 | 58,536 | ||||||
Eni SpA ADR | 492 | 18,263 | ||||||
Total Energy | 200,652 | |||||||
Industrial - 3.0% | ||||||||
Siemens AG ADR | 659 | 43,418 | ||||||
Airbus SE ADR | 887 | 25,807 | ||||||
Vinci S.A. ADR | 862 | 20,636 | ||||||
Schneider Electric SE ADR | 1,047 | 17,386 | ||||||
ABB Ltd. ADR | 794 | 17,286 | ||||||
Total Industrial | 124,533 | |||||||
Basic Materials - 2.5% | ||||||||
BASF SE ADR | 1,421 | 33,962 | ||||||
Rio Tinto plc ADR | 444 | 24,633 | ||||||
Glencore plc ADR* | 2,351 | 22,334 | ||||||
Air Liquide S.A. ADR | 830 | 20,771 | ||||||
Total Basic Materials | 101,700 | |||||||
Technology - 2.0% | ||||||||
SAP SE ADR | 417 | 48,230 | ||||||
ASML Holding N.V. — Class G | 168 | 33,259 | ||||||
Total Technology | 81,489 | |||||||
Communications - 1.5% | ||||||||
Vodafone Group plc ADR | 1,030 | 25,039 | ||||||
Deutsche Telekom AG ADR | 1,256 | 19,386 | ||||||
Telefonica S.A. ADR | 1,807 | 15,414 | ||||||
Total Communications | 59,839 | |||||||
Consumer, Cyclical - 1.4% | ||||||||
LVMH Moet Hennessy Louis Vuitton SE ADR | 520 | 34,476 | ||||||
Daimler AG ADR | 1,390 | 22,303 | ||||||
Total Consumer, Cyclical | 56,779 | |||||||
Utilities - 0.4% | ||||||||
National Grid plc ADR | 259 | 14,465 | ||||||
Total Common Stocks | ||||||||
(Cost $1,490,084) | 1,614,291 | |||||||
MUTUAL FUNDS† - 48.4% | ||||||||
Guggenheim Strategy Fund II2 | 44,356 | 1,108,465 | ||||||
Guggenheim Strategy Fund I2 | 34,847 | 872,569 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,979,699) | 1,981,034 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 7.0% | ||||||||
U.S. Treasury Bills | ||||||||
1.72% due 07/12/183,4,5 | $ | 285,000 | 284,867 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $284,844) | 284,867 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,6 - 0.4% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%7 | 16,727 | 16,727 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $16,727) | 16,727 | |||||||
Total Investments - 95.3% | ||||||||
(Cost $3,771,354) | $ | 3,896,919 | ||||||
Other Assets & Liabilities, net - 4.7% | 190,937 | |||||||
Total Net Assets - 100.0% | $ | 4,087,856 | ||||||
|
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
EUROPE 1.25x STRATEGY FUND |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
Euro FX Futures Contracts | 24 | Sep 2018 | $ | 3,523,200 | $ | (12,728 | ) | |||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
STOXX Europe 50 Index Futures Contracts | 98 | Sep 2018 | 3,453,001 | (55,237 | ) |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 7. |
2 | Affiliated issuer. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Zero coupon rate security. |
5 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 1,614,291 | $ | — | $ | — | $ | 1,614,291 | ||||||||
Mutual Funds | 1,981,034 | — | — | 1,981,034 | ||||||||||||
U.S. Treasury Bills | — | 284,867 | — | 284,867 | ||||||||||||
Securities Lending Collateral | 16,727 | — | — | 16,727 | ||||||||||||
Total Assets | $ | 3,612,052 | $ | 284,867 | $ | — | $ | 3,896,919 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Currency Futures Contracts* | $ | 12,728 | $ | — | $ | — | $ | 12,728 | ||||||||
Equity Futures Contracts* | 55,237 | — | — | 55,237 | ||||||||||||
Total Liabilities | $ | 67,965 | $ | — | $ | — | $ | 67,965 |
* | This derivative is reported as unrealized loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
EUROPE 1.25x STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the Guggenheim Investments (“GI”), result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, consisting of Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 266,751 | $ | 1,356,673 | $ | (750,000 | ) | $ | (323 | ) | $ | (532 | ) | $ | 872,569 | 34,847 | $ | 6,603 | ||||||||||||||
Guggenheim Strategy Fund II | 906,537 | 452,875 | (250,000 | ) | 8 | (955 | ) | 1,108,465 | 44,356 | 12,828 | ||||||||||||||||||||||
$ | 1,173,288 | $ | 1,809,548 | $ | (1,000,000 | ) | $ | (315 | ) | $ | (1,487 | ) | $ | 1,981,034 | $ | 19,431 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
EUROPE 1.25x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $16,239 of securities loaned (cost $1,791,655) | $ | 1,915,885 | ||
Investments in affiliated issuers, at value (cost $1,979,699) | 1,981,034 | |||
Cash | 2,602 | |||
Receivables: | ||||
Securities sold | 200,000 | |||
Variation margin | 57,690 | |||
Foreign tax reclaims | 11,048 | |||
Dividends | 10,596 | |||
Swap settlement | 322 | |||
Securities lending income | 2 | |||
Total assets | 4,179,179 | |||
Liabilities: | ||||
Foreign currency, at value (cost $22,047) | 22,057 | |||
Payable for: | ||||
Fund shares redeemed | 35,482 | |||
Return of securities loaned | 16,727 | |||
Securities purchased | 5,293 | |||
Management fees | 3,143 | |||
Transfer agent and administrative fees | 873 | |||
Investor service fees | 873 | |||
Portfolio accounting fees | 349 | |||
Trustees’ fees* | 115 | |||
Miscellaneous | 6,411 | |||
Total liabilities | 91,323 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 4,087,856 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,849,102 | ||
Undistributed net investment income | 71,356 | |||
Accumulated net realized loss on investments | (2,890,152 | ) | ||
Net unrealized appreciation on investments | 57,550 | |||
Net assets | $ | 4,087,856 | ||
Capital shares outstanding | 41,837 | |||
Net asset value per share | $ | 97.71 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $4,630) | $ | 76,803 | ||
Dividends from securities of affiliated issuers | 19,431 | |||
Interest | 2,272 | |||
Income from securities lending, net | 2,399 | |||
Total investment income | 100,905 | |||
Expenses: | ||||
Management fees | 22,924 | |||
Investor service fees | 6,368 | |||
Transfer agent and administrative fees | 6,368 | |||
Professional fees | 4,511 | |||
Portfolio accounting fees | 2,547 | |||
Trustees’ fees* | 627 | |||
Custodian fees | 330 | |||
Line of credit fees | 23 | |||
Miscellaneous | 427 | |||
Total expenses | 44,125 | |||
Net investment income | 56,780 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (93,017 | ) | ||
Investments in affiliated issuers | (315 | ) | ||
Futures contracts | (202,729 | ) | ||
Foreign currency transactions | 1,850 | |||
Net realized loss | (294,211 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (138,843 | ) | ||
Investments in affiliated issuers | (1,487 | ) | ||
Futures contracts | (79,771 | ) | ||
Foreign currency translations | 31 | |||
Net change in unrealized appreciation (depreciation) | (220,070 | ) | ||
Net realized and unrealized loss | (514,281 | ) | ||
Net decrease in net assets resulting from operations | $ | (457,501 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
EUROPE 1.25x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 56,780 | $ | 11,928 | ||||
Net realized gain (loss) on investments | (294,211 | ) | 679,374 | |||||
Net change in unrealized appreciation (depreciation) on investments | (220,070 | ) | 264,177 | |||||
Net increase (decrease) in net assets resulting from operations | (457,501 | ) | 955,479 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (40,552 | ) | |||||
Total distributions to shareholders | — | (40,552 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 7,585,854 | 16,896,795 | ||||||
Distributions reinvested | — | 40,552 | ||||||
Cost of shares redeemed | (8,765,842 | ) | (14,679,728 | ) | ||||
Net increase (decrease) from capital share transactions | (1,179,988 | ) | 2,257,619 | |||||
Net increase (decrease) in net assets | (1,637,489 | ) | 3,172,546 | |||||
Net assets: | ||||||||
Beginning of period | 5,725,345 | 2,552,799 | ||||||
End of period | $ | 4,087,856 | $ | 5,725,345 | ||||
Undistributed net investment income at end of period | $ | 71,356 | $ | 14,576 | ||||
Capital share activity: | ||||||||
Shares sold | 72,565 | 176,252 | ||||||
Shares issued from reinvestment of distributions | — | 412 | ||||||
Shares redeemed | (85,430 | ) | (153,070 | ) | ||||
Net increase (decrease) in shares | (12,865 | ) | 23,594 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
EUROPE 1.25x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 104.66 | $ | 82.06 | $ | 88.28 | $ | 96.17 | $ | 112.32 | $ | 90.79 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | 1.14 | .25 | .25 | .66 | 1.26 | .78 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (8.09 | ) | 23.17 | (6.25 | ) | (7.35 | ) | (15.19 | ) | 20.87 | ||||||||||||||
Total from investment operations | (6.95 | ) | 23.42 | (6.00 | ) | (6.69 | ) | (13.93 | ) | 21.65 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.82 | ) | (.22 | ) | (1.20 | ) | (2.22 | ) | (.12 | ) | |||||||||||||
Total distributions | — | (.82 | ) | (.22 | ) | (1.20 | ) | (2.22 | ) | (.12 | ) | |||||||||||||
Net asset value, end of period | $ | 97.71 | $ | 104.66 | $ | 82.06 | $ | 88.28 | $ | 96.17 | $ | 112.32 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (6.64 | %) | 28.60 | % | (5.58 | %) | (7.19 | %) | (12.49 | %) | 23.89 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,088 | $ | 5,725 | $ | 2,553 | $ | 3,083 | $ | 3,304 | $ | 12,116 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 2.23 | % | 0.26 | % | 1.70 | % | 0.63 | % | 1.14 | % | 0.79 | % | ||||||||||||
Total expensesd | 1.73 | % | 1.80 | % | 1.73 | % | 1.66 | % | 1.75 | % | 1.71 | % | ||||||||||||
Portfolio turnover rate | 93 | % | 121 | % | 441 | % | 620 | % | 401 | % | 455 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:6 reverse share split effective December 1, 2016. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
JAPAN 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a specific benchmark. The Fund’s current benchmark is 200% of the fair value of the Nikkei-225 Stock Average Index (the “underlying index”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt instruments; and (iv) other short-term fixed income securities.
Inception Date: October 1, 2001 |
The Fund invests principally in derivative investments such as futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 21.9% |
Guggenheim Strategy Fund II | 21.8% |
Total | 43.7% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Japan 2x Strategy Fund | (2.73%) | 22.94% | 12.85% | 7.57% |
Nikkei-225 Stock Average Index | (0.43%) | 12.92% | 7.89% | 4.72% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The Nikkei-225 Stock Average Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
JAPAN 2x STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 43.7% | ||||||||
Guggenheim Strategy Fund I1 | 33,034 | $ | 827,175 | |||||
Guggenheim Strategy Fund II1 | 32,969 | 823,907 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,640,615) | 1,651,082 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 10.6% | ||||||||
Fannie Mae2 | ||||||||
1.13% due 12/14/18 | $ | 200,000 | 199,096 | |||||
Federal Farm Credit Bank3 | ||||||||
2.04% (1 Month USD LIBOR - 0.05%) due 01/23/194 | 100,000 | 100,045 | ||||||
Freddie Mac2 | ||||||||
0.80% due 07/11/18 | 100,000 | 99,973 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $399,297) | 399,114 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 5.3% | ||||||||
Federal Home Loan Bank3 | ||||||||
1.85% due 07/06/185,6 | 200,000 | 199,949 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $199,949) | 199,949 |
U.S. TREASURY BILLS†† - 5.0% | ||||||||
U.S. Treasury Bills | ||||||||
1.72% due 07/12/185,6,7 | 188,000 | 187,912 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $187,897) | 187,912 | |||||||
REPURCHASE AGREEMENTS††,8 - 24.1% | ||||||||
JPMorgan Chase & Co. | 501,808 | 501,808 | ||||||
Barclays Capital | 246,412 | 246,412 | ||||||
Bank of America Merrill Lynch | 164,274 | 164,274 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $912,494) | 912,494 | |||||||
Total Investments - 88.7% | ||||||||
(Cost $3,340,252) | $ | 3,350,551 | ||||||
Other Assets & Liabilities, net - 11.3% | 428,346 | |||||||
Total Net Assets - 100.0% | $ | 3,778,897 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
Japanese Yen Futures Contracts | 67 | Sep 2018 | $ | 7,604,081 | $ | (30,159 | ) | |||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
Nikkei-225 (CME) Index Futures Contracts | 68 | Sep 2018 | 7,570,100 | (49,972 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | Variable rate security. Rate indicated is the rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | Zero coupon rate security. |
7 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
8 | Repurchase Agreements — See Note 6. |
LIBOR — London Interbank Offered Rate | |
CME — Chicago Mercantile Exchange | |
See Sector Classification in Other Information section. |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
JAPAN 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 1,651,082 | $ | — | $ | — | $ | 1,651,082 | ||||||||
Federal Agency Notes | — | 399,114 | — | 399,114 | ||||||||||||
Federal Agency Discount Notes | — | 199,949 | — | 199,949 | ||||||||||||
U.S. Treasury Bills | — | 187,912 | — | 187,912 | ||||||||||||
Repurchase Agreements | — | 912,494 | — | 912,494 | ||||||||||||
Total Assets | $ | 1,651,082 | $ | 1,699,469 | $ | — | $ | 3,350,551 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Currency Futures Contracts* | $ | 30,159 | $ | — | $ | — | $ | 30,159 | ||||||||
Equity Futures Contracts* | 49,972 | — | — | 49,972 | ||||||||||||
Total Liabilities | $ | 80,131 | $ | — | $ | — | $ | 80,131 |
* | This derivative is reported as unrealized loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II and Guggenheim Strategy Fund III, (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 1,486,508 | $ | 1,866,567 | $ | (2,525,000 | ) | $ | (813 | ) | $ | (87 | ) | $ | 827,175 | 33,034 | $ | 16,597 | ||||||||||||||
Guggenheim Strategy Fund II | 1,852,417 | 997,203 | (2,025,000 | ) | (1,233 | ) | 520 | 823,907 | 32,969 | 17,202 | ||||||||||||||||||||||
$ | 3,338,925 | $ | 2,863,770 | $ | (4,550,000 | ) | $ | (2,046 | ) | $ | 433 | $ | 1,651,082 | $ | 33,799 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
JAPAN 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $787,143) | $ | 786,975 | ||
Investments in affiliated issuers, at value (cost $1,640,615) | 1,651,082 | |||
Repurchase agreements, at value (cost $912,494) | 912,494 | |||
Receivables: | ||||
Fund shares sold | 453,673 | |||
Dividends | 5,286 | |||
Swap settlement | 2,295 | |||
Interest | 635 | |||
Total assets | 3,812,440 | |||
Liabilities: | ||||
Payable for: | ||||
Variation margin | 21,546 | |||
Securities purchased | 5,419 | |||
Management fees | 2,115 | |||
Transfer agent and administrative fees | 705 | |||
Investor service fees | 705 | |||
Portfolio accounting fees | 282 | |||
Trustees’ fees* | 97 | |||
Fund shares redeemed | 27 | |||
Miscellaneous | 2,647 | |||
Total liabilities | 33,543 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 3,778,897 | ||
Net assets consist of: | ||||
Paid in capital | $ | 4,801,602 | ||
Undistributed net investment income | 11,639 | |||
Accumulated net realized loss on investments | (964,512 | ) | ||
Net unrealized depreciation on investments | (69,832 | ) | ||
Net assets | $ | 3,778,897 | ||
Capital shares outstanding | 38,531 | |||
Net asset value per share | $ | 98.07 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 33,799 | ||
Interest | 10,482 | |||
Total investment income | 44,281 | |||
Expenses: | ||||
Management fees | 15,880 | |||
Investor service fees | 5,293 | |||
Transfer agent and administrative fees | 5,293 | |||
Professional fees | 4,879 | |||
Portfolio accounting fees | 2,117 | |||
Trustees’ fees* | 485 | |||
Custodian fees | 289 | |||
Line of credit fees | 7 | |||
Miscellaneous | (1,601 | ) | ||
Total expenses | 32,642 | |||
Net investment income | 11,639 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (2,046 | ) | ||
Futures contracts | 123,973 | |||
Net realized gain | 121,927 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (167 | ) | ||
Investments in affiliated issuers | 433 | |||
Futures contracts | (255,746 | ) | ||
Net change in unrealized appreciation (depreciation) | (255,480 | ) | ||
Net realized and unrealized loss | (133,553 | ) | ||
Net decrease in net assets resulting from operations | $ | (121,914 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
JAPAN 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 11,639 | $ | (5,644 | ) | |||
Net realized gain on investments | 121,927 | 1,508,664 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (255,480 | ) | 28,618 | |||||
Net increase (decrease) in net assets resulting from operations | (121,914 | ) | 1,531,638 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 19,047,827 | 16,175,572 | ||||||
Cost of shares redeemed | (20,761,111 | ) | (14,591,761 | ) | ||||
Net increase (decrease) from capital share transactions | (1,713,284 | ) | 1,583,811 | |||||
Net increase (decrease) in net assets | (1,835,198 | ) | 3,115,449 | |||||
Net assets: | ||||||||
Beginning of period | 5,614,095 | 2,498,646 | ||||||
End of period | $ | 3,778,897 | $ | 5,614,095 | ||||
Undistributed net investment income at end of period | $ | 11,639 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 186,162 | 195,913 | ||||||
Shares redeemed | (203,313 | ) | (177,480 | ) | ||||
Net increase (decrease) in shares | (17,151 | ) | 18,433 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
JAPAN 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 100.82 | $ | 67.08 | $ | 61.65 | $ | 55.02 | $ | 171.68 | $ | 110.06 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .28 | (.13 | ) | (.06 | ) | (.78 | ) | (1.68 | ) | (2.16 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.03 | ) | 33.87 | 5.49 | 7.41 | (16.58 | ) | 63.78 | ||||||||||||||||
Total from investment operations | (2.75 | ) | 33.74 | 5.43 | 6.63 | (18.26 | ) | 61.62 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | — | — | (98.40 | ) | — | |||||||||||||||||
Total distributions | — | — | — | — | (98.40 | ) | — | |||||||||||||||||
Net asset value, end of period | $ | 98.07 | $ | 100.82 | $ | 67.08 | $ | 61.65 | $ | 55.02 | $ | 171.68 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (2.73 | %) | 50.30 | % | 8.86 | % | 12.00 | % | (15.41 | %) | 56.00 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,779 | $ | 5,614 | $ | 2,499 | $ | 3,577 | $ | 2,608 | $ | 4,909 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.55 | % | (0.15 | %) | (0.50 | %) | (1.22 | %) | (1.39 | %) | (1.50 | %) | ||||||||||||
Total expensesd | 1.54 | % | 1.83 | % | 1.56 | % | 1.50 | % | 1.59 | % | 1.54 | % | ||||||||||||
Portfolio turnover rate | 112 | % | 73 | % | 183 | % | 87 | % | 146 | % | — |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:6 reverse share split effective December 1, 2016. |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
STRENGTHENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. The Fund’s current benchmark is 200% of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: September 30, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund I | 28.1% |
Guggenheim Strategy Fund II | 26.2% |
Total | 54.3% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Strengthening Dollar 2x Strategy Fund | 6.53% | 0.27% | 3.50% | 0.99% |
U.S. Dollar Index | 2.55% | (1.21%) | 2.59% | 2.69% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 54.3% | ||||||||
Guggenheim Strategy Fund I1 | 36,766 | $ | 920,623 | |||||
Guggenheim Strategy Fund II1 | 34,324 | 857,755 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,769,808) | 1,778,378 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 10.7% | ||||||||
Freddie Mac2 | ||||||||
0.80% due 07/11/18 | $ | 200,000 | 199,945 | |||||
Fannie Mae2 | ||||||||
1.13% due 12/14/18 | 100,000 | 99,548 | ||||||
Federal Farm Credit Bank3 | ||||||||
2.04% (1 Month USD LIBOR - 0.05%) due 01/23/194 | 50,000 | 50,022 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $349,626) | 349,515 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 7.6% | ||||||||
Federal Home Loan Bank3 | ||||||||
1.85% due 07/06/185,6 | 150,000 | 149,962 | ||||||
1.87% due 07/09/185,6 | 100,000 | 99,958 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $249,920) | 249,920 |
U.S. TREASURY BILLS†† - 3.0% | ||||||||
1.72% due 07/12/185,6,7 | 98,000 | 97,954 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $97,946) | 97,954 | |||||||
REPURCHASE AGREEMENTS††,8 - 26.7% | ||||||||
JPMorgan Chase & Co. | 480,211 | 480,211 | ||||||
Barclays Capital | 235,806 | 235,806 | ||||||
Bank of America Merrill Lynch | 157,204 | 157,204 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $873,221) | 873,221 | |||||||
Total Investments - 102.3% | ||||||||
(Cost $3,340,521) | $ | 3,348,988 | ||||||
Other Assets & Liabilities, net - (2.3)% | (75,789 | ) | ||||||
Total Net Assets - 100.0% | $ | 3,273,199 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
U.S. Dollar Index Futures Contracts | 62 | Sep 2018 | $ | 5,845,980 | $ | (12,657 | ) |
Total Return Swap Agreements | ||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | |||||||||||||||
OTC Currency Index Swap Agreements†† | ||||||||||||||||||||||
Goldman Sachs International | U.S. Dollar Index | 2.36 | % | At Maturity | 09/20/18 | 7,035 | $ | 661,974 | $ | (2,080 | ) |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
3 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
4 | Variable rate security. Rate indicated is the rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | Zero coupon rate security. |
7 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
8 | Repurchase Agreements — See Note 6. |
9 | All or a portion of this security is pledged as currency index swap collateral at June 30, 2018. |
LIBOR — London Interbank Offered Rate | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 1,778,378 | $ | — | $ | — | $ | 1,778,378 | ||||||||
Federal Agency Notes | — | 349,515 | — | 349,515 | ||||||||||||
Federal Agency Discount Notes | — | 249,920 | — | 249,920 | ||||||||||||
U.S. Treasury Bills | — | 97,954 | — | 97,954 | ||||||||||||
Repurchase Agreements | — | 873,221 | — | 873,221 | ||||||||||||
Total Assets | $ | 1,778,378 | $ | 1,570,610 | $ | — | $ | 3,348,988 | ||||||||
| ||||||||||||||||
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Currency Futures Contracts* | $ | 12,657 | $ | — | $ | — | $ | 12,657 | ||||||||
Currency Index Swap Agreements* | — | 2,080 | — | 2,080 | ||||||||||||
Total Liabilities | $ | 12,657 | $ | 2,080 | $ | — | $ | 14,737 |
* | This derivative is reported as unrealized loss at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust , including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 486,103 | $ | 1,160,295 | $ | (725,000 | ) | $ | (91 | ) | $ | (684 | ) | $ | 920,623 | 36,766 | $ | 10,246 | ||||||||||||||
Guggenheim Strategy Fund II | 592,767 | 1,341,005 | (1,075,000 | ) | 600 | (1,617 | ) | 857,755 | 34,324 | 10,964 | ||||||||||||||||||||||
$ | 1,078,870 | $ | 2,501,300 | $ | (1,800,000 | ) | $ | 509 | $ | (2,301 | ) | $ | 1,778,378 | $ | 21,210 |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $697,492) | $ | 697,389 | ||
Investments in affiliated issuers, at value (cost $1,769,808) | 1,778,378 | |||
Repurchase agreements, at value (cost $873,221) | 873,221 | |||
Segregated cash with broker | 6,498 | |||
Receivables: | ||||
Dividends | 5,638 | |||
Fund shares sold | 2,194 | |||
Interest | 933 | |||
Swap settlement | 755 | |||
Total assets | 3,365,006 | |||
Liabilities: | ||||
Unrealized depreciation on swap agreements | 2,080 | |||
Payable for: | ||||
Variation margin | 50,785 | |||
Fund shares redeemed | 24,526 | |||
Securities purchased | 5,782 | |||
Management fees | 2,413 | |||
Transfer agent and administrative fees | 670 | |||
Investor service fees | 670 | |||
Portfolio accounting fees | 268 | |||
Trustees’ fees* | 129 | |||
Miscellaneous | 4,484 | |||
Total liabilities | 91,807 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 3,273,199 | ||
Net assets consist of: | ||||
Paid in capital | $ | 4,379,471 | ||
Undistributed net investment income | 5,689 | |||
Accumulated net realized loss on investments | (1,105,691 | ) | ||
Net unrealized depreciation on investments | (6,270 | ) | ||
Net assets | $ | 3,273,199 | ||
Capital shares outstanding | 86,485 | |||
Net asset value per share | $ | 37.85 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 21,210 | ||
Interest | 8,094 | |||
Total investment income | 29,304 | |||
Expenses: | ||||
Management fees | 11,990 | |||
Investor service fees | 3,331 | |||
Transfer agent and administrative fees | 3,331 | |||
Professional fees | 1,874 | |||
Portfolio accounting fees | 1,332 | |||
Trustees’ fees* | 243 | |||
Custodian fees | 167 | |||
Miscellaneous | 1,347 | |||
Total expenses | 23,615 | |||
Net investment income | 5,689 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 11 | |||
Investments in affiliated issuers | 509 | |||
Swap agreements | (6,774 | ) | ||
Futures contracts | 162,582 | |||
Net realized gain | 156,328 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (105 | ) | ||
Investments in affiliated issuers | (2,301 | ) | ||
Swap agreements | 1,700 | |||
Futures contracts | 22,822 | |||
Net change in unrealized appreciation (depreciation) | 22,116 | |||
Net realized and unrealized gain | 178,444 | |||
Net increase in net assets resulting from operations | $ | 184,133 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 5,689 | $ | (2,805 | ) | |||
Net realized gain (loss) on investments | 156,328 | (501,880 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 22,116 | (122,233 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 184,133 | (626,918 | ) | |||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (54,703 | ) | |||||
Total distributions to shareholders | — | (54,703 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 11,319,032 | 12,652,905 | ||||||
Distributions reinvested | — | 54,703 | ||||||
Cost of shares redeemed | (9,966,581 | ) | (15,933,084 | ) | ||||
Net increase (decrease) from capital share transactions | 1,352,451 | (3,225,476 | ) | |||||
Net increase (decrease) in net assets | 1,536,584 | (3,907,097 | ) | |||||
Net assets: | ||||||||
Beginning of period | 1,736,615 | 5,643,712 | ||||||
End of period | $ | 3,273,199 | $ | 1,736,615 | ||||
Undistributed net investment income at end of period | $ | 5,689 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 315,732 | 327,875 | ||||||
Shares issued from reinvestment of distributions | — | 1,446 | ||||||
Shares redeemed | (278,129 | ) | (408,989 | ) | ||||
Net increase (decrease) in shares | 37,603 | (79,668 | ) |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 35.53 | $ | 43.90 | $ | 43.45 | $ | 42.19 | $ | 34.32 | $ | 35.37 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .08 | (.04 | ) | (.23 | ) | (.55 | ) | (.47 | ) | (.60 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.24 | (7.67 | ) | 2.96 | 6.09 | 8.34 | (.45 | ) | ||||||||||||||||
Total from investment operations | 2.32 | (7.71 | ) | 2.73 | 5.54 | 7.87 | (1.05 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.66 | ) | (2.28 | ) | (4.28 | ) | — | — | |||||||||||||||
Total distributions | — | (.66 | ) | (2.28 | ) | (4.28 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 37.85 | $ | 35.53 | $ | 43.90 | $ | 43.45 | $ | 42.19 | $ | 34.32 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 6.53 | % | (17.65 | %) | 7.00 | % | 13.35 | % | 22.93 | % | (2.97 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,273 | $ | 1,737 | $ | 5,644 | $ | 3,303 | $ | 6,980 | $ | 2,803 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.43 | % | (0.10 | %) | (0.57 | %) | (1.21 | %) | (1.24 | %) | (1.69 | %) | ||||||||||||
Total expensesd | 1.77 | % | 1.80 | % | 1.76 | % | 1.70 | % | 1.76 | % | 1.73 | % | ||||||||||||
Portfolio turnover rate | 120 | % | 88 | % | 190 | % | 177 | % | 189 | % | — |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2014 have been restated to reflect a 1:3 reverse share split effective January 24, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
WEAKENING DOLLAR 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match, before fees and expenses, the performance of a specific benchmark on a daily basis. The Fund’s current benchmark is 200% of the inverse (opposite) of the performance of the U.S. Dollar Index® (the “underlying index”). The Fund does not seek to achieve its investment objective over a period of time greater than one day.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments or investments in Guggenheim Strategy Funds Trust mutual funds. Investments in those Funds do not provide “market exposure” to meet the Fund’s investment objective, but will significantly increase the portfolio’s exposure to certain other asset categories (and their associated risks), which may cause the Fund to deviate from its principal investment strategy, including: (i) high yield, high risk debt securities rated below the top four long-term rating categories by a nationally recognized statistical rating organization (also known as “junk bonds”); (ii) securities issued by the U.S. government or its agencies and instrumentalities; (iii) CLOs, other asset-backed securities (including mortgage-backed securities) and similarly structured debt investments; and (iv) other short-term fixed income securities.
Inception Date: September 30, 2005 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 31.5% |
Guggenheim Strategy Fund I | 28.8% |
Total | 60.3% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2018
| 6 month‡ | 1 Year | 5 Year | 10 Year |
Weakening Dollar 2x Strategy Fund | (6.91%) | (1.80%) | (6.73%) | (6.91%) |
U.S. Dollar Index | 2.55% | (1.21%) | 2.59% | 2.69% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The U.S. Dollar Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
WEAKENING DOLLAR 2x STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 60.3% | ||||||||
Guggenheim Strategy Fund II1 | 9,207 | $ | 230,088 | |||||
Guggenheim Strategy Fund I1 | 8,399 | 210,307 | ||||||
Total Mutual Funds | ||||||||
(Cost $436,188) | 440,395 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 20.5% | ||||||||
Federal Farm Credit Bank2 | ||||||||
2.04% (1 Month USD LIBOR - 0.05%) due 01/23/193 | $ | 50,000 | 50,023 | |||||
Freddie Mac4 | ||||||||
0.80% due 07/11/18 | 50,000 | 49,986 | ||||||
Fannie Mae4 | ||||||||
1.13% due 07/20/18 | 50,000 | 49,980 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $149,984) | 149,989 | |||||||
U.S. TREASURY BILLS†† - 4.0% | ||||||||
U.S. Treasury Bills | ||||||||
1.72% due 07/12/185,6,7 | 29,000 | 28,987 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $28,984) | 28,987 | |||||||
REPURCHASE AGREEMENTS††,8 - 13.5% | ||||||||
JPMorgan Chase & Co. | 54,380 | 54,380 | ||||||
Barclays Capital | 26,703 | 26,703 | ||||||
Bank of America Merrill Lynch | 17,802 | 17,802 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $98,885) | 98,885 | |||||||
Total Investments - 98.3% | ||||||||
(Cost $714,041) | $ | 718,256 | ||||||
Other Assets & Liabilities, net - 1.7% | 12,570 | |||||||
Total Net Assets - 100.0% | $ | 730,826 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||||
U.S. Dollar Index Futures Contracts | 14 | Sep 2018 | $ | 1,320,060 | $ | 1,871 |
Total Return Swap Agreements | ||||||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | |||||||||||||||
OTC Currency Index Swap Agreements Sold Short†† | ||||||||||||||||||||||
Goldman Sachs International | U.S. Dollar Index | 2.36 | % | At Maturity | 09/20/18 | 1,341 | $ | 126,208 | $ | 34 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | The issuer operates under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. Government. |
3 | Variable rate security. Rate indicated is the rate effective at June 30, 2018. In some instances, the underlying reference rate shown was below the minimum rate earned by the security or has been adjusted by a predetermined factor. The settlement status of a position may also impact the effective rate indicated. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
4 | On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm. |
5 | All or a portion of this security is pledged as futures collateral at June 30, 2018. |
6 | Rate indicated is the effective yield at the time of purchase. |
7 | Zero coupon rate security. |
8 | Repurchase Agreements — See Note 6. |
9 | All or a portion of this security is pledged as currency index swap collateral at June 30, 2018. |
LIBOR — London Interbank Offered Rate | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
WEAKENING DOLLAR 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 440,395 | $ | — | $ | — | $ | 440,395 | ||||||||
Federal Agency Notes | — | 149,989 | — | 149,989 | ||||||||||||
U.S. Treasury Bills | — | 28,987 | — | 28,987 | ||||||||||||
Repurchase Agreements | — | 98,885 | — | 98,885 | ||||||||||||
Currency Futures Contracts* | 1,871 | — | — | 1,871 | ||||||||||||
Currency Index Swap Agreements* | — | 34 | — | 34 | ||||||||||||
Total Assets | $ | 442,266 | $ | 277,895 | $ | — | $ | 720,161 |
* | This derivative is reported as unrealized gain at period end. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a portfolio company of a fund, or control of or by, or common control under the GI, result in that portfolio company being considered an affiliated company of such fund, as defined in the 1940 Act.
The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund I, Guggenheim Strategy Fund II, and Guggenheim Strategy Fund III (collectively, the “Cash Management Funds”), each of which are open-end management investment companies managed by GI. The Cash Management Funds, which launched on March 11, 2014, are offered as cash management options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Cash Management Funds pay no investment management fees. The Cash Management Funds’ annual report on Form N-CSR dated September 30, 2017, is available publicly or upon request. This information is available from the EDGAR database on the SEC’s website at https://www.sec.gov/Archives/edgar/data/1601445/000089180417000715/gug72218.htm.
Transactions during the period ended June 30, 2018, in which the portfolio company is an “affiliated person”, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund I | $ | 187,101 | $ | 303,409 | $ | (280,000 | ) | $ | (45 | ) | $ | (158 | ) | $ | 210,307 | 8,399 | $ | 3,402 | ||||||||||||||
Guggenheim Strategy Fund II | 236,637 | 153,672 | (160,000 | ) | (34 | ) | (187 | ) | 230,088 | 9,207 | 3,665 | |||||||||||||||||||||
$ | 423,738 | $ | 457,081 | $ | (440,000 | ) | $ | (79 | ) | $ | (345 | ) | $ | 440,395 | $ | 7,067 |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WEAKENING DOLLAR 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments in unaffiliated issuers (cost $178,968) | $ | 178,976 | ||
Investments in affiliated issuers, at value (cost $436,188) | 440,395 | |||
Repurchase agreements, at value (cost $98,885) | 98,885 | |||
Unrealized appreciation on swap agreements | 34 | |||
Receivables: | ||||
Variation margin | 11,284 | |||
Fund shares sold | 4,002 | |||
Dividends | 1,201 | |||
Interest | 475 | |||
Total assets | 735,252 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 1,237 | |||
Swap settlement | 631 | |||
Management fees | 569 | |||
Licensing fees | 504 | |||
Transfer agent and administrative fees | 158 | |||
Investor service fees | 158 | |||
Portfolio accounting fees | 63 | |||
Fund shares redeemed | 54 | |||
Trustees’ fees* | 18 | |||
Miscellaneous | 1,034 | |||
Total liabilities | 4,426 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 730,826 | ||
Net assets consist of: | ||||
Paid in capital | $ | 2,095,390 | ||
Undistributed net investment income | 1,632 | |||
Accumulated net realized loss on investments | (1,372,316 | ) | ||
Net unrealized appreciation on investments | 6,120 | |||
Net assets | $ | 730,826 | ||
Capital shares outstanding | 11,648 | |||
Net asset value per share | $ | 62.74 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 7,067 | ||
Interest | 2,504 | |||
Total investment income | 9,571 | |||
Expenses: | ||||
Management fees | 4,028 | |||
Investor service fees | 1,119 | |||
Transfer agent and administrative fees | 1,119 | |||
Professional fees | 655 | |||
Portfolio accounting fees | 448 | |||
Trustees’ fees* | 106 | |||
Custodian fees | 57 | |||
Miscellaneous | 407 | |||
Total expenses | 7,939 | |||
Net investment income | 1,632 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (79 | ) | ||
Swap agreements | (13,458 | ) | ||
Futures contracts | (60,656 | ) | ||
Net realized loss | (74,193 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 6 | |||
Investments in affiliated issuers | (345 | ) | ||
Swap agreements | (6,006 | ) | ||
Futures contracts | (9,251 | ) | ||
Net change in unrealized appreciation (depreciation) | (15,596 | ) | ||
Net realized and unrealized loss | (89,789 | ) | ||
Net decrease in net assets resulting from operations | $ | (88,157 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
WEAKENING DOLLAR 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 1,632 | $ | (2,521 | ) | |||
Net realized loss on investments | (74,193 | ) | (3,141 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (15,596 | ) | 25,310 | |||||
Net increase (decrease) in net assets resulting from operations | (88,157 | ) | 19,648 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,813,778 | 13,687,425 | ||||||
Cost of shares redeemed | (2,773,728 | ) | (13,615,500 | ) | ||||
Net increase from capital share transactions | 40,050 | 71,925 | ||||||
Net increase (decrease) in net assets | (48,107 | ) | 91,573 | |||||
Net assets: | ||||||||
Beginning of period | 778,933 | 687,360 | ||||||
End of period | $ | 730,826 | $ | 778,933 | ||||
Undistributed net investment income at end of period | $ | 1,632 | $ | — | ||||
Capital share activity: | ||||||||
Shares sold | 40,924 | 221,937 | ||||||
Shares redeemed | (40,833 | ) | (222,548 | ) | ||||
Net increase (decrease) in shares | 91 | (611 | ) |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WEAKENING DOLLAR 2x STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 67.40 | $ | 56.49 | $ | 61.90 | $ | 74.41 | $ | 95.30 | $ | 98.04 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .12 | (.14 | ) | (.11 | ) | (.80 | ) | (1.28 | ) | (1.60 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.78 | ) | 11.05 | (5.30 | ) | (11.71 | ) | (19.61 | ) | (1.14 | ) | |||||||||||||
Total from investment operations | (4.66 | ) | 10.91 | (5.41 | ) | (12.51 | ) | (20.89 | ) | (2.74 | ) | |||||||||||||
Net asset value, end of period | $ | 62.74 | $ | 67.40 | $ | 56.49 | $ | 61.90 | $ | 74.41 | $ | 95.30 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (6.91 | %) | 19.31 | % | (8.71 | %) | (16.83 | %) | (21.91 | %) | (2.82 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 731 | $ | 779 | $ | 687 | $ | 1,297 | $ | 1,209 | $ | 1,896 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.36 | % | (0.22 | %) | (0.63 | %) | (1.22 | %) | (1.44 | %) | (1.69 | %) | ||||||||||||
Total expensesd | 1.77 | % | 1.80 | % | 1.76 | % | 1.71 | % | 1.76 | % | 1.74 | % | ||||||||||||
Portfolio turnover rate | 80 | % | 367 | % | 250 | % | 232 | % | 108 | % | — |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amount for the periods presented through December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. At June 30, 2018, the Trust consisted of forty-nine funds. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.
This report covers the S&P 500® Pure Growth Fund, S&P 500® Pure Value Fund, S&P MidCap 400® Pure Growth Fund, S&P MidCap 400® Pure Value Fund, S&P SmallCap 600® Pure Growth Fund, S&P SmallCap 600® Pure Value Fund, Europe 1.25x Strategy Fund, Japan 2x Strategy Fund, Strengthening Dollar 2x Strategy Fund and Weakening Dollar 2x Strategy Fund (the “Funds”), each a non-diversified investment company.
The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The net asset value per share (“NAV”) of a fund is calculated by dividing the market value of a fund’s securities and other assets, less all liabilities, by the number of outstanding shares of that fund.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
Open-end investment companies (“mutual funds”) are valued at their NAV as of the close of business, on the valuation date.
U.S. Government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business.
Debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker-dealer supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury spreads, yields or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
or less at acquisition are valued at amortized cost, provided such amount approximates market value. Money market funds are valued at their NAV.
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
The value of futures contracts is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current realized settlement prices. Financial futures contracts are valued at the 4:00 p.m. price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. However, the underlying securities from which the futures contract value is derived are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation.
The value of currency index swap agreements entered into by a Fund is accounted for using the unrealized gain or loss on the agreements that is determined by marking the agreements to the broker quote.
Investments for which market quotations are not readily available are fair valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
In connection with futures contracts and other derivative investments, such factors may include obtaining information as to how (a) these contracts and other derivative investments trade in the futures or other derivative markets, respectively, and (b) the securities underlying these contracts and other derivative investments trade in the cash market.
(b) U.S. Government and Agency Obligations
Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.
(c) Futures Contracts
Upon entering into a futures contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
(d) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
(e) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2018, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(f) Currency Translations
The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.
Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(g) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(h) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all such distributions of a Fund will automatically be reinvested without charge in additional shares of the same Fund. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
(i) Cash
The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 1.91% at June 30, 2018.
(j) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Note 2 – Financial Instruments and Derivatives
As part of their investment strategy, the Funds utilize a variety of derivative instruments. These investments involve, to varying degrees, elements of market risk and risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds may utilize derivatives for the following purposes:
Index Exposure: the use of an instrument to obtain exposure to a listed or other type of index.
Leverage: gaining total exposure to equities or other assets on the long and short sides at greater than 100% of invested capital.
Liquidity: the ability to buy or sell exposure with little price/market impact.
For any Fund whose investment strategy consistently involves applying leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
or decrease in the underlying index or other asset. In addition, because an investment in derivative instruments generally requires a small investment relative to the amount of investment exposure assumed, an opportunity for increased net income is created; but, at the same time, leverage risk will increase. The Fund’s use of leverage, through borrowings or instruments such as derivatives, may cause the Fund to be more volatile and riskier than if they had not been leveraged.
Futures
A futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities or other instruments at a set price for delivery at a future date. There are significant risks associated with a Fund’s use of futures contracts, including (i) there may be an imperfect or no correlation between the changes in market value of the underlying asset and the prices of futures contracts; (ii) there may not be a liquid secondary market for a futures contract; (iii) trading restrictions or limitations may be imposed by an exchange; and (iv) government regulations may restrict trading in futures contracts. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Cash deposits are shown as segregated cash with broker on the Statements of Assets and Liabilities; securities held as collateral are noted on the Schedules of Investments.
The following table represents the Funds’ use and volume of futures on a quarterly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Europe 1.25x Strategy Fund | Index exposure, Leverage, Liquidity | $ | 6,223,620 | $ | — | ||||
Japan 2x Strategy Fund | Index exposure, Leverage, Liquidity | 13,331,531 | — | ||||||
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | 4,537,950 | — | ||||||
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 1,467,510 |
Swaps
A swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to changes in specified prices or rates for a specified amount of an underlying asset. A Fund utilizing over-the-counter (“OTC”) swaps bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty or if the underlying asset declines in value. Certain standardized swaps are subject to mandatory central clearing and are executed on a multi-lateral or other trade facility platform, such as a registered exchange. There is limited counterparty credit risk with respect to centrally-cleared swaps as the transaction is facilitated through a central clearinghouse, much like an exchange-traded futures contract. Upon entering into a centrally-cleared swap transaction, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin payments or receipts are made or received by the Fund, depending on fluctuations in the fair value of the reference entity. For Funds utilizing interest rate swaps, the exchange bears the risk of loss.
Currency swaps enable the Funds to gain exposure to currencies in a market without actually possessing a given currency, or to hedge a position. Currency swaps involve the exchange of the principal and interest in one currency for the principal and interest in another currency. As in other types of OTC swaps, the Funds may be at risk due to the counterparty’s inability to perform.
The following table represents the Funds’ use and volume of currency swaps on a quarterly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | $ | 698,747 | $ | — | ||||
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 333,175 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Statements of Assets and Liabilities as of June 30, 2018:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency contracts | Variation margin | Variation margin |
| Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2018:
Asset Derivative Investments Value | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total Value at | ||||||||||||
Weakening Dollar 2x Strategy Fund | $ | — | $ | 1,871 | $ | 34 | $ | 1,905 |
Liability Derivative Investments Value | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total Value at | ||||||||||||
Europe 1.25x Strategy Fund | $ | 55,237 | $ | 12,728 | $ | — | $ | 67,965 | ||||||||
Japan 2x Strategy Fund | 49,972 | 30,159 | — | 80,131 | ||||||||||||
Strengthening Dollar 2x Strategy Fund | — | 12,657 | 2,080 | 14,737 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Statements of Operations for the period ended June 30, 2018:
Derivative Investment Type | Location of Gain (Loss) on Derivatives |
Equity/Currency contracts | Net realized gain (loss) on futures contracts |
| Net change in unrealized appreciation (depreciation) on futures contracts |
| Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized on the Statements of Operations categorized by primary risk exposure for the period ended June 30, 2018:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total | ||||||||||||
Europe 1.25x Strategy Fund | $ | (68,783 | ) | $ | (133,946 | ) | $ | — | $ | (202,729 | ) | |||||
Japan 2x Strategy Fund | (404,611 | ) | 528,584 | — | 123,973 | |||||||||||
Strengthening Dollar 2x Strategy Fund | — | 162,582 | (6,774 | ) | 155,808 | |||||||||||
Weakening Dollar 2x Strategy Fund | — | (60,656 | ) | (13,458 | ) | (74,114 | ) |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total | ||||||||||||
Europe 1.25x Strategy Fund | $ | (17,144 | ) | $ | (62,627 | ) | $ | — | $ | (79,771 | ) | |||||
Japan 2x Strategy Fund | (186,071 | ) | (69,675 | ) | — | (255,746 | ) | |||||||||
Strengthening Dollar 2x Strategy Fund | — | 22,822 | 1,700 | 24,522 | ||||||||||||
Weakening Dollar 2x Strategy Fund | — | (9,251 | ) | (6,006 | ) | (15,257 | ) |
In conjunction with the use of derivative instruments, the Funds are required to maintain collateral in various forms. The Funds use, where appropriate, depending on the financial instrument utilized and the broker involved, margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds.
The Trust has established counterparty credit guidelines and enters into transactions only with financial institutions of investment grade or better. The Trust monitors the counterparty credit risk.
Note 3 – Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements and offset in the Statements of Assets and Liabilities in conformity with U.S. GAAP:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Weakening Dollar 2x Strategy Fund | Swap currency contracts | $ | 34 | $ | — | $ | 34 | $ | — | $ | — | $ | 34 |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | Swap currency contracts | $ | 2,080 | $ | — | $ | 2,080 | $ | 2,080 | $ | — | $ | — |
1 | Exchange-traded futures are excluded from these reported amounts. |
The following table presents deposits held by others in connection with derivative investments as of June 30, 2018. The derivatives tables following the Schedule of Investments list each counterparty for which cash collateral may have been pledged or received at period end. The Funds have the right to offset these deposits against any related liabilities outstanding with each counterparty.
Fund | Counterparty/ | Asset Type | Cash Pledged | Cash Received | ||||||
Strengthening Dollar 2x Strategy Fund | Goldman Sachs Group | Futures contracts | $ | 6,498 | $ | — |
Note 4 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 | — | quoted prices in active markets for identical assets or liabilities. |
Level 2 | — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 | — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees |
S&P 500® Pure Growth Fund | 0.75% |
S&P 500® Pure Value Fund | 0.75% |
S&P MidCap 400® Pure Growth Fund | 0.75% |
S&P MidCap 400® Pure Value Fund | 0.75% |
S&P SmallCap 600® Pure Growth Fund | 0.75% |
S&P SmallCap 600® Pure Value Fund | 0.75% |
Europe 1.25x Strategy Fund | 0.90% |
Japan 2x Strategy Fund | 0.75% |
Strengthening Dollar 2x Strategy Fund | 0.90% |
Weakening Dollar 2x Strategy Fund | 0.90% |
GI engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted an Investor Services Plan for which GFD and other firms that provide investor services (“Service Providers”) may receive compensation. The Funds will pay investor service fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for investor services it performs.
If a Fund invests in an affiliated fund, the investing Fund’s adviser has agreed to waive fees at the investing fund level. Fee waivers will be calculated at the investing Fund level without regard to any expense cap, if any, in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2018, the Funds did not waive any fees related to investments in affiliated funds.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. U.S. Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of each Fund’s average daily net assets and out of pocket expenses.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 6 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The joint account includes other Funds in the Guggenheim complex not covered in this report. The collateral is in the possession of the Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
At June 30, 2018, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price |
| Collateral | Par Value | Fair Value | ||||||||||||
JPMorgan Chase & Co. | U.S. Treasury Notes | |||||||||||||||||
2.10% | 1.88% - 2.50% | |||||||||||||||||
Due 07/02/18 | $ | 47,042,511 | $ | 47,050,743 | 08/31/22 - 08/15/25 | $ | 46,464,300 | $ | 45,313,928 | |||||||||
U.S. Treasury Bonds | ||||||||||||||||||
3.00% - 3.38% | ||||||||||||||||||
05/15/44 - 05/15/47 | 2,559,600 | 2,582,788 | ||||||||||||||||
47,896,716 | ||||||||||||||||||
Barclays Capital | U.S. TIP Notes | |||||||||||||||||
2.07% | 0.39% - 1.00% | |||||||||||||||||
Due 07/02/18 | 23,100,095 | 23,104,080 | 01/15/26 - 02/15/46 | 18,009,827 | 17,794,154 | |||||||||||||
U.S. Treasury Note | ||||||||||||||||||
1.88% | ||||||||||||||||||
03/31/22 | 5,903,500 | 5,752,223 | ||||||||||||||||
23,546,377 | ||||||||||||||||||
Bank of America Merrill Lynch | U.S. Treasury Note | |||||||||||||||||
2.08% | 4.00% | |||||||||||||||||
Due 07/02/18 | 15,400,064 | 15,402,733 | 08/15/18 | 15,438,500 | 15,658,625 |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment adviser, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
Note 7 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund — Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering their securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2018, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the | Securities Lending Collateral | ||||||||||||||||||||||||
Fund | Value of | Collateral | Net | Cash | Cash | Total | |||||||||||||||||||
S&P 500® Pure Value Fund | $ | 109,560 | $ | (109,560 | ) | $ | — | $ | 116,532 | $ | — | $ | 116,532 | ||||||||||||
S&P MidCap 400® Pure Growth Fund | 151,798 | (151,798 | ) | — | 152,295 | — | 152,295 | ||||||||||||||||||
S&P MidCap 400® Pure Value Fund | 744,816 | (744,816 | ) | — | 772,724 | — | 772,724 | ||||||||||||||||||
S&P SmallCap 600® Pure Growth Fund | 682,980 | (682,980 | ) | — | 705,657 | — | 705,657 | ||||||||||||||||||
S&P SmallCap 600® Pure Value Fund | 990,491 | (990,491 | ) | — | 1,031,229 | — | 1,031,229 | ||||||||||||||||||
Europe 1.25x Strategy Fund | 16,239 | (16,239 | ) | — | 16,727 | — | 16,727 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to overcollateralization. |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
Note 8 – Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
At June 30, 2018, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value, were as follows:
Fund | Tax | Tax | Tax | Net | ||||||||||||
S&P 500® Pure Growth Fund | $ | 46,558,353 | $ | 13,561,213 | $ | (901,309 | ) | $ | 12,659,904 | |||||||
S&P 500® Pure Value Fund | 31,203,849 | 4,996,333 | (721,959 | ) | 4,274,374 | |||||||||||
S&P MidCap 400® Pure Growth Fund | 24,119,056 | 2,158,811 | (1,060,805 | ) | 1,098,006 | |||||||||||
S&P MidCap 400® Pure Value Fund | 11,637,953 | 1,906,574 | (222,096 | ) | 1,684,478 | |||||||||||
S&P SmallCap 600® Pure Growth Fund | 22,332,776 | 3,863,820 | (449,826 | ) | 3,413,994 | |||||||||||
S&P SmallCap 600® Pure Value Fund | 17,554,369 | 1,161,118 | (399,787 | ) | 761,331 | |||||||||||
Europe 1.25x Strategy Fund | 3,938,174 | 4,078 | (113,298 | ) | (109,220 | ) | ||||||||||
Japan 2x Strategy Fund | 3,342,745 | 8,096 | (80,421 | ) | (72,325 | ) | ||||||||||
Strengthening Dollar 2x Strategy Fund | 3,342,752 | 6,384 | (14,885 | ) | (8,501 | ) | ||||||||||
Weakening Dollar 2x Strategy Fund | 714,078 | 6,083 | — | 6,083 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 9 – Securities Transactions
For the period ended June 30, 2018, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
S&P 500® Pure Growth Fund | $ | 46,389,460 | $ | 46,646,171 | ||||
S&P 500® Pure Value Fund | 23,124,224 | 32,211,325 | ||||||
S&P MidCap 400® Pure Growth Fund | 21,086,113 | 17,116,043 | ||||||
S&P MidCap 400® Pure Value Fund | 9,362,764 | 14,175,681 | ||||||
S&P SmallCap 600® Pure Growth Fund | 24,881,153 | 22,274,547 | ||||||
S&P SmallCap 600® Pure Value Fund | 15,959,120 | 16,899,820 | ||||||
Europe 1.25x Strategy Fund | 4,393,669 | 6,087,809 | ||||||
Japan 2x Strategy Fund | 2,863,769 | 4,550,000 | ||||||
Strengthening Dollar 2x Strategy Fund | 2,501,300 | 1,800,000 | ||||||
Weakening Dollar 2x Strategy Fund | 457,081 | 440,000 |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended June 30, 2018, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Realized | |||||||||
S&P 500® Pure Growth Fund | $ | 11,991,156 | $ | 13,328,336 | $ | (112,449 | ) | |||||
S&P 500® Pure Value Fund | 4,838,736 | 10,973,324 | 303,200 | |||||||||
S&P MidCap 400® Pure Growth Fund | 1,670,929 | 1,543,782 | (20,281 | ) | ||||||||
S&P MidCap 400® Pure Value Fund | 608,627 | 1,832,372 | 2,412 | |||||||||
S&P SmallCap 600® Pure Growth Fund | 4,268,985 | 3,633,524 | (110,889 | ) | ||||||||
S&P SmallCap 600® Pure Value Fund | 2,753,275 | 2,120,214 | (109,291 | ) | ||||||||
Europe 1.25x Strategy Fund | 2,550,864 | 3,357,599 | (44,824 | ) |
Note 10 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $75,000,000 line of credit from U.S. Bank, N.A., which expires June 9, 2019. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 2.66% for the period ended June 30, 2018. On June 30, 2018, the Europe 1.25x Strategy Fund borrowed $20,000 under this agreement. The remaining Funds did not have any borrowings outstanding under this agreement at June 30, 2018.
The average daily balances borrowed for the period ended June 30, 2018, were as follows:
Fund | Average Daily Balance | |||
S&P 500® Pure Growth Fund | $ | 386 | ||
S&P 500® Pure Value Fund | 74 | |||
S&P MidCap 400® Pure Growth Fund | 723 | |||
S&P MidCap 400® Pure Value Fund | 36 | |||
S&P SmallCap 600® Pure Growth Fund | 2,438 | |||
S&P SmallCap 600® Pure Value Fund | 27 | |||
Europe 1.25x Strategy Fund | 833 | |||
Japan 2x Strategy Fund | 241 |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 11 – Legal Proceedings
Tribune Company
Rydex Variable Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Variable Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Variable Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Variable Trust has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order. On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. On April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.”
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. The Court concluded that the plaintiff had failed to allege that Tribune entered the LBO with actual intent to hinder, delay, or defraud its creditors, and therefore the complaint failed to state a claim. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law. On March 8, 2018, the plaintiff renewed his request for leave to file a
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
None of these lawsuits alleges any wrongdoing on the part of Rydex Variable Trust. The following series of Rydex Variable Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 2x Strategy Fund, Multi-Cap Core Equity Fund, S&P 500 Pure Value Fund, Hedged Equity Fund and Multi-Hedge Strategies Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $12,580, $2,380, $1,360, $148,376, $2,720, and $119,034, respectively. At this stage of the proceedings, Rydex Variable Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Variable Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 21, 2018, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 25, 2018 (together, with the May 21st meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 25th meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the Investment Advisory Agreement the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements, and participated in discussions with representatives of the Advisor during which the representatives answered the Independent Trustees’ questions and agreed to provide certain additional information for their consideration. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund
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OTHER INFORMATION (Unaudited)(continued) |
performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In its deliberations, the Trustees did not identify any particular factor or factors as controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to each Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board, however, examined whether the loss of certain advisory personnel in connection with the recent sale of the Guggenheim ETF business might affect the services provided by the Advisor to the remaining Funds. The Board was assured that such personnel were not previously involved in the management of the Funds and that their departure would not affect the nature, extent or quality of the services provided by the Advisor. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the FUSE reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies, index rebalance frequency, and, in certain cases, the Fund’s tradability feature) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. With respect to the Funds that track an underlying index (“Index Funds”), the Board also discussed the correlation between an Index Fund’s assets under management and tracking error, noting that an Index Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Index Fund’s size. The Board also considered and requested information detailing the effect of the recent sale of the Guggenheim ETF business on the expense allocation methodology employed by the Advisor. After reviewing the additional information provided by the Advisor, the Board determined the impact on the Funds would be minimal. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. The Board also considered the effect of the recent sale of the Guggenheim ETF business on the Advisor’s and its affiliates’ profitability, and similar to its conclusion with respect to expenses, determined that the impact would be minimal. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
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OTHER INFORMATION (Unaudited)(concluded) |
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds, the current expectation that assets levels are likely to remain the same or decline in the near future due to changes in demand for variable insurance products, and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited trading that is permitted among most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be derived by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the investor services agreement and investor services plan with respect to the Funds, and under separate distribution agreements, Distribution Plans and Distribution and Shareholder Services Plans pursuant to Rule 12b-1 of the 1940 Act with respect to other of the funds in the Funds’ family of funds. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the Investment Advisory Agreement was in the best interests of each Fund and its shareholders.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, 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 visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and | Position(s) Held with | Principal Occupation(s) | Number of | Other |
Interested Trustee | ||||
Amy J. Lee** (1961) | Trustee (February 2018-present) and President (2017-present) | Current: Interested Trustee, certain other funds in the Fund Complex (February 2018-present); Chief Legal Officer and Vice President, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-February 2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 165 | None. |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, and Member of the Compliance and Risk Oversight Committee from 2016 to present; and Member of the Governance and Nominating Committee and Chairwoman of the Compliance and Risk Oversight Committee from 2017 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm)
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 110 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 110 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 110 | Epiphany Funds (2) (2009-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and | Position(s) Held with | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret (1940) | Trustee and Member of the Audit Committee from 1997 to present; Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 110 | None. |
Werner E. Keller (1940) | Chairman of the Board from 2014 to present; Trustee and Member of the Audit Committee from 2005 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 110 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; Chairman and Member of the Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2018 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 110 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trust (3) (2017-present). |
Patrick T. McCarville (1942) | Trustee and Member of the Audit Committee from 1998 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 110 | None. |
Sandra G. Sponem (1958)
| Trustee, Member of the Audit Committee and Chairwoman and Member of the Investment and Performance Committee from 2016 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Current: Retired
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 110 | None. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held with | Principal Occupation(s) |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (2000-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); Senior Managing Director, Guggenheim Investments (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present) and Director and Chairman, Advisory Research Center, Inc. (2006-present).
Former: Manager, Guggenheim Specialized Products, LLC (2005-April 2018); Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC (now MUFG Investor Services (US), LLC); Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present)
Former: Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-April 2018); Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Mark E. Mathiasen (1978) | Secretary (2017-present) | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2007-present).
Former: Tax Compliance Manager, Ernst & Young, LLP (1996-2009). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: CCO, Security Investors, LLC (2012-2018); CCO, Guggenheim Funds Investment Advisors, LLC (2012-2018); CCO, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held with | Principal Occupation(s) |
OFFICERS - concluded | ||
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955)
| Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer (November 2017-Present) | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present).
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”) (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | This Trustee is an “interested person” (as defined in Section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of her affiliation with Guggenheim Investments. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The Affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
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6.30.2018
Rydex Variable Trust Semi-Annual Report
Sector Funds | ||
Banking Fund | ||
Basic Materials Fund | ||
Biotechnology Fund | ||
Consumer Products Fund | ||
Electronics Fund | ||
Energy Fund | ||
Energy Services Fund | ||
Financial Services Fund | ||
Health Care Fund | ||
Internet Fund | ||
Leisure Fund | ||
Precious Metals Fund | ||
Real Estate Fund | ||
Retailing Fund | ||
Technology Fund | ||
Telecommunications Fund | ||
Transportation Fund | ||
Utilities Fund |
GuggenheimInvestments.com | RVASECF-SEMI-0618x1218 |
TABLE OF CONTENTS |
DEAR SHAREHOLDER | 2 |
ECONOMIC AND MARKET OVERVIEW | 3 |
ABOUT SHAREHOLDERS’ FUND EXPENSES | 5 |
BANKING FUND | 7 |
BASIC MATERIALS FUND | 13 |
BIOTECHNOLOGY FUND | 20 |
CONSUMER PRODUCTS FUND | 26 |
ELECTRONICS FUND | 32 |
ENERGY FUND | 38 |
ENERGY SERVICES FUND | 44 |
FINANCIAL SERVICES FUND | 50 |
HEALTH CARE FUND | 57 |
INTERNET FUND | 64 |
LEISURE FUND | 71 |
PRECIOUS METALS FUND | 78 |
REAL ESTATE FUND | 84 |
RETAILING FUND | 91 |
TECHNOLOGY FUND | 97 |
TELECOMMUNICATIONS FUND | 104 |
TRANSPORTATION FUND | 110 |
UTILITIES FUND | 116 |
NOTES TO FINANCIAL STATEMENTS | 122 |
OTHER INFORMATION | 131 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 134 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 138 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
June 30, 2018 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for 18 of our Funds (the “Funds”) that are part of the Rydex Variable Trust. This report covers performance of the Funds for the semi-annual period ended June 30, 2018.
The Investment Adviser is a part of Guggenheim Investments, which represents the investment management businesses of Guggenheim Partners, LLC (“Guggenheim”), a global, diversified financial services firm.
Guggenheim Funds Distributors, LLC is the distributor of the Funds. Guggenheim Funds Distributors, LLC is affiliated with Guggenheim and the Investment Adviser.
We encourage you to read the Economic and Market Overview section of the report, which follows this letter, and then the Performance Report and Fund Profile for each Fund.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
July 31, 2018
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
Sector funds may not be suitable for all investors. Investing in sector funds is more volatile than investing in broadly diversified funds, as there is a greater risk due to the concentration of the Fund’s holdings in issuers of the same or similar offerings. These Funds are considered non-diversified and can invest a greater portion of their assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2018 |
As the U.S. economy powers along, with second quarter 2018 gross domestic product (“GDP”) coming in at 4.1% annualized, geopolitical risk continues to weigh on the market. Positive headlines surrounding growth and the labor market are offset by the trade war launched by the U.S. against both its rivals and its allies. In May, the Trump administration allowed the aluminum and steel tariff exemptions to expire for Canada, Mexico, and the European Union, instituting 25% tariffs on steel and 10% tariffs on aluminum imported from these regions. In June, the U.S. administration announced it would also impose 25% tariffs on $50 billion worth of Chinese imports ($34 billion of which would be tariffed beginning in July), followed by the publication of a list of $200 billion in additional Chinese goods to be targeted, to which China promised retaliation. The European Union has also announced retaliation, approving tariffs of 25% on a long list of American goods. Over this period, 10-year U.S. Treasury yields peaked at 3.1% and finished the quarter at 2.9%.
The bond market’s reaction to trade rhetoric indicates that there is a tug of war at hand. While fiscal stimulus pushed up bond yields initially, tariffs are weighing them down. Markets are right to be concerned about the consequences of a trade war in which no one wins. Outside of the U.S., this trade war will have the intended impact of squeezing economic growth in export-heavy regions, but among the losers will also be U.S. consumers. Some corporations may slow or postpone hiring as they manage for rising input costs. Others will pass higher prices on to the consumer, causing disposable incomes to suffer. In either case, tariffs reduce the benefit of the fiscal stimulus.
The U.S. Federal Reserve’s (the “Fed”) confidence in the U.S. economy seems to have sharpened in recent weeks despite trade war uncertainty. In the June Summary of Economic Projections (“SEP”), the U.S. Federal Reserve Open Market Committee’s (“FOMC”) median expectations for 2018 GDP growth rose from 2.7% to 2.8%. The FOMC now expects a lower unemployment rate, higher personal consumption expenditures inflation and a higher federal funds rate for 2018 and 2019 than previously expected. The Fed is determined to tighten financial conditions until economic growth and hiring slow to a more sustainable pace.
We believe that the net effect of all factors affecting rates—fiscal stimulus, trade war, and monetary policy tightening—will keep long-term interest rates from moving much higher than current levels. The market is currently pricing this in to the yield curve; in July the difference between 30-year and two-year U.S. Treasury yields hit its lowest level since July 2007. The bond market is sending a warning signal that makes us wary of taking on too much credit risk at this stage.
We maintain our view that a recession could come in 2020 and markets may discount this as early as 2019. In the meantime, we are watching for exogenous factors that could cause a recession to come sooner.
For the six months ended June 30, 2018, the Standard & Poor’s 500® (“S&P 500”) Index* returned 2.65%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -2.37%. The return of the MSCI Emerging Markets Index* was -6.51%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a -1.62% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 0.16%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.81% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged market Index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2018 |
MSCI EAFE Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada.
MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance in the global emerging markets.
MSCI U.S. REIT Index is a free float market capitalization weighted index that is comprised of equity real estate investment trust (“REIT”) securities that belong to the MSCI U.S. Investable Market 2500 Index. The MSCI U.S. REIT Index includes only REIT securities that are of reasonable size in terms of full and free float-adjusted market capitalization to ensure that the performance of the equity REIT universe can be captured and replicated in actual institutional and retail portfolios of different sizes.
S&P 500® is a broad-based index, the performance of which is based on the performance of 500 widely held common stocks chosen for market size, liquidity, and industry group representation.
S&P 500® Consumer Discretionary Index is a sub-index of the S&P 500® Index. The Consumer Discretionary index includes companies in the following industries: automobiles and components, consumer durables, apparel, hotels, restaurants, leisure, media and retailing.
S&P 500® Consumer Staples Index is a sub-index of the S&P 500® Index. The Consumer Staples index comprises companies whose businesses are less sensitive to economic cycles. It includes manufacturers and distributors of food, beverages and tobacco and producers of non-durable household goods and personal products. It also includes food & drug retailing companies as well as hypermarkets and consumer super centers.
S&P 500® Energy Index is a sub-index of the S&P 500® Index. The Energy index comprises companies whose businesses are dominated by either of the following activities: The construction or provision of oil rigs, drilling equipment and other energy-related equipment and services, including seismic data collection; companies engaged in the exploration, production, marketing, refining and/or transportation of oil and gas products, coal and other consumable fuels.
S&P 500® Financials Index is a sub-index of the S&P 500® Index. The Financials index contains companies involved in activities such as banking, mortgage finance, consumer finance, specialized finance, investment banking and brokerage, asset management and custody, corporate lending, insurance, and financial investment, and real estate, including REITs.
S&P 500® Health Care Index is a sub-index of the S&P 500® Index. The Health Care index encompasses two main industry groups. The first includes companies who manufacture health care equipment and supplies or provide health care related services, including distributors of health care products, providers of basic health-care services, and owners and operators of health care facilities and organizations. The first group also includes companies operating in the health care technology industry. The second group includes companies primarily involved in the research, development, production and marketing of pharmaceuticals, biotechnology and life sciences products.
S&P 500® Industrials Index is a sub-index of the S&P 500® Index. The Industrials index includes companies whose businesses are dominated by one of the following activities: the manufacture and distribution of capital goods, including aerospace & defense, construction, engineering & building products, electrical equipment and industrial machinery; the provision of commercial services and supplies, including printing, environmental, office and security services; the provision of professional services, including employment and research & consulting services; or the provision of transportation services, including airlines, couriers, marine, road & rail and transportation infrastructure.
S&P 500® Materials Index is a sub-index of the S&P 500® Index. The Materials index encompasses a wide range of commodity-related manufacturing industries. Included in this sector are companies that manufacture chemicals, construction materials, glass, paper, forest products and related packaging products, and metals, minerals and mining companies, including producers of steel.
S&P 500® Information Technology Index is a sub-index of the S&P 500® Index. The Information Technology index covers the following general areas: Technology software & services, including companies that primarily develop software in various fields such as the Internet, applications, systems, databases management and/or home entertainment, and companies that provide information technology consulting and services, as well as data processing and outsourced services; secondly, Technology Hardware & Equipment, including manufacturers and distributors of communications equipment, computers & peripherals, electronic equipment and related instruments; and thirdly, Semiconductors & Semiconductor Equipment Manufacturers.
S&P 500® Telecommunications Services Index is a sub-index of the S&P 500® Index. The Telecommunications Services index contains companies that provide communications services primarily through a fixed-line, cellular, wireless, high bandwidth and/or fiber optic cable network.
S&P 500® Utilities Index is a sub-index of the S&P 500® Index. The Utilities index encompasses those companies considered electric, gas or water utilities, or companies that operate as independent producers and/or distributors of power.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
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All mutual funds have operating expenses, and it is important for our shareholders to understand the impact of costs on their investments. Shareholders of a fund incur two types of costs: (i) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, other distributions, and exchange fees, and (ii) ongoing costs, including management fees, administrative services, and shareholder reports, among others. These ongoing costs, or operating expenses, are deducted from a fund’s gross income and reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets, which is known as the expense ratio. The following examples are intended to help investors understand the 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 examples are based on an investment of $1,000 made at the beginning of the period and held for the entire six-month period beginning December 31, 2017 and ending June 30, 2018.
The following tables illustrate the Funds’ costs in two ways:
Table 1. Based on actual Fund return: This section helps investors estimate the actual expenses paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the fifth column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. Investors may use the information here, together with the amount invested, to estimate the expenses paid over the period. Simply divide the Fund’s 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 provided under the heading “Expenses Paid During Period.”
Table 2. Based on hypothetical 5% return: This section is intended to help investors compare a fund’s cost with those of other mutual funds. The table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid during the period. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on the 5% return. Investors can assess a fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
The calculations illustrated above assume no shares were bought or sold during the period. Actual costs may have been higher or lower, depending on the amount of investment and the timing of any purchases or redemptions.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) on purchase payments, and contingent deferred sales charges (“CDSC”) on redemptions, if any. 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 transactional costs were included, your costs would have been higher.
More information about the Funds’ expenses, including annual expense ratios for periods up to five years (subject to the Fund’s inception date), can be found in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the appropriate Fund prospectus.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited)(concluded) |
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Expense | Fund | Beginning | Ending | Expenses | |
Table 1. Based on actual Fund return3 | |||||
Banking Fund | 1.68% | (2.04%) | $ 1,000.00 | $ 979.60 | $ 8.25 |
Basic Materials Fund | 1.68% | (2.78%) | 1,000.00 | 972.20 | 8.22 |
Biotechnology Fund | 1.68% | 3.65% | 1,000.00 | 1,036.50 | 8.48 |
Consumer Products Fund | 1.68% | (6.18%) | 1,000.00 | 938.20 | 8.07 |
Electronics Fund | 1.68% | 2.97% | 1,000.00 | 1,029.70 | 8.45 |
Energy Fund | 1.68% | 7.96% | 1,000.00 | 1,079.60 | 8.66 |
Energy Services Fund | 1.68% | (2.71%) | 1,000.00 | 972.90 | 8.22 |
Financial Services Fund | 1.68% | (1.93%) | 1,000.00 | 980.70 | 8.25 |
Health Care Fund | 1.68% | 6.34% | 1,000.00 | 1,063.40 | 8.60 |
Internet Fund | 1.69% | 16.81% | 1,000.00 | 1,168.10 | 9.08 |
Leisure Fund | 1.68% | (0.11%) | 1,000.00 | 998.90 | 8.33 |
Precious Metals Fund | 1.58% | (6.01%) | 1,000.00 | 939.90 | 7.60 |
Real Estate Fund | 1.69% | 0.79% | 1,000.00 | 1,007.90 | 8.41 |
Retailing Fund | 1.68% | 10.84% | 1,000.00 | 1,108.40 | 8.78 |
Technology Fund | 1.68% | 10.40% | 1,000.00 | 1,104.00 | 8.76 |
Telecommunications Fund | 1.68% | 0.84% | 1,000.00 | 1,008.40 | 8.37 |
Transportation Fund | 1.68% | (4.99%) | 1,000.00 | 950.10 | 8.12 |
Utilities Fund | 1.68% | 1.50% | 1,000.00 | 1,015.00 | 8.39 |
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Banking Fund | 1.68% | 5.00% | $ 1,000.00 | $ 1,016.46 | $ 8.40 |
Basic Materials Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Biotechnology Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Consumer Products Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Electronics Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Energy Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Energy Services Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Financial Services Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Health Care Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Internet Fund | 1.69% | 5.00% | 1,000.00 | 1,016.41 | 8.45 |
Leisure Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Precious Metals Fund | 1.58% | 5.00% | 1,000.00 | 1,016.96 | 7.90 |
Real Estate Fund | 1.69% | 5.00% | 1,000.00 | 1,016.41 | 8.45 |
Retailing Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Technology Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Telecommunications Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Transportation Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
Utilities Fund | 1.68% | 5.00% | 1,000.00 | 1,016.46 | 8.40 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. |
2 | Expenses are equal to the Fund's annualized expense ratio, net of any applicable fee waivers, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Expenses shown do not include fees charged by insurance companies. |
3 | Actual cumulative return at net asset value for the period December 31, 2017 to June 30, 2018. |
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
BANKING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the banking sector, including commercial banks (and their holding companies) and savings and loan institutions (“Banking Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Wells Fargo & Co. | 4.2% |
Citigroup, Inc. | 4.2% |
JPMorgan Chase & Co. | 4.0% |
Bank of America Corp. | 3.9% |
U.S. Bancorp | 3.0% |
PNC Financial Services Group, Inc. | 2.7% |
Bank of New York Mellon Corp. | 2.4% |
Capital One Financial Corp. | 2.2% |
BB&T Corp. | 2.1% |
State Street Corp. | 1.9% |
Top Ten Total | 30.6% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Banking Fund | (2.04%) | 7.48% | 9.65% | 4.66% |
S&P 500 Financials Index | (4.09%) | 9.64% | 13.13% | 7.05% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
BANKING FUND |
| Value | |||||||
COMMON STOCKS† - 98.6% | ||||||||
Banks - 94.2% | ||||||||
Wells Fargo & Co. | 4,572 | $ | 253,472 | |||||
Citigroup, Inc. | 3,775 | 252,623 | ||||||
JPMorgan Chase & Co. | 2,321 | 241,848 | ||||||
Bank of America Corp. | 8,497 | 239,530 | ||||||
U.S. Bancorp | 3,695 | 184,824 | ||||||
PNC Financial Services Group, Inc. | 1,206 | 162,931 | ||||||
Bank of New York Mellon Corp. | 2,746 | 148,092 | ||||||
Capital One Financial Corp. | 1,467 | 134,817 | ||||||
BB&T Corp. | 2,540 | 128,118 | ||||||
State Street Corp. | 1,266 | 117,852 | ||||||
SunTrust Banks, Inc. | 1,706 | 112,630 | ||||||
M&T Bank Corp. | 598 | 101,750 | ||||||
Northern Trust Corp. | 946 | 97,334 | ||||||
KeyCorp | 4,693 | 91,701 | ||||||
Regions Financial Corp. | 5,097 | 90,625 | ||||||
Fifth Third Bancorp | 3,081 | 88,425 | ||||||
Citizens Financial Group, Inc. | 2,238 | 87,058 | ||||||
Huntington Bancshares, Inc. | 5,534 | 81,682 | ||||||
First Republic Bank | 832 | 80,529 | ||||||
Comerica, Inc. | 883 | 80,282 | ||||||
SVB Financial Group* | 265 | 76,521 | ||||||
Zions Bancorporation | 1,237 | 65,177 | ||||||
East West Bancorp, Inc. | 946 | 61,679 | ||||||
HDFC Bank Ltd. ADR | 548 | 57,551 | ||||||
Toronto-Dominion Bank | 981 | 56,761 | ||||||
ICICI Bank Ltd. ADR | 6,922 | 55,584 | ||||||
Royal Bank of Canada | 737 | 55,496 | ||||||
Popular, Inc. | 1,221 | 55,201 | ||||||
HSBC Holdings plc ADR | 1,168 | 55,059 | ||||||
Signature Bank* | 428 | 54,733 | ||||||
Commerce Bancshares, Inc. | 839 | 54,292 | ||||||
Cullen/Frost Bankers, Inc. | 488 | 52,821 | ||||||
Bank of Nova Scotia | 918 | 52,528 | ||||||
CIT Group, Inc. | 1,029 | 51,872 | ||||||
Deutsche Bank AG | 4,827 | 51,263 | ||||||
Bank of Montreal | 663 | 51,223 | ||||||
Canadian Imperial Bank of Commerce | 588 | 51,109 | ||||||
Synovus Financial Corp. | 956 | 50,505 | ||||||
UBS Group AG* | 3,265 | 50,085 | ||||||
Credit Suisse Group AG ADR* | 3,317 | 49,357 | ||||||
ING Groep N.V. ADR1 | 3,446 | 49,347 | ||||||
Webster Financial Corp. | 773 | 49,240 | ||||||
BOK Financial Corp. | 522 | 49,073 | ||||||
PacWest Bancorp | 989 | 48,876 | ||||||
Western Alliance Bancorporation* | 855 | 48,401 | ||||||
First Horizon National Corp. | 2,694 | 48,061 | ||||||
Bank of the Ozarks | 1,062 | 47,832 | ||||||
First Citizens BancShares, Inc. — Class A | 115 | 46,379 | ||||||
Umpqua Holdings Corp. | 1,981 | 44,751 | ||||||
Prosperity Bancshares, Inc. | 652 | 44,571 | ||||||
Wintrust Financial Corp. | 511 | 44,483 | ||||||
Associated Banc-Corp. | 1,602 | 43,735 | ||||||
Pinnacle Financial Partners, Inc. | 710 | 43,558 | ||||||
Texas Capital Bancshares, Inc.* | 465 | 42,547 | ||||||
FNB Corp. | 3,157 | 42,367 | ||||||
BankUnited, Inc. | 1,022 | 41,749 | ||||||
IBERIABANK Corp. | 543 | 41,159 | ||||||
TCF Financial Corp. | 1,655 | 40,746 | ||||||
Valley National Bancorp | 3,348 | 40,712 | ||||||
Home BancShares, Inc. | 1,801 | 40,631 | ||||||
Chemical Financial Corp. | 722 | 40,194 | ||||||
United Bankshares, Inc. | 1,103 | 40,149 | ||||||
UMB Financial Corp. | 526 | 40,097 | ||||||
Hancock Whitney Corp. | 855 | 39,886 | ||||||
MB Financial, Inc. | 850 | 39,695 | ||||||
Bank of Hawaii Corp. | 461 | 38,457 | ||||||
First Financial Bankshares, Inc. | 747 | 38,022 | ||||||
BancorpSouth Bank | 1,134 | 37,365 | ||||||
Cathay General Bancorp | 914 | 37,008 | ||||||
Glacier Bancorp, Inc. | 951 | 36,785 | ||||||
South State Corp. | 420 | 36,225 | ||||||
Old National Bancorp | 1,876 | 34,894 | ||||||
Columbia Banking System, Inc. | 849 | 34,724 | ||||||
Fulton Financial Corp. | 2,103 | 34,699 | ||||||
First Financial Bancorp | 1,129 | 34,604 | ||||||
International Bancshares Corp. | 807 | 34,540 | ||||||
Simmons First National Corp. — Class A | 1,118 | 33,428 | ||||||
First Midwest Bancorp, Inc. | 1,293 | 32,933 | ||||||
CenterState Bank Corp. | 1,098 | 32,742 | ||||||
Union Bankshares Corp. | 839 | 32,620 | ||||||
CVB Financial Corp. | 1,417 | 31,769 | ||||||
Hope Bancorp, Inc. | 1,773 | 31,613 | ||||||
United Community Banks, Inc. | 1,015 | 31,130 | ||||||
Trustmark Corp. | 941 | 30,705 | ||||||
Ameris Bancorp | 556 | 29,663 | ||||||
Banner Corp. | 482 | 28,983 | ||||||
LegacyTexas Financial Group, Inc. | 695 | 27,119 | ||||||
Total Banks | 5,723,207 | |||||||
Savings & Loans - 3.5% | ||||||||
People’s United Financial, Inc. | 2,811 | 50,851 | ||||||
New York Community Bancorp, Inc. | 4,248 | 46,898 | ||||||
Sterling Bancorp | 1,982 | 46,577 | ||||||
Investors Bancorp, Inc. | 3,087 | 39,483 | ||||||
Pacific Premier Bancorp, Inc.* | 710 | 27,086 | ||||||
Total Savings & Loans | 210,895 | |||||||
Insurance - 0.9% | ||||||||
Voya Financial, Inc. | 1,178 | 55,366 | ||||||
Total Common Stocks | ||||||||
(Cost $3,688,219) | 5,989,468 | |||||||
PREFERRED STOCKS† - 1.1% | ||||||||
Banks - 1.1% | ||||||||
Itau Unibanco Holding S.A. ADR | 6,621 | 68,726 | ||||||
Total Preferred Stocks | ||||||||
(Cost $52,607) | 68,726 |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
BANKING FUND |
Face | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 0.9% | ||||||||
JPMorgan Chase & Co. | $ | 29,478 | $ | 29,478 | ||||
Barclays Capital | 14,475 | 14,475 | ||||||
Bank of America Merrill Lynch | 9,650 | 9,650 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $53,603) | 53,603 |
| ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.6% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 36,787 | 36,787 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $36,787) | 36,787 | |||||||
Total Investments - 101.2% | ||||||||
(Cost $3,831,216) | $ | 6,148,584 | ||||||
Other Assets & Liabilities, net - (1.2)% | (75,086 | ) | ||||||
Total Net Assets - 100.0% | $ | 6,073,498 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 5,989,468 | $ | — | $ | — | $ | 5,989,468 | ||||||||
Preferred Stocks | 68,726 | — | — | 68,726 | ||||||||||||
Repurchase Agreements | — | 53,603 | — | 53,603 | ||||||||||||
Securities Lending Collateral | 36,787 | — | — | 36,787 | ||||||||||||
Total Assets | $ | 6,094,981 | $ | 53,603 | $ | — | $ | 6,148,584 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
BANKING FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $35,714 of securities loaned (cost $3,777,613) | $ | 6,094,981 | ||
Repurchase agreements, at value (cost $53,603) | 53,603 | |||
Receivables: | ||||
Securities sold | 48,655 | |||
Dividends | 9,533 | |||
Foreign tax reclaims | 946 | |||
Interest | 6 | |||
Securities lending income | 2 | |||
Total assets | 6,207,726 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 71,458 | |||
Return of securities loaned | 36,787 | |||
Management fees | 4,647 | |||
Transfer agent and administrative fees | 1,367 | |||
Investor service fees | 1,367 | |||
Portfolio accounting fees | 547 | |||
Trustees’ fees* | 198 | |||
Miscellaneous | 17,857 | |||
Total liabilities | 134,228 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 6,073,498 | ||
Net assets consist of: | ||||
Paid in capital | $ | 5,453,196 | ||
Undistributed net investment income | 55,233 | |||
Accumulated net realized loss on investments | (1,752,299 | ) | ||
Net unrealized appreciation on investments | 2,317,368 | |||
Net assets | $ | 6,073,498 | ||
Capital shares outstanding | 65,129 | |||
Net asset value per share | $ | 93.25 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1,248) | $ | 89,332 | ||
Interest | 423 | |||
Income from securities lending, net | 87 | |||
Total investment income | 89,842 | |||
Expenses: | ||||
Management fees | 35,054 | |||
Investor service fees | 10,310 | |||
Transfer agent and administrative fees | 10,310 | |||
Professional fees | 8,022 | |||
Portfolio accounting fees | 4,124 | |||
Trustees’ fees* | 1,152 | |||
Custodian fees | 539 | |||
Line of credit fees | 5 | |||
Miscellaneous | (286 | ) | ||
Total expenses | 69,230 | |||
Net investment income | 20,612 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 508,842 | |||
Net realized gain | 508,842 | |||
Net change in unrealized appreciation(depreciation) on: | ||||
Investments | (655,078 | ) | ||
Net change in unrealized appreciation(depreciation) | (655,078 | ) | ||
Net realized and unrealized loss | (146,236 | ) | ||
Net decrease in net assets resulting from operations | $ | (125,624 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BANKING FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 20,612 | $ | 34,419 | ||||
Net realized gain on investments | 508,842 | 300,585 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (655,078 | ) | 492,571 | |||||
Net increase (decrease) in net assets resulting from operations | (125,624 | ) | 827,575 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (33,765 | ) | |||||
Total distributions to shareholders | — | (33,765 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 13,261,922 | 30,366,745 | ||||||
Distributions reinvested | — | 33,765 | ||||||
Cost of shares redeemed | (16,755,023 | ) | (37,578,472 | ) | ||||
Net decrease from capital share transactions | (3,493,101 | ) | (7,177,962 | ) | ||||
Net decrease in net assets | (3,618,725 | ) | (6,384,152 | ) | ||||
Net assets: | ||||||||
Beginning of period | 9,692,223 | 16,076,375 | ||||||
End of period | $ | 6,073,498 | $ | 9,692,223 | ||||
Undistributed net investment income at end of period | $ | 55,233 | $ | 34,621 | ||||
Capital share activity: | ||||||||
Shares sold | 134,809 | 347,123 | ||||||
Shares issued from reinvestment of distributions | — | 386 | ||||||
Shares redeemed | (171,498 | ) | (435,048 | ) | ||||
Net decrease in shares | (36,689 | ) | (87,539 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
BANKING FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 95.19 | $ | 84.90 | $ | 67.87 | $ | 71.43 | $ | 86.82 | $ | 80.41 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | .24 | .28 | .10 | .42 | .48 | .48 | |||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.18 | ) | 10.28 | 17.11 | (3.86 | ) | 2.55 | 22.37 | |||||||||||||||||
Total from investment operations | (1.94 | ) | 10.56 | 17.21 | (3.44 | ) | 3.03 | 22.85 | |||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | (.27 | ) | (.18 | ) | (.12 | ) | (1.44 | ) | (1.20 | ) | ||||||||||||||
Net realized gains | — | — | — | — | (16.98 | ) | (15.24 | ) | |||||||||||||||||
Total distributions | — | (.27 | ) | (.18 | ) | (.12 | ) | (18.42 | ) | (16.44 | ) | ||||||||||||||
Net asset value, end of period | $ | 93.25 | $ | 95.19 | $ | 84.90 | $ | 67.87 | $ | 71.43 | $ | 86.82 | |||||||||||||
Total Returnc | (2.04 | %) | 12.48 | % | 27.25 | % | (4.86 | %) | 3.42 | % | 29.18 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,073 | $ | 9,692 | $ | 16,076 | $ | 5,611 | $ | 3,938 | $ | 5,966 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | 0.50 | % | 0.33 | % | 0.69 | % | 0.62 | % | 0.56 | % | 0.52 | % | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.67 | % | 1.59 | % | 1.66 | % | 1.64 | % | |||||||||||||
Portfolio turnover rate | 140 | % | 273 | % | 417 | % | 388 | % | 285 | % | 438 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:6 reverse share split effective December 1, 2016. |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
BASIC MATERIALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the mining, manufacture, or sale of basic materials, such as lumber, steel, iron, aluminum, concrete, chemicals and other basic building and manufacturing materials (“Basic Materials Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001
Ten Largest Holdings (% of Total Net Assets) | |
DowDuPont, Inc. | 4.8% |
Praxair, Inc. | 2.6% |
LyondellBasell Industries N.V. — Class A | 2.6% |
Ecolab, Inc. | 2.5% |
Sherwin-Williams Co. | 2.5% |
Air Products & Chemicals, Inc. | 2.3% |
Vale S.A. ADR | 2.2% |
PPG Industries, Inc. | 2.0% |
Freeport-McMoRan, Inc. | 2.0% |
International Paper Co. | 1.8% |
Top Ten Total | 25.3% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Basic Materials Fund | (2.78%) | 9.73% | 7.67% | 1.79% |
S&P 500 Materials Index | (3.08%) | 9.90% | 10.86% | 5.71% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Materials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
BASIC MATERIALS FUND |
| Value | |||||||
COMMON STOCKS† - 99.5% | ||||||||
Chemicals - 43.7% | ||||||||
DowDuPont, Inc. | 6,367 | $ | 419,713 | |||||
Praxair, Inc. | 1,449 | 229,159 | ||||||
LyondellBasell Industries N.V. — Class A | 2,032 | 223,215 | ||||||
Sherwin-Williams Co. | 526 | 214,382 | ||||||
Air Products & Chemicals, Inc. | 1,265 | 196,999 | ||||||
PPG Industries, Inc. | 1,683 | 174,578 | ||||||
Celanese Corp. — Class A | 1,198 | 133,050 | ||||||
Eastman Chemical Co. | 1,263 | 126,250 | ||||||
Westlake Chemical Corp. | 1,170 | 125,927 | ||||||
FMC Corp. | 1,322 | 117,936 | ||||||
Albemarle Corp. | 1,196 | 112,819 | ||||||
Mosaic Co. | 3,966 | 111,246 | ||||||
CF Industries Holdings, Inc. | 2,465 | 109,446 | ||||||
International Flavors & Fragrances, Inc. | 867 | 107,473 | ||||||
RPM International, Inc. | 1,763 | 102,818 | ||||||
Nutrien Ltd. | 1,861 | 101,201 | ||||||
Axalta Coating Systems Ltd.* | 3,072 | 93,112 | ||||||
Chemours Co. | 2,065 | 91,603 | ||||||
Huntsman Corp. | 2,905 | 84,826 | ||||||
WR Grace & Co. | 1,044 | 76,536 | ||||||
Ashland Global Holdings, Inc. | 974 | 76,147 | ||||||
Olin Corp. | 2,577 | 74,012 | ||||||
Methanex Corp. | 1,036 | 73,245 | ||||||
Valvoline, Inc. | �� | 3,334 | 71,914 | |||||
Cabot Corp. | 1,071 | 66,156 | ||||||
Platform Specialty Products Corp.* | 5,623 | 65,227 | ||||||
PolyOne Corp. | 1,496 | 64,657 | ||||||
Sociedad Quimica y Minera de Chile S.A. ADR1 | 1,336 | 64,195 | ||||||
Balchem Corp. | 623 | 61,141 | ||||||
Sensient Technologies Corp. | 844 | 60,388 | ||||||
HB Fuller Co. | 1,043 | 55,988 | ||||||
Tronox Ltd. — Class A | 2,778 | 54,671 | ||||||
GCP Applied Technologies, Inc.* | 1,655 | 47,912 | ||||||
Rayonier Advanced Materials, Inc. | 1,930 | 32,984 | ||||||
Total Chemicals | 3,820,926 | |||||||
Mining - 18.8% | ||||||||
Freeport-McMoRan, Inc. | 9,974 | 172,151 | ||||||
Newmont Mining Corp. | 4,014 | 151,368 | ||||||
Barrick Gold Corp. | 10,984 | 144,220 | ||||||
Rio Tinto plc ADR | 2,160 | 119,837 | ||||||
Goldcorp, Inc. | 7,440 | 102,002 | ||||||
Alcoa Corp.* | 2,167 | 101,589 | ||||||
BHP Billiton Ltd. ADR | 1,905 | 95,269 | ||||||
Teck Resources Ltd. — Class B | 3,374 | 85,868 | ||||||
Royal Gold, Inc. | 911 | 84,577 | ||||||
Agnico Eagle Mines Ltd. | 1,699 | 77,865 | ||||||
Franco-Nevada Corp. | 1,061 | 77,474 | ||||||
Randgold Resources Ltd. ADR | 958 | 73,852 | ||||||
Wheaton Precious Metals Corp. | 3,074 | 67,813 | ||||||
Pan American Silver Corp. | 3,295 | 58,981 | ||||||
AngloGold Ashanti Ltd. ADR | 6,595 | 54,145 | ||||||
Compass Minerals International, Inc. | 758 | 49,839 | ||||||
Kaiser Aluminum Corp. | 423 | 44,039 | ||||||
Century Aluminum Co.* | 2,537 | 39,958 | ||||||
Coeur Mining, Inc.* | 5,137 | 39,041 | ||||||
Total Mining | 1,639,888 | |||||||
Packaging & Containers - 11.5% | ||||||||
WestRock Co. | 2,237 | 127,554 | ||||||
Ball Corp. | 3,353 | 119,199 | ||||||
Packaging Corporation of America | 963 | 107,654 | ||||||
Sealed Air Corp. | 2,070 | 87,872 | ||||||
Berry Global Group, Inc.* | 1,849 | 84,943 | ||||||
Crown Holdings, Inc.* | 1,869 | 83,656 | ||||||
Sonoco Products Co. | 1,487 | 78,068 | ||||||
Graphic Packaging Holding Co. | 5,060 | 73,421 | ||||||
Bemis Company, Inc. | 1,582 | 66,776 | ||||||
KapStone Paper and Packaging Corp. | 1,833 | 63,238 | ||||||
Silgan Holdings, Inc. | 2,207 | 59,214 | ||||||
Owens-Illinois, Inc.* | 3,266 | 54,901 | ||||||
Total Packaging & Containers | 1,006,496 | |||||||
Iron & Steel - 10.3% | ||||||||
Vale S.A. ADR | 15,016 | 192,505 | ||||||
Nucor Corp. | 2,310 | 144,375 | ||||||
Steel Dynamics, Inc. | 2,405 | 110,510 | ||||||
Reliance Steel & Aluminum Co. | 947 | 82,900 | ||||||
United States Steel Corp. | 2,357 | 81,906 | ||||||
ArcelorMittal | 2,458 | 70,741 | ||||||
Allegheny Technologies, Inc.* | 2,323 | 58,354 | ||||||
Cleveland-Cliffs, Inc.* | 6,356 | 53,581 | ||||||
Carpenter Technology Corp. | 999 | 52,517 | ||||||
Commercial Metals Co. | 2,389 | 50,432 | ||||||
Total Iron & Steel | 897,821 | |||||||
Building Materials - 6.2% | ||||||||
Vulcan Materials Co. | 1,089 | 140,546 | ||||||
Martin Marietta Materials, Inc. | 577 | 128,862 | ||||||
Eagle Materials, Inc. | 721 | 75,683 | ||||||
Louisiana-Pacific Corp. | 2,463 | 67,043 | ||||||
Summit Materials, Inc. — Class A* | 2,213 | 58,091 | ||||||
Boise Cascade Co. | 1,024 | 45,773 | ||||||
US Concrete, Inc.* | 556 | 29,190 | ||||||
Total Building Materials | 545,188 | |||||||
Commercial Services - 2.5% | ||||||||
Ecolab, Inc. | 1,528 | 214,424 | ||||||
Forest Products & Paper - 2.4% | ||||||||
International Paper Co. | 2,951 | 153,688 | ||||||
Domtar Corp. | 1,253 | 59,818 | ||||||
Total Forest Products & Paper | 213,506 | |||||||
Miscellaneous Manufacturing - 1.6% | ||||||||
AptarGroup, Inc. | 884 | 82,548 | ||||||
Trinseo S.A. | 837 | 59,385 | ||||||
Total Miscellaneous Manufacturing | 141,933 |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
BASIC MATERIALS FUND |
| Value | |||||||
Household Products & Housewares - 1.2% | ||||||||
Avery Dennison Corp. | 997 | $ | 101,794 | |||||
Housewares - 0.8% | ||||||||
Scotts Miracle-Gro Co. — Class A | 883 | 73,430 | ||||||
Coal - 0.5% | ||||||||
Warrior Met Coal, Inc. | 1,565 | 43,147 | ||||||
Total Common Stocks | ||||||||
(Cost $4,882,126) | 8,698,553 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.8% | ||||||||
JPMorgan Chase & Co. | $ | 40,473 | 40,473 | |||||
Barclays Capital | 19,874 | 19,874 | ||||||
Bank of America Merrill Lynch | 13,250 | 13,250 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $73,597) | 73,597 | |||||||
SECURITIES LENDING COLLATERAL†,3 - 0.6% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 48,706 | $ | 48,706 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $48,706) | 48,706 | |||||||
Total Investments - 100.9% | ||||||||
(Cost $5,004,429) | $ | 8,820,856 | ||||||
Other Assets & Liabilities, net - (0.9)% | (78,320 | ) | ||||||
Total Net Assets - 100.0% | $ | 8,742,536 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
BASIC MATERIALS FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 8,698,553 | $ | — | $ | — | $ | 8,698,553 | ||||||||
Repurchase Agreements | — | 73,597 | — | 73,597 | ||||||||||||
Securities Lending Collateral | 48,706 | — | — | 48,706 | ||||||||||||
Total Assets | $ | 8,747,259 | $ | 73,597 | $ | — | $ | 8,820,856 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BASIC MATERIALS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $47,762 of securities loaned (cost $4,930,832) | $ | 8,747,259 | ||
Repurchase agreements, at value (cost $73,597) | 73,597 | |||
Cash | 414 | |||
Receivables: | ||||
Securities sold | 70,403 | |||
Dividends | 8,044 | |||
Foreign tax reclaims | 74 | |||
Securities lending income | 39 | |||
Interest | 8 | |||
Total assets | 8,899,838 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 62,533 | |||
Return of securities loaned | 48,706 | |||
Deferred foreign capital gain taxes | 19,017 | |||
Management fees | 6,432 | |||
Transfer agent and administrative fees | 1,892 | |||
Investor service fees | 1,892 | |||
Portfolio accounting fees | 757 | |||
Trustees’ fees* | 246 | |||
Miscellaneous | 15,827 | |||
Total liabilities | 157,302 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 8,742,536 | ||
Net assets consist of: | ||||
Paid in capital | $ | 5,269,511 | ||
Accumulated net investment loss | (27,757 | ) | ||
Accumulated net realized loss on investments | (315,645 | ) | ||
Net unrealized appreciation on investments | 3,816,427 | |||
Net assets | $ | 8,742,536 | ||
Capital shares outstanding | 110,650 | |||
Net asset value per share | $ | 79.01 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $909) | $ | 101,724 | ||
Interest | 708 | |||
Income from securities lending, net | 509 | |||
Total investment income | 102,941 | |||
Expenses: | ||||
Management fees | 50,838 | |||
Investor service fees | 14,952 | |||
Transfer agent and administrative fees | 14,952 | |||
Professional fees | 13,094 | |||
Portfolio accounting fees | 5,981 | |||
Trustees’ fees* | 1,419 | |||
Custodian fees | 783 | |||
Line of credit fees | 2 | |||
Miscellaneous | (1,788 | ) | ||
Total expenses | 100,233 | |||
Net investment income | 2,708 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 992,876 | |||
Foreign currency transactions | (16 | ) | ||
Net realized gain | 992,860 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,511,053 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,511,053 | ) | ||
Net realized and unrealized loss | (518,193 | ) | ||
Net decrease in net assets resulting from operations | $ | (515,485 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
BASIC MATERIALS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 2,708 | $ | (13,939 | ) | |||
Net realized gain on investments | 992,860 | 732,957 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,511,053 | ) | 1,828,447 | |||||
Net increase (decrease) in net assets resulting from operations | (515,485 | ) | 2,547,465 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (71,217 | ) | |||||
Net realized gains | — | (34,563 | ) | |||||
Total distributions to shareholders | — | (105,780 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 6,747,559 | 29,274,757 | ||||||
Distributions reinvested | — | 105,780 | ||||||
Cost of shares redeemed | (14,556,965 | ) | (29,983,875 | ) | ||||
Net decrease from capital share transactions | (7,809,406 | ) | (603,338 | ) | ||||
Net increase (decrease) in net assets | (8,324,891 | ) | 1,838,347 | |||||
Net assets: | ||||||||
Beginning of period | 17,067,427 | 15,229,080 | ||||||
End of period | $ | 8,742,536 | $ | 17,067,427 | ||||
Accumulated net investment loss at end of period | $ | (27,757 | ) | $ | (30,465 | ) | ||
Capital share activity: | ||||||||
Shares sold | 82,110 | 391,107 | ||||||
Shares issued from reinvestment of distributions | — | 1,441 | ||||||
Shares redeemed | (181,468 | ) | (407,804 | ) | ||||
Net decrease in shares | (99,358 | ) | (15,256 | ) |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BASIC MATERIALS FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 81.27 | $ | 67.61 | $ | 52.52 | $ | 63.47 | $ | 74.45 | $ | 78.25 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | .02 | (.07 | ) | .02 | .18 | .15 | .27 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.28 | ) | 14.47 | 15.43 | (11.13 | ) | (1.32 | ) | .58 | ||||||||||||||||
Total from investment operations | (2.26 | ) | 14.40 | 15.45 | (10.95 | ) | (1.17 | ) | .85 | ||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | (.50 | ) | — | — | (3.39 | ) | (.57 | ) | ||||||||||||||||
Net realized gains | — | (.24 | ) | (.36 | ) | — | (6.42 | ) | (4.08 | ) | |||||||||||||||
Total distributions | — | (.74 | ) | (.36 | ) | — | (9.81 | ) | (4.65 | ) | |||||||||||||||
Net asset value, end of period | $ | 79.01 | $ | 81.27 | $ | 67.61 | $ | 52.52 | $ | 63.47 | $ | 74.45 | |||||||||||||
Total Returnc | (2.78 | %) | 21.43 | % | 30.86 | % | (17.30 | %) | (1.81 | %) | 1.25 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,743 | $ | 17,067 | $ | 15,229 | $ | 5,084 | $ | 9,062 | $ | 11,587 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | 0.05 | % | (0.10 | %) | 0.08 | % | 0.27 | % | 0.18 | % | 0.37 | % | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.66 | % | 1.59 | % | 1.66 | % | 1.64 | % | |||||||||||||
Portfolio turnover rate | 44 | % | 181 | % | 266 | % | 228 | % | 218 | % | 350 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
BIOTECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or other biological engineering, and in the design, manufacture, or sale of related biotechnology products or services (“Biotechnology Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001
Ten Largest Holdings (% of Total Net Assets) | |
AbbVie, Inc. | 6.2% |
Amgen, Inc. | 5.8% |
Gilead Sciences, Inc. | 5.1% |
Biogen, Inc. | 4.0% |
Celgene Corp. | 4.0% |
Shire plc ADR | 3.9% |
Vertex Pharmaceuticals, Inc. | 3.6% |
Regeneron Pharmaceuticals, Inc. | 3.3% |
Illumina, Inc. | 3.3% |
Alexion Pharmaceuticals, Inc. | 2.8% |
Top Ten Total | 42.0% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 Month‡ | 1 Year | 5 Year | 10 Year | |
Biotechnology Fund | 3.65% | 10.95% | 13.95% | 15.86% |
S&P 500 Health Care Index | 1.83% | 7.11% | 13.77% | 12.73% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
BIOTECHNOLOGY FUND |
| Value | |||||||
COMMON STOCKS† - 99.8% | ||||||||
Biotechnology - 70.1% | ||||||||
Amgen, Inc. | 8,066 | $ | 1,488,903 | |||||
Gilead Sciences, Inc. | 18,316 | 1,297,505 | ||||||
Biogen, Inc.* | 3,565 | 1,034,706 | ||||||
Celgene Corp.* | 12,946 | 1,028,171 | ||||||
Shire plc ADR | 5,830 | 984,104 | ||||||
Vertex Pharmaceuticals, Inc.* | 5,436 | 923,903 | ||||||
Regeneron Pharmaceuticals, Inc.* | 2,465 | 850,400 | ||||||
Illumina, Inc.* | 3,044 | 850,159 | ||||||
Alexion Pharmaceuticals, Inc.* | 5,777 | 717,215 | ||||||
BioMarin Pharmaceutical, Inc.* | 5,965 | 561,903 | ||||||
Incyte Corp.* | 7,100 | 475,700 | ||||||
Seattle Genetics, Inc.* | 6,766 | 449,195 | ||||||
Alnylam Pharmaceuticals, Inc.* | 4,064 | 400,263 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 1,338 | 386,066 | ||||||
Sage Therapeutics, Inc.* | 2,327 | 364,245 | ||||||
Exelixis, Inc.* | 16,709 | 359,578 | ||||||
Exact Sciences Corp.* | 5,769 | 344,928 | ||||||
Bluebird Bio, Inc.* | 2,180 | 342,151 | ||||||
FibroGen, Inc.* | 5,029 | 314,815 | ||||||
Loxo Oncology, Inc.* | 1,770 | 307,060 | ||||||
United Therapeutics Corp.* | 2,651 | 299,961 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 1,403 | 290,659 | ||||||
Ionis Pharmaceuticals, Inc.* | 6,973 | 290,565 | ||||||
Immunomedics, Inc.*,1 | 11,740 | 277,886 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 3,346 | 257,207 | ||||||
Spark Therapeutics, Inc.* | 3,008 | 248,942 | ||||||
Amicus Therapeutics, Inc.* | 14,447 | 225,662 | ||||||
Medicines Co.* | 6,060 | 222,402 | ||||||
Intercept Pharmaceuticals, Inc.* | 2,609 | 218,921 | ||||||
Myriad Genetics, Inc.* | 5,805 | 216,933 | ||||||
Blueprint Medicines Corp.* | 3,264 | 207,199 | ||||||
Puma Biotechnology, Inc.* | 3,488 | 206,315 | ||||||
Spectrum Pharmaceuticals, Inc.* | 9,680 | 202,893 | ||||||
ACADIA Pharmaceuticals, Inc.* | 12,463 | 190,310 | ||||||
Editas Medicine, Inc.* | 4,810 | 172,342 | ||||||
AnaptysBio, Inc.* | 2,310 | 164,102 | ||||||
ImmunoGen, Inc.* | 16,094 | 156,595 | ||||||
Sangamo Therapeutics, Inc.* | 10,900 | 154,780 | ||||||
Radius Health, Inc.*,1 | 5,241 | 154,452 | ||||||
Esperion Therapeutics, Inc.*,1 | 3,387 | 132,737 | ||||||
Dynavax Technologies Corp.* | 8,595 | 131,074 | ||||||
Total Biotechnology | 17,902,907 | |||||||
Pharmaceuticals - 25.6% | ||||||||
AbbVie, Inc. | 17,100 | 1,584,315 | ||||||
Mylan N.V.* | 15,440 | 558,002 | ||||||
Sarepta Therapeutics, Inc.* | 3,490 | 461,308 | ||||||
Neurocrine Biosciences, Inc.* | 4,058 | 398,658 | ||||||
Nektar Therapeutics* | 7,454 | 363,979 | ||||||
Jazz Pharmaceuticals plc* | 2,079 | 358,212 | ||||||
PRA Health Sciences, Inc.* | 3,505 | 327,227 | ||||||
Alkermes plc* | 7,016 | 288,779 | ||||||
Agios Pharmaceuticals, Inc.* | 3,356 | 282,676 | ||||||
Supernus Pharmaceuticals, Inc.* | 4,190 | 250,771 | ||||||
Array BioPharma, Inc.* | 14,572 | 244,518 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 12,184 | 232,958 | ||||||
TESARO, Inc.*,1 | 4,982 | 221,549 | ||||||
Horizon Pharma plc* | 13,045 | 216,025 | ||||||
Clovis Oncology, Inc.* | 4,635 | 210,753 | ||||||
Global Blood Therapeutics, Inc.* | 4,548 | 205,570 | ||||||
Portola Pharmaceuticals, Inc.* | 5,417 | 204,600 | ||||||
Pacira Pharmaceuticals, Inc.* | 4,394 | 140,828 | ||||||
Total Pharmaceuticals | 6,550,728 | |||||||
Healthcare-Services - 2.4% | ||||||||
Charles River Laboratories International, Inc.* | 2,766 | 310,511 | ||||||
Syneos Health, Inc.* | 6,324 | 296,596 | ||||||
Total Healthcare-Services | 607,107 | |||||||
Healthcare-Products - 1.7% | ||||||||
Bio-Techne Corp. | 2,044 | 302,410 | ||||||
MiMedx Group, Inc.*,1 | 19,390 | 123,902 | ||||||
Total Healthcare-Products | 426,312 | |||||||
Total Common Stocks | ||||||||
(Cost $12,203,388) | 25,487,054 | |||||||
RIGHTS††† - 0.0% | ||||||||
Dyax Corp.*,5 | 12,367 | — | ||||||
Clinical Data, Inc.*,5 | 4,730 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.3% | ||||||||
JPMorgan Chase & Co. | $ | 47,059 | 47,059 | |||||
Barclays Capital | 23,108 | 23,108 | ||||||
Bank of America Merrill Lynch | 15,405 | 15,405 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $85,572) | 85,572 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
BIOTECHNOLOGY FUND |
| Value | |||||||
SECURITIES LENDING COLLATERAL†,3 - 2.4% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 618,300 | $ | 618,300 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $618,300) | 618,300 | |||||||
Total Investments - 102.5% | ||||||||
(Cost $12,907,260) | $ | 26,190,926 | ||||||
Other Assets & Liabilities, net - (2.5)% | (632,223 | ) | ||||||
Total Net Assets - 100.0% | $ | 25,558,703 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
††† | Value determined based on Level 3 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
5 | Security was fair valued by the Valuation Committee at June 30, 2018. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 25,487,054 | $ | — | $ | — | $ | 25,487,054 | ||||||||
Rights | — | — | — | * | — | |||||||||||
Repurchase Agreements | — | 85,572 | — | 85,572 | ||||||||||||
Securities Lending Collateral | 618,300 | — | — | 618,300 | ||||||||||||
Total Assets | $ | 26,105,354 | $ | 85,572 | $ | — | $ | 26,190,926 |
* | Includes securities with a market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BIOTECHNOLOGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $610,042 of securities loaned (cost $12,821,688) | $ | 26,105,354 | ||
Repurchase agreements, at value (cost $85,572) | 85,572 | |||
Receivables: | ||||
Fund shares sold | 55,831 | |||
Securities lending income | 433 | |||
Interest | 10 | |||
Total assets | 26,247,200 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 618,300 | |||
Management fees | 17,811 | |||
Fund shares redeemed | 7,191 | |||
Transfer agent and administrative fees | 5,239 | |||
Investor service fees | 5,239 | |||
Portfolio accounting fees | 2,095 | |||
Trustees’ fees* | 687 | |||
Miscellaneous | 31,935 | |||
Total liabilities | 688,497 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 25,558,703 | ||
Net assets consist of: | ||||
Paid in capital | $ | 12,317,940 | ||
Accumulated net investment loss | (140,752 | ) | ||
Accumulated net realized gain on investments | 97,849 | |||
Net unrealized appreciation on investments | 13,283,666 | |||
Net assets | $ | 25,558,703 | ||
Capital shares outstanding | 284,952 | |||
Net asset value per share | $ | 89.69 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends | $ | 76,720 | ||
Interest | 1,231 | |||
Income from securities lending, net | 5,272 | |||
Total investment income | 83,223 | |||
Expenses: | ||||
Management fees | 113,144 | |||
Investor service fees | 33,278 | |||
Transfer agent and administrative fees | 33,278 | |||
Professional fees | 23,213 | |||
Portfolio accounting fees | 13,311 | |||
Trustees’ fees* | 3,012 | |||
Custodian fees | 1,719 | |||
Line of credit fees | 318 | |||
Miscellaneous | 2,702 | |||
Total expenses | 223,975 | |||
Net investment loss | (140,752 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 2,383,697 | |||
Net realized gain | 2,383,697 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,483,419 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,483,419 | ) | ||
Net realized and unrealized gain | 900,278 | |||
Net increase in net assets resulting from operations | $ | 759,526 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
BIOTECHNOLOGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (140,752 | ) | $ | (260,497 | ) | ||
Net realized gain on investments | 2,383,697 | 1,484,880 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,483,419 | ) | 4,982,566 | |||||
Net increase in net assets resulting from operations | 759,526 | 6,206,949 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 10,702,776 | 41,892,541 | ||||||
Cost of shares redeemed | (15,175,679 | ) | (41,058,300 | ) | ||||
Net increase (decrease) from capital share transactions | (4,472,903 | ) | 834,241 | |||||
Net increase (decrease) in net assets | (3,713,377 | ) | 7,041,190 | |||||
Net assets: | ||||||||
Beginning of period | 29,272,080 | 22,230,890 | ||||||
End of period | $ | 25,558,703 | $ | 29,272,080 | ||||
Accumulated net investment loss at end of period | $ | (140,752 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 118,881 | 533,295 | ||||||
Shares redeemed | (172,220 | ) | (527,513 | ) | ||||
Net increase (decrease) in shares | (53,339 | ) | 5,782 |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BIOTECHNOLOGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 86.53 | $ | 66.86 | $ | 83.22 | $ | 76.71 | $ | 57.81 | $ | 37.49 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | (.47 | ) | (.79 | ) | (.80 | ) | (1.02 | ) | (.62 | ) | (.56 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.63 | 20.46 | (15.56 | ) | 7.53 | 19.52 | 20.88 | ||||||||||||||||||
Total from investment operations | 3.16 | 19.67 | (16.36 | ) | 6.51 | 18.90 | 20.32 | ||||||||||||||||||
Net asset value, end of period | $ | 89.69 | $ | 86.53 | $ | 66.86 | $ | 83.22 | $ | 76.71 | $ | 57.81 | |||||||||||||
Total Returnc | 3.65 | % | 29.44 | % | (19.66 | %) | 8.47 | % | 32.69 | % | 54.20 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 25,559 | $ | 29,272 | $ | 22,231 | $ | 42,005 | $ | 38,094 | $ | 26,499 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | (1.06 | %) | (0.99 | %) | (1.16 | %) | (1.17 | %) | (0.92 | %) | (1.15 | %) | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.63 | % | |||||||||||||
Portfolio turnover rate | 46 | % | 137 | % | 127 | % | 161 | % | 165 | % | 277 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
CONSUMER PRODUCTS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in manufacturing finished goods and services both domestically and internationally (“Consumer Products Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 29, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Procter & Gamble Co. | 5.2% |
Coca-Cola Co. | 5.1% |
PepsiCo, Inc. | 4.6% |
Philip Morris International, Inc. | 4.1% |
Altria Group, Inc. | 3.8% |
Kraft Heinz Co. | 3.3% |
Mondelez International, Inc. — Class A | 2.9% |
Colgate-Palmolive Co. | 2.8% |
Estee Lauder Companies, Inc. — Class A | 2.5% |
Constellation Brands, Inc. — Class A | 2.3% |
Top Ten Total | 36.6% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Consumer Products Fund | (6.18%) | (1.39%) | 7.74% | 9.82% |
S&P 500 Consumer Staples Index | (8.55%) | (3.93%) | 8.17% | 9.94% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Staples Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
CONSUMER PRODUCTS FUND |
| Value | |||||||
COMMON STOCKS† - 99.5% | ||||||||
Food - 39.4% | ||||||||
Kraft Heinz Co. | 6,023 | $ | 378,365 | |||||
Mondelez International, Inc. — Class A | 8,109 | 332,469 | ||||||
Sysco Corp. | 3,765 | 257,112 | ||||||
Tyson Foods, Inc. — Class A | 3,192 | 219,769 | ||||||
General Mills, Inc. | 4,922 | 217,848 | ||||||
Kellogg Co. | 3,056 | 213,523 | ||||||
Kroger Co. | 7,416 | 210,985 | ||||||
Hormel Foods Corp. | 5,183 | 192,859 | ||||||
Hershey Co. | 2,024 | 188,353 | ||||||
McCormick & Company, Inc. | 1,495 | 173,555 | ||||||
Campbell Soup Co.1 | 3,821 | 154,903 | ||||||
Conagra Brands, Inc. | 4,320 | 154,354 | ||||||
JM Smucker Co. | 1,411 | 151,654 | ||||||
Lamb Weston Holdings, Inc. | 2,002 | 137,157 | ||||||
US Foods Holding Corp.* | 3,239 | 122,499 | ||||||
Ingredion, Inc. | 1,078 | 119,335 | ||||||
Pinnacle Foods, Inc. | 1,830 | 119,060 | ||||||
Post Holdings, Inc.* | 1,200 | 103,224 | ||||||
Pilgrim’s Pride Corp.* | 4,692 | 94,450 | �� | |||||
Flowers Foods, Inc. | 4,374 | 91,110 | ||||||
Lancaster Colony Corp. | 613 | 84,851 | ||||||
Performance Food Group Co.* | 2,299 | 84,373 | ||||||
Hain Celestial Group, Inc.* | 2,656 | 79,149 | ||||||
Darling Ingredients, Inc.* | 3,946 | 78,446 | ||||||
Sprouts Farmers Market, Inc.* | 3,351 | 73,957 | ||||||
TreeHouse Foods, Inc.* | 1,399 | 73,462 | ||||||
J&J Snack Foods Corp. | 481 | 73,338 | ||||||
Sanderson Farms, Inc. | 640 | 67,296 | ||||||
United Natural Foods, Inc.* | 1,493 | 63,691 | ||||||
B&G Foods, Inc.1 | 2,043 | 61,086 | ||||||
Cal-Maine Foods, Inc.* | 1,325 | 60,751 | ||||||
Hostess Brands, Inc.* | 4,210 | 57,256 | ||||||
Calavo Growers, Inc. | 585 | 56,248 | ||||||
SUPERVALU, Inc.* | 1,919 | 39,378 | ||||||
Total Food | 4,585,866 | |||||||
Beverages - 24.8% | ||||||||
Coca-Cola Co. | 13,432 | 589,128 | ||||||
PepsiCo, Inc. | 4,961 | 540,104 | ||||||
Constellation Brands, Inc. — Class A | 1,224 | 267,897 | ||||||
Monster Beverage Corp.* | 4,284 | 245,473 | ||||||
Dr Pepper Snapple Group, Inc. | 1,648 | 201,056 | ||||||
Brown-Forman Corp. — Class B | 4,033 | 197,657 | ||||||
Anheuser-Busch InBev S.A. ADR | 1,668 | 168,068 | ||||||
Molson Coors Brewing Co. — Class B | 2,433 | 165,541 | ||||||
Coca-Cola European Partners plc | 2,926 | 118,913 | ||||||
Fomento Economico Mexicano SAB de CV ADR | 1,213 | 106,489 | ||||||
Diageo plc ADR | 687 | 98,935 | ||||||
National Beverage Corp.* | 911 | 97,386 | ||||||
Boston Beer Company, Inc. — Class A* | 280 | 83,916 | ||||||
Total Beverages | 2,880,563 | |||||||
Cosmetics & Personal Care - 13.3% | ||||||||
Procter & Gamble Co. | 7,794 | 608,400 | ||||||
Colgate-Palmolive Co. | 4,995 | 323,726 | ||||||
Estee Lauder Companies, Inc. — Class A | 2,068 | 295,083 | ||||||
Coty, Inc. — Class A | 9,695 | 136,699 | ||||||
Unilever N.V. — Class Y | 2,026 | 112,889 | ||||||
Edgewell Personal Care Co.* | 1,430 | 72,158 | ||||||
Total Cosmetics & Personal Care | 1,548,955 | |||||||
Agriculture - 12.1% | ||||||||
Philip Morris International, Inc. | 5,900 | 476,366 | ||||||
Altria Group, Inc. | 7,853 | 445,972 | ||||||
Archer-Daniels-Midland Co. | 4,749 | 217,647 | ||||||
Bunge Ltd. | 1,918 | 133,704 | ||||||
British American Tobacco plc ADR | 2,610 | 131,674 | ||||||
Total Agriculture | 1,405,363 | |||||||
Household Products & Housewares - 6.0% | ||||||||
Kimberly-Clark Corp. | 2,512 | 264,614 | ||||||
Clorox Co. | 1,355 | 183,264 | ||||||
Church & Dwight Company, Inc. | 2,979 | 158,363 | ||||||
Spectrum Brands Holdings, Inc.1 | 1,129 | 92,149 | ||||||
Total Household Products & Housewares | 698,390 | |||||||
Retail - 1.5% | ||||||||
Casey’s General Stores, Inc. | 827 | 86,901 | ||||||
Nu Skin Enterprises, Inc. — Class A | 1,088 | 85,071 | ||||||
Total Retail | 171,972 | |||||||
Pharmaceuticals - 1.1% | ||||||||
Herbalife Nutrition Ltd.* | 2,342 | 125,812 | ||||||
Electrical Components & Equipment - 0.7% | ||||||||
Energizer Holdings, Inc. | 1,360 | 85,625 | ||||||
Holding Companies-Diversified - 0.6% | ||||||||
HRG Group, Inc.* | 5,440 | 71,210 | ||||||
Total Common Stocks | ||||||||
(Cost $6,467,177) | 11,573,756 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
JPMorgan Chase & Co. | $ | 35,778 | 35,778 | |||||
Barclays Capital | 17,568 | 17,568 | ||||||
Bank of America Merrill Lynch | 11,712 | 11,712 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $65,058) | 65,058 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
CONSUMER PRODUCTS FUND |
| Value | |||||||
SECURITIES LENDING COLLATERAL†,3 - 1.7% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 197,938 | $ | 197,938 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $197,938) | 197,938 | |||||||
Total Investments - 101.8% | ||||||||
(Cost $6,730,173) | $ | 11,836,752 | ||||||
Other Assets & Liabilities, net - (1.8)% | (207,539 | ) | ||||||
Total Net Assets - 100.0% | $ | 11,629,213 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 11,573,756 | $ | — | $ | — | $ | 11,573,756 | ||||||||
Repurchase Agreements | — | 65,058 | — | 65,058 | ||||||||||||
Securities Lending Collateral | 197,938 | — | — | 197,938 | ||||||||||||
Total Assets | $ | 11,771,694 | $ | 65,058 | $ | — | $ | 11,836,752 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSUMER PRODUCTS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $189,405 of securities loaned (cost $6,665,115) | $ | 11,771,694 | ||
Repurchase agreements, at value (cost $65,058) | 65,058 | |||
Receivables: | ||||
Securities sold | 283,538 | |||
Dividends | 26,704 | |||
Foreign tax reclaims | 1,759 | |||
Securities lending income | 190 | |||
Interest | 8 | |||
Total assets | 12,148,951 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 291,374 | |||
Return of securities loaned | 197,938 | |||
Management fees | 8,210 | |||
Transfer agent and administrative fees | 2,415 | |||
Investor service fees | 2,415 | |||
Portfolio accounting fees | 966 | |||
Trustees’ fees* | 317 | |||
Miscellaneous | 16,103 | |||
Total liabilities | 519,738 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 11,629,213 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,529,596 | ||
Undistributed net investment income | 141,917 | |||
Accumulated net realized loss on investments | (148,879 | ) | ||
Net unrealized appreciation on investments | 5,106,579 | |||
Net assets | $ | 11,629,213 | ||
Capital shares outstanding | 186,960 | |||
Net asset value per share | $ | 62.20 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $10) | $ | 158,236 | ||
Interest | 475 | |||
Income from securities lending, net | 1,151 | |||
Other income | 361 | |||
Total investment income | 160,223 | |||
Expenses: | ||||
Management fees | 56,634 | |||
Investor service fees | 16,657 | |||
Transfer agent and administrative fees | 16,657 | |||
Professional fees | 12,341 | |||
Portfolio accounting fees | 6,663 | |||
Trustees’ fees* | 1,419 | |||
Custodian fees | 867 | |||
Line of credit fees | 9 | |||
Miscellaneous | 665 | |||
Total expenses | 111,912 | |||
Net investment income | 48,311 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 384,751 | |||
Net realized gain | 384,751 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,435,644 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,435,644 | ) | ||
Net realized and unrealized loss | (1,050,893 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,002,582 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
CONSUMER PRODUCTS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 48,311 | $ | 46,367 | ||||
Net realized gain on investments | 384,751 | 1,413,048 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,435,644 | ) | 291,702 | |||||
Net increase (decrease) in net assets resulting from operations | (1,002,582 | ) | 1,751,117 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (186,845 | ) | |||||
Net realized gains | — | (526,120 | ) | |||||
Total distributions to shareholders | — | (712,965 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 7,554,798 | 25,652,415 | ||||||
Distributions reinvested | — | 712,965 | ||||||
Cost of shares redeemed | (10,946,686 | ) | (29,789,629 | ) | ||||
Net decrease from capital share transactions | (3,391,888 | ) | (3,424,249 | ) | ||||
Net decrease in net assets | (4,394,470 | ) | (2,386,097 | ) | ||||
Net assets: | ||||||||
Beginning of period | 16,023,683 | 18,409,780 | ||||||
End of period | $ | 11,629,213 | $ | 16,023,683 | ||||
Undistributed net investment income at end of period | $ | 141,917 | $ | 93,606 | ||||
Capital share activity: | ||||||||
Shares sold | 120,875 | 393,943 | ||||||
Shares issued from reinvestment of distributions | — | 11,492 | ||||||
Shares redeemed | (175,582 | ) | (461,696 | ) | ||||
Net decrease in shares | (54,707 | ) | (56,261 | ) |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSUMER PRODUCTS FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 66.30 | $ | 61.79 | $ | 61.56 | $ | 60.19 | $ | 56.94 | $ | 45.02 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | .23 | .17 | .44 | .58 | .42 | .38 | |||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.33 | ) | 6.79 | 3.10 | 3.14 | 6.72 | 12.31 | ||||||||||||||||||
Total from investment operations | (4.10 | ) | 6.96 | 3.54 | 3.72 | 7.14 | 12.69 | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | (.64 | ) | (.42 | ) | (.34 | ) | (.30 | ) | (.77 | ) | ||||||||||||||
Net realized gains | — | (1.81 | ) | (2.89 | ) | (2.01 | ) | (3.59 | ) | — | |||||||||||||||
Total distributions | — | (2.45 | ) | (3.31 | ) | (2.35 | ) | (3.89 | ) | (.77 | ) | ||||||||||||||
Net asset value, end of period | $ | 62.20 | $ | 66.30 | $ | 61.79 | $ | 61.56 | $ | 60.19 | $ | 56.94 | |||||||||||||
Total Returnc | (6.18 | %) | 11.53 | % | 5.42 | % | 6.22 | % | 12.63 | % | 28.25 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,629 | $ | 16,024 | $ | 18,410 | $ | 32,481 | $ | 26,090 | $ | 15,448 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | 0.73 | % | 0.27 | % | 0.68 | % | 0.95 | % | 0.70 | % | 0.72 | % | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.65 | % | 1.61 | % | 1.66 | % | 1.64 | % | |||||||||||||
Portfolio turnover rate | 48 | % | 133 | % | 161 | % | 225 | % | 194 | % | 438 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
ELECTRONICS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the electronics sector, including semiconductor manufacturers and distributors, and makers and vendors of other electronic components and devices (“Electronics Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: August 3, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Intel Corp. | 8.0% |
NVIDIA Corp. | 6.3% |
Texas Instruments, Inc. | 5.7% |
Broadcom, Inc. | 5.3% |
QUALCOMM, Inc. | 5.0% |
Micron Technology, Inc. | 4.2% |
Applied Materials, Inc. | 3.7% |
Analog Devices, Inc. | 3.2% |
Lam Research Corp. | 2.9% |
Microchip Technology, Inc. | 2.4% |
Top Ten Total | 46.7% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Electronics Fund | 2.97% | 21.40% | 19.78% | 10.09% |
S&P 500 Information Technology Index | 10.87% | 31.30% | 21.91% | 14.65% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
ELECTRONICS FUND |
| Value | |||||||
COMMON STOCKS† - 99.6% | ||||||||
Semiconductors - 92.1% | ||||||||
Intel Corp. | 12,044 | $ | 598,707 | |||||
NVIDIA Corp. | 1,973 | 467,404 | ||||||
Texas Instruments, Inc. | 3,852 | 424,683 | ||||||
Broadcom, Inc. | 1,624 | 394,047 | ||||||
QUALCOMM, Inc. | 6,606 | 370,729 | ||||||
Micron Technology, Inc.* | 5,889 | 308,819 | ||||||
Applied Materials, Inc. | 5,998 | 277,048 | ||||||
Analog Devices, Inc. | 2,515 | 241,239 | ||||||
Lam Research Corp. | 1,258 | 217,445 | ||||||
Microchip Technology, Inc. | 1,993 | 181,263 | ||||||
NXP Semiconductor N.V.* | 1,574 | 171,991 | ||||||
Skyworks Solutions, Inc. | 1,750 | 169,138 | ||||||
Maxim Integrated Products, Inc. | 2,810 | 164,835 | ||||||
Xilinx, Inc. | 2,492 | 162,628 | ||||||
KLA-Tencor Corp. | 1,540 | 157,896 | ||||||
Advanced Micro Devices, Inc.* | 10,361 | 155,311 | ||||||
Marvell Technology Group Ltd. | 6,668 | 142,962 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 3,622 | 132,420 | ||||||
Qorvo, Inc.* | 1,606 | 128,753 | ||||||
ON Semiconductor Corp.* | 5,343 | 118,802 | ||||||
Teradyne, Inc. | 2,910 | 110,784 | ||||||
ASML Holding N.V. — Class G | 558 | 110,467 | ||||||
Cavium, Inc.* | 1,210 | 104,665 | ||||||
Monolithic Power Systems, Inc. | 724 | 96,777 | ||||||
Mellanox Technologies Ltd.* | 1,130 | 95,259 | ||||||
Cypress Semiconductor Corp. | 5,907 | 92,031 | ||||||
MKS Instruments, Inc. | 935 | 89,480 | ||||||
Entegris, Inc. | 2,517 | 85,326 | ||||||
Silicon Laboratories, Inc.* | 832 | 82,867 | ||||||
Integrated Device Technology, Inc.* | 2,532 | 80,720 | ||||||
Himax Technologies, Inc. ADR1 | 10,664 | 79,553 | ||||||
STMicroelectronics N.V. — Class Y | 3,570 | 78,968 | ||||||
Semtech Corp.* | 1,513 | 71,187 | ||||||
Cabot Microelectronics Corp. | 624 | 67,117 | ||||||
Cirrus Logic, Inc.* | 1,643 | 62,976 | ||||||
Brooks Automation, Inc. | 1,845 | 60,184 | ||||||
Amkor Technology, Inc.* | 6,835 | 58,713 | ||||||
Power Integrations, Inc. | 803 | 58,659 | ||||||
Synaptics, Inc.* | 1,126 | 56,717 | ||||||
MACOM Technology Solutions Holdings, Inc.*,1 | 2,106 | 48,522 | ||||||
Inphi Corp.* | 1,435 | 46,795 | ||||||
Rambus, Inc.* | 3,701 | 46,411 | ||||||
Ambarella, Inc.*,1 | 1,175 | 45,367 | ||||||
FormFactor, Inc.* | 3,000 | 39,900 | ||||||
Xperi Corp. | 2,151 | 34,631 | ||||||
Ultra Clean Holdings, Inc.* | 1,985 | 32,951 | ||||||
Veeco Instruments, Inc.* | 2,220 | 31,635 | ||||||
Total Semiconductors | 6,854,782 | |||||||
Energy-Alternate Sources - 2.5% | ||||||||
First Solar, Inc.* | 1,822 | 95,947 | ||||||
SolarEdge Technologies, Inc.* | 1,840 | 88,044 | ||||||
Total Energy-Alternate Sources | 183,991 | |||||||
Electrical Components & Equipment - 2.4% | ||||||||
Universal Display Corp.1 | 910 | 78,260 | ||||||
Advanced Energy Industries, Inc.* | 1,049 | 60,936 | ||||||
SunPower Corp. — Class A*,1 | 5,465 | 41,917 | ||||||
Total Electrical Components & Equipment | 181,113 | |||||||
Chemicals - 1.1% | ||||||||
Versum Materials, Inc. | 2,170 | 80,615 | ||||||
Building Materials - 1.1% | ||||||||
Cree, Inc.* | 1,897 | 78,858 | ||||||
Machinery-Diversified - 0.4% | ||||||||
Ichor Holdings Ltd.* | 1,390 | 29,496 | ||||||
Total Common Stocks | ||||||||
(Cost $3,430,113) | 7,408,855 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
JPMorgan Chase & Co. | $ | 29,805 | 29,805 | |||||
Barclays Capital | 14,636 | 14,636 | ||||||
Bank of America Merrill Lynch | 9,757 | 9,757 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $54,198) | 54,198 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.8% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 206,462 | 206,462 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $206,462) | 206,462 | |||||||
Total Investments - 103.1% | ||||||||
(Cost $3,690,773) | $ | 7,669,515 | ||||||
Other Assets & Liabilities, net - (3.1)% | (230,137 | ) | ||||||
Total Net Assets - 100.0% | $ | 7,439,378 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
ELECTRONICS FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 7,408,855 | $ | — | $ | — | $ | 7,408,855 | ||||||||
Repurchase Agreements | — | 54,198 | — | 54,198 | ||||||||||||
Securities Lending Collateral | 206,462 | — | — | 206,462 | ||||||||||||
Total Assets | $ | 7,615,317 | $ | 54,198 | $ | — | $ | 7,669,515 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ELECTRONICS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $202,119 of securities loaned (cost $3,636,575) | $ | 7,615,317 | ||
Repurchase agreements, at value (cost $54,198) | 54,198 | |||
Receivables: | ||||
Securities sold | 297,705 | |||
Dividends | 5,822 | |||
Securities lending income | 1,730 | |||
Interest | 6 | |||
Total assets | 7,974,778 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 302,936 | |||
Return of securities loaned | 206,462 | |||
Management fees | 6,618 | |||
Transfer agent and administrative fees | 1,947 | |||
Investor service fees | 1,947 | |||
Portfolio accounting fees | 779 | |||
Trustees’ fees* | 287 | |||
Miscellaneous | 14,424 | |||
Total liabilities | 535,400 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 7,439,378 | ||
Net assets consist of: | ||||
Paid in capital | $ | 4,085,684 | ||
Accumulated net investment loss | (9,778 | ) | ||
Accumulated net realized loss on investments | (615,270 | ) | ||
Net unrealized appreciation on investments | 3,978,742 | |||
Net assets | $ | 7,439,378 | ||
Capital shares outstanding | 90,438 | |||
Net asset value per share | $ | 82.26 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends | $ | 69,765 | ||
Interest | 530 | |||
Income from securities lending, net | 9,192 | |||
Total investment income | 79,487 | |||
Expenses: | ||||
Management fees | 45,139 | |||
Investor service fees | 13,276 | |||
Transfer agent and administrative fees | 13,276 | |||
Professional fees | 9,248 | |||
Portfolio accounting fees | 5,310 | |||
Trustees’ fees* | 1,289 | |||
Custodian fees | 683 | |||
Line of credit fees | 19 | |||
Miscellaneous | 1,025 | |||
Total expenses | 89,265 | |||
Net investment loss | (9,778 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 789,064 | |||
Net realized gain | 789,064 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (571,776 | ) | ||
Net change in unrealized appreciation (depreciation) | (571,776 | ) | ||
Net realized and unrealized gain | 217,288 | |||
Net increase in net assets resulting from operations | $ | 207,510 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
ELECTRONICS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (9,778 | ) | $ | (48,506 | ) | ||
Net realized gain on investments | 789,064 | 641,050 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (571,776 | ) | 1,682,021 | |||||
Net increase in net assets resulting from operations | 207,510 | 2,274,565 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 16,901,970 | 35,241,512 | ||||||
Cost of shares redeemed | (20,905,662 | ) | (34,989,891 | ) | ||||
Net increase (decrease) from capital share transactions | (4,003,692 | ) | 251,621 | |||||
Net increase (decrease) in net assets | (3,796,182 | ) | 2,526,186 | |||||
Net assets: | ||||||||
Beginning of period | 11,235,560 | 8,709,374 | ||||||
End of period | $ | 7,439,378 | $ | 11,235,560 | ||||
Accumulated net investment loss at end of period | $ | (9,778 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 199,651 | 485,493 | ||||||
Shares redeemed | (249,856 | ) | (487,740 | ) | ||||
Net decrease in shares | (50,205 | ) | (2,247 | ) |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ELECTRONICS FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 79.89 | $ | 60.95 | $ | 49.03 | $ | 48.01 | $ | 38.81 | $ | 28.78 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | (.08 | ) | (.34 | ) | (.07 | ) | (.15 | ) | (.01 | ) | — | c | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.45 | 19.28 | 11.99 | 1.17 | 9.21 | 10.12 | |||||||||||||||||||
Total from investment operations | 2.37 | 18.94 | 11.92 | 1.02 | 9.20 | 10.12 | |||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (.09 | ) | ||||||||||||||||||
Total distributions | — | — | — | — | — | (.09 | ) | ||||||||||||||||||
Net asset value, end of period | $ | 82.26 | $ | 79.89 | $ | 60.95 | $ | 49.03 | $ | 48.01 | $ | 38.81 | |||||||||||||
Total Returnd | 2.97 | % | 31.06 | % | 24.34 | % | 2.10 | % | 23.74 | % | 35.05 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,439 | $ | 11,236 | $ | 8,709 | $ | 5,374 | $ | 7,410 | $ | 3,261 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | (0.18 | %) | (0.48 | %) | (0.14 | %) | (0.31 | %) | (0.01 | %) | 0.02 | % | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.66 | % | 1.59 | % | 1.66 | % | 1.64 | % | |||||||||||||
Portfolio turnover rate | 147 | % | 327 | % | 362 | % | 351 | % | 381 | % | 745 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any additional fees charged by insurance companies. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2013 have been restated to reflect a 1:10 reverse share split effective April 5, 2013. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
ENERGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies involved in the energy field, including the exploration, production, and development of oil, gas, coal and alternative sources of energy (“Energy Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 29, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Exxon Mobil Corp. | 5.9% |
Chevron Corp. | 4.9% |
Schlumberger Ltd. | 3.0% |
ConocoPhillips | 2.9% |
EOG Resources, Inc. | 2.7% |
Occidental Petroleum Corp. | 2.5% |
Phillips 66 | 2.2% |
Valero Energy Corp. | 2.1% |
Kinder Morgan, Inc. | 2.0% |
Anadarko Petroleum Corp. | 2.0% |
Top Ten Total | 30.2% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Energy Fund | 7.96% | 23.76% | (2.93%) | (4.04%) |
S&P 500 Energy Index | 6.81% | 20.99% | 2.22% | 0.96% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
ENERGY FUND |
| Value | |||||||
COMMON STOCKS† - 99.2% | ||||||||
Oil & Gas - 74.2% | ||||||||
Exxon Mobil Corp. | 13,133 | $ | 1,086,493 | |||||
Chevron Corp. | 7,080 | 895,124 | ||||||
ConocoPhillips | 7,667 | 533,777 | ||||||
EOG Resources, Inc. | 4,040 | 502,697 | ||||||
Occidental Petroleum Corp. | 5,471 | 457,813 | ||||||
Phillips 66 | 3,655 | 410,493 | ||||||
Valero Energy Corp. | 3,531 | 391,341 | ||||||
Anadarko Petroleum Corp. | 4,895 | 358,559 | ||||||
Pioneer Natural Resources Co. | 1,720 | 325,493 | ||||||
Marathon Petroleum Corp. | 4,496 | 315,439 | ||||||
Continental Resources, Inc.* | 4,438 | 287,405 | ||||||
Devon Energy Corp. | 6,454 | 283,718 | ||||||
Concho Resources, Inc.* | 1,989 | 275,178 | ||||||
Petroleo Brasileiro S.A. ADR | 27,435 | 275,173 | ||||||
Hess Corp. | 4,021 | 268,965 | ||||||
Apache Corp. | 5,427 | 253,712 | ||||||
Andeavor | 1,901 | 249,373 | ||||||
Marathon Oil Corp. | 11,677 | 243,582 | ||||||
Noble Energy, Inc. | 6,853 | 241,774 | ||||||
Royal Dutch Shell plc — Class A ADR | 3,328 | 230,398 | ||||||
BP plc ADR | 5,045 | 230,355 | ||||||
Diamondback Energy, Inc. | 1,682 | 221,301 | ||||||
Equities Corp. | 3,965 | 218,789 | ||||||
Transocean Ltd.* | 15,868 | 213,266 | ||||||
Cimarex Energy Co. | 1,934 | 196,765 | ||||||
HollyFrontier Corp. | 2,855 | 195,368 | ||||||
Suncor Energy, Inc. | 4,695 | 190,993 | ||||||
Cabot Oil & Gas Corp. — Class A | 7,933 | 188,805 | ||||||
Parsley Energy, Inc. — Class A* | 6,205 | 187,887 | ||||||
Encana Corp. | 13,294 | 173,487 | ||||||
Canadian Natural Resources Ltd. | 4,799 | 173,100 | ||||||
Energen Corp.* | 2,269 | 165,229 | ||||||
RSP Permian, Inc.* | 3,645 | 160,453 | ||||||
WPX Energy, Inc.* | 8,756 | 157,871 | ||||||
Antero Resources Corp.* | 7,351 | 156,944 | ||||||
Helmerich & Payne, Inc. | 2,361 | 150,537 | ||||||
Newfield Exploration Co.* | 4,821 | 145,835 | ||||||
Murphy Oil Corp. | 4,130 | 139,470 | ||||||
Centennial Resource Development, Inc. — Class A* | 7,506 | 135,558 | ||||||
Whiting Petroleum Corp.* | 2,444 | 128,848 | ||||||
Range Resources Corp. | 7,260 | 121,460 | ||||||
Oasis Petroleum, Inc.* | 9,172 | 118,961 | ||||||
PBF Energy, Inc. — Class A | 2,795 | 117,194 | ||||||
CNX Resources Corp.* | 6,567 | 116,761 | ||||||
PDC Energy, Inc.* | 1,923 | 116,245 | ||||||
Delek US Holdings, Inc. | 2,314 | 116,093 | ||||||
Matador Resources Co.* | 3,850 | 115,693 | ||||||
Patterson-UTI Energy, Inc. | 6,310 | 113,580 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 4,979 | 103,862 | ||||||
Southwestern Energy Co.* | 19,361 | 102,613 | ||||||
SM Energy Co. | 3,893 | 100,011 | ||||||
QEP Resources, Inc.* | 8,109 | 99,416 | ||||||
California Resources Corp.* | 2,100 | 95,424 | ||||||
SRC Energy, Inc.* | 8,619 | 94,981 | ||||||
Callon Petroleum Co.* | 8,630 | 92,686 | ||||||
Laredo Petroleum, Inc.* | 9,631 | 92,650 | ||||||
Gulfport Energy Corp.* | 7,301 | 91,774 | ||||||
Extraction Oil & Gas, Inc.* | 6,237 | 91,622 | ||||||
Carrizo Oil & Gas, Inc.* | 3,147 | 87,644 | ||||||
Rowan Companies plc — Class A* | 5,261 | 85,333 | ||||||
Nabors Industries Ltd. | 13,264 | 85,022 | ||||||
Total Oil & Gas | 13,576,393 | |||||||
Oil & Gas Services - 12.7% | ||||||||
Schlumberger Ltd. | 8,202 | 549,780 | ||||||
Halliburton Co. | 7,866 | 354,442 | ||||||
Baker Hughes a GE Co. | 10,547 | 348,368 | ||||||
National Oilwell Varco, Inc. | 5,520 | 239,568 | ||||||
TechnipFMC plc | 5,514 | 175,014 | ||||||
Core Laboratories N.V.1 | 934 | 117,880 | ||||||
McDermott International, Inc.* | 5,361 | 105,344 | ||||||
RPC, Inc.1 | 7,173 | 104,511 | ||||||
Oceaneering International, Inc. | 3,763 | 95,806 | ||||||
Dril-Quip, Inc.* | 1,616 | 83,062 | ||||||
Superior Energy Services, Inc.* | 7,301 | 71,112 | ||||||
ProPetro Holding Corp.* | 4,415 | 69,227 | ||||||
Total Oil & Gas Services | 2,314,114 | |||||||
Pipelines - 10.3% | ||||||||
Kinder Morgan, Inc. | 20,758 | 366,794 | ||||||
ONEOK, Inc. | 4,434 | 309,626 | ||||||
Williams Companies, Inc. | 9,893 | 268,199 | ||||||
Cheniere Energy, Inc.* | 3,525 | 229,795 | ||||||
Targa Resources Corp. | 3,835 | 189,794 | ||||||
Enbridge, Inc. | 5,034 | 179,664 | ||||||
Plains GP Holdings, LP — Class A* | 5,975 | 142,862 | ||||||
TransCanada Corp. | 2,820 | 121,824 | ||||||
SemGroup Corp. — Class A | 3,246 | 82,448 | ||||||
Total Pipelines | 1,891,006 | |||||||
Coal - 0.7% | ||||||||
Peabody Energy Corp. | 2,948 | 134,075 | ||||||
Metal Fabricate & Hardware - 0.7% | ||||||||
Tenaris S.A. ADR | 3,325 | 120,997 | ||||||
Mining - 0.4% | ||||||||
US Silica Holdings, Inc. | 3,051 | 78,380 | ||||||
Energy-Alternate Sources - 0.2% | ||||||||
Green Plains, Inc.*,1 | 2,263 | 41,413 | ||||||
Total Common Stocks | ||||||||
(Cost $9,546,330) | 18,156,378 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
ENERGY FUND |
Face | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
JPMorgan Chase & Co. | $ | 64,297 | $ | 64,297 | ||||
Barclays Capital | 31,573 | 31,573 | ||||||
Bank of America Merrill Lynch | 21,049 | 21,049 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $116,919) | 116,919 |
| ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.4% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 260,920 | 260,920 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $260,920) | 260,920 | |||||||
Total Investments - 101.2% | ||||||||
(Cost $9,924,169) | $ | 18,534,217 | ||||||
Other Assets & Liabilities, net - (1.2)% | (221,517 | ) | ||||||
Total Net Assets - 100.0% | $ | 18,312,700 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 18,156,378 | $ | — | $ | — | $ | 18,156,378 | ||||||||
Repurchase Agreements | — | 116,919 | — | 116,919 | ||||||||||||
Securities Lending Collateral | 260,920 | — | — | 260,920 | ||||||||||||
Total Assets | $ | 18,417,298 | $ | 116,919 | $ | — | $ | 18,534,217 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $255,956 of securities loaned (cost $9,807,250) | $ | 18,417,298 | ||
Repurchase agreements, at value (cost $116,919) | 116,919 | |||
Cash | 162 | |||
Receivables: | ||||
Fund shares sold | 263,788 | |||
Dividends | 11,629 | |||
Securities lending income | 280 | |||
Interest | 14 | |||
Total assets | 18,810,090 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 260,920 | |||
Securities purchased | 183,985 | |||
Management fees | 12,249 | |||
Fund shares redeemed | 8,380 | |||
Transfer agent and administrative fees | 3,602 | |||
Investor service fees | 3,602 | |||
Portfolio accounting fees | 1,441 | |||
Trustees’ fees* | 449 | |||
Miscellaneous | 22,762 | |||
Total liabilities | 497,390 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 18,312,700 | ||
Net assets consist of: | ||||
Paid in capital | $ | 19,481,867 | ||
Undistributed net investment income | 167,791 | |||
Accumulated net realized loss on investments | (9,947,006 | ) | ||
Net unrealized appreciation on investments | 8,610,048 | |||
Net assets | $ | 18,312,700 | ||
Capital shares outstanding | 227,417 | |||
Net asset value per share | $ | 80.52 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1,890) | $ | 178,061 | ||
Interest | 825 | |||
Income from securities lending, net | 2,514 | |||
Total investment income | 181,400 | |||
Expenses: | ||||
Management fees | 73,374 | |||
Investor service fees | 21,580 | |||
Transfer agent and administrative fees | 21,580 | |||
Professional fees | 14,177 | |||
Portfolio accounting fees | 8,632 | |||
Trustees’ fees* | 1,616 | |||
Custodian fees | 1,107 | |||
Line of credit fees | 17 | |||
Miscellaneous | 3,149 | |||
Total expenses | 145,232 | |||
Net investment income | 36,168 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 460,146 | |||
Net realized gain | 460,146 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 242,730 | |||
Net change in unrealized appreciation (depreciation) | 242,730 | |||
Net realized and unrealized gain | 702,876 | |||
Net increase in net assets resulting from operations | $ | 739,044 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
ENERGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 36,168 | $ | 149,779 | ||||
Net realized gain on investments | 460,146 | 862,529 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 242,730 | (3,472,763 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 739,044 | (2,460,455 | ) | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (110,100 | ) | |||||
Total distributions to shareholders | — | (110,100 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 58,666,016 | 117,598,047 | ||||||
Distributions reinvested | — | 110,100 | ||||||
Cost of shares redeemed | (58,410,318 | ) | (125,936,864 | ) | ||||
Net increase (decrease) from capital share transactions | 255,698 | (8,228,717 | ) | |||||
Net increase (decrease) in net assets | 994,742 | (10,799,272 | ) | |||||
Net assets: | ||||||||
Beginning of period | 17,317,958 | 28,117,230 | ||||||
End of period | $ | 18,312,700 | $ | 17,317,958 | ||||
Undistributed net investment income at end of period | $ | 167,791 | $ | 131,623 | ||||
Capital share activity: | ||||||||
Shares sold | 798,830 | 1,574,560 | ||||||
Shares issued from reinvestment of distributions | — | 1,707 | ||||||
Shares redeemed | (803,631 | ) | (1,695,100 | ) | ||||
Net decrease in shares | (4,801 | ) | (118,833 | ) |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 74.58 | $ | 80.09 | $ | 61.43 | $ | 90.41 | $ | 123.98 | $ | 102.07 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | .16 | .53 | .08 | .76 | .48 | .20 | |||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.78 | (5.61 | ) | 18.72 | (27.58 | ) | (21.93 | ) | 23.75 | ||||||||||||||||
Total from investment operations | 5.94 | (5.08 | ) | 18.80 | (26.82 | ) | (21.45 | ) | 23.95 | ||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | (.43 | ) | (.14 | ) | (.36 | ) | (.12 | ) | (.24 | ) | ||||||||||||||
Net realized gains | — | — | — | (1.80 | ) | (12.00 | ) | (1.80 | ) | ||||||||||||||||
Total distributions | — | (.43 | ) | (.14 | ) | (2.16 | ) | (12.12 | ) | (2.04 | ) | ||||||||||||||
Net asset value, end of period | $ | 80.52 | $ | 74.58 | $ | 80.09 | $ | 61.43 | $ | 90.41 | $ | 123.98 | |||||||||||||
Total Returnc | 7.96 | % | (6.26 | %) | 31.37 | % | (30.22 | %) | (18.62 | %) | 23.47 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 18,313 | $ | 17,318 | $ | 28,117 | $ | 19,682 | $ | 26,560 | $ | 21,913 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | 0.42 | % | 0.75 | % | 0.42 | % | 0.91 | % | 0.38 | % | 0.18 | % | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.64 | % | |||||||||||||
Portfolio turnover rate | 332 | % | 573 | % | 293 | % | 121 | % | 214 | % | 190 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
ENERGY SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the energy services field, including those that provide services and equipment in the areas of oil, coal, and gas exploration and production (“Energy Services Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Schlumberger Ltd. | 12.8% |
Halliburton Co. | 10.3% |
Baker Hughes a GE Co. | 10.0% |
National Oilwell Varco, Inc. | 6.9% |
Transocean Ltd. | 5.1% |
Helmerich & Payne, Inc. | 4.4% |
TechnipFMC plc | 4.1% |
Patterson-UTI Energy, Inc. | 3.3% |
McDermott International, Inc. | 3.1% |
RPC, Inc. | 3.1% |
Top Ten Total | 63.1% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 Month‡ | 1 Year | 5 Year | 10 Year | |
Energy Services Fund | (2.71%) | 7.79% | (12.11%) | (9.55%) |
S&P 500 Energy Index | 6.81% | 20.99% | 2.22% | 0.96% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
ENERGY SERVICES FUND |
| Value | |||||||
COMMON STOCKS† - 99.6% | ||||||||
Oil & Gas Services - 73.5% | ||||||||
Schlumberger Ltd. | 14,590 | $ | 977,968 | |||||
Halliburton Co. | 17,427 | 785,261 | ||||||
Baker Hughes a GE Co. | 23,175 | 765,470 | ||||||
National Oilwell Varco, Inc. | 12,155 | 527,527 | ||||||
TechnipFMC plc | 9,893 | 314,004 | ||||||
McDermott International, Inc.* | 11,931 | 234,444 | ||||||
RPC, Inc.1 | 15,968 | 232,654 | ||||||
Core Laboratories N.V.1 | 1,786 | 225,411 | ||||||
Oceaneering International, Inc. | 8,368 | 213,049 | ||||||
Dril-Quip, Inc.* | 3,607 | 185,400 | ||||||
Oil States International, Inc.* | 5,547 | 178,059 | ||||||
C&J Energy Services, Inc.* | 7,098 | 167,513 | ||||||
Archrock, Inc. | 13,950 | 167,400 | ||||||
Keane Group, Inc.* | 11,950 | 163,356 | ||||||
Superior Energy Services, Inc.* | 16,260 | 158,372 | ||||||
ProPetro Holding Corp.* | 9,832 | 154,166 | ||||||
Forum Energy Technologies, Inc.* | 12,400 | 153,140 | ||||||
Total Oil & Gas Services | 5,603,194 | |||||||
Oil & Gas - 20.8% | ||||||||
Transocean Ltd.* | 28,829 | 387,462 | ||||||
Helmerich & Payne, Inc. | 5,260 | 335,378 | ||||||
Patterson-UTI Energy, Inc. | 14,038 | 252,684 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 11,075 | 231,024 | ||||||
Rowan Companies plc — Class A* | 11,695 | 189,693 | ||||||
Nabors Industries Ltd. | 29,418 | 188,569 | ||||||
Total Oil & Gas | 1,584,810 | |||||||
Metal Fabricate & Hardware - 3.0% | ||||||||
Tenaris S.A. ADR | 6,324 | 230,130 | ||||||
Mining - 2.3% | ||||||||
US Silica Holdings, Inc. | 6,791 | 174,461 | ||||||
Total Common Stocks | ||||||||
(Cost $4,838,240) | 7,592,595 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.8% | ||||||||
JPMorgan Chase & Co. | $ | 32,726 | 32,726 | |||||
Barclays Capital | 16,070 | 16,070 | ||||||
Bank of America Merrill Lynch | 10,714 | 10,714 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $59,510) | 59,510 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 5.7% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 433,911 | 433,911 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $433,911) | 433,911 | |||||||
Total Investments - 106.1% | ||||||||
(Cost $5,331,661) | $ | 8,086,016 | ||||||
Other Assets & Liabilities, net - (6.1)% | (465,482 | ) | ||||||
Total Net Assets - 100.0% | $ | 7,620,534 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
ENERGY SERVICES FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 7,592,595 | $ | — | $ | — | $ | 7,592,595 | ||||||||
Repurchase Agreements | — | 59,510 | — | 59,510 | ||||||||||||
Securities Lending Collateral | 433,911 | — | — | 433,911 | ||||||||||||
Total Assets | $ | 8,026,506 | $ | 59,510 | $ | — | $ | 8,086,016 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY SERVICES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $403,316 of securities loaned (cost $5,272,151) | $ | 8,026,506 | ||
Repurchase agreements, at value (cost $59,510) | 59,510 | |||
Receivables: | ||||
Securities sold | 45,886 | |||
Dividends | 8,388 | |||
Fund shares sold | 7,780 | |||
Securities lending income | 806 | |||
Interest | 7 | |||
Total assets | 8,148,883 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 433,911 | |||
Fund shares redeemed | 71,500 | |||
Management fees | 5,516 | |||
Transfer agent and administrative fees | 1,623 | |||
Investor service fees | 1,623 | |||
Portfolio accounting fees | 649 | |||
Trustees’ fees* | 273 | |||
Miscellaneous | 13,254 | |||
Total liabilities | 528,349 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 7,620,534 | ||
Net assets consist of: | ||||
Paid in capital | $ | 13,707,230 | ||
Undistributed net investment income | 196,641 | |||
Accumulated net realized loss on investments | (9,037,692 | ) | ||
Net unrealized appreciation on investments | 2,754,355 | |||
Net assets | $ | 7,620,534 | ||
Capital shares outstanding | 135,977 | |||
Net asset value per share | $ | 56.04 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $358) | $ | 55,401 | ||
Interest | 382 | |||
Income from securities lending, net | 6,306 | |||
Total investment income | 62,089 | |||
Expenses: | ||||
Management fees | 34,636 | |||
Investor service fees | 10,187 | |||
Transfer agent and administrative fees | 10,187 | |||
Professional fees | 7,207 | |||
Portfolio accounting fees | 4,075 | |||
Trustees’ fees* | 704 | |||
Custodian fees | 526 | |||
Line of credit fees | 14 | |||
Miscellaneous | 1,061 | |||
Total expenses | 68,597 | |||
Net investment loss | (6,508 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 262,808 | |||
Net realized gain | 262,808 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (673,415 | ) | ||
Net change in unrealized appreciation (depreciation) | (673,415 | ) | ||
Net realized and unrealized loss | (410,607 | ) | ||
Net decrease in net assets resulting from operations | $ | (417,115 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
ENERGY SERVICES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (6,508 | ) | $ | 200,476 | |||
Net realized gain (loss) on investments | 262,808 | (606,661 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (673,415 | ) | (2,250,644 | ) | ||||
Net decrease in net assets resulting from operations | (417,115 | ) | (2,656,829 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 15,004,656 | 38,145,435 | ||||||
Cost of shares redeemed | (16,013,809 | ) | (40,212,231 | ) | ||||
Net decrease from capital share transactions | (1,009,153 | ) | (2,066,796 | ) | ||||
Net decrease in net assets | (1,426,268 | ) | (4,723,625 | ) | ||||
Net assets: | ||||||||
Beginning of period | 9,046,802 | 13,770,427 | ||||||
End of period | $ | 7,620,534 | $ | 9,046,802 | ||||
Undistributed net investment income at end of period | $ | 196,641 | $ | 203,149 | ||||
Capital share activity: | ||||||||
Shares sold | 259,491 | 668,004 | ||||||
Shares redeemed | (280,582 | ) | (705,427 | ) | ||||
Net decrease in shares | (21,091 | ) | (37,423 | ) |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY SERVICES FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 57.60 | $ | 70.80 | $ | 58.00 | $ | 85.24 | $ | 132.25 | $ | 111.01 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | (.05 | ) | 1.11 | (.03 | ) | .66 | .36 | (.54 | ) | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.51 | ) | (14.31 | ) | 12.92 | (27.60 | ) | (37.41 | ) | 27.12 | |||||||||||||||
Total from investment operations | (1.56 | ) | (13.20 | ) | 12.89 | (26.94 | ) | (37.05 | ) | 26.58 | |||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | — | (.09 | ) | (.30 | ) | — | — | |||||||||||||||||
Net realized gains | — | — | — | — | (9.96 | ) | (5.34 | ) | |||||||||||||||||
Total distributions | — | — | (.09 | ) | (.30 | ) | (9.96 | ) | (5.34 | ) | |||||||||||||||
Net asset value, end of period | $ | 56.04 | $ | 57.60 | $ | 70.80 | $ | 58.00 | $ | 85.24 | $ | 132.25 | |||||||||||||
Total Returnc | (2.71 | %) | (18.64 | %) | 23.15 | % | (31.70 | %) | (29.34 | %) | 23.89 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,621 | $ | 9,047 | $ | 13,770 | $ | 11,475 | $ | 15,843 | $ | 16,101 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | (0.16 | %) | 1.92 | % | (0.26 | %) | 0.85 | % | 0.29 | % | (0.42 | %) | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.64 | % | |||||||||||||
Portfolio turnover rate | 168 | % | 338 | % | 291 | % | 175 | % | 220 | % | 261 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Reverse Share Split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:6 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
FINANCIAL SERVICES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the financial services sector (“Financial Services Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: July 20, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Berkshire Hathaway, Inc. — Class B | 2.8% |
JPMorgan Chase & Co. | 2.5% |
Wells Fargo & Co. | 2.2% |
Bank of America Corp. | 2.2% |
Citigroup, Inc. | 1.8% |
American Express Co. | 1.2% |
Goldman Sachs Group, Inc. | 1.2% |
BlackRock, Inc. — Class A | 1.2% |
U.S. Bancorp | 1.2% |
Morgan Stanley | 1.2% |
Top Ten Total | 17.5% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Financial Services Fund | (1.93%) | 7.02% | 9.50% | 5.83% |
S&P 500 Financials Index | (4.09%) | 9.64% | 13.13% | 7.05% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Financials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
FINANCIAL SERVICES FUND |
| Value | |||||||
COMMON STOCKS† - 99.0% | ||||||||
Banks - 30.5% | ||||||||
JPMorgan Chase & Co. | 2,996 | $ | 312,183 | |||||
Wells Fargo & Co. | 5,022 | 278,420 | ||||||
Bank of America Corp. | 9,866 | 278,123 | ||||||
Citigroup, Inc. | 3,319 | 222,107 | ||||||
Goldman Sachs Group, Inc. | 690 | 152,193 | ||||||
U.S. Bancorp | 3,002 | 150,160 | ||||||
Morgan Stanley | 3,127 | 148,220 | ||||||
PNC Financial Services Group, Inc. | 976 | 131,858 | ||||||
Bank of New York Mellon Corp. | 2,246 | 121,127 | ||||||
Capital One Financial Corp. | 1,182 | 108,626 | ||||||
BB&T Corp. | 2,068 | 104,310 | ||||||
State Street Corp. | 1,026 | 95,510 | ||||||
SunTrust Banks, Inc. | 1,384 | 91,372 | ||||||
M&T Bank Corp. | 491 | 83,544 | ||||||
Northern Trust Corp. | 775 | 79,740 | ||||||
KeyCorp | 3,838 | 74,994 | ||||||
Regions Financial Corp. | 4,155 | 73,876 | ||||||
Fifth Third Bancorp | 2,513 | 72,123 | ||||||
Citizens Financial Group, Inc. | 1,823 | 70,915 | ||||||
Huntington Bancshares, Inc. | 4,486 | 66,213 | ||||||
First Republic Bank | 678 | 65,624 | ||||||
SVB Financial Group* | 224 | 64,682 | ||||||
Comerica, Inc. | 708 | 64,371 | ||||||
Toronto-Dominion Bank | 960 | 55,546 | ||||||
Popular, Inc. | 1,217 | 55,021 | ||||||
ICICI Bank Ltd. ADR | 6,824 | 54,797 | ||||||
HSBC Holdings plc ADR | 1,137 | 53,598 | ||||||
Zions Bancorporation | 1,006 | 53,006 | ||||||
East West Bancorp, Inc. | 767 | 50,008 | ||||||
Signature Bank* | 354 | 45,270 | ||||||
Commerce Bancshares, Inc. | 678 | 43,873 | ||||||
Cullen/Frost Bankers, Inc. | 401 | 43,404 | ||||||
CIT Group, Inc. | 840 | 42,344 | ||||||
Synovus Financial Corp. | 776 | 40,996 | ||||||
PacWest Bancorp | 814 | 40,228 | ||||||
Bank of the Ozarks | 869 | 39,140 | ||||||
First Horizon National Corp. | 2,188 | 39,034 | ||||||
Umpqua Holdings Corp. | 1,613 | 36,438 | ||||||
Wintrust Financial Corp. | 417 | 36,300 | ||||||
Pinnacle Financial Partners, Inc. | 581 | 35,644 | ||||||
Texas Capital Bancshares, Inc.* | 377 | 34,495 | ||||||
IBERIABANK Corp. | 445 | 33,731 | ||||||
Home BancShares, Inc. | 1,468 | 33,118 | ||||||
United Bankshares, Inc. | 890 | 32,396 | ||||||
Hancock Whitney Corp. | 693 | 32,328 | ||||||
Total Banks | 3,841,006 | |||||||
REITs - 27.9% | ||||||||
American Tower Corp. — Class A | 948 | 136,673 | ||||||
Simon Property Group, Inc. | 730 | 124,239 | ||||||
Crown Castle International Corp. | 1,081 | 116,553 | ||||||
Public Storage | 482 | 109,347 | ||||||
Equinix, Inc. | 239 | 102,744 | ||||||
Prologis, Inc. | 1,516 | 99,586 | ||||||
Weyerhaeuser Co. | 2,374 | 86,556 | ||||||
Digital Realty Trust, Inc. | 757 | 84,466 | ||||||
Welltower, Inc. | 1,332 | 83,503 | ||||||
AvalonBay Communities, Inc. | 482 | 82,851 | ||||||
Equity Residential | 1,260 | 80,249 | ||||||
Ventas, Inc. | 1,336 | 76,085 | ||||||
Boston Properties, Inc. | 602 | 75,503 | ||||||
SBA Communications Corp.* | 455 | 75,130 | ||||||
GGP, Inc. | 3,598 | 73,507 | ||||||
Essex Property Trust, Inc. | 283 | 67,657 | ||||||
Realty Income Corp. | 1,216 | 65,409 | ||||||
Host Hotels & Resorts, Inc. | 3,100 | 65,317 | ||||||
Vornado Realty Trust | 851 | 62,906 | ||||||
Extra Space Storage, Inc. | 609 | 60,784 | ||||||
Alexandria Real Estate Equities, Inc. | 481 | 60,688 | ||||||
HCP, Inc. | 2,321 | 59,928 | ||||||
Invitation Homes, Inc. | 2,528 | 58,296 | ||||||
Mid-America Apartment Communities, Inc. | 579 | 58,288 | ||||||
Annaly Capital Management, Inc. | 5,519 | 56,790 | ||||||
Regency Centers Corp. | 881 | 54,692 | ||||||
Duke Realty Corp. | 1,869 | 54,257 | ||||||
Iron Mountain, Inc. | 1,543 | 54,020 | ||||||
Federal Realty Investment Trust | 418 | 52,898 | ||||||
UDR, Inc. | 1,404 | 52,706 | ||||||
SL Green Realty Corp. | 511 | 51,371 | ||||||
Camden Property Trust | 543 | 49,484 | ||||||
Macerich Co. | 835 | 47,453 | ||||||
Gaming and Leisure Properties, Inc. | 1,294 | 46,325 | ||||||
AGNC Investment Corp. | 2,490 | 46,289 | ||||||
VEREIT, Inc. | 6,111 | 45,466 | ||||||
Kilroy Realty Corp. | 598 | 45,233 | ||||||
Kimco Realty Corp. | 2,652 | 45,057 | ||||||
National Retail Properties, Inc. | 1,012 | 44,488 | ||||||
American Homes 4 Rent — Class A | 1,976 | 43,828 | ||||||
Apartment Investment & Management Co. — Class A | 1,021 | 43,188 | ||||||
Lamar Advertising Co. — Class A | 631 | 43,104 | ||||||
Liberty Property Trust | 961 | 42,601 | ||||||
DCT Industrial Trust, Inc. | 637 | 42,507 | ||||||
Park Hotels & Resorts, Inc. | 1,341 | 41,075 | ||||||
CubeSmart | 1,272 | 40,984 | ||||||
Omega Healthcare Investors, Inc. | 1,317 | 40,827 | ||||||
CyrusOne, Inc. | 689 | 40,210 | ||||||
STORE Capital Corp. | 1,420 | 38,908 | ||||||
Brixmor Property Group, Inc. | 2,203 | 38,398 | ||||||
Hospitality Properties Trust | 1,261 | 36,077 | ||||||
Senior Housing Properties Trust | 1,940 | 35,095 | ||||||
Sabra Health Care REIT, Inc. | 1,507 | 32,747 | ||||||
Taubman Centers, Inc. | 551 | 32,377 | ||||||
Sunstone Hotel Investors, Inc. | 1,939 | 32,226 | ||||||
LaSalle Hotel Properties | 941 | 32,210 | ||||||
DDR Corp. | 1,723 | 30,842 | ||||||
PotlatchDeltic Corp. | 600 | 30,510 | ||||||
Spirit Realty Capital, Inc. | 3,790 | 30,434 | ||||||
Colony Capital, Inc. | 4,755 | 29,671 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
FINANCIAL SERVICES FUND |
| Value | |||||||
Uniti Group, Inc. | 1,480 | $ | 29,644 | |||||
Total REITs | 3,520,257 | |||||||
Insurance - 19.1% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 1,908 | 356,128 | ||||||
American International Group, Inc. | 2,137 | 113,304 | ||||||
MetLife, Inc. | 2,483 | 108,259 | ||||||
Marsh & McLennan Companies, Inc. | 1,315 | 107,791 | ||||||
Prudential Financial, Inc. | 1,093 | 102,206 | ||||||
Progressive Corp. | 1,624 | 96,060 | ||||||
Travelers Companies, Inc. | 774 | 94,691 | ||||||
Aflac, Inc. | 2,180 | 93,784 | ||||||
Allstate Corp. | 1,025 | 93,552 | ||||||
Willis Towers Watson plc | 574 | 87,018 | ||||||
Chubb Ltd. | 675 | 85,739 | ||||||
Aon plc | 512 | 70,231 | ||||||
Hartford Financial Services Group, Inc. | 1,364 | 69,741 | ||||||
XL Group Ltd. | 1,225 | 68,539 | ||||||
Loews Corp. | 1,353 | 65,323 | ||||||
Arch Capital Group Ltd.* | 2,411 | 63,795 | ||||||
Principal Financial Group, Inc. | 1,192 | 63,116 | ||||||
Everest Re Group Ltd. | 267 | 61,538 | ||||||
Lincoln National Corp. | 957 | 59,573 | ||||||
Arthur J Gallagher & Co. | 889 | 58,034 | ||||||
Cincinnati Financial Corp. | 814 | 54,424 | ||||||
Torchmark Corp. | 620 | 50,474 | ||||||
Reinsurance Group of America, Inc. — Class A | 360 | 48,053 | ||||||
Athene Holding Ltd. — Class A* | 1,064 | 46,646 | ||||||
Unum Group | 1,260 | 46,607 | ||||||
Assurant, Inc. | 440 | 45,536 | ||||||
Voya Financial, Inc. | 954 | 44,838 | ||||||
First American Financial Corp. | 775 | 40,083 | ||||||
Old Republic International Corp. | 2,010 | 40,019 | ||||||
Brighthouse Financial, Inc.* | 880 | 35,262 | ||||||
MGIC Investment Corp.* | 3,081 | 33,028 | ||||||
Total Insurance | 2,403,392 | |||||||
Diversified Financial Services - 15.9% | ||||||||
American Express Co. | 1,559 | 152,782 | ||||||
BlackRock, Inc. — Class A | 301 | 150,211 | ||||||
Charles Schwab Corp. | 2,597 | 132,707 | ||||||
CME Group, Inc. — Class A | 763 | 125,071 | ||||||
Intercontinental Exchange, Inc. | 1,483 | 109,075 | ||||||
TD Ameritrade Holding Corp. | 1,625 | 89,001 | ||||||
T. Rowe Price Group, Inc. | 750 | 87,067 | ||||||
Interactive Brokers Group, Inc. — Class A | 1,293 | 83,282 | ||||||
Synchrony Financial | 2,441 | 81,481 | ||||||
Discover Financial Services | 1,139 | 80,197 | ||||||
Ameriprise Financial, Inc. | 527 | 73,717 | ||||||
Franklin Resources, Inc. | 2,142 | 68,651 | ||||||
E*TRADE Financial Corp.* | 1,078 | 65,930 | ||||||
Nasdaq, Inc. | 706 | 64,437 | ||||||
Cboe Global Markets, Inc. | 561 | 58,383 | ||||||
Raymond James Financial, Inc. | 651 | 58,167 | ||||||
Ally Financial, Inc. | 2,142 | 56,270 | ||||||
Invesco Ltd. | 2,054 | 54,554 | ||||||
SEI Investments Co. | 827 | 51,704 | ||||||
Jefferies Financial Group, Inc. | 2,076 | 47,208 | ||||||
Affiliated Managers Group, Inc. | 314 | 46,682 | ||||||
Credit Acceptance Corp.* | 119 | 42,055 | ||||||
LPL Financial Holdings, Inc. | 603 | 39,521 | ||||||
BGC Partners, Inc. — Class A | 3,378 | 38,239 | ||||||
SLM Corp.* | 3,242 | 37,121 | ||||||
Evercore, Inc. — Class A | 320 | 33,744 | ||||||
Navient Corp. | 2,359 | 30,738 | ||||||
Federated Investors, Inc. — Class B | 1,110 | 25,885 | ||||||
LendingTree, Inc.* | 115 | 24,587 | ||||||
Total Diversified Financial Services | 2,008,467 | |||||||
Commercial Services - 2.1% | ||||||||
S&P Global, Inc. | 591 | 120,499 | ||||||
Moody’s Corp. | 562 | 95,855 | ||||||
MarketAxess Holdings, Inc. | 219 | 43,331 | ||||||
Total Commercial Services | 259,685 | |||||||
Savings & Loans - 1.2% | ||||||||
People’s United Financial, Inc. | 2,290 | 41,426 | ||||||
New York Community Bancorp, Inc. | 3,441 | 37,989 | ||||||
Sterling Bancorp | 1,599 | 37,576 | ||||||
Investors Bancorp, Inc. | 2,505 | 32,039 | ||||||
Total Savings & Loans | 149,030 | |||||||
Real Estate - 1.1% | ||||||||
CBRE Group, Inc. — Class A* | 1,395 | 66,597 | ||||||
Jones Lang LaSalle, Inc. | 275 | 45,647 | ||||||
Realogy Holdings Corp. | 1,177 | 26,836 | ||||||
Total Real Estate | 139,080 | |||||||
Software - 0.5% | ||||||||
MSCI, Inc. — Class A | 391 | 64,683 | ||||||
Media - 0.3% | ||||||||
FactSet Research Systems, Inc. | 229 | 45,365 | ||||||
Investment Companies - 0.4% | ||||||||
Ares Capital Corp. | 2,680 | 44,086 | ||||||
Total Common Stocks | ||||||||
(Cost $8,003,941) | 12,475,051 | |||||||
PREFERRED STOCKS† - 0.6% | ||||||||
Banks - 0.6% | ||||||||
Itau Unibanco Holding S.A. ADR | 6,785 | 70,429 | ||||||
Total Preferred Stocks | ||||||||
(Cost $56,613) | 70,429 |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
FINANCIAL SERVICES FUND |
Face | Value | |||||||
REPURCHASE AGREEMENTS††,1 - 0.7% | ||||||||
JPMorgan Chase & Co. | $ | 50,720 | $ | 50,720 | ||||
Barclays Capital | 24,906 | 24,906 | ||||||
Bank of America Merrill Lynch | 16,604 | 16,604 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $92,230) | 92,230 | |||||||
Total Investments - 100.3% | ||||||||
(Cost $8,152,784) | $ | 12,637,710 | ||||||
Other Assets & Liabilities, net - (0.3)% | (37,716 | ) | ||||||
Total Net Assets - 100.0% | $ | 12,599,994 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | Repurchase Agreements — See Note 4. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 12,475,051 | $ | — | $ | — | $ | 12,475,051 | ||||||||
Preferred Stocks | 70,429 | — | — | 70,429 | ||||||||||||
Repurchase Agreements | — | 92,230 | — | 92,230 | ||||||||||||
Total Assets | $ | 12,545,480 | $ | 92,230 | $ | — | $ | 12,637,710 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
FINANCIAL SERVICES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value (cost $8,060,554) | $ | 12,545,480 | ||
Repurchase agreements, at value (cost $92,230) | 92,230 | |||
Cash | 138 | |||
Receivables: | ||||
Dividends | 25,220 | |||
Foreign tax reclaims | 761 | |||
Securities lending income | 21 | |||
Interest | 11 | |||
Total assets | 12,663,861 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 21,134 | |||
Management fees | 9,409 | |||
Transfer agent and administrative fees | 2,767 | |||
Investor service fees | 2,767 | |||
Portfolio accounting fees | 1,107 | |||
Trustees’ fees* | 359 | |||
Miscellaneous | 26,324 | |||
Total liabilities | 63,867 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 12,599,994 | ||
Net assets consist of: | ||||
Paid in capital | $ | 9,657,493 | ||
Undistributed net investment income | 144,272 | |||
Accumulated net realized loss on investments | (1,686,697 | ) | ||
Net unrealized appreciation on investments | 4,484,926 | |||
Net assets | $ | 12,599,994 | ||
Capital shares outstanding | 152,094 | |||
Net asset value per share | $ | 82.84 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $97) | $ | 144,886 | ||
Interest | 615 | |||
Income from securities lending, net | 456 | |||
Total investment income | 145,957 | |||
Expenses: | ||||
Management fees | 53,612 | |||
Investor service fees | 15,768 | |||
Transfer agent and administrative fees | 15,768 | |||
Professional fees | 11,033 | |||
Portfolio accounting fees | 6,307 | |||
Trustees’ fees* | 1,296 | |||
Custodian fees | 825 | |||
Line of credit fees | 19 | |||
Miscellaneous | 1,526 | |||
Total expenses | 106,154 | |||
Net investment income | 39,803 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 437,439 | |||
Net realized gain | 437,439 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (622,152 | ) | ||
Net change in unrealized appreciation (depreciation) | (622,152 | ) | ||
Net realized and unrealized loss | (184,713 | ) | ||
Net decrease in net assets resulting from operations | $ | (144,910 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL SERVICES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 39,803 | $ | 149,881 | ||||
Net realized gain on investments | 437,439 | 925,229 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (622,152 | ) | 765,877 | |||||
Net increase (decrease) in net assets resulting from operations | (144,910 | ) | 1,840,987 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (71,565 | ) | |||||
Total distributions to shareholders | — | (71,565 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 30,969,209 | 57,801,599 | ||||||
Distributions reinvested | — | 71,565 | ||||||
Cost of shares redeemed | (34,581,605 | ) | (59,515,447 | ) | ||||
Net decrease from capital share transactions | (3,612,396 | ) | (1,642,283 | ) | ||||
Net increase (decrease) in net assets | (3,757,306 | ) | 127,139 | |||||
Net assets: | ||||||||
Beginning of period | 16,357,300 | 16,230,161 | ||||||
End of period | $ | 12,599,994 | $ | 16,357,300 | ||||
Undistributed net investment income at end of period | $ | 144,272 | $ | 104,469 | ||||
Capital share activity: | ||||||||
Shares sold | 369,160 | 733,065 | ||||||
Shares issued from reinvestment of distributions | — | 927 | ||||||
Shares redeemed | (410,719 | ) | (761,395 | ) | ||||
Net decrease in shares | (41,559 | ) | (27,403 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
FINANCIAL SERVICES FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 84.47 | $ | 73.42 | $ | 64.46 | $ | 67.34 | $ | 60.15 | $ | 47.43 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | .26 | .77 | — | c | .72 | .27 | .30 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.89 | ) | 10.63 | 9.32 | (3.36 | ) | 7.28 | 12.75 | |||||||||||||||||
Total from investment operations | (1.63 | ) | 11.40 | 9.32 | (2.64 | ) | 7.55 | 13.05 | |||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | (.35 | ) | (.36 | ) | (.24 | ) | (.36 | ) | (.33 | ) | ||||||||||||||
Total distributions | — | (.35 | ) | (.36 | ) | (.24 | ) | (.36 | ) | (.33 | ) | ||||||||||||||
Net asset value, end of period | $ | 82.84 | $ | 84.47 | $ | 73.42 | $ | 64.46 | $ | 67.34 | $ | 60.15 | |||||||||||||
Total Returnd | (1.93 | %) | 15.57 | % | 15.83 | % | (3.99 | %) | 12.58 | % | 27.55 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,600 | $ | 16,357 | $ | 16,230 | $ | 13,963 | $ | 13,743 | $ | 8,943 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | 0.63 | % | 1.00 | % | — | f | 1.09 | % | 0.41 | % | 0.55 | % | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.64 | % | |||||||||||||
Portfolio turnover rate | 223 | % | 364 | % | 329 | % | 213 | % | 215 | % | 409 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Net investment income is less than $0.01 per share. |
d | Total return does not reflect the impact of any additional fees charged by insurance companies. |
e | Reverse Share Split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:3 reverse share split effective December 1, 2016. |
f | Less than 0.01%. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
HEALTH CARE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the health care industry (“Health Care Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: June 19, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Johnson & Johnson | 3.2% |
UnitedHealth Group, Inc. | 2.6% |
Pfizer, Inc. | 2.6% |
Merck & Company, Inc. | 2.2% |
AbbVie, Inc. | 2.1% |
Amgen, Inc. | 1.9% |
Abbott Laboratories | 1.8% |
Bristol-Myers Squibb Co. | 1.7% |
Gilead Sciences, Inc. | 1.7% |
Eli Lilly & Co. | 1.7% |
Top Ten Total | 21.5% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
Six | 1 Year | 5 Year | 10 Year | |
Health Care Fund | 6.34% | 9.82% | 12.76% | 11.53% |
S&P 500 Health Care Index | 1.83% | 7.11% | 13.77% | 12.73% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Health Care Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
HEALTH CARE FUND |
| Value | |||||||
COMMON STOCKS† - 99.6% | ||||||||
Pharmaceuticals - 32.2% | ||||||||
Johnson & Johnson | 6,170 | $ | 748,668 | |||||
Pfizer, Inc. | 16,776 | 608,633 | ||||||
Merck & Company, Inc. | 8,763 | 531,914 | ||||||
AbbVie, Inc. | 5,263 | 487,617 | ||||||
Bristol-Myers Squibb Co. | 7,266 | 402,100 | ||||||
Eli Lilly & Co. | 4,661 | 397,723 | ||||||
CVS Health Corp. | 5,010 | 322,393 | ||||||
Allergan plc | 1,825 | 304,264 | ||||||
Express Scripts Holding Co.* | 3,416 | 263,749 | ||||||
Zoetis, Inc. | 3,078 | 262,215 | ||||||
McKesson Corp. | 1,517 | 202,368 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 8,221 | 199,935 | ||||||
Mylan N.V.* | 4,941 | 178,568 | ||||||
AmerisourceBergen Corp. — Class A | 1,993 | 169,943 | ||||||
Jazz Pharmaceuticals plc* | 884 | 152,313 | ||||||
Cardinal Health, Inc. | 3,114 | 152,057 | ||||||
GlaxoSmithKline plc ADR | 3,747 | 151,042 | ||||||
Novartis AG ADR | 1,998 | 150,929 | ||||||
AstraZeneca plc ADR | 4,288 | 150,552 | ||||||
Perrigo Company plc | 1,985 | 144,726 | ||||||
Sarepta Therapeutics, Inc.* | 1,082 | 143,019 | ||||||
Alkermes plc* | 3,109 | 127,966 | ||||||
Neurocrine Biosciences, Inc.* | 1,244 | 122,211 | ||||||
DexCom, Inc.* | 1,243 | 118,060 | ||||||
Valeant Pharmaceuticals International, Inc.* | 4,755 | 110,506 | ||||||
Nektar Therapeutics* | 2,249 | 109,819 | ||||||
PRA Health Sciences, Inc.* | 1,074 | 100,269 | ||||||
Agios Pharmaceuticals, Inc.* | 1,036 | 87,262 | ||||||
Supernus Pharmaceuticals, Inc.* | 1,297 | 77,625 | ||||||
Array BioPharma, Inc.* | 4,480 | 75,174 | ||||||
Ironwood Pharmaceuticals, Inc. — Class A* | 3,744 | 71,585 | ||||||
TESARO, Inc.*,1 | 1,532 | 68,128 | ||||||
Horizon Pharma plc* | 4,016 | 66,505 | ||||||
Clovis Oncology, Inc.* | 1,423 | 64,704 | ||||||
Global Blood Therapeutics, Inc.* | 1,401 | 63,325 | ||||||
Portola Pharmaceuticals, Inc.* | 1,669 | 63,038 | ||||||
Akorn, Inc.* | 3,786 | 62,810 | ||||||
Mallinckrodt plc* | 2,769 | 51,670 | ||||||
Corcept Therapeutics, Inc.* | 3,224 | 50,681 | ||||||
Pacira Pharmaceuticals, Inc.* | 1,350 | 43,268 | ||||||
Total Pharmaceuticals | 7,659,334 | |||||||
Healthcare-Products - 23.1% | ||||||||
Abbott Laboratories | 6,935 | 422,966 | ||||||
Thermo Fisher Scientific, Inc. | 1,792 | 371,195 | ||||||
Danaher Corp. | 3,436 | 339,064 | ||||||
Becton Dickinson and Co. | 1,409 | 337,540 | ||||||
Stryker Corp. | 1,939 | 327,420 | ||||||
Intuitive Surgical, Inc.* | 630 | 301,442 | ||||||
Medtronic plc | 3,242 | 277,548 | ||||||
Boston Scientific Corp.* | 8,445 | 276,152 | ||||||
Baxter International, Inc. | 3,498 | 258,292 | ||||||
Edwards Lifesciences Corp.* | 1,551 | 225,779 | ||||||
Align Technology, Inc.* | 619 | 211,785 | ||||||
Zimmer Biomet Holdings, Inc. | 1,746 | 194,574 | ||||||
IDEXX Laboratories, Inc.* | 812 | 176,967 | ||||||
ABIOMED, Inc.* | 412 | 168,529 | ||||||
ResMed, Inc. | 1,522 | 157,649 | ||||||
Teleflex, Inc. | 537 | 144,029 | ||||||
Cooper Companies, Inc. | 595 | 140,093 | ||||||
Henry Schein, Inc.* | 1,907 | 138,524 | ||||||
Hologic, Inc.* | 3,340 | 132,765 | ||||||
Varian Medical Systems, Inc.* | 1,138 | 129,413 | ||||||
Dentsply Sirona, Inc. | 2,944 | 128,859 | ||||||
ICU Medical, Inc.* | 340 | 99,841 | ||||||
Integra LifeSciences Holdings Corp.* | 1,498 | 96,486 | ||||||
Bio-Techne Corp. | 630 | 93,208 | ||||||
Masimo Corp.* | 949 | 92,670 | ||||||
Insulet Corp.* | 1,027 | 88,014 | ||||||
NuVasive, Inc.* | 1,263 | 65,828 | ||||||
Patterson Companies, Inc. | 2,703 | 61,277 | ||||||
MiMedx Group, Inc.*,1 | 5,960 | 38,084 | ||||||
Total Healthcare-Products | 5,495,993 | |||||||
Biotechnology - 22.8% | ||||||||
Amgen, Inc. | 2,483 | 458,337 | ||||||
Gilead Sciences, Inc. | 5,635 | 399,183 | ||||||
Biogen, Inc.* | 1,102 | 319,844 | ||||||
Celgene Corp.* | 3,980 | 316,092 | ||||||
Shire plc ADR | 1,797 | 303,334 | ||||||
Vertex Pharmaceuticals, Inc.* | 1,670 | 283,833 | ||||||
Regeneron Pharmaceuticals, Inc.* | 769 | 265,297 | ||||||
Illumina, Inc.* | 937 | 261,695 | ||||||
Alexion Pharmaceuticals, Inc.* | 1,781 | 221,111 | ||||||
BioMarin Pharmaceutical, Inc.* | 1,834 | 172,763 | ||||||
Incyte Corp.* | 2,187 | 146,529 | ||||||
Seattle Genetics, Inc.* | 2,086 | 138,490 | ||||||
Alnylam Pharmaceuticals, Inc.* | 1,260 | 124,097 | ||||||
Sage Therapeutics, Inc.* | 723 | 113,171 | ||||||
Exelixis, Inc.* | 5,140 | 110,613 | ||||||
Exact Sciences Corp.* | 1,775 | 106,127 | ||||||
Bluebird Bio, Inc.* | 670 | 105,156 | ||||||
FibroGen, Inc.* | 1,550 | 97,030 | ||||||
Loxo Oncology, Inc.* | 550 | 95,414 | ||||||
United Therapeutics Corp.* | 816 | 92,330 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 440 | 91,155 | ||||||
Ionis Pharmaceuticals, Inc.* | 2,143 | 89,299 | ||||||
Immunomedics, Inc.* | 3,613 | 85,520 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 1,031 | 79,253 | ||||||
Spark Therapeutics, Inc.* | 930 | 76,967 | ||||||
Amicus Therapeutics, Inc.* | 4,447 | 69,462 | ||||||
Medicines Co.* | 1,855 | 68,079 | ||||||
Intercept Pharmaceuticals, Inc.* | 808 | 67,799 | ||||||
Myriad Genetics, Inc.* | 1,787 | 66,780 | ||||||
Blueprint Medicines Corp.* | 1,010 | 64,115 | ||||||
Puma Biotechnology, Inc.* | 1,082 | 64,000 | ||||||
Spectrum Pharmaceuticals, Inc.* | 2,980 | 62,461 | ||||||
ACADIA Pharmaceuticals, Inc.* | 3,837 | 58,591 | ||||||
Editas Medicine, Inc.* | 1,480 | 53,028 |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
HEALTH CARE FUND |
| Value | |||||||
AnaptysBio, Inc.* | 720 | $ | 51,149 | |||||
ImmunoGen, Inc.* | 4,953 | 48,193 | ||||||
Radius Health, Inc.* | 1,616 | 47,624 | ||||||
Sangamo Therapeutics, Inc.* | 3,350 | 47,570 | ||||||
Esperion Therapeutics, Inc.*,1 | 1,046 | 40,993 | ||||||
Dynavax Technologies Corp.* | 2,640 | 40,260 | ||||||
Total Biotechnology | 5,402,744 | |||||||
Healthcare-Services - 16.1% | ||||||||
UnitedHealth Group, Inc. | 2,549 | 625,372 | ||||||
Anthem, Inc. | 1,338 | 318,484 | ||||||
Aetna, Inc. | 1,724 | 316,354 | ||||||
Humana, Inc. | 900 | 267,867 | ||||||
Cigna Corp. | 1,554 | 264,102 | ||||||
HCA Healthcare, Inc. | 2,389 | 245,111 | ||||||
Centene Corp.* | 1,709 | 210,566 | ||||||
IQVIA Holdings, Inc.* | 1,869 | 186,564 | ||||||
Laboratory Corporation of America Holdings* | 974 | 174,862 | ||||||
Quest Diagnostics, Inc. | 1,452 | 159,633 | ||||||
DaVita, Inc.* | 2,058 | 142,907 | ||||||
WellCare Health Plans, Inc.* | 580 | 142,819 | ||||||
Universal Health Services, Inc. — Class B | 1,192 | 132,836 | ||||||
Molina Healthcare, Inc.* | 1,056 | 103,425 | ||||||
Envision Healthcare Corp.* | 2,167 | 95,370 | ||||||
Syneos Health, Inc.* | 1,927 | 90,376 | ||||||
MEDNAX, Inc.* | 1,948 | 84,309 | ||||||
Acadia Healthcare Company, Inc.* | 1,946 | 79,611 | ||||||
Tenet Healthcare Corp.* | 2,224 | 74,660 | ||||||
LifePoint Health, Inc.* | 1,111 | 54,217 | ||||||
Tivity Health, Inc.* | 1,418 | 49,914 | ||||||
Total Healthcare-Services | 3,819,359 | |||||||
Electronics - 2.6% | ||||||||
Agilent Technologies, Inc. | 2,888 | 178,594 | ||||||
Waters Corp.* | 850 | 164,551 | ||||||
Mettler-Toledo International, Inc.* | 274 | 158,545 | ||||||
PerkinElmer, Inc. | 1,572 | 115,117 | ||||||
Total Electronics | 616,807 | |||||||
Software - 2.4% | ||||||||
Cerner Corp.* | 3,052 | 182,479 | ||||||
Veeva Systems, Inc. — Class A* | 1,716 | 131,892 | ||||||
athenahealth, Inc.* | 670 | 106,624 | ||||||
Medidata Solutions, Inc.* | 1,124 | 90,549 | ||||||
Allscripts Healthcare Solutions, Inc.* | 4,941 | 59,292 | ||||||
Total Software | 570,836 | |||||||
Commercial Services - 0.4% | ||||||||
HealthEquity, Inc.* | 1,145 | 85,989 | ||||||
Total Common Stocks | ||||||||
(Cost $12,581,099) | 23,651,062 | |||||||
RIGHTS††† - 0.0% | ||||||||
Dyax Corp. | ||||||||
Expires 12/31/18*,5 | 3,790 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
JPMorgan Chase & Co. | $ | 79,039 | 79,039 | |||||
Barclays Capital | 38,812 | 38,812 | ||||||
Bank of America Merrill Lynch | 25,875 | 25,875 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $143,726) | 143,726 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.4% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 98,408 | 98,408 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $98,408) | 98,408 | |||||||
Total Investments - 100.6% | ||||||||
(Cost $12,823,233) | $ | 23,893,196 | ||||||
Other Assets & Liabilities, net - (0.6)% | (145,346 | ) | ||||||
Total Net Assets - 100.0% | $ | 23,747,850 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
HEALTH CARE FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
††† | Value determined based on Level 3 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
5 | Security was fair valued by the Valuation Committee at June 30, 2018. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 23,651,062 | $ | — | $ | — | $ | 23,651,062 | ||||||||
Rights | — | — | — | * | — | |||||||||||
Repurchase Agreements | — | 143,726 | — | 143,726 | ||||||||||||
Securities Lending Collateral | 98,408 | — | — | 98,408 | ||||||||||||
Total Assets | $ | 23,749,470 | $ | 143,726 | $ | — | $ | 23,893,196 |
* | Includes securities with a market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HEALTH CARE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $95,848 of securities loaned (cost $12,679,507) | $ | 23,749,470 | ||
Repurchase agreements, at value (cost $143,726) | 143,726 | |||
Receivables: | ||||
Dividends | 10,526 | |||
Foreign tax reclaims | 1,306 | |||
Securities lending income | 261 | |||
Interest | 17 | |||
Total assets | 23,905,306 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 98,408 | |||
Management fees | 15,289 | |||
Transfer agent and administrative fees | 4,497 | |||
Investor service fees | 4,497 | |||
Fund shares redeemed | 3,520 | |||
Portfolio accounting fees | 1,798 | |||
Trustees’ fees* | 553 | |||
Miscellaneous | 28,894 | |||
Total liabilities | 157,456 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 23,747,850 | ||
Net assets consist of: | ||||
Paid in capital | $ | 13,131,877 | ||
Accumulated net investment loss | (72,388 | ) | ||
Accumulated net realized loss on investments | (381,602 | ) | ||
Net unrealized appreciation on investments | 11,069,963 | |||
Net assets | $ | 23,747,850 | ||
Capital shares outstanding | 357,704 | |||
Net asset value per share | $ | 66.39 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $304) | $ | 107,780 | ||
Interest | 970 | |||
Income from securities lending, net | 2,172 | |||
Total investment income | 110,922 | |||
Expenses: | ||||
Management fees | 92,630 | |||
Investor service fees | 27,244 | |||
Transfer agent and administrative fees | 27,244 | |||
Professional fees | 18,554 | |||
Portfolio accounting fees | 10,898 | |||
Trustees’ fees* | 2,357 | |||
Custodian fees | 1,402 | |||
Line of credit fees | 81 | |||
Miscellaneous | 2,900 | |||
Total expenses | 183,310 | |||
Net investment loss | (72,388 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,819,822 | |||
Net realized gain | 1,819,822 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (696,889 | ) | ||
Net change in unrealized appreciation (depreciation) | (696,889 | ) | ||
Net realized and unrealized gain | 1,122,933 | |||
Net increase in net assets resulting from operations | $ | 1,050,545 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
HEALTH CARE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (72,388 | ) | $ | (176,476 | ) | ||
Net realized gain on investments | 1,819,822 | 1,060,371 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (696,889 | ) | 3,512,248 | |||||
Net increase in net assets resulting from operations | 1,050,545 | 4,396,143 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (1,042,418 | ) | |||||
Total distributions to shareholders | — | (1,042,418 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 18,937,693 | 40,295,378 | ||||||
Distributions reinvested | — | 1,042,418 | ||||||
Cost of shares redeemed | (18,897,734 | ) | (40,812,108 | ) | ||||
Net increase from capital share transactions | 39,959 | 525,688 | ||||||
Net increase in net assets | 1,090,504 | 3,879,413 | ||||||
Net assets: | ||||||||
Beginning of period | 22,657,346 | 18,777,933 | ||||||
End of period | $ | 23,747,850 | $ | 22,657,346 | ||||
Accumulated net investment loss at end of period | $ | (72,388 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 289,940 | 675,760 | ||||||
Shares issued from reinvestment of distributions | — | 17,299 | ||||||
Shares redeemed | (295,172 | ) | (687,013 | ) | ||||
Net increase (decrease) in shares | (5,232 | ) | 6,046 |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HEALTH CARE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 62.43 | $ | 52.62 | $ | 60.47 | $ | 58.82 | $ | 48.91 | $ | 34.54 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | (.21 | ) | (.44 | ) | (.37 | ) | (.30 | ) | (.31 | ) | (.14 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.17 | 12.39 | (5.36 | ) | 3.11 | 12.29 | 14.59 | ||||||||||||||||||
Total from investment operations | 3.96 | 11.95 | (5.73 | ) | 2.81 | 11.98 | 14.45 | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (.08 | ) | ||||||||||||||||||
Net realized gains | — | (2.14 | ) | (2.12 | ) | (1.16 | ) | (2.07 | ) | — | |||||||||||||||
Total distributions | — | (2.14 | ) | (2.12 | ) | (1.16 | ) | (2.07 | ) | (.08 | ) | ||||||||||||||
Net asset value, end of period | $ | 66.39 | $ | 62.43 | $ | 52.62 | $ | 60.47 | $ | 58.82 | $ | 48.91 | |||||||||||||
Total Returnc | 6.34 | % | 22.86 | % | (9.70 | %) | 4.53 | % | 24.62 | % | 41.81 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 23,748 | $ | 22,657 | $ | 18,778 | $ | 36,849 | $ | 43,294 | $ | 30,105 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | (0.66 | %) | (0.73 | %) | (0.67 | %) | (0.47 | %) | (0.57 | %) | (0.34 | %) | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.66 | % | 1.59 | % | 1.66 | % | 1.63 | % | |||||||||||||
Portfolio turnover rate | 84 | % | 156 | % | 146 | % | 154 | % | 176 | % | 277 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
INTERNET FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that provide products or services designed for or related to the Internet (“Internet Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 24, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Amazon.com, Inc. | 7.7% |
Alphabet, Inc. — Class A | 7.4% |
Facebook, Inc. — Class A | 6.3% |
Cisco Systems, Inc. | 3.7% |
Netflix, Inc. | 3.4% |
salesforce.com, Inc. | 2.7% |
PayPal Holdings, Inc. | 2.6% |
Alibaba Group Holding Ltd. ADR | 2.6% |
Booking Holdings, Inc. | 2.6% |
Baidu, Inc. ADR | 1.7% |
Top Ten Total | 40.7% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Internet Fund | 16.81% | 31.27% | 18.80% | 13.92% |
S&P 500 Information Technology Index | 10.87% | 31.30% | 21.91% | 14.65% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
INTERNET FUND |
| Value | |||||||
COMMON STOCKS† - 99.6% | ||||||||
Internet - 62.2% | ||||||||
Amazon.com, Inc.* | 593 | $ | 1,007,981 | |||||
Alphabet, Inc. — Class A* | 860 | 971,103 | ||||||
Facebook, Inc. — Class A* | 4,251 | 826,054 | ||||||
Netflix, Inc.* | 1,154 | 451,710 | ||||||
Alibaba Group Holding Ltd. ADR* | 1,837 | 340,819 | ||||||
Booking Holdings, Inc.* | 168 | 340,551 | ||||||
Baidu, Inc. ADR* | 902 | 219,186 | ||||||
eBay, Inc.* | 5,672 | 205,667 | ||||||
Twitter, Inc.* | 4,384 | 191,449 | ||||||
JD.com, Inc. ADR* | 4,704 | 183,221 | ||||||
Ctrip.com International Ltd. ADR* | 3,178 | 151,368 | ||||||
Palo Alto Networks, Inc.* | 729 | 149,788 | ||||||
Expedia Group, Inc. | 1,224 | 147,113 | ||||||
VeriSign, Inc.* | 1,041 | 143,054 | ||||||
Snap, Inc. — Class A* | 10,620 | 139,016 | ||||||
IAC/InterActiveCorp* | 802 | 122,297 | ||||||
MercadoLibre, Inc. | 403 | 120,469 | ||||||
GoDaddy, Inc. — Class A* | 1,702 | 120,161 | ||||||
Wayfair, Inc. — Class A*,1 | 999 | 118,641 | ||||||
Zillow Group, Inc. — Class A* | 1,941 | 115,975 | ||||||
Zillow Group, Inc. — Class C*,1 | 1,928 | 113,868 | ||||||
F5 Networks, Inc.* | 652 | 112,437 | ||||||
Match Group, Inc.*,1 | 2,813 | 108,976 | ||||||
Vipshop Holdings Ltd. ADR* | 9,390 | 101,882 | ||||||
GrubHub, Inc.* | 965 | 101,238 | ||||||
TripAdvisor, Inc.* | 1,712 | 95,376 | ||||||
Weibo Corp. ADR* | 1,055 | 93,642 | ||||||
Shopify, Inc. — Class A* | 639 | 93,224 | ||||||
SINA Corp.* | 1,080 | 91,465 | ||||||
YY, Inc. ADR* | 908 | 91,227 | ||||||
Wix.com Ltd.* | 900 | 90,270 | ||||||
Twilio, Inc. — Class A* | 1,435 | 80,389 | ||||||
58.com, Inc. ADR* | 1,151 | 79,810 | ||||||
Okta, Inc.* | 1,580 | 79,585 | ||||||
Baozun, Inc. ADR* | 1,450 | 79,315 | ||||||
Autohome, Inc. ADR | 780 | 78,780 | ||||||
Trade Desk, Inc. — Class A* | 763 | 71,569 | ||||||
Etsy, Inc.* | 1,672 | 70,542 | ||||||
Stamps.com, Inc.* | 277 | 70,095 | ||||||
Yelp, Inc. — Class A* | 1,602 | 62,766 | ||||||
Shutterfly, Inc.* | 666 | 59,960 | ||||||
Cogent Communications Holdings, Inc. | 1,041 | 55,589 | ||||||
Pandora Media, Inc.*,1 | 6,346 | 50,006 | ||||||
Cars.com, Inc.* | 1,752 | 49,739 | ||||||
8x8, Inc.* | 2,420 | 48,521 | ||||||
TrueCar, Inc.* | 3,480 | 35,113 | ||||||
Overstock.com, Inc.*,1 | 960 | 32,304 | ||||||
Total Internet | 8,163,311 | |||||||
Telecommunications - 13.1% | ||||||||
Cisco Systems, Inc. | 11,412 | 491,047 | ||||||
Motorola Solutions, Inc. | 1,337 | 155,587 | ||||||
Arista Networks, Inc.* | 577 | 148,572 | ||||||
Juniper Networks, Inc. | 3,976 | 109,022 | ||||||
Ubiquiti Networks, Inc.*,1 | 1,030 | 87,262 | ||||||
CommScope Holding Company, Inc.* | 2,817 | 82,270 | ||||||
LogMeIn, Inc. | 788 | 81,361 | ||||||
ARRIS International plc* | 3,008 | 73,531 | ||||||
Ciena Corp.* | 2,674 | 70,888 | ||||||
ViaSat, Inc.*,1 | 1,060 | 69,663 | ||||||
Vonage Holdings Corp.* | 4,887 | 62,993 | ||||||
InterDigital, Inc. | 708 | 57,277 | ||||||
Viavi Solutions, Inc.* | 5,394 | 55,234 | ||||||
Finisar Corp.*,1 | 2,890 | 52,020 | ||||||
NETGEAR, Inc.* | 780 | 48,750 | ||||||
Oclaro, Inc.* | 4,832 | 43,150 | ||||||
Extreme Networks, Inc.* | 4,030 | 32,079 | ||||||
Total Telecommunications | 1,720,706 | |||||||
Software - 12.2% | ||||||||
salesforce.com, Inc.* | 2,597 | 354,231 | ||||||
NetEase, Inc. ADR | 621 | 156,908 | ||||||
Citrix Systems, Inc.* | 1,255 | 131,574 | ||||||
Akamai Technologies, Inc.* | 1,621 | 118,706 | ||||||
Veeva Systems, Inc. — Class A* | 1,472 | 113,138 | ||||||
Momo, Inc. ADR* | 2,011 | 87,478 | ||||||
New Relic, Inc.* | 807 | 81,176 | ||||||
HubSpot, Inc.*,1 | 600 | 75,240 | ||||||
j2 Global, Inc. | 837 | 72,493 | ||||||
2U, Inc.* | 862 | 72,029 | ||||||
Coupa Software, Inc.* | 1,080 | 67,219 | ||||||
Box, Inc. — Class A* | 2,548 | 63,675 | ||||||
Cornerstone OnDemand, Inc.* | 1,180 | 55,967 | ||||||
Ebix, Inc. | 710 | 54,137 | ||||||
Allscripts Healthcare Solutions, Inc.* | 4,228 | 50,736 | ||||||
Hortonworks, Inc.* | 2,280 | 41,542 | ||||||
Total Software | 1,596,249 | |||||||
Commercial Services - 5.0% | ||||||||
PayPal Holdings, Inc.* | 4,159 | 346,320 | ||||||
CoStar Group, Inc.* | 335 | 138,231 | ||||||
Cimpress N.V.* | 620 | 89,875 | ||||||
Alarm.com Holdings, Inc.* | 1,120 | 45,226 | ||||||
NutriSystem, Inc. | 998 | 38,423 | ||||||
Total Commercial Services | 658,075 | |||||||
Diversified Financial Services - 2.5% | ||||||||
TD Ameritrade Holding Corp. | 3,430 | 187,861 | ||||||
E*TRADE Financial Corp.* | 2,261 | 138,283 | ||||||
Total Diversified Financial Services | 326,144 | |||||||
Computers - 1.6% | ||||||||
Nutanix, Inc. — Class A* | 1,853 | 95,559 | ||||||
Lumentum Holdings, Inc.* | 1,156 | 66,932 | ||||||
NetScout Systems, Inc.* | 1,818 | 53,995 | ||||||
Total Computers | 216,486 | |||||||
REITs - 1.6% | ||||||||
Equinix, Inc. | 497 | 213,655 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
INTERNET FUND |
| Value | |||||||
Retail - 1.1% | ||||||||
Qurate Retail, Inc. — Class A* | 5,240 | $ | 111,193 | |||||
PetMed Express, Inc.1 | 774 | 34,094 | ||||||
Total Retail | 145,287 | |||||||
Electronics - 0.3% | ||||||||
Applied Optoelectronics, Inc.* | 754 | 33,855 | ||||||
Total Common Stocks | ||||||||
(Cost $7,751,077) | 13,073,768 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
JPMorgan Chase & Co. | $ | 49,985 | 49,985 | |||||
Barclays Capital | 24,545 | 24,545 | ||||||
Bank of America Merrill Lynch | 16,364 | 16,364 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $90,894) | 90,894 | |||||||
SECURITIES LENDING COLLATERAL†,3 - 4.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 536,434 | 536,434 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $536,434) | 536,434 | |||||||
Total Investments - 104.4% | ||||||||
(Cost $8,378,405) | $ | 13,701,096 | ||||||
Other Assets & Liabilities, net - (4.4)% | (572,667 | ) | ||||||
Total Net Assets - 100.0% | $ | 13,128,429 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
INTERNET FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 13,073,768 | $ | — | $ | — | $ | 13,073,768 | ||||||||
Repurchase Agreements | — | 90,894 | — | 90,894 | ||||||||||||
Securities Lending Collateral | 536,434 | — | — | 536,434 | ||||||||||||
Total Assets | $ | 13,610,202 | $ | 90,894 | $ | — | $ | 13,701,096 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
INTERNET FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $525,785 of securities loaned (cost $8,287,511) | $ | 13,610,202 | ||
Repurchase agreements, at value (cost $90,894) | 90,894 | |||
Receivables: | ||||
Securities sold | 981,339 | |||
Securities lending income | 1,435 | |||
Dividends | 657 | |||
Interest | 11 | |||
Total assets | 14,684,538 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 986,602 | |||
Return of securities loaned | 536,434 | |||
Management fees | 10,896 | |||
Transfer agent and administrative fees | 3,205 | |||
Investor service fees | 3,205 | |||
Portfolio accounting fees | 1,282 | |||
Trustees’ fees* | 328 | |||
Miscellaneous | 14,157 | |||
Total liabilities | 1,556,109 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 13,128,429 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,015,462 | ||
Accumulated net investment loss | (77,996 | ) | ||
Accumulated net realized loss on investments | (131,728 | ) | ||
Net unrealized appreciation on investments | 5,322,691 | |||
Net assets | $ | 13,128,429 | ||
Capital shares outstanding | 129,418 | |||
Net asset value per share | $ | 101.44 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $377) | $ | 26,613 | ||
Interest | 636 | |||
Income from securities lending, net | 8,272 | |||
Total investment income | 35,521 | |||
Expenses: | ||||
Management fees | 49,751 | |||
Investor service fees | 14,633 | |||
Transfer agent and administrative fees | 14,633 | |||
Professional fees | 7,083 | |||
Portfolio accounting fees | 5,853 | |||
Trustees’ fees* | 1,194 | |||
Custodian fees | 739 | |||
Line of credit fees | 14 | |||
Miscellaneous | 4,813 | |||
Total expenses | 98,713 | |||
Net investment loss | (63,192 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 564,975 | |||
Net realized gain | 564,975 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 901,428 | |||
Net change in unrealized appreciation (depreciation) | 901,428 | |||
Net realized and unrealized gain | 1,466,403 | |||
Net increase in net assets resulting from operations | $ | 1,403,211 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INTERNET FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (63,192 | ) | $ | (100,029 | ) | ||
Net realized gain on investments | 564,975 | 1,056,051 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 901,428 | 1,693,938 | ||||||
Net increase in net assets resulting from operations | 1,403,211 | 2,649,960 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (55,537 | ) | |||||
Total distributions to shareholders | — | (55,537 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 34,612,319 | 40,413,575 | ||||||
Distributions reinvested | — | 55,537 | ||||||
Cost of shares redeemed | (31,830,059 | ) | (42,605,993 | ) | ||||
Net increase (decrease) from capital share transactions | 2,782,260 | (2,136,881 | ) | |||||
Net increase in net assets | 4,185,471 | 457,542 | ||||||
Net assets: | ||||||||
Beginning of period | 8,942,958 | 8,485,416 | ||||||
End of period | $ | 13,128,429 | $ | 8,942,958 | ||||
Accumulated net investment loss at end of period | $ | (77,996 | ) | $ | (14,804 | ) | ||
Capital share activity: | ||||||||
Shares sold | 357,042 | 514,563 | ||||||
Shares issued from reinvestment of distributions | — | 706 | ||||||
Shares redeemed | (330,608 | ) | (542,567 | ) | ||||
Net increase (decrease) in shares | 26,434 | (27,298 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
INTERNET FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 86.84 | $ | 65.13 | $ | 70.60 | $ | 79.11 | $ | 85.98 | $ | 57.97 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | (.52 | ) | (.79 | ) | (.14 | ) | (.76 | ) | (.92 | ) | (.76 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 15.12 | 22.88 | (3.30 | ) | 7.29 | 2.61 | 30.33 | ||||||||||||||||||
Total from investment operations | 14.60 | 22.09 | (3.44 | ) | 6.53 | 1.69 | 29.57 | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net realized gains | — | (.38 | ) | (2.03 | ) | (15.04 | ) | (8.56 | ) | (1.56 | ) | ||||||||||||||
Total distributions | — | (.38 | ) | (2.03 | ) | (15.04 | ) | (8.56 | ) | (1.56 | ) | ||||||||||||||
Net asset value, end of period | $ | 101.44 | $ | 86.84 | $ | 65.13 | $ | 70.60 | $ | 79.11 | $ | 85.98 | |||||||||||||
Total Returnc | 16.81 | % | 33.96 | % | 4.44 | % | 8.36 | % | 1.96 | % | 51.23 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 13,128 | $ | 8,943 | $ | 8,485 | $ | 13,036 | $ | 6,624 | $ | 15,617 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | (1.08 | %) | (1.01 | %) | (0.78 | %) | (1.03 | %) | (1.06 | %) | (1.07 | %) | |||||||||||||
Total expenses | 1.69 | % | 1.71 | % | 1.66 | % | 1.61 | % | 1.66 | % | 1.63 | % | |||||||||||||
Portfolio turnover rate | 288 | % | 365 | % | 384 | % | 363 | % | 283 | % | 311 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
LEISURE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in leisure and entertainment businesses (“Leisure Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 22, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Walt Disney Co. | 3.5% |
Comcast Corp. — Class A | 3.4% |
Philip Morris International, Inc. | 3.2% |
McDonald’s Corp. | 3.1% |
Altria Group, Inc. | 3.0% |
Twenty-First Century Fox, Inc. — Class A | 2.9% |
Charter Communications, Inc. — Class A | 2.5% |
Starbucks Corp. | 2.2% |
Las Vegas Sands Corp. | 2.2% |
Activision Blizzard, Inc. | 2.2% |
Top Ten Total | 28.2% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 Month‡ | 1 Year | 5 Year | 10 Year | |
Leisure Fund | (0.11%) | 5.92% | 11.27% | 11.14% |
S&P 500 Consumer Discretionary Index | 11.52% | 23.55% | 15.97% | 16.41% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Discretionary Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
LEISURE FUND |
| Value | |||||||
COMMON STOCKS† - 99.4% | ||||||||
Media - 27.9% | ||||||||
Walt Disney Co. | 3,001 | $ | 314,540 | |||||
Comcast Corp. — Class A | 9,391 | 308,119 | ||||||
Twenty-First Century Fox, Inc. — Class A | 5,248 | 260,773 | ||||||
Charter Communications, Inc. — Class A* | 756 | 221,667 | ||||||
Sirius XM Holdings, Inc.1 | 20,192 | 136,700 | ||||||
CBS Corp. — Class B | 2,141 | 120,367 | ||||||
Discovery, Inc. — Class A*,1 | 4,237 | 116,518 | ||||||
DISH Network Corp. — Class A* | 2,987 | 100,393 | ||||||
Liberty Broadband Corp. — Class C* | 1,252 | 94,801 | ||||||
Viacom, Inc. — Class B | 3,084 | 93,013 | ||||||
Altice USA, Inc. — Class A | 5,249 | 89,548 | ||||||
Grupo Televisa SAB ADR | 4,462 | 84,555 | ||||||
News Corp. — Class A | 4,983 | 77,237 | ||||||
World Wrestling Entertainment, Inc. — Class A | 917 | 66,776 | ||||||
New York Times Co. — Class A | 2,111 | 54,675 | ||||||
Nexstar Media Group, Inc. — Class A | 640 | 46,976 | ||||||
Tribune Media Co. — Class A | 1,209 | 46,268 | ||||||
John Wiley & Sons, Inc. — Class A | 740 | 46,176 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 1,426 | 45,846 | ||||||
AMC Networks, Inc. — Class A* | 735 | 45,717 | ||||||
Meredith Corp. | 763 | 38,913 | ||||||
TEGNA, Inc. | 3,581 | 38,854 | ||||||
Gray Television, Inc.* | 2,178 | 34,412 | ||||||
Entercom Communications Corp. — Class A1 | 3,562 | 26,893 | ||||||
Total Media | 2,509,737 | |||||||
Retail - 18.5% | ||||||||
McDonald’s Corp. | 1,780 | 278,908 | ||||||
Starbucks Corp. | 4,030 | 196,865 | ||||||
Yum! Brands, Inc. | 1,609 | 125,856 | ||||||
Darden Restaurants, Inc. | 954 | 102,135 | ||||||
Domino’s Pizza, Inc. | 321 | 90,577 | ||||||
Restaurant Brands International, Inc. | 1,493 | 90,028 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 194 | 83,686 | ||||||
Yum China Holdings, Inc. | 2,095 | 80,574 | ||||||
Dunkin’ Brands Group, Inc.1 | 898 | 62,025 | ||||||
Texas Roadhouse, Inc. — Class A | 864 | 56,601 | ||||||
Wendy’s Co. | 3,045 | 52,313 | ||||||
Cracker Barrel Old Country Store, Inc.1 | 315 | 49,206 | ||||||
Cheesecake Factory, Inc. | 749 | 41,240 | ||||||
Shake Shack, Inc. — Class A*,1 | 613 | 40,568 | ||||||
Jack in the Box, Inc. | 467 | 39,751 | ||||||
Brinker International, Inc. | 762 | 36,271 | ||||||
Bloomin’ Brands, Inc. | 1,689 | 33,949 | ||||||
Dave & Buster’s Entertainment, Inc.* | 694 | 33,034 | ||||||
Papa John’s International, Inc. | 642 | 32,562 | ||||||
Wingstop, Inc. | 606 | 31,585 | ||||||
Sonic Corp.1 | 869 | 29,911 | ||||||
BJ’s Restaurants, Inc. | 492 | 29,520 | ||||||
Dine Brands Global, Inc. | 390 | 29,172 | ||||||
Red Robin Gourmet Burgers, Inc.* | 398 | 18,547 | ||||||
Total Retail | 1,664,884 | |||||||
Lodging - 14.5% | ||||||||
Las Vegas Sands Corp. | 2,578 | 196,856 | ||||||
Marriott International, Inc. — Class A | 1,316 | 166,606 | ||||||
Hilton Worldwide Holdings, Inc. | 1,566 | 123,965 | ||||||
Wynn Resorts Ltd. | 644 | 107,767 | ||||||
MGM Resorts International | 3,448 | 100,096 | ||||||
Melco Resorts & Entertainment Ltd. ADR | 3,095 | 86,660 | ||||||
Hyatt Hotels Corp. — Class A | 962 | 74,218 | ||||||
Huazhu Group Ltd. ADR | 1,660 | 69,703 | ||||||
Caesars Entertainment Corp.* | 6,386 | 68,330 | ||||||
Wyndham Hotels & Resorts, Inc. | 1,049 | 61,713 | ||||||
Wyndham Destinations, Inc. | 1,179 | 52,194 | ||||||
ILG, Inc. | 1,566 | 51,725 | ||||||
Choice Hotels International, Inc. | 679 | 51,332 | ||||||
Boyd Gaming Corp. | 1,456 | 50,465 | ||||||
Hilton Grand Vacations, Inc.* | 1,294 | 44,902 | ||||||
Total Lodging | 1,306,532 | |||||||
Entertainment - 9.6% | ||||||||
Live Nation Entertainment, Inc.* | 1,740 | 84,512 | ||||||
Vail Resorts, Inc. | 308 | 84,451 | ||||||
Madison Square Garden Co. — Class A* | 240 | 74,446 | ||||||
Six Flags Entertainment Corp.1 | 885 | 61,994 | ||||||
Lions Gate Entertainment Corp. — Class A | 2,339 | 58,054 | ||||||
International Game Technology plc | 2,274 | 52,848 | ||||||
Cinemark Holdings, Inc. | 1,485 | 52,094 | ||||||
Red Rock Resorts, Inc. — Class A | 1,534 | 51,389 | ||||||
Scientific Games Corp. — Class A* | 1,037 | 50,969 | ||||||
Churchill Downs, Inc. | 171 | 50,701 | ||||||
Penn National Gaming, Inc.* | 1,387 | 46,589 | ||||||
Eldorado Resorts, Inc.* | 1,114 | 43,557 | ||||||
Marriott Vacations Worldwide Corp. | 377 | 42,586 | ||||||
SeaWorld Entertainment, Inc.* | 1,720 | 37,530 | ||||||
AMC Entertainment Holdings, Inc. — Class A1 | 2,328 | 37,015 | ||||||
Pinnacle Entertainment, Inc.* | 1,088 | 36,698 | ||||||
Total Entertainment | 865,433 | |||||||
Leisure Time - 7.2% | ||||||||
Carnival Corp. | 2,725 | 156,170 | ||||||
Royal Caribbean Cruises Ltd. | 1,090 | 112,924 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 1,642 | 77,585 | ||||||
Polaris Industries, Inc. | 570 | 69,643 | ||||||
Harley-Davidson, Inc. | 1,589 | 66,865 | ||||||
Brunswick Corp. | 930 | 59,966 | ||||||
Planet Fitness, Inc. — Class A* | 1,195 | 52,508 | ||||||
Callaway Golf Co. | 1,768 | 33,539 | ||||||
Vista Outdoor, Inc.* | 1,517 | 23,498 | ||||||
Total Leisure Time | 652,698 | |||||||
Agriculture - 7.2% | ||||||||
Philip Morris International, Inc. | 3,595 | 290,260 | ||||||
Altria Group, Inc. | 4,797 | 272,422 |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
LEISURE FUND |
| Value | |||||||
British American Tobacco plc ADR | 1,743 | $ | 87,935 | |||||
Total Agriculture | 650,617 | |||||||
Beverages - 6.8% | ||||||||
Constellation Brands, Inc. — Class A | 738 | 161,526 | ||||||
Brown-Forman Corp. — Class B | 2,459 | 120,516 | ||||||
Anheuser-Busch InBev S.A. ADR | 1,009 | 101,667 | ||||||
Molson Coors Brewing Co. — Class B | 1,486 | 101,107 | ||||||
Diageo plc ADR | 515 | 74,165 | ||||||
Boston Beer Company, Inc. — Class A* | 163 | 48,851 | ||||||
Total Beverages | 607,832 | |||||||
Software - 5.1% | ||||||||
Activision Blizzard, Inc. | 2,576 | 196,600 | ||||||
Electronic Arts, Inc.* | 1,204 | 169,788 | ||||||
Take-Two Interactive Software, Inc.* | 794 | 93,978 | ||||||
Total Software | 460,366 | |||||||
Toys, Games & Hobbies - 1.6% | ||||||||
Hasbro, Inc. | 961 | 88,710 | ||||||
Mattel, Inc.1 | 3,584 | 58,849 | ||||||
Total Toys, Games & Hobbies | 147,559 | |||||||
Food Service - 0.8% | ||||||||
Aramark | 2,040 | 75,684 | ||||||
Miscellaneous Manufacturing - 0.2% | ||||||||
American Outdoor Brands Corp.* | 1,702 | 20,475 | ||||||
Total Common Stocks | ||||||||
(Cost $6,568,108) | 8,961,817 | |||||||
RIGHTS† - 0.0% | ||||||||
Nexstar Media Group, Inc.*,5 | 1,910 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.4% | ||||||||
JPMorgan Chase & Co. | $ | 20,287 | 20,287 | |||||
Barclays Capital | 9,962 | 9,962 | ||||||
Bank of America Merrill Lynch | 6,641 | 6,641 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $36,890) | 36,890 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 4.6% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 411,069 | 411,069 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $411,069) | 411,069 | |||||||
Total Investments - 104.4% | ||||||||
(Cost $7,016,067) | $ | 9,409,776 | ||||||
Other Assets & Liabilities, net - (4.4)% | (396,060 | ) | ||||||
Total Net Assets - 100.0% | $ | 9,013,716 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
5 | Security was fair valued by the Valuation Committee at June 30, 2018. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
LEISURE FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 8,961,817 | $ | — | $ | — | $ | 8,961,817 | ||||||||
Rights | — | — | — | * | — | |||||||||||
Repurchase Agreements | — | 36,890 | — | 36,890 | ||||||||||||
Securities Lending Collateral | 411,069 | — | — | 411,069 | ||||||||||||
Total Assets | $ | 9,372,886 | $ | 36,890 | $ | — | $ | 9,409,776 |
* | Security has a market value of $0. |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LEISURE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $395,106 of securities loaned (cost $6,979,177) | $ | 9,372,886 | ||
Repurchase agreements, at value (cost $36,890) | 36,890 | |||
Receivables: | ||||
Fund shares sold | 174,243 | |||
Dividends | 11,207 | |||
Foreign tax reclaims | 610 | |||
Securities lending income | 481 | |||
Interest | 4 | |||
Total assets | 9,596,321 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 411,069 | |||
Securities purchased | 149,058 | |||
Management fees | 5,810 | |||
Transfer agent and administrative fees | 1,709 | |||
Investor service fees | 1,709 | |||
Fund shares redeemed | 1,288 | |||
Portfolio accounting fees | 683 | |||
Trustees’ fees* | 200 | |||
Miscellaneous | 11,079 | |||
Total liabilities | 582,605 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 9,013,716 | ||
Net assets consist of: | ||||
Paid in capital | $ | 7,017,299 | ||
Undistributed net investment income | 37,562 | |||
Accumulated net realized loss on investments | (434,854 | ) | ||
Net unrealized appreciation on investments | 2,393,709 | |||
Net assets | $ | 9,013,716 | ||
Capital shares outstanding | 91,772 | |||
Net asset value per share | $ | 98.22 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $230) | $ | 79,986 | ||
Interest | 371 | |||
Income from securities lending, net | 3,833 | |||
Total investment income | 84,190 | |||
Expenses: | ||||
Management fees | 36,265 | |||
Investor service fees | 10,666 | |||
Transfer agent and administrative fees | 10,666 | |||
Professional fees | 7,351 | |||
Portfolio accounting fees | 4,267 | |||
Trustees’ fees* | 905 | |||
Custodian fees | 551 | |||
Line of credit fees | 15 | |||
Miscellaneous | 1,043 | |||
Total expenses | 71,729 | |||
Net investment income | 12,461 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 15,126 | |||
Net realized gain | 15,126 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (118,143 | ) | ||
Net change in unrealized appreciation (depreciation) | (118,143 | ) | ||
Net realized and unrealized loss | (103,017 | ) | ||
Net decrease in net assets resulting from operations | $ | (90,556 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
LEISURE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 12,461 | $ | 21,293 | ||||
Net realized gain on investments | 15,126 | 890,275 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (118,143 | ) | 579,319 | |||||
Net increase (decrease) in net assets resulting from operations | (90,556 | ) | 1,490,887 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (20,573 | ) | |||||
Net realized gains | — | (16,439 | ) | |||||
Total distributions to shareholders | — | (37,012 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 11,512,488 | 26,102,966 | ||||||
Distributions reinvested | — | 37,012 | ||||||
Cost of shares redeemed | (11,834,771 | ) | (26,958,562 | ) | ||||
Net decrease from capital share transactions | (322,283 | ) | (818,584 | ) | ||||
Net increase (decrease) in net assets | (412,839 | ) | 635,291 | |||||
Net assets: | ||||||||
Beginning of period | 9,426,555 | 8,791,264 | ||||||
End of period | $ | 9,013,716 | $ | 9,426,555 | ||||
Undistributed net investment income at end of period | $ | 37,562 | $ | 25,101 | ||||
Capital share activity: | ||||||||
Shares sold | 116,036 | 284,482 | ||||||
Shares issued from reinvestment of distributions | — | 401 | ||||||
Shares redeemed | (120,134 | ) | (295,944 | ) | ||||
Net decrease in shares | (4,098 | ) | (11,061 | ) |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
LEISURE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 98.33 | $ | 82.21 | $ | 76.44 | $ | 87.81 | $ | 95.41 | $ | 67.43 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | .14 | .24 | .18 | .28 | .12 | .11 | |||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.25 | ) | 16.28 | 7.07 | .87 | 6.53 | 28.45 | ||||||||||||||||||
Total from investment operations | (.11 | ) | 16.52 | 7.25 | 1.15 | 6.65 | 28.56 | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | (.22 | ) | (.37 | ) | (.07 | ) | (.22 | ) | (.58 | ) | ||||||||||||||
Net realized gains | — | (.18 | ) | (1.11 | ) | (12.45 | ) | (14.03 | ) | — | |||||||||||||||
Total distributions | — | (.40 | ) | (1.48 | ) | (12.52 | ) | (14.25 | ) | (.58 | ) | ||||||||||||||
Net asset value, end of period | $ | 98.22 | $ | 98.33 | $ | 82.21 | $ | 76.44 | $ | 87.81 | $ | 95.41 | |||||||||||||
Total Returnc | (0.11 | %) | 20.11 | % | 9.56 | % | 0.30 | % | 7.49 | % | 42.41 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,014 | $ | 9,427 | $ | 8,791 | $ | 13,764 | $ | 8,150 | $ | 11,866 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | 0.29 | % | 0.26 | % | 0.23 | % | 0.34 | % | 0.13 | % | 0.14 | % | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.64 | % | |||||||||||||
Portfolio turnover rate | 137 | % | 303 | % | 530 | % | 288 | % | 339 | % | 219 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
PRECIOUS METALS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in U.S. and foreign companies that are involved in the precious metals sector, including exploration, mining, production and development, and other precious metals related services (“Precious Metals Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 29, 1997
Ten Largest Holdings (% of Total Net Assets) | |
Freeport-McMoRan, Inc. | 7.3% |
Newmont Mining Corp. | 6.5% |
Barrick Gold Corp. | 5.8% |
Franco-Nevada Corp. | 5.6% |
Goldcorp, Inc. | 5.0% |
Agnico Eagle Mines Ltd. | 4.8% |
Wheaton Precious Metals Corp. | 4.6% |
VanEck Vectors Junior Gold Miners ETF | 4.0% |
Randgold Resources Ltd. ADR | 3.9% |
Royal Gold, Inc. | 3.6% |
Top Ten Total | 51.1% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Precious Metals Fund | (6.01%) | (2.63%) | (1.76%) | (7.60%) |
S&P 500 Materials Index | (3.08%) | 9.90% | 10.86% | 5.71% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Materials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
PRECIOUS METALS FUND |
| Value | |||||||
COMMON STOCKS† - 95.6% | ||||||||
Mining - 95.6% | ||||||||
Freeport-McMoRan, Inc. | 83,934 | $ | 1,448,701 | |||||
Newmont Mining Corp. | 34,112 | 1,286,363 | ||||||
Barrick Gold Corp. | 87,017 | 1,142,533 | ||||||
Franco-Nevada Corp. | 15,233 | 1,112,314 | ||||||
Goldcorp, Inc. | 72,205 | 989,930 | ||||||
Agnico Eagle Mines Ltd. | 20,595 | 943,869 | ||||||
Wheaton Precious Metals Corp. | 41,358 | 912,357 | ||||||
Randgold Resources Ltd. ADR | 10,063 | 775,757 | ||||||
Royal Gold, Inc. | 7,737 | 718,303 | ||||||
Kinross Gold Corp.* | 167,055 | 628,127 | ||||||
Kirkland Lake Gold Ltd. | 29,658 | 626,377 | ||||||
AngloGold Ashanti Ltd. ADR | 63,386 | 520,399 | ||||||
Pan American Silver Corp. | 26,953 | 482,459 | ||||||
Gold Fields Ltd. ADR | 134,746 | 481,043 | ||||||
IAMGOLD Corp.* | 82,284 | 478,070 | ||||||
B2Gold Corp.* | 181,186 | 467,460 | ||||||
Yamana Gold, Inc. | 156,850 | 454,865 | ||||||
Alamos Gold, Inc. — Class A | 75,349 | 428,736 | ||||||
Tahoe Resources, Inc. | 74,300 | 365,556 | ||||||
Osisko Gold Royalties Ltd. | 37,855 | 358,487 | ||||||
First Majestic Silver Corp.*,1 | 45,204 | 344,906 | ||||||
Novagold Resources, Inc.* | 76,617 | 340,946 | ||||||
Pretium Resources, Inc.* | 45,556 | 334,381 | ||||||
Coeur Mining, Inc.* | 43,690 | 332,044 | ||||||
Hecla Mining Co. | 94,220 | 327,886 | ||||||
Sibanye Gold Ltd. ADR*,1 | 133,593 | 323,295 | ||||||
New Gold, Inc.* | 151,210 | 314,517 | ||||||
SSR Mining, Inc.* | 30,811 | 304,105 | ||||||
Fortuna Silver Mines, Inc.* | 49,058 | 278,649 | ||||||
MAG Silver Corp.* | 25,462 | 275,244 | ||||||
Sandstorm Gold Ltd.*,1 | 58,746 | 264,357 | ||||||
Seabridge Gold, Inc.*,1 | 21,598 | 240,818 | ||||||
Gold Resource Corp. | 27,962 | 184,270 | ||||||
Klondex Mines Ltd.* | 78,513 | 181,365 | ||||||
Endeavour Silver Corp.*,1 | 57,519 | 179,459 | ||||||
Total Mining | 18,847,948 | |||||||
Total Common Stocks | ||||||||
(Cost $10,491,485) | 18,847,948 | |||||||
EXCHANGE-TRADED FUNDS† - 4.0% | ||||||||
VanEck Vectors Junior Gold Miners ETF | 24,260 | 793,302 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $491,878) | 793,302 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 1.1% | ||||||||
JPMorgan Chase & Co. | $ | 116,352 | 116,352 | |||||
Barclays Capital | 57,135 | 57,135 | ||||||
Bank of America Merrill Lynch | 38,090 | 38,090 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $211,577) | 211,577 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 4.3% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 843,044 | 843,044 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $843,044) | 843,044 | |||||||
Total Investments - 105.0% | ||||||||
(Cost $12,037,984) | $ | 20,695,871 | ||||||
Other Assets & Liabilities, net - (5.0)% | (984,605 | ) | ||||||
Total Net Assets - 100.0% | $ | 19,711,266 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
PRECIOUS METALS FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 18,847,948 | $ | — | $ | — | $ | 18,847,948 | ||||||||
Exchange-Traded Funds | 793,302 | — | — | 793,302 | ||||||||||||
Repurchase Agreements | — | 211,577 | — | 211,577 | ||||||||||||
Securities Lending Collateral | 843,044 | — | — | 843,044 | ||||||||||||
Total Asset | $ | 20,484,294 | $ | 211,577 | $ | — | $ | 20,695,871 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PRECIOUS METALS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $820,457 of securities loaned (cost $11,826,407) | $ | 20,484,294 | ||
Repurchase agreements, at value (cost $211,577) | 211,577 | |||
Receivables: | ||||
Fund shares sold | 60,899 | |||
Dividends | 2,431 | |||
Securities lending income | 899 | |||
Foreign tax reclaims | 470 | |||
Interest | 25 | |||
Total assets | 20,760,595 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 843,044 | |||
Deferred foreign capital gain taxes | 86,192 | |||
Fund shares redeemed | 70,265 | |||
Management fees | 12,320 | |||
Transfer agent and administrative fees | 4,107 | |||
Investor service fees | 4,107 | |||
Portfolio accounting fees | 1,643 | |||
Trustees’ fees* | 550 | |||
Miscellaneous | 27,101 | |||
Total liabilities | 1,049,329 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 19,711,266 | ||
Net assets consist of: | ||||
Paid in capital | $ | 34,491,248 | ||
Accumulated net investment loss | (1,045,207 | ) | ||
Accumulated net realized loss on investments | (22,392,662 | ) | ||
Net unrealized appreciation on investments | 8,657,887 | |||
Net assets | $ | 19,711,266 | ||
Capital shares outstanding | 691,988 | |||
Net asset value per share | $ | 28.48 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $5,917) | $ | 73,300 | ||
Interest | 1,635 | |||
Income from securities lending, net | 6,452 | |||
Total investment income | 81,387 | |||
Expenses: | ||||
Management fees | 78,398 | |||
Investor service fees | 26,133 | |||
Transfer agent and administrative fees | 26,133 | |||
Professional fees | 16,768 | |||
Portfolio accounting fees | 10,453 | |||
Trustees’ fees* | 2,121 | |||
Custodian fees | 1,353 | |||
Line of credit fees | 18 | |||
Miscellaneous | 3,904 | |||
Total expenses | 165,281 | |||
Net investment loss | (83,894 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (497,482 | ) | ||
Net realized loss | (497,482 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,731,264 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,731,264 | ) | ||
Net realized and unrealized loss | (2,228,746 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,312,640 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
PRECIOUS METALS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (83,894 | ) | $ | (239,405 | ) | ||
Net realized gain (loss) on investments | (497,482 | ) | 477,618 | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,731,264 | ) | 797,473 | |||||
Net increase (decrease) in net assets resulting from operations | (2,312,640 | ) | 1,035,686 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (1,123,988 | ) | |||||
Total distributions to shareholders | — | (1,123,988 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 93,082,499 | 188,066,776 | ||||||
Distributions reinvested | — | 1,123,988 | ||||||
Cost of shares redeemed | (101,259,813 | ) | (181,573,076 | ) | ||||
Net increase (decrease) from capital share transactions | (8,177,314 | ) | 7,617,688 | |||||
Net increase (decrease) in net assets | (10,489,954 | ) | 7,529,386 | |||||
Net assets: | ||||||||
Beginning of period | 30,201,220 | 22,671,834 | ||||||
End of period | $ | 19,711,266 | $ | 30,201,220 | ||||
Accumulated net investment loss at end of period | $ | (1,045,207 | ) | $ | (961,313 | ) | ||
Capital share activity: | ||||||||
Shares sold | 3,185,159 | 6,114,108 | ||||||
Shares issued from reinvestment of distributions | — | 39,549 | ||||||
Shares redeemed | (3,489,982 | ) | (5,919,754 | ) | ||||
Net increase (decrease) in shares | (304,823 | ) | 233,903 |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PRECIOUS METALS FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.30 | $ | 29.72 | $ | 17.95 | $ | 27.60 | $ | 33.43 | $ | 62.84 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | (.11 | ) | (.29 | ) | (.29 | ) | (.12 | ) | (.11 | ) | .25 | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.71 | ) | 2.29 | 12.06 | (8.01 | ) | (5.67 | ) | (29.21 | ) | |||||||||||||||
Total from investment operations | (1.82 | ) | 2.00 | 11.77 | (8.13 | ) | (5.78 | ) | (28.96 | ) | |||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | (1.42 | ) | — | (1.52 | ) | (.05 | ) | (.45 | ) | |||||||||||||||
Total distributions | — | (1.42 | ) | — | (1.52 | ) | (.05 | ) | (.45 | ) | |||||||||||||||
Net asset value, end of period | $ | 28.48 | $ | 30.30 | $ | 29.72 | $ | 17.95 | $ | 27.60 | $ | 33.43 | |||||||||||||
Total Returnc | (6.01 | %) | 7.08 | % | 65.52 | % | (30.37 | %) | (17.34 | %) | (46.10 | %) | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 19,711 | $ | 30,201 | $ | 22,672 | $ | 16,201 | $ | 18,313 | $ | 22,538 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | (0.80 | %) | (0.93 | %) | (0.90 | %) | (0.50 | %) | (0.32 | %) | 0.54 | % | |||||||||||||
Total expensesd | 1.58 | % | 1.61 | % | 1.56 | % | 1.50 | % | 1.56 | % | 1.54 | % | |||||||||||||
Portfolio turnover rate | 388 | % | 691 | % | 298 | % | 203 | % | 168 | % | 193 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2014 have been restated to reflect a 1:5 reverse share split effective January 24, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
REAL ESTATE FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the real estate industry, including real estate investment trusts (“REITs”) (collectively, “Real Estate Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: October 1, 2001
Ten Largest Holdings (% of Total Net Assets) | |
American Tower Corp. — Class A | 2.4% |
Simon Property Group, Inc. | 2.2% |
Crown Castle International Corp. | 2.0% |
Public Storage | 1.9% |
Equinix, Inc. | 1.8% |
Prologis, Inc. | 1.7% |
Weyerhaeuser Co. | 1.5% |
Welltower, Inc. | 1.5% |
Digital Realty Trust, Inc. | 1.5% |
AvalonBay Communities, Inc. | 1.4% |
Top Ten Total | 17.9% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Real Estate Fund | 0.79% | 3.33% | 6.58% | 5.63% |
MSCI U.S. REIT Index | 1.19% | 3.57% | 8.26% | 7.95% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the MSCI U.S. REIT Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
REAL ESTATE FUND |
| Value | |||||||
COMMON STOCKS† - 99.5% | ||||||||
REITs - 95.5% | ||||||||
REITs-DIVERSIFIED 24.9% | ||||||||
American Tower Corp. — Class A | 2,308 | $ | 332,744 | |||||
Crown Castle International Corp. | 2,635 | 284,106 | ||||||
Equinix, Inc. | 578 | 248,476 | ||||||
Weyerhaeuser Co. | 5,873 | 214,130 | ||||||
Digital Realty Trust, Inc. | 1,836 | 204,861 | ||||||
SBA Communications Corp.* | 1,115 | 184,109 | ||||||
Vornado Realty Trust | 2,111 | 156,045 | ||||||
Duke Realty Corp. | 4,567 | 132,580 | ||||||
Gaming and Leisure Properties, Inc. | 3,212 | 114,990 | ||||||
VICI Properties, Inc. | 5,510 | 113,726 | ||||||
WP Carey, Inc. | 1,637 | 108,615 | ||||||
Forest City Realty Trust, Inc. — Class A | 4,710 | 107,435 | ||||||
Lamar Advertising Co. — Class A | 1,541 | 105,266 | ||||||
New Residential Investment Corp. | 5,594 | 97,839 | ||||||
STORE Capital Corp. | 3,513 | 96,256 | ||||||
CoreSite Realty Corp. | 866 | 95,970 | ||||||
Rayonier, Inc. | 2,408 | 93,166 | ||||||
EPR Properties | 1,388 | 89,929 | ||||||
Cousins Properties, Inc. | 8,499 | 82,355 | ||||||
GEO Group, Inc. | 2,882 | 79,370 | ||||||
PotlatchDeltic Corp. | 1,465 | 74,495 | ||||||
CoreCivic, Inc. | 3,070 | 73,342 | ||||||
Uniti Group, Inc. | 3,657 | 73,250 | ||||||
Colony Capital, Inc. | 11,718 | 73,120 | ||||||
STAG Industrial, Inc. | 2,533 | 68,974 | ||||||
Retail Properties of America, Inc. — Class A | 5,337 | 68,207 | ||||||
Outfront Media, Inc. | 3,445 | 67,005 | ||||||
Ladder Capital Corp. — Class A | 3,450 | 53,889 | ||||||
Total REITs-Diversified | 3,494,250 | |||||||
REITs-OFFICE PROPERTY- 11.6% | ||||||||
Boston Properties, Inc. | 1,472 | 184,618 | ||||||
Alexandria Real Estate Equities, Inc. | 1,160 | 146,357 | ||||||
SL Green Realty Corp. | 1,235 | 124,155 | ||||||
Kilroy Realty Corp. | 1,489 | 112,628 | ||||||
VEREIT, Inc. | 15,020 | 111,749 | ||||||
Douglas Emmett, Inc. | 2,728 | 109,611 | ||||||
Hudson Pacific Properties, Inc. | 2,736 | 96,936 | ||||||
Highwoods Properties, Inc. | 1,899 | 96,336 | ||||||
JBG SMITH Properties | 2,290 | 83,516 | ||||||
Equity Commonwealth* | 2,564 | 80,766 | ||||||
Paramount Group, Inc. | 5,175 | 79,695 | ||||||
Brandywine Realty Trust | 4,332 | 73,124 | ||||||
Corporate Office Properties Trust | 2,492 | 72,243 | ||||||
Empire State Realty Trust, Inc. — Class A | 4,047 | 69,204 | ||||||
Columbia Property Trust, Inc. | 2,999 | 68,107 | ||||||
Piedmont Office Realty Trust, Inc. — Class A | 3,338 | 66,526 | ||||||
Government Properties Income Trust | 3,388 | 53,700 | ||||||
Total REITs-Office Property | 1,629,271 | |||||||
REITs-APARTMENTS - 10.6% | ||||||||
AvalonBay Communities, Inc. | 1,166 | 200,424 | ||||||
Equity Residential | 3,103 | 197,630 | ||||||
Essex Property Trust, Inc. | 685 | 163,763 | ||||||
Invitation Homes, Inc. | 6,229 | 143,641 | ||||||
Mid-America Apartment Communities, Inc. | 1,398 | 140,737 | ||||||
UDR, Inc. | 3,465 | 130,076 | ||||||
Camden Property Trust | 1,307 | 119,107 | ||||||
American Homes 4 Rent — Class A | 4,847 | 107,506 | ||||||
Apartment Investment & Management Co. — Class A | 2,506 | 106,004 | ||||||
American Campus Communities, Inc. | 2,326 | 99,739 | ||||||
Education Realty Trust, Inc. | 1,788 | 74,202 | ||||||
Total REITs-Apartments | 1,482,829 | |||||||
REITs-HEALTH CARE- 8.5% | ||||||||
Welltower, Inc. | 3,273 | 205,184 | ||||||
Ventas, Inc. | 3,282 | 186,910 | ||||||
HCP, Inc. | 5,742 | 148,258 | ||||||
Omega Healthcare Investors, Inc. | 3,259 | 101,029 | ||||||
Healthcare Trust of America, Inc. — Class A | 3,693 | 99,563 | ||||||
Medical Properties Trust, Inc. | 6,630 | 93,085 | ||||||
Senior Housing Properties Trust | 4,789 | 86,633 | ||||||
Sabra Health Care REIT, Inc. | 3,739 | 81,248 | ||||||
Healthcare Realty Trust, Inc. | 2,779 | 80,813 | ||||||
Physicians Realty Trust | 4,474 | 71,316 | ||||||
CareTrust REIT, Inc. | 2,739 | 45,714 | ||||||
Total REITs-Health Care | 1,199,753 | |||||||
REITs-HOTELS - 7.1% | ||||||||
Host Hotels & Resorts, Inc. | 7,600 | 160,132 | ||||||
MGM Growth Properties LLC — Class A | 3,757 | 114,438 | ||||||
Park Hotels & Resorts, Inc. | 3,298 | 101,018 | ||||||
Hospitality Properties Trust | 3,095 | 88,548 | ||||||
Ryman Hospitality Properties, Inc. | 1,021 | 84,896 | ||||||
Apple Hospitality REIT, Inc. | 4,546 | 81,283 | ||||||
RLJ Lodging Trust | 3,600 | 79,380 | ||||||
Sunstone Hotel Investors, Inc. | 4,771 | 79,294 | ||||||
LaSalle Hotel Properties | 2,290 | 78,387 | ||||||
Pebblebrook Hotel Trust | 1,698 | 65,882 | ||||||
DiamondRock Hospitality Co. | 5,219 | 64,089 | ||||||
Total REITs-Hotels | 997,347 | |||||||
REITs-WAREHOUSE/INDUSTRIES - 6.6% | ||||||||
Prologis, Inc. | 3,726 | 244,761 | ||||||
Liberty Property Trust | 2,369 | 105,018 | ||||||
DCT Industrial Trust, Inc. | 1,556 | 103,832 | ||||||
CyrusOne, Inc. | 1,677 | 97,870 | ||||||
Gramercy Property Trust | 3,133 | 85,594 | ||||||
First Industrial Realty Trust, Inc. | 2,517 | 83,917 | ||||||
EastGroup Properties, Inc. | 784 | 74,919 | ||||||
Rexford Industrial Realty, Inc. | 2,080 | 65,291 | ||||||
QTS Realty Trust, Inc. — Class A | 1,478 | 58,381 | ||||||
Total REITs-Warehouse/Industries | 919,583 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
REAL ESTATE FUND |
| Value | |||||||
REITs-SHOPPING CENTERS- 5.8% | ||||||||
Regency Centers Corp. | 2,175 | $ | 135,024 | |||||
Federal Realty Investment Trust | 1,003 | 126,930 | ||||||
Kimco Realty Corp. | 6,545 | 111,200 | ||||||
Brixmor Property Group, Inc. | 5,408 | 94,261 | ||||||
Weingarten Realty Investors | 2,683 | 82,663 | ||||||
DDR Corp. | 4,235 | 75,807 | ||||||
Urban Edge Properties | 2,945 | 67,352 | ||||||
Acadia Realty Trust | 2,254 | 61,692 | ||||||
Retail Opportunity Investments Corp. | 3,175 | 60,833 | ||||||
Total REITs-Shopping Centers | 815,762 | |||||||
REITs-REGIONAL MALLS- 5.7% | ||||||||
Simon Property Group, Inc. | 1,774 | 301,917 | ||||||
GGP, Inc. | 8,845 | 180,703 | ||||||
Macerich Co. | 2,064 | 117,297 | ||||||
Taubman Centers, Inc. | 1,367 | 80,325 | ||||||
Tanger Factory Outlet Centers, Inc. | 2,669 | 62,695 | ||||||
Washington Prime Group, Inc. | 6,353 | 51,523 | ||||||
Total REITs-Regional Malls | 794,460 | |||||||
REITs-MORGAGE - 5.4% | ||||||||
Annaly Capital Management, Inc. | 13,612 | 140,068 | ||||||
AGNC Investment Corp. | 6,143 | 114,198 | ||||||
Starwood Property Trust, Inc. | 4,449 | 96,588 | ||||||
Chimera Investment Corp. | 4,121 | 75,332 | ||||||
Blackstone Mortgage Trust, Inc. — Class A | 2,375 | 74,646 | ||||||
MFA Financial, Inc. | 9,271 | 70,274 | ||||||
Two Harbors Investment Corp. | 4,306 | 68,035 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 3,320 | 60,690 | ||||||
Invesco Mortgage Capital, Inc. | 3,413 | 54,267 | ||||||
Total REITs-Mortgage | 754,098 | |||||||
REITs-STORAGE - 5.2% | ||||||||
Public Storage | 1,164 | 264,065 | ||||||
Extra Space Storage, Inc. | 1,469 | 146,621 | ||||||
Iron Mountain, Inc. | 3,818 | 133,668 | ||||||
CubeSmart | 3,120 | 100,526 | ||||||
Life Storage, Inc. | 914 | 88,941 | ||||||
Total REITs-Storage | 733,821 | |||||||
REITs-SINGLE TENANT- 2.4% | ||||||||
Realty Income Corp. | 2,993 | 160,993 | ||||||
National Retail Properties, Inc. | 2,464 | 108,317 | ||||||
Spirit Realty Capital, Inc. | 9,359 | 75,153 | ||||||
Total REITs-Single Tenant | 344,463 | |||||||
REITs-MANUFACTURED HOMES- 1.7% | ||||||||
Equity LifeStyle Properties, Inc. | 1,275 | 117,173 | ||||||
Sun Communities, Inc. | 1,179 | 115,401 | ||||||
Total REITs-Manufactured Homes | 232,574 | |||||||
Total REITs | 13,398,211 | |||||||
Real Estate - 4.0% | ||||||||
Real Estate Management/Services - 3.3% | ||||||||
CBRE Group, Inc. — Class A* | 3,434 | 163,939 | ||||||
Jones Lang LaSalle, Inc. | 670 | 111,213 | ||||||
Kennedy-Wilson Holdings, Inc. | 3,415 | 72,227 | ||||||
Realogy Holdings Corp. | 2,925 | 66,690 | ||||||
Redfin Corp.*,1 | 2,364 | 54,585 | ||||||
Total Real Estate Management/Services | 468,654 | |||||||
Real Estate Operations/Development - 0.7% | ||||||||
Howard Hughes Corp.* | 730 | 96,725 | ||||||
Total Real Estate | 565,379 | |||||||
Total Common Stocks | ||||||||
(Cost $9,144,684) | 13,963,590 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
JPMorgan Chase & Co. | $ | 48,658 | 48,658 | |||||
Barclays Capital | 23,893 | 23,893 | ||||||
Bank of America Merrill Lynch | 15,929 | 15,929 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $88,480) | 88,480 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.3% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 37,788 | 37,788 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $37,788) | 37,788 | |||||||
Total Investments - 100.4% | ||||||||
(Cost $9,270,952) | $ | 14,089,858 | ||||||
Other Assets & Liabilities, net - (0.4)% | (57,299 | ) | ||||||
Total Net Assets - 100.0% | $ | 14,032,559 |
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
REAL ESTATE FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
REIT — Real Estate Investment Trust | |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 13,963,590 | $ | — | $ | — | $ | 13,963,590 | ||||||||
Repurchase Agreements | — | 88,480 | — | 88,480 | ||||||||||||
Securities Lending Collateral | 37,788 | — | — | 37,788 | ||||||||||||
Total Assets | $ | 14,001,378 | $ | 88,480 | $ | — | $ | 14,089,858 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
REAL ESTATE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $37,129 of securities loaned (cost $9,182,472) | $ | 14,001,378 | ||
Repurchase agreements, at value (cost $88,480) | 88,480 | |||
Receivables: | ||||
Dividends | 75,892 | |||
Securities lending income | 28 | |||
Interest | 10 | |||
Total assets | 14,165,788 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 65,963 | |||
Return of securities loaned | 37,788 | |||
Management fees | 8,735 | |||
Transfer agent and administrative fees | 2,569 | |||
Investor service fees | 2,569 | |||
Portfolio accounting fees | 1,027 | |||
Trustees’ fees* | 322 | |||
Miscellaneous | 14,256 | |||
Total liabilities | 133,229 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 14,032,559 | ||
Net assets consist of: | ||||
Paid in capital | $ | 10,951,098 | ||
Undistributed net investment income | 296,075 | |||
Accumulated net realized loss on investments | (2,033,520 | ) | ||
Net unrealized appreciation on investments | 4,818,906 | |||
Net assets | $ | 14,032,559 | ||
Capital shares outstanding | 355,002 | |||
Net asset value per share | $ | 39.53 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends | $ | 184,638 | ||
Interest | 521 | |||
Income from securities lending, net | 2,938 | |||
Total investment income | 188,097 | |||
Expenses: | ||||
Management fees | 46,687 | |||
Investor service fees | 13,732 | |||
Transfer agent and administrative fees | 13,732 | |||
Professional fees | 8,215 | |||
Portfolio accounting fees | 5,493 | |||
Trustees’ fees* | 1,132 | |||
Custodian fees | 702 | |||
Line of credit fees | 20 | |||
Miscellaneous | 2,881 | |||
Total expenses | 92,594 | |||
Net investment income | 95,503 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 138,319 | |||
Net realized gain | 138,319 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (27,418 | ) | ||
Net change in unrealized appreciation (depreciation) | (27,418 | ) | ||
Net realized and unrealized gain | 110,901 | |||
Net increase in net assets resulting from operations | $ | 206,404 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
REAL ESTATE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 95,503 | $ | 112,814 | ||||
Net realized gain on investments | 138,319 | 449,599 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (27,418 | ) | 69,877 | |||||
Net increase in net assets resulting from operations | 206,404 | 632,290 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (316,400 | ) | |||||
Total distributions to shareholders | — | (316,400 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 26,917,937 | 40,487,501 | ||||||
Distributions reinvested | — | 316,400 | ||||||
Cost of shares redeemed | (23,352,341 | ) | (42,367,742 | ) | ||||
Net increase (decrease) from capital share transactions | 3,565,596 | (1,563,841 | ) | |||||
Net increase (decrease) in net assets | 3,772,000 | (1,247,951 | ) | |||||
Net assets: | ||||||||
Beginning of period | 10,260,559 | 11,508,510 | ||||||
End of period | $ | 14,032,559 | $ | 10,260,559 | ||||
Undistributed net investment income at end of period | $ | 296,075 | $ | 200,572 | ||||
Capital share activity: | ||||||||
Shares sold | 723,890 | 1,047,077 | ||||||
Shares issued from reinvestment of distributions | — | 8,440 | ||||||
Shares redeemed | (630,495 | ) | (1,098,982 | ) | ||||
Net increase (decrease) in shares | 93,395 | (43,465 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
REAL ESTATE FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 39.22 | $ | 37.72 | $ | 34.50 | $ | 36.41 | $ | 30.42 | $ | 30.15 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | .32 | .36 | .63 | .53 | .50 | .57 | |||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.01 | )d | 2.11 | 2.88 | (1.44 | ) | 5.88 | .62 | |||||||||||||||||
Total from investment operations | .31 | 2.47 | 3.51 | (.91 | ) | 6.38 | 1.19 | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | (.97 | ) | (.29 | ) | (1.00 | ) | (.39 | ) | (.92 | ) | ||||||||||||||
Total distributions | — | (.97 | ) | (.29 | ) | (1.00 | ) | (.39 | ) | (.92 | ) | ||||||||||||||
Net asset value, end of period | $ | 39.53 | $ | 39.22 | $ | 37.72 | $ | 34.50 | $ | 36.41 | $ | 30.42 | |||||||||||||
Total Returnc | 0.79 | % | 6.65 | % | 10.15 | % | (2.52 | %) | 21.01 | % | 3.94 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,033 | $ | 10,261 | $ | 11,509 | $ | 16,324 | $ | 28,021 | $ | 14,784 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | 1.74 | % | 0.93 | % | 1.73 | % | 1.46 | % | 1.48 | % | 1.76 | % | |||||||||||||
Total expenses | 1.69 | % | 1.70 | % | 1.65 | % | 1.60 | % | 1.66 | % | 1.64 | % | |||||||||||||
Portfolio turnover rate | 196 | % | 331 | % | 279 | % | 259 | % | 277 | % | 416 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for the period because of the sales and repurchases of Fund shares in relation to fluctuating market value of the investments of the fund. |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
RETAILING FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in merchandising finished goods and services, including department stores, mail order operations and other companies involved in selling products to consumers (“Retailing Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: July 23, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Amazon.com, Inc. | 9.6% |
Walmart, Inc. | 5.6% |
Home Depot, Inc. | 5.2% |
Netflix, Inc. | 4.4% |
Booking Holdings, Inc. | 3.3% |
Costco Wholesale Corp. | 3.3% |
Lowe’s Companies, Inc. | 3.0% |
TJX Companies, Inc. | 2.7% |
Walgreens Boots Alliance, Inc. | 2.5% |
Target Corp. | 2.2% |
Top Ten Total | 41.8% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Retailing Fund | 10.84% | 23.84% | 9.16% | 11.92% |
S&P 500 Consumer Discretionary Index | 11.52% | 23.55% | 15.97% | 16.41% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Discretionary Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 91 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
RETAILING FUND |
| Value | |||||||
COMMON STOCKS† - 99.2% | ||||||||
Retail - 67.3% | ||||||||
Walmart, Inc. | 5,990 | $ | 513,044 | |||||
Home Depot, Inc. | 2,431 | 474,288 | ||||||
Costco Wholesale Corp. | 1,445 | 301,976 | ||||||
Lowe’s Companies, Inc. | 2,895 | 276,675 | ||||||
TJX Companies, Inc. | 2,596 | 247,087 | ||||||
Walgreens Boots Alliance, Inc. | 3,854 | 231,298 | ||||||
Target Corp. | 2,663 | 202,708 | ||||||
Ross Stores, Inc. | 2,122 | 179,839 | ||||||
Dollar General Corp. | 1,682 | 165,845 | ||||||
O’Reilly Automotive, Inc.* | 547 | 149,643 | ||||||
Best Buy Company, Inc. | 1,965 | 146,550 | ||||||
Dollar Tree, Inc.* | 1,657 | 140,845 | ||||||
Tiffany & Co. | 970 | 127,652 | ||||||
AutoZone, Inc.* | 190 | 127,477 | ||||||
Gap, Inc. | 3,580 | 115,956 | ||||||
Genuine Parts Co. | 1,260 | 115,655 | ||||||
Ulta Beauty, Inc.* | 495 | 115,563 | ||||||
CarMax, Inc.* | 1,563 | 113,896 | ||||||
Kohl’s Corp. | 1,548 | 112,849 | ||||||
Macy’s, Inc. | 2,916 | 109,146 | ||||||
L Brands, Inc. | 2,802 | 103,338 | ||||||
Advance Auto Parts, Inc. | 751 | 101,911 | ||||||
Burlington Stores, Inc.* | 670 | 100,855 | ||||||
Qurate Retail, Inc. — Class A* | 4,720 | 100,158 | ||||||
Tractor Supply Co. | 1,304 | 99,743 | ||||||
Nordstrom, Inc. | 1,872 | 96,932 | ||||||
Foot Locker, Inc. | 1,430 | 75,289 | ||||||
Five Below, Inc.* | 742 | 72,501 | ||||||
Williams-Sonoma, Inc.1 | 1,176 | 72,183 | ||||||
Urban Outfitters, Inc.* | 1,563 | 69,632 | ||||||
AutoNation, Inc.* | 1,366 | 66,360 | ||||||
Floor & Decor Holdings, Inc. — Class A* | 1,340 | 66,102 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 911 | 66,047 | ||||||
Michaels Companies, Inc.* | 3,411 | 65,389 | ||||||
American Eagle Outfitters, Inc. | 2,770 | 64,402 | ||||||
Penske Automotive Group, Inc. | 1,303 | 61,046 | ||||||
Dick’s Sporting Goods, Inc. | 1,658 | 58,444 | ||||||
Signet Jewelers Ltd. | 1,045 | 58,259 | ||||||
Dillard’s, Inc. — Class A1 | 578 | 54,621 | ||||||
PriceSmart, Inc. | 594 | 53,757 | ||||||
Bed Bath & Beyond, Inc. | 2,696 | 53,718 | ||||||
RH*,1 | 381 | 53,226 | ||||||
Lithia Motors, Inc. — Class A | 503 | 47,569 | ||||||
DSW, Inc. — Class A | 1,792 | 46,269 | ||||||
Sally Beauty Holdings, Inc.* | 2,876 | 46,102 | ||||||
Children’s Place, Inc. | 366 | 44,213 | ||||||
GameStop Corp. — Class A1 | 2,915 | 42,472 | ||||||
Guess?, Inc. | 1,958 | 41,901 | ||||||
Big Lots, Inc. | 997 | 41,655 | ||||||
Abercrombie & Fitch Co. — Class A | 1,651 | 40,416 | ||||||
Tailored Brands, Inc. | 1,568 | 40,015 | ||||||
Group 1 Automotive, Inc. | 546 | 34,398 | ||||||
Chico’s FAS, Inc. | 3,964 | 32,267 | ||||||
Conn’s, Inc.* | 954 | 31,482 | ||||||
PetMed Express, Inc.1 | 697 | 30,703 | ||||||
Lumber Liquidators Holdings, Inc.* | 1,094 | 26,639 | ||||||
Express, Inc.* | 2,879 | 26,343 | ||||||
Hibbett Sports, Inc.* | 931 | 21,320 | ||||||
Total Retail | 6,175,669 | |||||||
Internet - 26.7% | ||||||||
Amazon.com, Inc.* | 519 | 882,196 | ||||||
Netflix, Inc.* | 1,033 | 404,347 | ||||||
Booking Holdings, Inc.* | 151 | 306,091 | ||||||
JD.com, Inc. ADR* | 4,278 | 166,628 | ||||||
Ctrip.com International Ltd. ADR* | 2,929 | 139,508 | ||||||
Expedia Group, Inc. | 1,108 | 133,171 | ||||||
Wayfair, Inc. — Class A*,1 | 905 | 107,478 | ||||||
Vipshop Holdings Ltd. ADR* | 9,050 | 98,193 | ||||||
TripAdvisor, Inc.* | 1,538 | 85,682 | ||||||
Shutterfly, Inc.* | 603 | 54,288 | ||||||
Liberty Expedia Holdings, Inc. — Class A* | 1,118 | 49,125 | ||||||
Overstock.com, Inc.*,1 | 870 | 29,275 | ||||||
Total Internet | 2,455,982 | |||||||
Distribution & Wholesale - 1.9% | ||||||||
LKQ Corp.* | 3,062 | 97,678 | ||||||
Pool Corp. | 515 | 78,022 | ||||||
Total Distribution & Wholesale | 175,700 | |||||||
Commercial Services - 1.8% | ||||||||
Aaron’s, Inc. | 1,272 | 55,268 | ||||||
Monro, Inc. | 752 | 43,691 | ||||||
NutriSystem, Inc. | 908 | 34,958 | ||||||
Rent-A-Center, Inc.*,1 | 2,333 | 34,342 | ||||||
Total Commercial Services | 168,259 | |||||||
Oil & Gas - 0.6% | ||||||||
Murphy USA, Inc.* | 696 | 51,706 | ||||||
Leisure Time - 0.5% | ||||||||
Camping World Holdings, Inc. — Class A1 | 1,980 | 49,460 | ||||||
Home Furnishings - 0.4% | ||||||||
Sleep Number Corp.* | 1,138 | 33,025 | ||||||
Total Common Stocks | ||||||||
(Cost $7,153,257) | 9,109,801 |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
RETAILING FUND |
Face | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 1.0% | ||||||||
JPMorgan Chase & Co. | $ | 49,649 | $ | 49,649 | ||||
Barclays Capital | 24,380 | 24,380 | ||||||
Bank of America Merrill Lynch | 16,253 | 16,253 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $90,282) | 90,282 |
| ||||||||
SECURITIES LENDING COLLATERAL†,3 - 3.8% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 346,638 | 346,638 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $346,638) | 346,638 | |||||||
Total Investments - 104.0% | ||||||||
(Cost $7,590,177) | $ | 9,546,721 | ||||||
Other Assets & Liabilities, net - (4.0)% | (363,184 | ) | ||||||
Total Net Assets - 100.0% | $ | 9,183,537 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 9,109,801 | $ | — | $ | — | $ | 9,109,801 | ||||||||
Repurchase Agreements | — | 90,282 | — | 90,282 | ||||||||||||
Securities Lending Collateral | 346,638 | — | — | 346,638 | ||||||||||||
Total Assets | $ | 9,456,439 | $ | 90,282 | $ | — | $ | 9,546,721 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
RETAILING FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $340,257 of securities loaned (cost $7,499,895) | $ | 9,456,439 | ||
Repurchase agreements, at value (cost $90,282) | 90,282 | |||
Receivables: | ||||
Dividends | 5,093 | |||
Securities lending income | 219 | |||
Fund shares sold | 69 | |||
Interest | 10 | |||
Total assets | 9,552,112 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 346,638 | |||
Management fees | 6,552 | |||
Fund shares redeemed | 2,793 | |||
Transfer agent and administrative fees | 1,927 | |||
Investor service fees | 1,927 | |||
Portfolio accounting fees | 771 | |||
Trustees’ fees* | 212 | |||
Miscellaneous | 7,755 | |||
Total liabilities | 368,575 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 9,183,537 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,394,803 | ||
Accumulated net investment loss | (10,312 | ) | ||
Accumulated net realized loss on investments | (1,157,498 | ) | ||
Net unrealized appreciation on investments | 1,956,544 | |||
Net assets | $ | 9,183,537 | ||
Capital shares outstanding | 111,404 | |||
Net asset value per share | $ | 82.43 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $156) | $ | 55,998 | ||
Interest | 339 | |||
Income from securities lending, net | 1,479 | |||
Total investment income | 57,816 | |||
Expenses: | ||||
Management fees | 35,135 | |||
Investor service fees | 10,334 | |||
Transfer agent and administrative fees | 10,334 | |||
Professional fees | 6,699 | |||
Portfolio accounting fees | 4,133 | |||
Trustees’ fees* | 883 | |||
Custodian fees | 526 | |||
Line of credit fees | 11 | |||
Miscellaneous | 1,433 | |||
Total expenses | 69,488 | |||
Net investment loss | (11,672 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 62,527 | |||
Net realized gain | 62,527 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 696,450 | |||
Net change in unrealized appreciation (depreciation) | 696,450 | |||
Net realized and unrealized gain | 758,977 | |||
Net increase in net assets resulting from operations | $ | 747,305 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RETAILING FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (11,672 | ) | $ | 1,360 | |||
Net realized gain (loss) on investments | 62,527 | (375,717 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 696,450 | 884,370 | ||||||
Net increase in net assets resulting from operations | 747,305 | 510,013 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 13,210,990 | 25,680,045 | ||||||
Cost of shares redeemed | (12,623,546 | ) | (23,619,210 | ) | ||||
Net increase from capital share transactions | 587,444 | 2,060,835 | ||||||
Net increase in net assets | 1,334,749 | 2,570,848 | ||||||
Net assets: | ||||||||
Beginning of period | 7,848,788 | 5,277,940 | ||||||
End of period | $ | 9,183,537 | $ | 7,848,788 | ||||
Accumulated net investment loss/Undistributed net investment income at end of period | $ | (10,312 | ) | $ | 1,360 | |||
Capital share activity: | ||||||||
Shares sold | 167,471 | 374,888 | ||||||
Shares redeemed | (161,609 | ) | (349,422 | ) | ||||
Net increase in shares | 5,862 | 25,466 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
RETAILING FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 74.37 | $ | 65.91 | $ | 69.96 | $ | 77.68 | $ | 81.49 | $ | 66.82 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | (.11 | ) | .02 | (.05 | ) | (.16 | ) | (.40 | ) | (.36 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.17 | 8.44 | (2.93 | ) | (.20 | ) | 6.79 | 24.19 | |||||||||||||||||
Total from investment operations | 8.06 | 8.46 | (2.98 | ) | (.36 | ) | 6.39 | 23.83 | |||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (— | )d | ||||||||||||||||||
Net realized gains | — | — | (1.07 | ) | (7.36 | ) | (10.20 | ) | (9.16 | ) | |||||||||||||||
Total distributions | — | — | (1.07 | ) | (7.36 | ) | (10.20 | ) | (9.16 | ) | |||||||||||||||
Net asset value, end of period | $ | 82.43 | $ | 74.37 | $ | 65.91 | $ | 69.96 | $ | 77.68 | $ | 81.49 | |||||||||||||
Total Returnc | 10.84 | % | 12.82 | % | 0.30 | % | (1.33 | %) | 8.66 | % | 35.80 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,184 | $ | 7,849 | $ | 5,278 | $ | 8,328 | $ | 7,304 | $ | 9,470 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | (0.28 | %) | 0.03 | % | (0.25 | %) | (0.19 | %) | (0.51 | %) | (0.46 | %) | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.64 | % | |||||||||||||
Portfolio turnover rate | 149 | % | 447 | % | 668 | % | 225 | % | 452 | % | 1,219 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Distributions from net investment income are less than $0.01 per share. |
e | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
TECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the technology sector, including computer software and service companies, semiconductor manufacturers, networking and telecommunications equipment manufacturers, PC hardware and peripherals companies (“Technology Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Apple, Inc. | 3.7% |
Alphabet, Inc. — Class A | 3.4% |
Microsoft Corp. | 3.4% |
Facebook, Inc. — Class A | 2.9% |
Visa, Inc. — Class A | 2.0% |
Intel Corp. | 1.8% |
Mastercard, Inc. — Class A | 1.8% |
Cisco Systems, Inc. | 1.7% |
Oracle Corp. | 1.7% |
NVIDIA Corp. | 1.4% |
Top Ten Total | 23.8% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 Month‡ | 1 Year | 5 Year | 10 Year | |
Technology Fund | 10.40% | 25.98% | 17.56% | 10.34% |
S&P 500 Information Technology Index | 10.87% | 31.30% | 21.91% | 14.65% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
TECHNOLOGY FUND |
| Value | |||||||
COMMON STOCKS† - 99.5% | ||||||||
Software - 26.6% | ||||||||
Microsoft Corp. | 9,148 | $ | 902,084 | |||||
Oracle Corp. | 10,190 | 448,971 | ||||||
Adobe Systems, Inc.* | 1,460 | 355,963 | ||||||
salesforce.com, Inc.* | 2,411 | 328,860 | ||||||
VMware, Inc. — Class A* | 1,748 | 256,904 | ||||||
Activision Blizzard, Inc. | 3,287 | 250,864 | ||||||
Intuit, Inc. | 1,165 | 238,015 | ||||||
Electronic Arts, Inc.* | 1,529 | 215,620 | ||||||
Fidelity National Information Services, Inc. | 1,837 | 194,777 | ||||||
NetEase, Inc. ADR | 721 | 182,175 | ||||||
Fiserv, Inc.* | 2,424 | 179,594 | ||||||
ServiceNow, Inc.* | 1,020 | 175,919 | ||||||
Autodesk, Inc.* | 1,327 | 173,956 | ||||||
Workday, Inc. — Class A* | 1,360 | 164,723 | ||||||
Paychex, Inc. | 2,395 | 163,698 | ||||||
First Data Corp. — Class A* | 6,850 | 143,370 | ||||||
Red Hat, Inc.* | 1,054 | 141,626 | ||||||
Atlassian Corporation plc — Class A* | 2,030 | 126,916 | ||||||
CA, Inc. | 3,521 | 125,524 | ||||||
ANSYS, Inc.* | 720 | 125,410 | ||||||
Citrix Systems, Inc.* | 1,194 | 125,179 | ||||||
Broadridge Financial Solutions, Inc. | 1,080 | 124,308 | ||||||
Take-Two Interactive Software, Inc.* | 1,018 | 120,490 | ||||||
Synopsys, Inc.* | 1,357 | 116,118 | ||||||
Momo, Inc. ADR* | 2,657 | 115,580 | ||||||
SS&C Technologies Holdings, Inc. | 2,220 | 115,218 | ||||||
Splunk, Inc.* | 1,160 | 114,968 | ||||||
Cadence Design Systems, Inc.* | 2,627 | 113,775 | ||||||
Akamai Technologies, Inc.* | 1,537 | 112,555 | ||||||
PTC, Inc.* | 1,160 | 108,820 | ||||||
Jack Henry & Associates, Inc. | 799 | 104,158 | ||||||
CDK Global, Inc. | 1,489 | 96,859 | ||||||
Black Knight, Inc.* | 1,790 | 95,854 | ||||||
Tableau Software, Inc. — Class A* | 930 | 90,908 | ||||||
Ultimate Software Group, Inc.* | 347 | 89,287 | ||||||
Aspen Technology, Inc.* | 890 | 82,539 | ||||||
Paycom Software, Inc.* | 760 | 75,111 | ||||||
Blackbaud, Inc. | 710 | 72,739 | ||||||
HubSpot, Inc.*,1 | 570 | 71,478 | ||||||
2U, Inc.* | 820 | 68,519 | ||||||
j2 Global, Inc. | 785 | 67,989 | ||||||
Nuance Communications, Inc.* | 4,714 | 65,454 | ||||||
Box, Inc. — Class A* | 2,400 | 59,976 | ||||||
CommVault Systems, Inc.* | 845 | 55,643 | ||||||
Total Software | 7,158,494 | |||||||
Internet - 18.9% | ||||||||
Alphabet, Inc. — Class A* | 818 | 923,677 | ||||||
Facebook, Inc. — Class A* | 3,996 | 776,503 | ||||||
Alibaba Group Holding Ltd. ADR* | 1,767 | 327,831 | ||||||
Baidu, Inc. ADR* | 938 | 227,934 | ||||||
eBay, Inc.* | 5,332 | 193,338 | ||||||
Twitter, Inc.* | 4,118 | 179,833 | ||||||
MercadoLibre, Inc. | 516 | 154,248 | ||||||
Palo Alto Networks, Inc.* | 697 | 143,213 | ||||||
VeriSign, Inc.* | 972 | 133,572 | ||||||
Snap, Inc. — Class A*,1 | 9,980 | 130,638 | ||||||
SINA Corp.* | 1,459 | 123,563 | ||||||
Shopify, Inc. — Class A* | 845 | 123,277 | ||||||
YY, Inc. ADR* | 1,210 | 121,569 | ||||||
Weibo Corp. ADR* | 1,358 | 120,536 | ||||||
Symantec Corp. | 5,649 | 116,652 | ||||||
IAC/InterActiveCorp* | 760 | 115,892 | ||||||
CDW Corp. | 1,420 | 114,722 | ||||||
GoDaddy, Inc. — Class A* | 1,610 | 113,666 | ||||||
Zillow Group, Inc. — Class C*,1 | 1,814 | 107,135 | ||||||
F5 Networks, Inc.* | 611 | 105,367 | ||||||
Match Group, Inc.*,1 | 2,648 | 102,584 | ||||||
GrubHub, Inc.* | 900 | 94,419 | ||||||
Twilio, Inc. — Class A* | 1,360 | 76,187 | ||||||
Proofpoint, Inc.* | 660 | 76,105 | ||||||
Okta, Inc.* | 1,490 | 75,051 | ||||||
Trade Desk, Inc. — Class A* | 710 | 66,598 | ||||||
Etsy, Inc.* | 1,578 | 66,576 | ||||||
Stamps.com, Inc.* | 260 | 65,793 | ||||||
Yelp, Inc. — Class A* | 1,513 | 59,279 | ||||||
FireEye, Inc.* | 3,521 | 54,188 | ||||||
Total Internet | 5,089,946 | |||||||
Semiconductors - 18.9% | ||||||||
Intel Corp. | 9,622 | 478,310 | ||||||
NVIDIA Corp. | 1,571 | 372,170 | ||||||
Texas Instruments, Inc. | 3,081 | 339,680 | ||||||
Broadcom, Inc. | 1,301 | 315,675 | ||||||
QUALCOMM, Inc. | 5,281 | 296,370 | ||||||
Micron Technology, Inc.* | 4,709 | 246,940 | ||||||
Applied Materials, Inc. | 4,795 | 221,481 | ||||||
Analog Devices, Inc. | 2,004 | 192,224 | ||||||
NXP Semiconductor N.V.* | 1,713 | 187,180 | ||||||
Lam Research Corp. | 1,012 | 174,924 | ||||||
Marvell Technology Group Ltd. | 7,715 | 165,410 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 4,224 | 154,429 | ||||||
Microchip Technology, Inc. | 1,589 | 144,520 | ||||||
ASML Holding N.V. — Class G | 690 | 136,599 | ||||||
Skyworks Solutions, Inc. | 1,406 | 135,890 | ||||||
Maxim Integrated Products, Inc. | 2,240 | 131,398 | ||||||
Xilinx, Inc. | 2,001 | 130,585 | ||||||
KLA-Tencor Corp. | 1,240 | 127,137 | ||||||
Advanced Micro Devices, Inc.* | 8,279 | 124,102 | ||||||
IPG Photonics Corp.* | 505 | 111,418 | ||||||
Qorvo, Inc.* | 1,284 | 102,938 | ||||||
ON Semiconductor Corp.* | 4,276 | 95,077 | ||||||
Teradyne, Inc. | 2,327 | 88,589 | ||||||
Cavium, Inc.* | 970 | 83,905 | ||||||
Monolithic Power Systems, Inc. | 572 | 76,459 | ||||||
Cypress Semiconductor Corp. | 4,718 | 73,506 | ||||||
MKS Instruments, Inc. | 761 | 72,828 | ||||||
Entegris, Inc. | 2,010 | 68,139 | ||||||
Silicon Laboratories, Inc.* | 670 | 66,732 | ||||||
Integrated Device Technology, Inc.* | 2,024 | 64,525 |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2018 |
TECHNOLOGY FUND |
| Value | |||||||
Cirrus Logic, Inc.* | 1,306 | $ | 50,059 | |||||
Ambarella, Inc.*,1 | 943 | 36,409 | ||||||
Total Semiconductors | 5,065,608 | |||||||
Computers - 13.5% | ||||||||
Apple, Inc. | 5,336 | 987,747 | ||||||
International Business Machines Corp. | 2,653 | 370,624 | ||||||
Cognizant Technology Solutions Corp. — Class A | 2,864 | 226,227 | ||||||
HP, Inc. | 8,586 | 194,816 | ||||||
Accenture plc — Class A | 1,012 | 165,553 | ||||||
DXC Technology Co. | 1,944 | 156,706 | ||||||
Western Digital Corp. | 2,012 | 155,749 | ||||||
NetApp, Inc. | 1,949 | 153,055 | ||||||
Hewlett Packard Enterprise Co. | 10,305 | 150,556 | ||||||
Infosys Ltd. ADR | 7,663 | 148,892 | ||||||
Check Point Software Technologies Ltd.* | 1,484 | 144,957 | ||||||
Seagate Technology plc | 2,285 | 129,034 | ||||||
Fortinet, Inc.* | 1,690 | 105,507 | ||||||
Amdocs Ltd. | 1,500 | 99,285 | ||||||
Leidos Holdings, Inc. | 1,679 | 99,061 | ||||||
Nutanix, Inc. — Class A* | 1,740 | 89,732 | ||||||
Pure Storage, Inc. — Class A* | 3,150 | 75,222 | ||||||
Lumentum Holdings, Inc.* | 1,099 | 63,632 | ||||||
NCR Corp.* | 2,022 | 60,620 | ||||||
NetScout Systems, Inc.* | 1,702 | 50,550 | ||||||
Total Computers | 3,627,525 | |||||||
Commercial Services - 6.3% | ||||||||
PayPal Holdings, Inc.* | 3,915 | 326,002 | ||||||
Automatic Data Processing, Inc. | 1,873 | 251,244 | ||||||
Worldpay, Inc. — Class A* | 2,020 | 165,196 | ||||||
Square, Inc. — Class A* | 2,610 | 160,880 | ||||||
FleetCor Technologies, Inc.* | 706 | 148,719 | ||||||
Global Payments, Inc. | 1,233 | 137,467 | ||||||
Total System Services, Inc. | 1,536 | 129,823 | ||||||
Gartner, Inc.* | 869 | 115,490 | ||||||
Western Union Co. | 4,970 | 101,040 | ||||||
Sabre Corp. | 3,396 | 83,677 | ||||||
Euronet Worldwide, Inc.* | 810 | 67,854 | ||||||
Total Commercial Services | 1,687,392 | |||||||
Telecommunications - 4.6% | ||||||||
Cisco Systems, Inc. | 10,740 | 462,142 | ||||||
Motorola Solutions, Inc. | 1,264 | 147,092 | ||||||
Arista Networks, Inc.* | 552 | 142,135 | ||||||
Juniper Networks, Inc. | 3,734 | 102,386 | ||||||
CommScope Holding Company, Inc.* | 2,646 | 77,276 | ||||||
LogMeIn, Inc. | 741 | 76,508 | ||||||
ARRIS International plc* | 2,830 | 69,179 | ||||||
Ciena Corp.* | 2,517 | 66,726 | ||||||
Finisar Corp.*,1 | 2,710 | 48,780 | ||||||
NETGEAR, Inc.* | 727 | 45,438 | ||||||
Total Telecommunications | 1,237,662 | |||||||
Electronics - 4.3% | ||||||||
Amphenol Corp. — Class A | 1,922 | 167,502 | ||||||
Corning, Inc. | 5,607 | 154,249 | ||||||
TE Connectivity Ltd. | 1,480 | 133,289 | ||||||
Keysight Technologies, Inc.* | 1,860 | 109,796 | ||||||
Trimble, Inc.* | 2,776 | 91,164 | ||||||
Flex Ltd.* | 6,459 | 91,137 | ||||||
FLIR Systems, Inc. | 1,690 | 87,829 | ||||||
National Instruments Corp. | 1,840 | 77,243 | ||||||
Jabil, Inc. | 2,524 | 69,814 | ||||||
Coherent, Inc.* | 410 | 64,132 | ||||||
Tech Data Corp.* | 710 | 58,305 | ||||||
II-VI, Inc.* | 1,218 | 52,922 | ||||||
Total Electronics | 1,157,382 | |||||||
Diversified Financial Services - 4.2% | ||||||||
Visa, Inc. — Class A | 4,083 | 540,793 | ||||||
Mastercard, Inc. — Class A | 2,411 | 473,810 | ||||||
Alliance Data Systems Corp. | 523 | 121,964 | ||||||
Total Diversified Financial Services | 1,136,567 | |||||||
Electrical Components & Equipment - 0.7% | ||||||||
Littelfuse, Inc. | 350 | 79,863 | ||||||
Universal Display Corp.1 | 740 | 63,640 | ||||||
Advanced Energy Industries, Inc.* | 847 | 49,202 | ||||||
Total Electrical Components & Equipment | 192,705 | |||||||
Machinery-Diversified - 0.7% | ||||||||
Cognex Corp. | 2,050 | 91,450 | ||||||
Zebra Technologies Corp. — Class A* | 605 | 86,666 | ||||||
Total Machinery-Diversified | 178,116 | |||||||
Energy-Alternate Sources - 0.3% | ||||||||
First Solar, Inc.* | 1,450 | 76,357 | ||||||
Office & Business Equipment - 0.3% | ||||||||
Xerox Corp. | 3,173 | 76,152 | ||||||
Building Materials - 0.2% | ||||||||
Cree, Inc.* | 1,508 | 62,688 | ||||||
Total Common Stocks | ||||||||
(Cost $15,979,439) | 26,746,594 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
TECHNOLOGY FUND |
Face | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
JPMorgan Chase & Co. | $ | 94,072 | $ | 94,072 | ||||
Barclays Capital | 46,194 | 46,194 | ||||||
Bank of America Merrill Lynch | 30,796 | 30,796 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $171,062) | 171,062 |
| ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.5% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 392,241 | 392,241 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $392,241) | 392,241 | |||||||
Total Investments - 101.6% | ||||||||
(Cost $16,542,742) | $ | 27,309,897 | ||||||
Other Assets & Liabilities, net - (1.6)% | (432,794 | ) | ||||||
Total Net Assets - 100.0% | $ | 26,877,103 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 26,746,594 | $ | — | $ | — | $ | 26,746,594 | ||||||||
Repurchase Agreements | — | 171,062 | — | 171,062 | ||||||||||||
Securities Lending Collateral | 392,241 | — | — | 392,241 | ||||||||||||
Total Assets | $ | 27,138,835 | $ | 171,062 | $ | — | $ | 27,309,897 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TECHNOLOGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $382,693 of securities loaned (cost $16,371,680) | $ | 27,138,835 | ||
Repurchase agreements, at value (cost $171,062) | 171,062 | |||
Receivables: | ||||
Securities sold | 171,340 | |||
Dividends | 14,370 | |||
Securities lending income | 993 | |||
Foreign tax reclaims | 590 | |||
Interest | 20 | |||
Total assets | 27,497,210 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 392,241 | |||
Fund shares redeemed | 159,623 | |||
Management fees | 19,008 | |||
Transfer agent and administrative fees | 5,591 | |||
Investor service fees | 5,591 | |||
Portfolio accounting fees | 2,236 | |||
Trustees’ fees* | 654 | |||
Miscellaneous | 35,163 | |||
Total liabilities | 620,107 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 26,877,103 | ||
Net assets consist of: | ||||
Paid in capital | $ | 16,758,414 | ||
Accumulated net investment loss | (104,317 | ) | ||
Accumulated net realized loss on investments | (544,149 | ) | ||
Net unrealized appreciation on investments | 10,767,155 | |||
Net assets | $ | 26,877,103 | ||
Capital shares outstanding | 251,738 | |||
Net asset value per share | $ | 106.77 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $187) | $ | 115,918 | ||
Interest | 1,412 | |||
Income from securities lending, net | 7,260 | |||
Total investment income | 124,590 | |||
Expenses: | ||||
Management fees | 106,724 | |||
Investor service fees | 31,389 | |||
Transfer agent and administrative fees | 31,389 | |||
Professional fees | 19,478 | |||
Portfolio accounting fees | 12,556 | |||
Trustees’ fees* | 2,818 | |||
Custodian fees | 1,601 | |||
Line of credit fees | 117 | |||
Miscellaneous | 5,348 | |||
Total expenses | 211,420 | |||
Net investment loss | (86,830 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 410,600 | |||
Net realized gain | 410,600 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,700,597 | |||
Net change in unrealized appreciation (depreciation) | 1,700,597 | |||
Net realized and unrealized gain | 2,111,197 | |||
Net increase in net assets resulting from operations | $ | 2,024,367 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
TECHNOLOGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (86,830 | ) | $ | (145,413 | ) | ||
Net realized gain on investments | 410,600 | 1,560,782 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,700,597 | 4,572,472 | ||||||
Net increase in net assets resulting from operations | 2,024,367 | 5,987,841 | ||||||
Distributions to shareholders from: | ||||||||
Net realized gains | — | (599,849 | ) | |||||
Total distributions to shareholders | — | (599,849 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 26,457,059 | 48,485,786 | ||||||
Distributions reinvested | — | 599,849 | ||||||
Cost of shares redeemed | (24,543,861 | ) | (49,690,430 | ) | ||||
Net increase (decrease) from capital share transactions | 1,913,198 | (604,795 | ) | |||||
Net increase in net assets | 3,937,565 | 4,783,197 | ||||||
Net assets: | ||||||||
Beginning of period | 22,939,538 | 18,156,341 | ||||||
End of period | $ | 26,877,103 | $ | 22,939,538 | ||||
Accumulated net investment loss at end of period | $ | (104,317 | ) | $ | (17,487 | ) | ||
Capital share activity: | ||||||||
Shares sold | 249,476 | 551,981 | ||||||
Shares issued from reinvestment of distributions | — | 6,951 | ||||||
Shares redeemed | (234,947 | ) | (564,197 | ) | ||||
Net increase (decrease) in shares | 14,529 | (5,265 | ) |
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TECHNOLOGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 96.71 | $ | 74.88 | $ | 71.70 | $ | 71.28 | $ | 64.65 | $ | 47.78 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | (.36 | ) | (.56 | ) | (.21 | ) | (.32 | ) | (.32 | ) | (.15 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.42 | 24.71 | 7.78 | 1.13 | 6.95 | 17.02 | |||||||||||||||||||
Total from investment operations | 10.06 | 24.15 | 7.57 | .81 | 6.63 | 16.87 | |||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net realized gains | — | (2.32 | ) | (4.39 | ) | (.39 | ) | — | — | ||||||||||||||||
Total distributions | — | (2.32 | ) | (4.39 | ) | (.39 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 106.77 | $ | 96.71 | $ | 74.88 | $ | 71.70 | $ | 71.28 | $ | 64.65 | |||||||||||||
Total Returnc | 10.40 | % | 32.63 | % | 11.07 | % | 1.11 | % | 10.26 | % | 35.39 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 26,877 | $ | 22,940 | $ | 18,156 | $ | 19,042 | $ | 18,218 | $ | 14,649 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | (0.69 | %) | (0.64 | %) | (0.29 | %) | (0.45 | %) | (0.47 | %) | (0.29 | %) | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.63 | % | |||||||||||||
Portfolio turnover rate | 99 | % | 200 | % | 321 | % | 142 | % | 197 | % | 382 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Reverse share split — Per share amounts for the periods presented through December 31, 2014 have been restated to reflect a 1:5 reverse share split effective January 24, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
TELECOMMUNICATIONS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the development, manufacture, or sale of communications services or communications equipment (“Telecommunications Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: July 27, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Verizon Communications, Inc. | 11.3% |
Cisco Systems, Inc. | 10.7% |
AT&T, Inc. | 10.7% |
T-Mobile US, Inc. | 5.5% |
Sprint Corp. | 3.6% |
CenturyLink, Inc. | 3.5% |
Motorola Solutions, Inc. | 3.4% |
Palo Alto Networks, Inc. | 3.3% |
Arista Networks, Inc. | 3.2% |
F5 Networks, Inc. | 2.4% |
Top Ten Total | 57.6% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Telecommunications Fund | 0.84% | 6.50% | 6.14% | 1.96% |
S&P 500 Telecommunication Services Index | (8.35%) | 1.39% | 3.71% | 6.15% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Telecommunication Services Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
TELECOMMUNICATIONS FUND |
| Value | |||||||
COMMON STOCKS† - 99.5% | ||||||||
Telecommunications - 88.6% | ||||||||
Verizon Communications, Inc. | 5,900 | $ | 296,829 | |||||
Cisco Systems, Inc. | 6,506 | 279,953 | ||||||
AT&T, Inc. | 8,707 | 279,582 | ||||||
T-Mobile US, Inc.* | 2,394 | 143,042 | ||||||
Sprint Corp.*,1 | 17,209 | 93,617 | ||||||
CenturyLink, Inc. | 4,876 | 90,889 | ||||||
Motorola Solutions, Inc. | 761 | 88,558 | ||||||
Arista Networks, Inc.* | 329 | 84,714 | ||||||
Juniper Networks, Inc. | 2,264 | 62,079 | ||||||
Zayo Group Holdings, Inc.* | 1,656 | 60,411 | ||||||
Ubiquiti Networks, Inc.*,1 | 586 | 49,646 | ||||||
Vodafone Group plc ADR | 1,979 | 48,109 | ||||||
CommScope Holding Company, Inc.* | 1,603 | 46,816 | ||||||
ARRIS International plc* | 1,715 | 41,923 | ||||||
America Movil SAB de CV — Class L ADR | 2,468 | 41,117 | ||||||
EchoStar Corp. — Class A* | 916 | 40,670 | ||||||
Ciena Corp.* | 1,524 | 40,401 | ||||||
ViaSat, Inc.*,1 | 605 | 39,761 | ||||||
China Mobile Ltd. ADR | 819 | 36,355 | ||||||
BCE, Inc. | 881 | 35,672 | ||||||
Vonage Holdings Corp.* | 2,761 | 35,589 | ||||||
Telefonaktiebolaget LM Ericsson ADR | 4,635 | 35,550 | ||||||
Telephone & Data Systems, Inc. | 1,285 | 35,235 | ||||||
InterDigital, Inc. | 405 | 32,764 | ||||||
Plantronics, Inc. | 422 | 32,177 | ||||||
Viavi Solutions, Inc.* | 3,072 | 31,457 | ||||||
Finisar Corp.*,1 | 1,644 | 29,592 | ||||||
NETGEAR, Inc.* | 444 | 27,750 | ||||||
Iridium Communications, Inc.* | 1,578 | 25,406 | ||||||
Infinera Corp.* | 2,485 | 24,676 | ||||||
Oclaro, Inc.* | 2,755 | 24,602 | ||||||
Acacia Communications, Inc.*,1 | 680 | 23,671 | ||||||
Consolidated Communications Holdings, Inc. | 1,510 | 18,664 | ||||||
Extreme Networks, Inc.* | 2,297 | 18,284 | ||||||
ADTRAN, Inc. | 1,122 | 16,662 | ||||||
Frontier Communications Corp.1 | 2,019 | 10,822 | ||||||
Total Telecommunications | 2,323,045 | |||||||
Internet - 7.6% | ||||||||
Palo Alto Networks, Inc.* | 417 | 85,681 | ||||||
F5 Networks, Inc.* | 369 | 63,634 | ||||||
Cogent Communications Holdings, Inc. | 595 | 31,773 | ||||||
Boingo Wireless, Inc.* | 838 | 18,930 | ||||||
Total Internet | 200,018 | |||||||
Computers - 2.6% | ||||||||
Lumentum Holdings, Inc.* | 659 | 38,156 | ||||||
NetScout Systems, Inc.* | 1,035 | 30,739 | ||||||
Total Computers | 68,895 | |||||||
Electronics - 0.7% | ||||||||
Applied Optoelectronics, Inc.* | 429 | 19,262 | ||||||
Total Common Stocks | ||||||||
(Cost $2,030,160) | 2,611,220 |
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.4% | ||||||||
JPMorgan Chase & Co. | $ | 6,568 | 6,568 | |||||
Barclays Capital | 3,225 | 3,225 | ||||||
Bank of America Merrill Lynch | 2,151 | 2,151 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $11,944) | 11,944 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 5.5% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 143,121 | 143,121 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $143,121) | 143,121 | |||||||
Total Investments - 105.4% | ||||||||
(Cost $2,185,225) | $ | 2,766,285 | ||||||
Other Assets & Liabilities, net - (5.4)% | (142,779 | ) | ||||||
Total Net Assets - 100.0% | $ | 2,623,506 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 105 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
TELECOMMUNICATIONS FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 2,611,220 | $ | — | $ | — | $ | 2,611,220 | ||||||||
Repurchase Agreements | — | 11,944 | — | 11,944 | ||||||||||||
Securities Lending Collateral | 143,121 | — | — | 143,121 | ||||||||||||
Total Assets | $ | 2,754,341 | $ | 11,944 | $ | — | $ | 2,766,285 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TELECOMMUNICATIONS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $138,934 of securities loaned (cost $2,173,281) | $ | 2,754,341 | ||
Repurchase agreements, at value (cost $11,944) | 11,944 | |||
Receivables: | ||||
Securities sold | 33,314 | |||
Dividends | 3,053 | |||
Securities lending income | 486 | |||
Foreign tax reclaims | 205 | |||
Interest | 1 | |||
Total assets | 2,803,344 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 143,121 | |||
Fund shares redeemed | 30,546 | |||
Management fees | 1,480 | |||
Transfer agent and administrative fees | 435 | |||
Investor service fees | 435 | |||
Portfolio accounting fees | 174 | |||
Trustees’ fees* | 51 | |||
Miscellaneous | 3,596 | |||
Total liabilities | 179,838 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 2,623,506 | ||
Net assets consist of: | ||||
Paid in capital | $ | 2,179,829 | ||
Undistributed net investment income | 36,353 | |||
Accumulated net realized loss on investments | (173,736 | ) | ||
Net unrealized appreciation on investments | 581,060 | |||
Net assets | $ | 2,623,506 | ||
Capital shares outstanding | 44,489 | |||
Net asset value per share | $ | 58.97 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $74) | $ | 36,100 | ||
Interest | 104 | |||
Income from securities lending, net | 4,599 | |||
Total investment income | 40,803 | |||
Expenses: | ||||
Management fees | 11,790 | |||
Investor service fees | 3,468 | |||
Transfer agent and administrative fees | 3,467 | |||
Professional fees | 2,579 | |||
Portfolio accounting fees | 1,387 | |||
Trustees’ fees* | 338 | |||
Custodian fees | 181 | |||
Line of credit fees | 8 | |||
Miscellaneous | 44 | |||
Total expenses | 23,262 | |||
Net investment income | 17,541 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 215,077 | |||
Net realized gain | 215,077 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (197,408 | ) | ||
Net change in unrealized appreciation (depreciation) | (197,408 | ) | ||
Net realized and unrealized gain | 17,669 | |||
Net increase in net assets resulting from operations | $ | 35,210 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
TELECOMMUNICATIONS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 17,541 | $ | 22,188 | ||||
Net realized gain on investments | 215,077 | 174,301 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (197,408 | ) | (53,631 | ) | ||||
Net increase in net assets resulting from operations | 35,210 | 142,858 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (36,179 | ) | |||||
Net realized gains | — | (47,615 | ) | |||||
Total distributions to shareholders | — | (83,794 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,107,555 | 13,601,984 | ||||||
Distributions reinvested | — | 83,794 | ||||||
Cost of shares redeemed | (4,032,944 | ) | (15,614,915 | ) | ||||
Net decrease from capital share transactions | (925,389 | ) | (1,929,137 | ) | ||||
Net decrease in net assets | (890,179 | ) | (1,870,073 | ) | ||||
Net assets: | ||||||||
Beginning of period | 3,513,685 | 5,383,758 | ||||||
End of period | $ | 2,623,506 | $ | 3,513,685 | ||||
Undistributed net investment income at end of period | $ | 36,353 | $ | 18,812 | ||||
Capital share activity: | ||||||||
Shares sold | 52,675 | 236,843 | ||||||
Shares issued from reinvestment of distributions | — | 1,515 | ||||||
Shares redeemed | (68,267 | ) | (272,681 | ) | ||||
Net decrease in shares | (15,592 | ) | (34,323 | ) |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TELECOMMUNICATIONS FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 58.48 | $ | 57.03 | $ | 48.71 | $ | 53.12 | $ | 52.94 | $ | 46.00 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | .37 | .37 | .45 | .42 | .61 | .85 | |||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .12 | 2.86 | 8.03 | (3.94 | ) | .79 | 7.09 | ||||||||||||||||||
Total from investment operations | .49 | 3.23 | 8.48 | (3.52 | ) | 1.40 | 7.94 | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | (.77 | ) | (.16 | ) | (.89 | ) | (1.22 | ) | (1.00 | ) | ||||||||||||||
Net realized gains | — | (1.01 | ) | — | — | — | — | ||||||||||||||||||
Total distributions | — | (1.78 | ) | (.16 | ) | (.89 | ) | (1.22 | ) | (1.00 | ) | ||||||||||||||
Net asset value, end of period | $ | 58.97 | $ | 58.48 | $ | 57.03 | $ | 48.71 | $ | 53.12 | $ | 52.94 | |||||||||||||
Total Returnc | 0.84 | % | 5.85 | % | 17.40 | % | (6.73 | %) | 2.62 | % | 17.46 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,624 | $ | 3,514 | $ | 5,384 | $ | 2,329 | $ | 2,382 | $ | 2,194 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | 1.26 | % | 0.65 | % | 0.86 | % | 0.80 | % | 1.14 | % | 1.73 | % | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.64 | % | |||||||||||||
Portfolio turnover rate | 117 | % | 372 | % | 410 | % | 232 | % | 495 | % | 1,267 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Reverse share split — Per share amounts for the periods presented through December 31, 2014 have been restated to reflect a 1:5 reverse share split effective January 24, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 109 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
TRANSPORTATION FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in providing transportation services or companies engaged in the design, manufacture, distribution, or sale of transportation equipment (“Transportation Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: June 11, 2001
Ten Largest Holdings (% of Total Net Assets) | |
Union Pacific Corp. | 5.2% |
United Parcel Service, Inc. — Class B | 4.6% |
Tesla, Inc. | 3.7% |
CSX Corp. | 3.7% |
FedEx Corp. | 3.6% |
General Motors Co. | 3.6% |
Norfolk Southern Corp. | 3.3% |
Ford Motor Co. | 3.3% |
Delta Air Lines, Inc. | 2.8% |
Southwest Airlines Co. | 2.7% |
Top Ten Total | 36.5% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Transportation Fund | (4.99%) | 6.72% | 11.67% | 9.69% |
S&P 500 Industrials Index | (4.69%) | 5.34% | 12.66% | 9.70% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Industrials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
110 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
TRANSPORTATION FUND |
| Value | |||||||
COMMON STOCKS† - 99.4% | ||||||||
Transportation - 46.8% | ||||||||
Union Pacific Corp. | 2,527 | $ | 358,025 | |||||
United Parcel Service, Inc. — Class B | 2,967 | 315,184 | ||||||
CSX Corp. | 4,000 | 255,120 | ||||||
FedEx Corp. | 1,095 | 248,631 | ||||||
Norfolk Southern Corp. | 1,486 | 224,193 | ||||||
J.B. Hunt Transport Services, Inc. | 1,005 | 122,158 | ||||||
Expeditors International of Washington, Inc. | 1,655 | 120,980 | ||||||
Old Dominion Freight Line, Inc. | 787 | 117,232 | ||||||
XPO Logistics, Inc.* | 1,140 | 114,205 | ||||||
CH Robinson Worldwide, Inc. | 1,363 | 114,029 | ||||||
Kansas City Southern | 1,062 | 112,530 | ||||||
Canadian National Railway Co. | 1,124 | 91,887 | ||||||
Knight-Swift Transportation Holdings, Inc. | 2,265 | 86,546 | ||||||
Canadian Pacific Railway Ltd. | 464 | 84,921 | ||||||
Genesee & Wyoming, Inc. — Class A* | 947 | 77,010 | ||||||
Kirby Corp.* | 918 | 76,745 | ||||||
Schneider National, Inc. — Class B | 2,750 | 75,653 | ||||||
Landstar System, Inc. | 672 | 73,382 | ||||||
Ryder System, Inc. | 937 | 67,333 | ||||||
ZTO Express Cayman, Inc. ADR | 3,294 | 65,880 | ||||||
Werner Enterprises, Inc. | 1,520 | 57,076 | ||||||
Saia, Inc.* | 610 | 49,318 | ||||||
Hub Group, Inc. — Class A* | 948 | 47,210 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 643 | 46,103 | ||||||
Forward Air Corp. | 761 | 44,960 | ||||||
Heartland Express, Inc. | 2,302 | 42,702 | ||||||
Air Transport Services Group, Inc.* | 1,700 | 38,403 | ||||||
ArcBest Corp. | 807 | 36,880 | ||||||
Echo Global Logistics, Inc.* | 1,056 | 30,888 | ||||||
Total Transportation | 3,195,184 | |||||||
Airlines - 16.2% | ||||||||
Delta Air Lines, Inc. | 3,900 | 193,206 | ||||||
Southwest Airlines Co. | 3,633 | 184,847 | ||||||
United Continental Holdings, Inc.* | 2,123 | 148,037 | ||||||
American Airlines Group, Inc. | 3,594 | 136,428 | ||||||
Alaska Air Group, Inc. | 1,525 | 92,095 | ||||||
JetBlue Airways Corp.* | 4,448 | 84,423 | ||||||
Ryanair Holdings plc ADR* | 594 | 67,853 | ||||||
SkyWest, Inc. | 1,044 | 54,184 | ||||||
Spirit Airlines, Inc.* | 1,450 | 52,707 | ||||||
Allegiant Travel Co. — Class A | 359 | 49,883 | ||||||
Hawaiian Holdings, Inc. | 1,272 | 45,728 | ||||||
Total Airlines | 1,109,391 | |||||||
Auto Parts & Equipment - 14.2% | ||||||||
Lear Corp. | 623 | 115,760 | ||||||
BorgWarner, Inc. | 2,255 | 97,326 | ||||||
Aptiv plc | 951 | 87,140 | ||||||
Goodyear Tire & Rubber Co. | 3,375 | 78,604 | ||||||
Adient plc | 1,515 | 74,523 | ||||||
Autoliv, Inc. | 508 | 72,756 | ||||||
Magna International, Inc. | 1,220 | 70,919 | ||||||
Visteon Corp.* | 522 | 67,463 | ||||||
Delphi Technologies plc | 1,394 | 63,371 | ||||||
Dana, Inc. | 2,812 | 56,774 | ||||||
Dorman Products, Inc.* | 750 | 51,232 | ||||||
Tenneco, Inc. | 1,140 | 50,114 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 2,734 | 42,541 | ||||||
Cooper Tire & Rubber Co. | 1,492 | 39,240 | ||||||
Total Auto Parts & Equipment | 967,763 | |||||||
Auto Manufacturers - 13.7% | ||||||||
Tesla, Inc.*,1 | 747 | 256,184 | ||||||
General Motors Co. | 6,290 | 247,826 | ||||||
Ford Motor Co. | 20,159 | 223,160 | ||||||
Fiat Chrysler Automobiles N.V.* | 3,857 | 72,859 | ||||||
Ferrari N.V. | 511 | 68,990 | ||||||
Tata Motors Ltd. ADR* | 3,330 | 65,101 | ||||||
Total Auto Manufacturers | 934,120 | |||||||
Commercial Services - 3.6% | ||||||||
AMERCO | 261 | 92,955 | ||||||
Macquarie Infrastructure Corp. | 1,560 | 65,832 | ||||||
Avis Budget Group, Inc.* | 1,525 | 49,562 | ||||||
Hertz Global Holdings, Inc.* | 2,352 | 36,080 | ||||||
Total Commercial Services | 244,429 | |||||||
Leisure Time - 2.0% | ||||||||
Harley-Davidson, Inc. | 2,111 | 88,831 | ||||||
LCI Industries | 574 | 51,746 | ||||||
Total Leisure Time | 140,577 | |||||||
Home Builders - 1.7% | ||||||||
Thor Industries, Inc. | 798 | 77,717 | ||||||
Winnebago Industries, Inc. | 959 | 38,936 | ||||||
Total Home Builders | 116,653 | |||||||
Electronics - 1.2% | ||||||||
Gentex Corp. | 3,601 | 82,895 | ||||||
Total Common Stocks | ||||||||
(Cost $3,152,918) | 6,791,012 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
TRANSPORTATION FUND |
Face | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 0.8% | ||||||||
JPMorgan Chase & Co. | $ | 28,302 | $ | 28,302 | ||||
Barclays Capital | 13,897 | 13,897 | ||||||
Bank of America Merrill Lynch | 9,265 | 9,265 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $51,464) | 51,464 |
| ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.8% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 1.77%4 | 194,565 | 194,565 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $194,565) | 194,565 | |||||||
Total Investments - 103.0% | ||||||||
(Cost $3,398,947) | $ | 7,037,041 | ||||||
Other Assets & Liabilities, net - (3.0)% | (202,898 | ) | ||||||
Total Net Assets - 100.0% | $ | 6,834,143 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | All or a portion of this security is on loan at June 30, 2018 — See Note 5. |
2 | Repurchase Agreements — See Note 4. |
3 | Securities lending collateral — See Note 5. |
4 | Rate indicated is the 7 day yield as of June 30, 2018. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 6,791,012 | $ | — | $ | — | $ | 6,791,012 | ||||||||
Repurchase Agreements | — | 51,464 | — | 51,464 | ||||||||||||
Securities Lending Collateral | 194,565 | — | — | 194,565 | ||||||||||||
Total Assets | $ | 6,985,577 | $ | 51,464 | $ | — | $ | 7,037,041 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TRANSPORTATION FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value - including $186,908 of securities loaned (cost $3,347,483) | $ | 6,985,577 | ||
Repurchase agreements, at value (cost $51,464) | 51,464 | |||
Cash | 305 | |||
Receivables: | ||||
Fund shares sold | 11,091 | |||
Dividends | 2,321 | |||
Securities lending income | 248 | |||
Foreign tax reclaims | 144 | |||
Interest | 6 | |||
Total assets | 7,051,156 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities loaned | 194,565 | |||
Management fees | 5,347 | |||
Transfer agent and administrative fees | 1,573 | |||
Investor service fees | 1,573 | |||
Portfolio accounting fees | 629 | |||
Trustees’ fees* | 219 | |||
Fund shares redeemed | 117 | |||
Miscellaneous | 12,990 | |||
Total liabilities | 217,013 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 6,834,143 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,742,736 | ||
Accumulated net investment loss | (3,710 | ) | ||
Accumulated net realized loss on investments | (542,977 | ) | ||
Net unrealized appreciation on investments | 3,638,094 | |||
Net assets | $ | 6,834,143 | ||
Capital shares outstanding | 83,493 | |||
Net asset value per share | $ | 81.85 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $526) | $ | 59,972 | ||
Interest | 357 | |||
Income from securities lending, net | 1,211 | |||
Total investment income | 61,540 | |||
Expenses: | ||||
Management fees | 32,983 | |||
Investor service fees | 9,701 | |||
Transfer agent and administrative fees | 9,701 | |||
Professional fees | 7,648 | |||
Portfolio accounting fees | 3,880 | |||
Trustees’ fees* | 835 | |||
Custodian fees | 514 | |||
Line of credit fees | 31 | |||
Miscellaneous | (43 | ) | ||
Total expenses | 65,250 | |||
Net investment loss | (3,710 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 657,455 | |||
Net realized gain | 657,455 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (820,499 | ) | ||
Net change in unrealized appreciation (depreciation) | (820,499 | ) | ||
Net realized and unrealized loss | (163,044 | ) | ||
Net decrease in net assets resulting from operations | $ | (166,754 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
TRANSPORTATION FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (3,710 | ) | $ | (53,647 | ) | ||
Net realized gain on investments | 657,455 | 1,233,216 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (820,499 | ) | 546,486 | |||||
Net increase (decrease) in net assets resulting from operations | (166,754 | ) | 1,726,055 | |||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (23,779 | ) | |||||
Total distributions to shareholders | — | (23,779 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 10,316,331 | 31,357,021 | ||||||
Distributions reinvested | — | 23,779 | ||||||
Cost of shares redeemed | (15,053,966 | ) | (34,227,168 | ) | ||||
Net decrease from capital share transactions | (4,737,635 | ) | (2,846,368 | ) | ||||
Net decrease in net assets | (4,904,389 | ) | (1,144,092 | ) | ||||
Net assets: | ||||||||
Beginning of period | 11,738,532 | 12,882,624 | ||||||
End of period | $ | 6,834,143 | $ | 11,738,532 | ||||
Accumulated net investment loss at end of period | $ | (3,710 | ) | $ | — | |||
Capital share activity: | ||||||||
Shares sold | 122,172 | 406,855 | ||||||
Shares issued from reinvestment of distributions | — | 308 | ||||||
Shares redeemed | (174,939 | ) | (452,837 | ) | ||||
Net decrease in shares | (52,767 | ) | (45,674 | ) |
114 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TRANSPORTATION FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 86.15 | $ | 70.81 | $ | 100.87 | $ | 121.73 | $ | 99.13 | $ | 65.79 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | (.43 | ) | .16 | (.08 | ) | (.12 | ) | (.32 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.26 | ) | 15.99 | (20.23 | ) | (16.78 | ) | 22.72 | 33.66 | ||||||||||||||||
Total from investment operations | (4.30 | ) | 15.56 | (20.07 | ) | (16.86 | ) | 22.60 | 33.34 | ||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | (.22 | ) | — | — | — | — | ||||||||||||||||||
Net realized gains | — | — | (9.99 | ) | (4.00 | ) | — | — | |||||||||||||||||
Total distributions | — | (.22 | ) | (9.99 | ) | (4.00 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 81.85 | $ | 86.15 | $ | 70.81 | $ | 100.87 | $ | 121.73 | $ | 99.13 | |||||||||||||
Total Returnc | (4.99 | %) | 22.02 | % | 15.43 | % | (14.09 | %) | 22.80 | % | 50.64 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,834 | $ | 11,739 | $ | 12,883 | $ | 6,810 | $ | 22,672 | $ | 20,639 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | (0.10 | %) | (0.56 | %) | 0.73 | % | (0.06 | %) | (0.11 | %) | (0.37 | %) | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | 1.63 | % | |||||||||||||
Portfolio turnover rate | 123 | % | 308 | % | 174 | % | 99 | % | 196 | % | 310 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | Reverse share split — Per share amounts for the periods presented through December 31, 2016 have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 115 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2018 |
UTILITIES FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that operate public utilities (“Utilities Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001
Ten Largest Holdings (% of Total Net Assets) | |
NextEra Energy, Inc. | 4.7% |
Duke Energy Corp. | 4.0% |
Southern Co. | 3.6% |
Dominion Energy, Inc. | 3.5% |
Exelon Corp. | 3.4% |
American Electric Power Company, Inc. | 3.1% |
Sempra Energy | 2.9% |
Public Service Enterprise Group, Inc. | 2.8% |
Consolidated Edison, Inc. | 2.6% |
Xcel Energy, Inc. | 2.6% |
Top Ten Total | 33.2% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2018
6 month‡ | 1 Year | 5 Year | 10 Year | |
Utilities Fund | 1.50% | 4.78% | 8.96% | 5.92% |
S&P 500 Utilities Index | 0.32% | 3.41% | 10.57% | 6.64% |
S&P 500 Index | 2.65% | 14.37% | 13.42% | 10.17% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Utilities Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Returns do not reflect the impact of any additional fees charged by insurance companies. |
‡ | 6 month returns are not annualized. |
116 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2018 |
UTILITIES FUND |
| Value | |||||||
COMMON STOCKS† - 99.4% | ||||||||
Electric - 81.8% | ||||||||
NextEra Energy, Inc. | 4,798 | $ | 801,410 | |||||
Duke Energy Corp. | 8,557 | 676,688 | ||||||
Southern Co. | 13,309 | 616,340 | ||||||
Dominion Energy, Inc. | 8,726 | 594,939 | ||||||
Exelon Corp. | 13,436 | 572,374 | ||||||
American Electric Power Company, Inc. | 7,644 | 529,347 | ||||||
Sempra Energy | 4,260 | 494,629 | ||||||
Public Service Enterprise Group, Inc. | 8,659 | 468,798 | ||||||
Consolidated Edison, Inc. | 5,729 | 446,747 | ||||||
Xcel Energy, Inc. | 9,578 | 437,523 | ||||||
PG&E Corp. | 9,998 | 425,515 | ||||||
WEC Energy Group, Inc. | 6,374 | 412,079 | ||||||
Edison International | 6,466 | 409,104 | ||||||
PPL Corp. | 13,910 | 397,130 | ||||||
Eversource Energy | 6,738 | 394,914 | ||||||
DTE Energy Co. | 3,799 | 393,690 | ||||||
FirstEnergy Corp. | 10,347 | 371,561 | ||||||
Avangrid, Inc. | 6,910 | 365,746 | ||||||
Entergy Corp. | 4,450 | 359,515 | ||||||
Evergy, Inc. | 6,396 | 359,135 | ||||||
Ameren Corp. | 5,772 | 351,226 | ||||||
CMS Energy Corp. | 7,078 | 334,648 | ||||||
CenterPoint Energy, Inc. | 11,256 | 311,904 | ||||||
Vistra Energy Corp.* | 13,076 | 309,378 | ||||||
Alliant Energy Corp. | 6,718 | 284,306 | ||||||
Pinnacle West Capital Corp. | 3,390 | 273,098 | ||||||
AES Corp. | 19,728 | 264,552 | ||||||
NRG Energy, Inc. | 8,587 | 263,621 | ||||||
OGE Energy Corp. | 6,651 | 234,182 | ||||||
MDU Resources Group, Inc. | 7,314 | 209,766 | ||||||
SCANA Corp. | 5,436 | 209,395 | ||||||
IDACORP, Inc. | 2,105 | 194,165 | ||||||
ALLETE, Inc. | 2,339 | 181,062 | ||||||
Portland General Electric Co. | 4,109 | 175,701 | ||||||
Black Hills Corp. | 2,705 | 165,573 | ||||||
Avista Corp. | 3,108 | 163,667 | ||||||
PNM Resources, Inc. | 4,112 | 159,957 | ||||||
NorthWestern Corp. | 2,683 | 153,602 | ||||||
Hawaiian Electric Industries, Inc. | 3,524 | 120,873 | ||||||
Total Electric | 13,887,860 | |||||||
Gas - 13.5% | ||||||||
Atmos Energy Corp. | 3,171 | 285,834 | ||||||
NiSource, Inc. | 10,818 | 284,297 | ||||||
UGI Corp. | 5,237 | 272,691 | ||||||
Vectren Corp. | 3,019 | 215,708 | ||||||
WGL Holdings, Inc. | 2,125 | 188,594 | ||||||
National Fuel Gas Co. | 3,537 | 187,319 | ||||||
New Jersey Resources Corp. | 4,048 | 181,148 | ||||||
ONE Gas, Inc. | 2,405 | 179,750 | ||||||
Spire, Inc. | 2,446 | 172,810 | ||||||
Southwest Gas Holdings, Inc. | 2,245 | 171,226 | ||||||
South Jersey Industries, Inc. | 4,660 | 155,970 | ||||||
Total Gas | 2,295,347 | |||||||
Water - 3.4% | ||||||||
American Water Works Company, Inc. | 4,163 | 355,437 | ||||||
Aqua America, Inc. | 6,456 | 227,122 | ||||||
Total Water | 582,559 | |||||||
Energy-Alternate Sources - 0.7% | ||||||||
Pattern Energy Group, Inc. — Class A | 6,303 | 118,181 | ||||||
Pipelines - 0.0% | ||||||||
Kinder Morgan, Inc. | 1 | 18 | ||||||
Total Common Stocks | ||||||||
(Cost $11,320,553) | 16,883,965 |
Face | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.6% | ||||||||
JPMorgan Chase & Co. | $ | 54,483 | 54,483 | |||||
Barclays Capital | 26,754 | 26,754 | ||||||
Bank of America Merrill Lynch | 17,835 | 17,835 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $99,072) | 99,072 | |||||||
Total Investments - 100.0% | ||||||||
(Cost $11,419,625) | $ | 16,983,037 | ||||||
Other Assets & Liabilities, net - 0.0% | (4,771 | ) | ||||||
Total Net Assets - 100.0% | $ | 16,978,266 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 3. |
†† | Value determined based on Level 2 inputs — See Note 3. |
1 | Repurchase Agreements — See Note 4. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 117 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2018 |
UTILITIES FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2018 (See Note 3 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 16,883,965 | $ | — | $ | — | $ | 16,883,965 | ||||||||
Repurchase Agreements | — | 99,072 | — | 99,072 | ||||||||||||
Total Assets | $ | 16,883,965 | $ | 99,072 | $ | — | $ | 16,983,037 |
Transfers between investment levels may occur as the markets fluctuate and/or the availability of data used in an investment’s valuation changes. Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
For the period ended June 30, 2018, there were no transfers between levels.
118 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
UTILITIES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2018 |
Assets: | ||||
Investments, at value (cost $11,320,553) | $ | 16,883,965 | ||
Repurchase agreements, at value (cost $99,072) | 99,072 | |||
Receivables: | ||||
Fund shares sold | 362,053 | |||
Dividends | 35,146 | |||
Foreign tax reclaims | 123 | |||
Interest | 11 | |||
Securities lending income | 7 | |||
Total assets | 17,380,377 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 366,715 | |||
Management fees | 9,672 | |||
Transfer agent and administrative fees | 2,845 | |||
Investor service fees | 2,845 | |||
Portfolio accounting fees | 1,138 | |||
Trustees’ fees* | 408 | |||
Fund shares redeemed | 136 | |||
Miscellaneous | 18,352 | |||
Total liabilities | 402,111 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 16,978,266 | ||
Net assets consist of: | ||||
Paid in capital | $ | 11,720,580 | ||
Undistributed net investment income | 426,596 | |||
Accumulated net realized loss on investments | (732,322 | ) | ||
Net unrealized appreciation on investments | 5,563,412 | |||
Net assets | $ | 16,978,266 | ||
Capital shares outstanding | 598,062 | |||
Net asset value per share | $ | 28.39 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2018 |
Investment Income: | ||||
Dividends | $ | 224,370 | ||
Interest | 519 | |||
Income from securities lending, net | 38 | |||
Total investment income | 224,927 | |||
Expenses: | ||||
Management fees | 54,257 | |||
Investor service fees | 15,958 | |||
Transfer agent and administrative fees | 15,958 | |||
Professional fees | 12,634 | |||
Portfolio accounting fees | 6,383 | |||
Trustees’ fees* | 1,424 | |||
Custodian fees | 829 | |||
Line of credit fees | 20 | |||
Miscellaneous | 63 | |||
Total expenses | 107,526 | |||
Net investment income | 117,401 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 676,891 | |||
Net realized gain | 676,891 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (691,784 | ) | ||
Net change in unrealized appreciation (depreciation) | (691,784 | ) | ||
Net realized and unrealized loss | (14,893 | ) | ||
Net increase in net assets resulting from operations | $ | 102,508 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 119 |
UTILITIES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
Period Ended | Year Ended | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 117,401 | $ | 287,688 | ||||
Net realized gain on investments | 676,891 | 350,959 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (691,784 | ) | 1,123,878 | |||||
Net increase in net assets resulting from operations | 102,508 | 1,762,525 | ||||||
Distributions to shareholders from: | ||||||||
Net investment income | — | (357,236 | ) | |||||
Net realized gains | — | (364,071 | ) | |||||
Total distributions to shareholders | — | (721,307 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 23,599,715 | 40,236,819 | ||||||
Distributions reinvested | — | 721,307 | ||||||
Cost of shares redeemed | (21,393,831 | ) | (42,571,657 | ) | ||||
Net increase (decrease) from capital share transactions | 2,205,884 | (1,613,531 | ) | |||||
Net increase (decrease) in net assets | 2,308,392 | (572,313 | ) | |||||
Net assets: | ||||||||
Beginning of period | 14,669,874 | 15,242,187 | ||||||
End of period | $ | 16,978,266 | $ | 14,669,874 | ||||
Undistributed net investment income at end of period | $ | 426,596 | $ | 309,195 | ||||
Capital share activity: | ||||||||
Shares sold | 865,665 | 1,434,672 | ||||||
Shares issued from reinvestment of distributions | — | 26,985 | ||||||
Shares redeemed | (792,038 | ) | (1,518,042 | ) | ||||
Net increase (decrease) in shares | 73,627 | (56,385 | ) |
120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
UTILITIES FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
Period Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||||
Per Share Data | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 27.97 | $ | 26.24 | $ | 22.86 | $ | 25.35 | $ | 20.89 | $ | 19.13 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)b | .25 | .42 | .36 | .39 | .48 | .43 | |||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .17 | d | 2.42 | 3.38 | (2.24 | ) | 4.30 | 2.18 | |||||||||||||||||
Total from investment operations | .42 | 2.84 | 3.74 | (1.85 | ) | 4.78 | 2.61 | ||||||||||||||||||
Less distributions from: | |||||||||||||||||||||||||
Net investment income | — | (.55 | ) | (.17 | ) | (.64 | ) | (.32 | ) | (.85 | ) | ||||||||||||||
Net realized gains | — | (.56 | ) | (.19 | ) | — | — | — | |||||||||||||||||
Total distributions | — | (1.11 | ) | (.36 | ) | (.64 | ) | (.32 | ) | (.85 | ) | ||||||||||||||
Net asset value, end of period | $ | 28.39 | $ | 27.97 | $ | 26.24 | $ | 22.86 | $ | 25.35 | $ | 20.89 | |||||||||||||
Total Returnc | 1.50 | % | 11.02 | % | 16.34 | % | (7.36 | %) | 22.89 | % | 13.63 | % | |||||||||||||
Ratios/Supplemental Data | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,978 | $ | 14,670 | $ | 15,242 | $ | 17,064 | $ | 28,415 | $ | 10,282 | |||||||||||||
Ratios to average net assets: | |||||||||||||||||||||||||
Net investment income (loss) | 1.84 | % | 1.48 | % | 1.39 | % | 1.66 | % | 2.07 | % | 2.05 | % | |||||||||||||
Total expenses | 1.68 | % | 1.70 | % | 1.65 | % | 1.61 | % | 1.66 | % | 1.64 | % | |||||||||||||
Portfolio turnover rate | 137 | % | 183 | % | 234 | % | 312 | % | 247 | % | 464 | % |
a | Unaudited figures for the period ended June 30, 2018. Percentage amounts for the period, except total return and portfolio turnover rate, have been annualized. |
b | Net investment income (loss) per share was computed using average shares outstanding throughout the period. |
c | Total return does not reflect the impact of any additional fees charged by insurance companies. |
d | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the period because of the sales and repurchases of Fund shares in relation to fluctuating market value of the investments of the fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
Note 1 – Organization and Significant Accounting Policies
Organization
The Rydex Variable Trust (the “Trust”), a Delaware statutory trust, is registered with the SEC under the Investment Company Act of 1940 (“1940 Act”), as an open-ended investment company of the series type. Each series, in effect, is representing a separate Fund. The Trust is authorized to issue an unlimited number of no par value shares. At June 30, 2018, the Trust consisted of forty-nine funds. The Trust offers shares of the Funds to insurance companies for their variable annuity and variable life insurance contracts.
This report covers the Banking Fund, Basic Materials Fund, Biotechnology Fund, Consumer Products Fund, Electronics Fund, Energy Fund, Energy Services Fund, Financial Services Fund, Health Care Fund, Internet Fund, Leisure Fund, Precious Metals Fund, Real Estate Fund, Retailing Fund, Technology Fund, Telecommunications Fund, Transportation Fund and Utilities Fund (the “Funds”), each a non-diversified investment company.
The Funds invest in a specific industry sector. To the extent that investments are concentrated in a single sector, the Funds are subject to legislative or regulatory changes, adverse market conditions and/or increased competition affecting such sector.
The Funds seek capital appreciation and invest substantially all of their assets in equity securities of companies involved in their sector.
The Funds are designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offer unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Funds to experience high portfolio turnover.
Security Investors, LLC, which operates under the name Guggenheim Investments (“GI”), provides advisory services. Guggenheim Funds Distributors, LLC (“GFD”) acts as principal underwriter for the Trust. GI and GFD are affiliated entities.
Significant Accounting Policies
The Funds operate as investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) and are consistently followed by the Trust. This requires management to make estimates and assumptions that affect the reported amount of assets and liabilities, contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates. All time references are based on Eastern Time.
The net asset value per share (“NAV”) of the Fund is calculated by dividing the market value of a Fund’s securities and other assets, less all liabilities, by the number of outstanding shares of that Fund.
(a) Valuation of Investments
The Board of Trustees of the Funds (the “Board”) has adopted policies and procedures for the valuation of the Funds’ investments (the “Valuation Procedures”). Pursuant to the Valuation Procedures, the Board has delegated to a valuation committee, consisting of representatives from Guggenheim’s investment management, fund administration, legal and compliance departments (the “Valuation Committee”), the day-to-day responsibility for implementing the Valuation Procedures, including, under most circumstances, the responsibility for determining the fair value of the Funds’ securities and/or other assets.
Valuations of the Funds’ securities are supplied primarily by pricing services appointed pursuant to the processes set forth in the Valuation Procedures. The Valuation Committee convenes monthly, or more frequently as needed, to review the valuation of all assets which have been fair valued for reasonableness. The Funds’ officers, through the Valuation Committee and consistent with the monitoring and review responsibilities set forth in the Valuation Procedures, regularly review procedures used and valuations provided by the pricing services.
If the pricing service cannot or does not provide a valuation for a particular investment or such valuation is deemed unreliable, such investment is fair valued by the Valuation Committee.
Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date, which may not necessarily represent the last sale price. If there has been no sale on such exchange or NASDAQ on a given day, the security is valued at the closing bid price on that day.
Exchange-traded funds (“ETFs”) are valued at the last quoted sales price.
Money market funds are valued at their NAV.
122 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Repurchase agreements are valued at amortized cost, provided such amounts approximate market value.
Investments for which market quotations are not readily available are fair-valued as determined in good faith by GI, subject to review and approval by the Valuation Committee, pursuant to methods established or ratified by the Board. Valuations in accordance with these methods are intended to reflect each security’s (or asset’s or liability’s) “fair value”. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to market prices; sale prices; broker quotes; and models which derive prices based on inputs such as prices of securities with comparable maturities and characteristics, or based on inputs such as anticipated cash flows or collateral, spread over Treasuries, and other information analysis.
(b) Currency Translations
The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities initially expressed in foreign currencies are converted into U.S. dollars at prevailing exchange rates. Purchases and sales of investment securities, dividend and interest income, and certain expenses are translated at the rates of exchange prevailing on the respective dates of such transactions.
Changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments.
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Reported net realized foreign exchange gains and losses arise from sales of foreign currencies and currency gains or losses realized between the trade and settlement dates on investment transactions. Net unrealized exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at the fiscal period end, resulting from changes in exchange rates.
(c) Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and reflected in their Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of dividend income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2018, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(d) Security Transactions
Security transactions are recorded on the trade date for financial reporting purposes. Realized gains and losses from securities transactions are recorded using the identified cost basis. Proceeds from lawsuits related to investment holdings are recorded as realized gains in the respective Fund. Dividend income is recorded on the ex-dividend date, net of applicable taxes withheld by foreign countries. Taxable non-cash dividends are recorded as dividend income. Interest income, including amortization of premiums and accretion of discounts, is accrued on a daily basis. Dividend income from Real Estate Investment Trusts (“REITs”) is recorded based on the income included in the distributions received from the REIT investments using published REIT classifications, including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(e) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Distributions of a Fund will automatically be reinvested without charge in additional shares of the same Fund. Distributions are recorded on the ex-dividend date and are determined in accordance with income tax regulations which may differ from U.S. GAAP.
(f) Cash
The Funds may leave cash overnight in their cash account with the custodian. Periodically, a Fund may have cash due to the custodian bank as an overdraft balance. A fee is incurred on this overdraft, calculated by multiplying the overdraft by a rate based on the federal funds rate, which was 1.91% at June 30, 2018.
(g) Indemnifications
Under the Funds’ organizational documents, the Trustees and Officers are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, throughout the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties which provide general indemnifications. The Funds’ maximum exposure under
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Note 2 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees |
Banking Fund | 0.85% |
Basic Materials Fund | 0.85% |
Biotechnology Fund | 0.85% |
Consumer Products Fund | 0.85% |
Electronics Fund | 0.85% |
Energy Fund | 0.85% |
Energy Services Fund | 0.85% |
Financial Services Fund | 0.85% |
Health Care Fund | 0.85% |
Internet Fund | 0.85% |
Leisure Fund | 0.85% |
Precious Metals Fund | 0.75% |
Real Estate Fund | 0.85% |
Retailing Fund | 0.85% |
Technology Fund | 0.85% |
Telecommunications Fund | 0.85% |
Transportation Fund | 0.85% |
Utilities Fund | 0.85% |
GI engages external service providers to perform other necessary services for the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, etc., on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Trust has adopted an Investor Services Plan for which GFD and other firms that provide investor services (“Service Providers”) may receive compensation. The Funds will pay investor service fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for investor services it performs.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors, and/or employees of GI and GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Trust’s administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Trust’s securities and cash. U.S. Bank, N.A. (“U.S. Bank”) acts as the Funds’ custodian. As custodian, U.S. Bank is responsible for the custody of the Funds’ assets. For providing the aforementioned services, MUIS and U.S. Bank are entitled to receive a monthly fee equal to an annual percentage of each Fund’s average daily net assets and out of pocket expenses.
Note 3 – Fair Value Measurement
In accordance with U.S. GAAP, fair value is defined as the price that the Funds would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. U.S. GAAP establishes a three-tier fair value hierarchy based on the types of inputs used to value assets and liabilities and requires corresponding disclosure. The hierarchy and the corresponding inputs are summarized below:
Level 1 — | quoted prices in active markets for identical assets or liabilities. |
Level 2 — | significant other observable inputs (for example quoted prices for securities that are similar based on characteristics such as interest rates, prepayment speeds, credit risk, etc.). |
Level 3 — | significant unobservable inputs based on the best information available under the circumstances, to the extent observable inputs are not available, which may include assumptions. |
The types of inputs available depend on a variety of factors, such as the type of security and the characteristics of the markets in which it trades, if any. Fair valuation determinations that rely on fewer or no observable inputs require greater judgment. Accordingly, fair value determinations for Level 3 securities require the greatest amount of judgment.
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The suitability of the techniques and sources employed to determine fair valuation are regularly monitored and subject to change.
Note 4 – Repurchase Agreements
The Funds transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by obligations of the U.S. Treasury and U.S. government agencies. The joint account includes other Funds in the Guggenheim complex not covered in this report. The collateral is in the possession of the
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Funds’ custodian and is evaluated to ensure that its market value exceeds, at a minimum, 102% of the original face amount of the repurchase agreements. Each Fund holds a pro rata share of the collateral based on the dollar amount of the repurchase agreement entered into by each Fund.
At June 30, 2018, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price | Collateral | Par Value | Fair Value | |||||||||||||
JPMorgan Chase & Co. | U.S. Treasury Notes | |||||||||||||||||
2.10% | 1.88% - 2.50% | |||||||||||||||||
Due 07/02/18 | $ | 47,042,511 | $ | 47,050,743 | 08/31/22 - 08/15/25 | $ | 46,464,300 | $ | 45,313,928 | |||||||||
U.S. Treasury Bonds | ||||||||||||||||||
3.00% - 3.38% | ||||||||||||||||||
05/15/44 - 05/15/47 | 2,559,600 | 2,582,788 | ||||||||||||||||
47,896,716 | ||||||||||||||||||
Barclays Capital | U.S. TIP Notes | |||||||||||||||||
2.07% | 0.39% - 1.00% | |||||||||||||||||
Due 07/02/18 | 23,100,095 | 23,104,080 | 01/15/26 - 02/15/46 | 18,009,827 | 17,794,154 | |||||||||||||
U.S. Treasury Note | ||||||||||||||||||
1.88% | ||||||||||||||||||
03/31/22 | 5,903,500 | 5,752,223 | ||||||||||||||||
23,546,377 | ||||||||||||||||||
Bank of America Merrill Lynch | U.S. Treasury Note | |||||||||||||||||
2.08% | 4.00% | |||||||||||||||||
Due 07/02/18 | 15,400,064 | 15,402,733 | 08/15/18 | 15,438,500 | 15,658,625 |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. The Funds’ investment adviser, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks.
Note 5 – Portfolio Securities Loaned
The Funds may lend their securities to approved brokers to earn additional income. Security lending income shown on the Statements of Operations is shown net of rebates paid to the borrowers and earnings on cash collateral investments shared with the lending agent. Within this arrangement, the Funds act as the lender, U.S. Bank acts as the lending agent, and other approved registered broker dealers act as the borrowers. The Funds receive cash collateral, valued at 102% of the value of the securities on loan. Under the terms of the Funds’ securities lending agreement with U.S. Bank, cash collateral and proceeds are invested in the First American Government Obligations Fund - Class Z. The Funds bear the risk of loss on cash collateral investments. Collateral is maintained over the life of the loan in an amount not less than the value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Funds the next business day. Although the collateral mitigates the risk, the Funds could experience a delay in recovering their securities and a possible loss of income or value if the borrower fails to return the securities. The Funds have the right under the securities lending agreement to recover the securities from the borrower on demand. Securities lending transactions are accounted for as secured borrowings. The remaining contractual maturity of the securities lending agreement is overnight and continuous.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 125 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2018, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the | Securities Lending Collateral | ||||||||||||||||||||||||
Fund | Value of | Collateral | Net | Cash | Cash | Total | |||||||||||||||||||
Banking Fund | $ | 35,714 | $ | (35,714 | ) | $ | — | $ | 36,787 | $ | — | $ | 36,787 | ||||||||||||
Basic Materials Fund | 47,762 | (47,762 | ) | — | 48,706 | — | 48,706 | ||||||||||||||||||
Biotechnology Fund | 610,042 | (610,042 | ) | — | 618,300 | — | 618,300 | ||||||||||||||||||
Consumer Products Fund | 189,405 | (189,405 | ) | — | 197,938 | — | 197,938 | ||||||||||||||||||
Electronics Fund | 202,119 | (202,119 | ) | — | 206,462 | — | 206,462 | ||||||||||||||||||
Energy Fund | 255,956 | (255,956 | ) | — | 260,920 | — | 260,920 | ||||||||||||||||||
Energy Services Fund | 403,316 | (403,316 | ) | — | 433,911 | — | 433,911 | ||||||||||||||||||
Health Care Fund | 95,848 | (95,848 | ) | — | 98,408 | — | 98,408 | ||||||||||||||||||
Internet Fund | 525,785 | (525,785 | ) | — | 536,434 | — | 536,434 | ||||||||||||||||||
Leisure Fund | 395,106 | (395,106 | ) | — | 411,069 | — | 411,069 | ||||||||||||||||||
Precious Metals Fund | 820,457 | (820,457 | ) | — | 843,044 | — | 843,044 | ||||||||||||||||||
Real Estate Fund | 37,129 | (37,129 | ) | — | 37,788 | — | 37,788 | ||||||||||||||||||
Retailing Fund | 340,257 | (340,257 | ) | — | 346,638 | — | 346,638 | ||||||||||||||||||
Technology Fund | 382,693 | (382,693 | ) | — | 392,241 | — | 392,241 | ||||||||||||||||||
Telecommunications Fund | 138,934 | (138,934 | ) | — | 143,121 | — | 143,121 | ||||||||||||||||||
Transportation Fund | 186,908 | (186,908 | ) | — | 194,565 | — | 194,565 |
(a) | Actual collateral received by the Fund is greater than the amount shown due to overcollateralization. |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
Note 6 – Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax or federal excise tax is required.
Tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns are evaluated to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Management has analyzed the Funds’ tax positions taken, or to be taken, on federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds’ federal tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2018, the cost of securities for Federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost, and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value were as follows:
Fund | Tax | Tax | Tax | Net | ||||||||||||
Banking Fund | $ | 4,676,654 | $ | 1,500,825 | $ | (28,895 | ) | $ | 1,471,930 | |||||||
Basic Materials Fund | 6,069,638 | 2,764,755 | (13,537 | ) | 2,751,218 | |||||||||||
Biotechnology Fund | 14,707,245 | 11,806,243 | (322,562 | ) | 11,483,681 | |||||||||||
Consumer Products Fund | 7,713,979 | 4,189,563 | (66,790 | ) | 4,122,773 | |||||||||||
Electronics Fund | 4,803,367 | 2,909,953 | (43,805 | ) | 2,866,148 | |||||||||||
Energy Fund | 14,589,602 | 3,959,059 | (14,444 | ) | 3,944,615 | |||||||||||
Energy Services Fund | 7,902,842 | 208,217 | (25,043 | ) | 183,174 | |||||||||||
Financial Services Fund | 10,118,149 | 2,547,856 | (28,295 | ) | 2,519,561 | |||||||||||
Health Care Fund | 15,216,110 | 8,816,255 | (139,169 | ) | 8,677,086 | |||||||||||
Internet Fund | 9,613,410 | 4,150,053 | (62,367 | ) | 4,087,686 | |||||||||||
Leisure Fund | 7,834,176 | 1,624,640 | (49,040 | ) | 1,575,600 | |||||||||||
Precious Metals Fund | 20,611,760 | 276,352 | (192,241 | ) | 84,111 | |||||||||||
Real Estate Fund | 11,586,279 | 2,508,893 | (5,314 | ) | 2,503,579 | |||||||||||
Retailing Fund | 8,758,686 | 862,695 | (74,660 | ) | 788,035 | |||||||||||
Technology Fund | 18,370,669 | 9,015,798 | (76,570 | ) | 8,939,228 | |||||||||||
Telecommunications Fund | 2,432,823 | 343,083 | (9,621 | ) | 333,462 | |||||||||||
Transportation Fund | 4,017,782 | 3,019,707 | (448 | ) | 3,019,259 | |||||||||||
Utilities Fund | 12,741,166 | 4,241,871 | — | 4,241,871 |
Note 7 – Securities Transactions
For the period ended June 30, 2018, the cost of purchases and proceeds from sales of investment securities, excluding government securities, short-term investments and derivatives, were as follows:
Fund | Purchases | Sales | ||||||
Banking Fund | $ | 11,788,982 | $ | 15,339,039 | ||||
Basic Materials Fund | 5,313,732 | 13,239,616 | ||||||
Biotechnology Fund | 12,363,441 | 16,849,769 | ||||||
Consumer Products Fund | 6,481,067 | 9,772,506 | ||||||
Electronics Fund | 15,283,846 | 19,251,190 | ||||||
Energy Fund | 55,317,450 | 55,140,052 | ||||||
Energy Services Fund | 13,515,222 | 14,577,886 | ||||||
Financial Services Fund | 28,162,917 | 31,650,038 | ||||||
Health Care Fund | 18,545,836 | 18,590,932 | ||||||
Internet Fund | 34,941,831 | 32,210,803 | ||||||
Leisure Fund | 11,926,461 | 12,305,485 | ||||||
Precious Metals Fund | 86,525,836 | 94,794,319 | ||||||
Real Estate Fund | 25,439,886 | 21,704,310 | ||||||
Retailing Fund | 12,551,474 | 12,013,698 | ||||||
Technology Fund | 26,294,613 | 24,503,653 | ||||||
Telecommunications Fund | 3,251,292 | 4,154,973 | ||||||
Transportation Fund | 9,771,306 | 14,500,291 | ||||||
Utilities Fund | 21,268,141 | 18,970,603 |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board of the Trust. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each transaction is effected at the current market price to save costs, where permissible. For the period ended June 30, 2018, the Funds engaged in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act, as follows:
Fund | Purchases | Sales | Realized | |||||||||
Banking Fund | $ | 3,007,467 | $ | 3,972,094 | $ | 75,255 | ||||||
Basic Materials Fund | 479,268 | 2,334,601 | 101,141 | |||||||||
Biotechnology Fund | 2,067,810 | 2,117,281 | 119,572 | |||||||||
Consumer Products Fund | 1,369,562 | 981,271 | 40,596 | |||||||||
Electronics Fund | 3,130,758 | 5,300,330 | 371,517 | |||||||||
Energy Fund | 6,877,572 | 5,108,481 | (109,069 | ) | ||||||||
Energy Services Fund | 2,923,423 | 4,420,744 | 82,779 | |||||||||
Financial Services Fund | 6,238,714 | 6,547,708 | 62,876 | |||||||||
Health Care Fund | 3,592,976 | 3,504,481 | 193,832 | |||||||||
Internet Fund | 8,497,507 | 7,915,855 | (154,724 | ) | ||||||||
Leisure Fund | 2,568,260 | 1,934,913 | (32,975 | ) | ||||||||
Precious Metals Fund | 7,830,378 | 6,556,660 | 3,000 | |||||||||
Real Estate Fund | 5,467,842 | 4,733,651 | (19,381 | ) | ||||||||
Retailing Fund | 1,482,443 | 4,178,559 | (39,805 | ) | ||||||||
Technology Fund | 4,645,546 | 6,756,046 | (103,679 | ) | ||||||||
Telecommunications Fund | 458,320 | 1,193,536 | 5,981 | |||||||||
Transportation Fund | 1,048,489 | 2,487,339 | 36,586 | |||||||||
Utilities Fund | 2,753,636 | 1,736,315 | 33,627 |
Note 8 – Line of Credit
The Trust, along with other affiliated trusts, secured an uncommitted $75,000,000 line of credit from U.S. Bank, N.A., which expires June 9, 2019. This line of credit is reserved for emergency or temporary purposes. Borrowings, if any, under this arrangement bear interest equal to the Prime Rate, minus 2%, which shall be paid monthly, averaging 2.66% for the period ended June 30, 2018. The Funds did not have any borrowings outstanding under this agreement at June 30, 2018.
The average daily balances borrowed for the period ended June 30, 2018, were as follows:
Fund | Average Daily Balance | |||
Banking Fund | $ | 203 | ||
Basic Materials Fund | 79 | |||
Biotechnology Fund | 12,241 | |||
Consumer Products Fund | 304 | |||
Electronics Fund | 756 | |||
Energy Fund | 668 | |||
Energy Services Fund | 496 | |||
Financial Services Fund | 726 | |||
Health Care Fund | 2,986 | |||
Internet Fund | 553 | |||
Leisure Fund | 605 | |||
Precious Metals Fund | 701 | |||
Real Estate Fund | 756 | |||
Retailing Fund | 416 | |||
Technology Fund | 4,227 | |||
Telecommunications Fund | 279 | |||
Transportation Fund | 1,184 | |||
Utilities Fund | 789 |
128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 9 – Legal Proceedings
Tribune Company
Rydex Variable Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Variable Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Variable Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Variable Trust has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-2696 (S.D.N.Y.) (the “MDL Proceeding”).
On September 23, 2013, the District Court granted the defendants’ omnibus motion to dismiss the SLCFC actions, on the basis that the creditors lacked standing. On September 30, 2013, the creditors filed a notice of appeal of the September 23 order. On October 28, 2013, the defendants filed a joint notice of cross-appeal of that same order. On March 29, 2016, the U.S. Court of Appeals for the Second Circuit issued its opinion on the appeal of the SLCFC actions. The appeals court affirmed the district court’s dismissal of those lawsuits, but on different grounds than the district court. The appeals court held that while the plaintiffs have standing under the U.S. Bankruptcy Code, their claims were preempted by Section 546(e) of the Bankruptcy Code—the statutory safe harbor for settlement payments. On April 12, 2016, the Plaintiffs in the SLCFC actions filed a petition seeking rehearing en banc before the appeals court. On July 22, 2016, the appeals court denied the petition. On September 9, 2016, the plaintiffs filed a petition for writ of certiorari in the U.S. Supreme Court challenging the Second Circuit’s decision that the safe harbor of Section 546(e) applied to their claims. The shareholder defendants, including the Funds, filed a joint brief in opposition to the petition for certiorari on October 24, 2016. On April 3, 2018, Justice Kennedy and Justice Thomas issued a “Statement” related to the petition for certiorari suggesting that the Second Circuit and/or District Court may want to take steps to reexamine the application of the Section 546(e) safe harbor to the previously dismissed state law constructive fraudulent transfer claims based on the Supreme Court’s decision in Merit Management Group LP v. FTI Consulting, Inc. On April 10, 2018, Plaintiffs filed in the Second Circuit a motion for that court to recall its mandate, vacate its prior decision, and remand to the district court for further proceedings consistent with Merit Management. On April 20, 2018, the shareholder defendants filed an opposition to Plaintiffs’ motion to recall the mandate. On May 15, 2018, the Second Circuit issued an order recalling the mandate “in anticipation of further panel review.”
On May 23, 2014, the defendants filed motions to dismiss the FitzSimons action, including a global motion to dismiss Count I, which is the claim brought against former Tribune shareholders for intentional fraudulent conveyance under U.S. federal law. On January 6, 2017, the United States District Court for the Southern District of New York granted the shareholder defendants’ motion to dismiss the intentional fraudulent conveyance claim in the FitzSimons action. The Court concluded that the plaintiff had failed to allege that Tribune entered the LBO with actual intent to hinder, delay, or defraud its creditors, and therefore the complaint failed to state a claim. In dismissing the intentional fraudulent conveyance claim, the Court denied the plaintiff’s request to amend the complaint. On February 23, 2017, the Court issued an order stating that it intends to permit an interlocutory appeal of the dismissal order, but will wait to do so until it has resolved outstanding motions to dismiss filed by other defendants. Accordingly, the timing of the appeal is uncertain.
On July 18, 2017, the plaintiff submitted a letter to the District Court seeking leave to amend its complaint to add a constructive fraudulent transfer claim. The shareholder defendants opposed that request. On August 24, 2017, the Court denied the plaintiff’s request without prejudice to renewal of the request in the event of an intervening change in the law. On March 8, 2018, the plaintiff renewed his request for leave to file a
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
motion to amend the complaint to assert a constructive fraudulent transfer claim based on the Supreme Court’s ruling in Merit Management Group LP v. FTI Consulting, Inc. The shareholder defendants opposed that request. On June 18, 2018 the District Court ordered that the request would be stayed pending further action by the Second Circuit in the SLCFC actions.
None of these lawsuits alleges any wrongdoing on the part of Rydex Variable Trust. The following series of Rydex Variable Trust held shares of Tribune and tendered these shares as part of Tribune’s LBO: Nova Fund, S&P 500 2x Strategy Fund, Multi-Cap Core Equity Fund, S&P 500 Pure Value Fund, Hedged Equity Fund and Multi-Hedge Strategies Fund (the “Funds”). The value of the proceeds received by the foregoing Funds was $12,580, $2,380, $1,360, $148,376, $2,720, and $119,034, respectively. At this stage of the proceedings, Rydex Variable Trust is not able to make a reliable predication as to the outcome of these lawsuits or the effect, if any, on a Fund’s net asset value.
130 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited) |
Proxy Voting Information
A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to securities held in the Funds’ portfolios is available, without charge and upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800.820.0888. This information is also available from the EDGAR database on the SEC’s website at https://www.sec.gov.
Sector Classification
Information in the Schedule of Investments is categorized by sectors using sector-level Classifications defined by the Bloomberg Industry Classification System, a widely recognized industry classification system provider. Each Fund’s registration statement has investment policies relating to concentration in specific sectors/industries. For purposes of these investment policies, the Funds usually classify sectors/industries based on industry-level Classifications used by widely recognized industry classification system providers such as Bloomberg Industry Classification System, Global Industry Classification Standards and Barclays Global Classification Scheme.
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 https://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and that information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. Copies of the portfolio holdings are also available to shareholders, without charge and upon request, by calling 800.820.0888.
Board Considerations in Approving the Investment Advisory Agreement
The Board of Trustees (the “Board”) of Rydex Variable Trust (the “Trust”), including the Trustees who are not “interested persons,” as defined by the Investment Company Act of 1940, of the Trust (“Independent Trustees”), attended an in-person meeting held on May 21, 2018, called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust and Security Investors, LLC (the “Advisor”) applicable to each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Board unanimously approved the Investment Advisory Agreement for an additional one-year period based on the Board’s review of qualitative and quantitative information provided by the Advisor. The Board had previously considered information pertaining to the renewal of the Investment Advisory Agreement at an in-person meeting held on April 25, 2018 (together, with the May 21st meeting, the “Meetings”). The Board considered the materials provided by the Advisor and the review conducted at the April 25th meeting to be an integral part of the Trustees’ deliberations and their process in considering the renewal of the Investment Advisory Agreement.
Prior to reaching the conclusion to approve the Investment Advisory Agreement the Independent Trustees requested and obtained from the Advisor such information as the Independent Trustees deemed reasonably necessary to evaluate the Investment Advisory Agreement. In addition, the Board received a memorandum from the independent legal counsel to the Independent Trustees regarding the Board’s fiduciary responsibilities under state and federal law with respect to the Board’s consideration of the renewal or approval of investment advisory agreements, and participated in discussions with representatives of the Advisor during which the representatives answered the Independent Trustees’ questions and agreed to provide certain additional information for their consideration. The Independent Trustees also carefully considered information that they had received throughout the year as part of their regular oversight of the Funds. At the Meetings, the Board obtained and reviewed a wide variety of information, including certain comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). The Independent Trustees carefully evaluated this information, met in executive session outside the presence of fund management, and were advised by independent legal counsel with respect to their deliberations.
At the Meetings, the Board, including the Independent Trustees, evaluated a number of factors, including among others: (a) the nature, extent and quality of the Advisor’s investment advisory and other services; (b) the Advisor’s substantial commitment to the recruitment and retention of high quality personnel; (c) a comparison of the Funds’ advisory fees to the advisory fees charged to comparable funds or accounts, giving special attention to the existence of economies of scale; (d) each Fund’s overall fees and operating expenses compared with those of similar funds; (e) the level of the Advisor’s profitability from its Fund-related operations; (f) the Advisor’s compliance processes and systems; (g) the Advisor’s compliance policies and procedures; (h) the Advisor’s reputation, expertise and resources in the financial markets; (i) Fund
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OTHER INFORMATION (Unaudited)(continued) |
performance compared with that of similar funds and/or appropriate benchmarks; (j) other benefits to the Advisor and/or its affiliates from their relationship to the Funds; and (k) the Advisor’s maintenance of operational resources necessary to manage the Funds in a professional manner consistent with the best interests of the Funds and their shareholders. In its deliberations, the Trustees did not identify any particular factor or factors as controlling, noting that each Trustee could attribute different weights to the various factors considered.
Based on the Board’s deliberations at the Meetings, the Board, including all of the Independent Trustees, unanimously: (a) concluded that the terms of the Investment Advisory Agreement are fair and reasonable; (b) concluded that the Advisor’s fees for each Fund are reasonable in light of, and not so disproportionately large as to bear no reasonable relationship to, the services that it provides to each Fund; and (c) agreed to approve and continue the Investment Advisory Agreement based upon the following considerations, among others:
Nature, Extent and Quality of Services Provided by the Advisor. The Board evaluated, among other things, the Advisor’s business, financial resources, quality and quantity of personnel, experience, past performance, the variety and complexity of its investment strategies (including the extent to which the Funds use derivatives), Fund risk management process, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity programs. The Board reviewed the scope of services to be provided by the Advisor under the Investment Advisory Agreement and noted that there would be no significant differences between the scope of services required to be provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. The Board, however, examined whether the loss of certain advisory personnel in connection with the recent sale of the Guggenheim ETF business might affect the services provided by the Advisor to the remaining Funds. The Board was assured that such personnel were not previously involved in the management of the Funds and that their departure would not affect the nature, extent or quality of the services provided by the Advisor. The Board also considered the Advisor’s representations to the Board that the Advisor would continue to provide investment and related services that were of materially the same quality and quantity as services provided to the Funds in the past, and whether these services are appropriate in scope and extent in light of the Funds’ operations, the competitive landscape of the investment company business and investor needs. Based on the foregoing, the Trustees determined that the approval of the Investment Advisory Agreement would enable shareholders of the Funds to receive high quality services at a cost that was appropriate and reasonable.
Fund Expenses and Performance of the Funds and the Advisor. The Board reviewed statistical information provided by the Advisor regarding the expense ratio components and performance of each Fund. The Advisor engaged FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, to prepare reports to help the Board compare the Funds’ fees, expenses, and total return performance with those of a peer group and peer universe of funds selected by FUSE. In the FUSE reports, each Fund’s expense ratio components, including actual advisory fees, waivers/reimbursements, and gross and net total expenses, are compared to those of other funds with shared key characteristics (e.g., asset size, fee structure, sector or industry investment focus) determined by FUSE to comprise a Fund’s applicable peer group. The Board considered the Advisor’s representation that it found the peer groups compiled by FUSE to be appropriate, but also acknowledged the existence of certain differences between the Funds and their peer funds (e.g., specific differences in principal investment strategies, index rebalance frequency, and, in certain cases, the Fund’s tradability feature) that should be reviewed in context. With respect to tradability, in particular, the Board considered that non-tradable funds incur lower expense ratios than tradable funds because non-tradable funds experience less shareholder activity and lower transaction volumes than tradable funds. The statistical information related to the performance of each Fund included three-month and one-, three-, and five-year performance for the Fund compared to that of its peers. With respect to the Funds that track an underlying index (“Index Funds”), the Board also discussed the correlation between an Index Fund’s assets under management and tracking error, noting that an Index Fund’s ability to replicate an underlying index rather than employ representative sampling depends, in part, upon the Index Fund’s size. The Board also considered and requested information detailing the effect of the recent sale of the Guggenheim ETF business on the expense allocation methodology employed by the Advisor. After reviewing the additional information provided by the Advisor, the Board determined the impact on the Funds would be minimal. Based on the foregoing, the Board determined that the proposed advisory fees paid by the Funds are reasonable in relation to the nature and quality of the services provided by the Advisor.
Costs of Services Provided to the Funds and Profits Realized by the Advisor and its Affiliates. The Board reviewed information about the profitability of the Funds to the Advisor based on the advisory fees payable under the current Investment Advisory Agreement for the last calendar year. The Board analyzed the Funds’ expenses, including the investment advisory fees paid to the Advisor, and reviewed the FUSE reports. The Board also reviewed information regarding the direct revenue received by the Advisor and ancillary revenue, if any, received by the Advisor and/or its affiliates in connection with the services provided to the Funds by the Advisor and/or its affiliates. The Board also discussed the Advisor’s profit margin, including the expense allocation methodology used in the Advisor’s profitability analysis. The Board also considered the effect of the recent sale of the Guggenheim ETF business on the Advisor’s and its affiliates’ profitability, and similar to its conclusion with respect to expenses, determined that the impact would be minimal. Based on the foregoing, the Board determined that the profit to the Advisor on the fees paid by the Funds is not excessive in view of the nature and quality of the services provided by the Advisor.
132 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(concluded) |
Economies of Scale. The Board considered the absence of breakpoints in the Advisor’s fee schedule and reviewed information regarding the extent to which economies of scale or other efficiencies may result from increases in the Funds’ asset levels. In light of the relatively small size of many of the Funds, the current expectation that assets levels are likely to remain the same or decline in the near future due to changes in demand for variable insurance products, and the fact that the size of individual Funds in the complex often increase and decrease significantly due to the unlimited trading that is permitted among most of the Funds in the complex, the Board concluded that the Funds have not yet achieved sufficient asset levels to realize meaningful economies of scale. The Board noted that it intends to continue to monitor fees as each Fund grows in size and assess whether fee breakpoints may be warranted.
Other Benefits to the Advisor and/or its Affiliates. In addition to evaluating the Advisor’s services, the Board considered the nature and amount of other benefits to be derived by the Advisor and its affiliates as a result of their relationship with the Funds, including any intangible benefits to the Advisor. In particular, the Board considered the nature, extent, quality, and cost of certain distribution and shareholder services performed by the Advisor’s affiliate, Guggenheim Funds Distributors, LLC, under the investor services agreement and investor services plan with respect to the Funds, and under separate distribution agreements, Distribution Plans and Distribution and Shareholder Services Plans pursuant to Rule 12b-1 of the 1940 Act with respect to other of the funds in the Funds’ family of funds. In light of the costs of providing services pursuant to the separate agreements as well as the Advisor’s and its affiliate’s commitment to the Funds, the Board concluded the ancillary benefits the Advisor and its affiliates received were reasonable.
On the basis of the information provided to it and its evaluation of that information, the Board, including the Independent Trustees, concluded that the terms of the Investment Advisory Agreement were reasonable, and that approval of the Investment Advisory Agreement was in the best interests of each Fund and its shareholders.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 133 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
A Board of Trustees oversees the Trust, as well as other trusts of GI, 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 visiting guggenheiminvestments.com or by calling 800.820.0888.
Name, Address* and | Position(s) Held with the | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | ||||
Amy J. Lee** (1961) | Trustee (February 2018-present) and President (2017-present) | Current: Interested Trustee, certain other funds in the Fund Complex (February 2018-present); Chief Legal Officer and Vice President, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-February 2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 165 | None. |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee, Member of the Audit Committee, and Member of the Compliance and Risk Oversight Committee from 2016 to present; and Member of the Governance and Nominating Committee and Chairwoman of the Compliance and Risk Oversight Committee from 2017 to present. | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm)
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 110 | Infinity Property & Casualty Corporation (2014-present). |
Corey A. Colehour (1945) | Trustee from 1993 to present; Member of the Audit Committee from 1994 to present; Member of the Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2014 to present. | Retired. | 110 | None. |
J. Kenneth Dalton (1941) | Trustee from 1995 to present; Chairman and Member of the Audit Committee from 1997 to present; and Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 110 | Epiphany Funds (2) (2009-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* and | Position(s) Held with the | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | ||||
John O. Demaret (1940) | Trustee and Member of the Audit Committee from 1997 to present; Member of the Compliance and Risk Oversight Committee from 2010 to present. | Retired. | 110 | None. |
Werner E. Keller (1940) | Chairman of the Board from 2014 to present; Trustee and Member of the Audit Committee from 2005 to present. | Current: Founder and President, Keller Partners, LLC (investment research firm) (2005-present). | 110 | None. |
Thomas F. Lydon, Jr. (1960) | Trustee and Member of the Audit Committee from 2005 to present; Chairman and Member of the Governance and Nominating Committee from 2017 to present; and Member of the Investment and Performance Committee from 2018 to present. | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 110 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trust (3) (2017-present). |
Patrick T. McCarville (1942) | Trustee and Member of the Audit Committee from 1998 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired.
Former: Chief Executive Officer, Par Industries, Inc., d/b/a Par Leasing (1977-2010). | 110 | None. |
Sandra G. Sponem (1958)
| Trustee, Member of the Audit Committee and Chairwoman and Member of the Investment and Performance Committee from 2016 to present; and Member of the Governance and Nominating Committee from 2017 to present. | Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 110 | None. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS | ||
Michael P. Byrum (1970) | Vice President (2000-present) | Current: Senior Vice President, Security Investors, LLC (2010-present); Senior Managing Director, Guggenheim Investments (2010-present); President and Chief Investment Officer, Rydex Holdings, LLC (2008-present) and Director and Chairman, Advisory Research Center, Inc. (2006-present).
Former: Manager, Guggenheim Specialized Products, LLC (2005-April 2018); Vice President, Guggenheim Distributors, LLC (2009); Director (2009-2010) and Secretary (2002-2010), Rydex Fund Services, LLC (now MUFG Investor Services (US), LLC); Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors, LLC; Director (2008-2010), Chief Investment Officer (2006-2010), President (2004-2010) and Secretary (2002-2010), Rydex Advisors II, LLC. |
James M. Howley (1972) | Assistant Treasurer (2016-present) | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
Former: Manager of Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Keith D. Kemp (1960) | Assistant Treasurer (2016-present) | Current: Treasurer and Assistant Treasurer, certain other funds in the Fund Complex (2010-present); Managing Director of Guggenheim Partners Investment Management, LLC (2015-present).
Former: Chief Financial Officer, Guggenheim Specialized Products, LLC (2016-April 2018); Managing Director and Director, Transparent Value, LLC (2010-2016); Director, Guggenheim Partners Investment Management, LLC (2010-2015); Chief Operating Officer, Macquarie Capital Investment Management (2007-2009). |
Mark E. Mathiasen (1978) | Secretary (2017-present) | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2007-present).
Former: Tax Compliance Manager, Ernst & Young LLP (1996-2009). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present) | Current: CCO, certain other funds in the Fund Complex (2012-present); Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: CCO, Security Investors, LLC (2012-2018); CCO, Guggenheim Funds Investment Advisors, LLC (2012-2018); CCO, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2009); Senior Manager, Guggenheim Distributors, LLC (2004-2009). |
Adam J. Nelson (1979) | Assistant Treasurer (2016-present) | Current: Vice President, Guggenheim Investments (2015-present); Assistant Treasurer, certain other funds in the Fund Complex (2015-present).
Former: Assistant Vice President and Fund Administration Director, State Street Corporation (2013-2015); Fund Administration Assistant Director, State Street (2011-2013); Fund Administration Manager, State Street (2009-2011). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS - concluded | ||
Kimberly J. Scott (1974) | Assistant Treasurer (2016-present) | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009). |
John L. Sullivan (1955)
| Chief Financial Officer and Treasurer (2016-present) | Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004). |
Jon Szafran (1989) | Assistant Treasurer (November 2017-Present) | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present).
Former: Assistant Treasurer of Henderson Global Funds and Manager of US Fund Administration, Henderson Global Investors (North America) Inc. (“HGINA”) (2017); Senior Analyst of US Fund Administration, HGINA (2014-2017); Senior Associate of Fund Administration, Cortland Capital Market Services, LLC (2013-2014); Experienced Associate, PricewaterhouseCoopers LLP (2012-2013). |
* | All Trustees and Officers may be reached c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | This Trustee is an “interested person” (as defined in Section 2(a)(19) of the 1940 Act) (“Interested Trustee”) of the Trust because of her affiliation with Guggenheim Investments. |
*** | The “Fund Complex” includes all closed-end and open-end funds (including all of their portfolios) advised by the Adviser and any funds that have an investment adviser or servicing agent that is an affiliated person of the Adviser. Information provided is as of the date of this report. |
**** | Certain of the Trustees may serve as directors on the boards of companies not required to be disclosed above, including certain non-profit companies and charitable foundations. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 137 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited) |
Who We Are
This Privacy Notice describes the data protection practices of Guggenheim Investments. Guggenheim Investments as used herein refers to the affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC, Security Investors, LLC, Guggenheim Investment Advisors (Europe) Limited, Guggenheim Real Estate, LLC, GS Gamma Advisors, LLC, Guggenheim Partners India Management, LLC, Guggenheim Partners Europe Limited, as well as the funds in the Guggenheim Funds complex (the “Funds”) (“Guggenheim Investments,” “we,” “us,” or “our”).
Guggenheim Partners Investment Management Holdings, LLC, located at 330 Madison Avenue, New York, New York 10017 is the data controller for your information. The Affiliates who are also controllers of certain of your information are: Guggenheim Investment Advisors (Europe) Limited, Guggenheim Partners Europe Limited, Guggenheim Partners, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Partners Investment Management, LLC, Guggenheim Funds Distributors, LLC and Security Investors, LLC, as well as the Funds.
Our Commitment to You
Guggenheim Investments considers your privacy our utmost concern. When you become our client or investor, you entrust us with not only your hard-earned money but also with your personal and financial information. Because we have access to your private information, we hold ourselves to the highest standards in its safekeeping and use. We strictly limit how we share your information with others, whether you are a current or former Guggenheim Investments client or investor.
The Information We Collect About You
We collect certain nonpublic personal information about you from information you provide on applications, other forms, our website, and/or from third parties including investment advisors. This information includes Social Security or other tax identification number, assets, income, tax information, retirement and estate plan information, transaction history, account balance, payment history, bank account information, marital status, family relationships, information that we collect on our website through the use of “cookies,” and other personal information that you or others provide to us. We may also collect such information through your inquiries by mail, e-mail or telephone. We may also collect customer due diligence information, as required by applicable law and regulation, through third party service providers.
How We Handle Your Personal Information
The legal basis for using your information as set out in this Privacy Notice is as follows: (a) use of your personal data is necessary to perform our obligations under any contract with you (such as a contract for us to provide financial services to you); or (b) where use of your personal data is not necessary for performance of a contract, use of your personal data is necessary for our legitimate interests or the legitimate interests of others (for example, to enforce the legal terms governing our services, operate and market our website and other services we offer, ensure safe environments for our personnel and others, make and receive payments, prevent fraud and to know the customer to whom we are providing the services). Some processing is done to comply with applicable law.
In addition to the specific uses described above, we also use your information in the following manner:
● | We use your information in connection with servicing your accounts. |
● | We use information to respond to your requests or questions. For example, we might use your information to respond to your customer feedback. |
● | We use information to improve our products and services. We may use your information to make our website and products better. We may use your information to customize your experience with us. |
● | We use information for security purposes. We may use your information to protect our company and our customers. |
● | We use information to communicate with you. For example, we will communicate with you about your account or our relationship. We may contact you about your feedback. We might also contact you about this Privacy Notice. We may also enroll you in our email newsletter. |
138 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies.
You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
How We Protect Privacy Online
We take steps to protect your privacy when you use our web site – www.guggenheiminvestments.com – by using secure forms of online communication, including encryption technology, Secure Socket Layer (SSL) protocol, firewalls and user names and passwords. These safeguards vary based on the sensitivity of the information that we collect and store. However, we cannot and do not guarantee that these measures will prevent every unauthorized attempt to access, use, or disclose your information since despite our efforts, no Internet and/or other electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
140 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
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Item 2. Code of Ethics.
Not applicable at this time.
Item 3. Audit Committee Financial Expert.
Not applicable at this time.
Item 4. Principal Accountant Fees and Services.
Not applicable at this time.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported timely.
(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed End Fund Management Investment Companies.
Not Applicable
Item 13. Exhibits.
(a)(1) Not applicable.
(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 Variable Trust | |
By (Signature and Title)* | /s/ Amy J. Lee | |
Amy J. Lee, President |
Date | September 7, 2018 |
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/ Amy J. Lee | |
Amy J. Lee, President |
Date | September 7, 2018 | |
By (Signature and Title)* | /s/ John L. Sullivan | |
John L. Sullivan, Chief Financial Officer and Treasurer |
Date | September 7, 2018 |
* | Print the name and title of each signing officer under his or her signature. |