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 number811- 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:June 30, 2019
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:
6.30.2019
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 |
Beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports may no longer be sent by mail, unless you specifically request paper copies of the reports from the insurance company that offers your contract or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and other communications from the insurance company electronically by following the instructions provided by the insurance company.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company that you wish to receive paper copies of reports by following the instructions provided by the insurance company. Your election to receive reports in paper will apply to all portfolio companies available under your contract.
GuggenheimInvestments.com | RVALTS-SEMI-0619x1219 |
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 | 24 |
MULTI-HEDGE STRATEGIES FUND | 32 |
COMMODITIES STRATEGY FUND | 56 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | 62 |
OTHER INFORMATION | 75 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 78 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 81 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
| June 30, 2019 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual 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 semi-annual period ended June 30, 2019.
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.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
July 31, 2019
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 Fund’s 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, 2019 |
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 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 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 is subject 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, 2019 |
U.S. economic growth slowed to an annualized 2.1% in the second quarter from 3.1% in the first quarter. Personal consumption expenditures rebounded sharply, as expected, while government spending contributed an outsized 0.9% to growth, the most since mid-2009. However, negative contributions were seen from housing, business capital expenditures, inventory investment, and net exports. Looking ahead, we expect the economy to grow at a 2.0% pace in the third quarter.
The second quarter gross domestic product (GDP) release also featured annual revisions to the five prior years of data, which showed that growth peaked in year-over-year terms in the second quarter of 2018, earlier than previously thought. An upwardly revised personal savings rate could give consumption room to run, while downwardly revised and shrinking corporate profits may continue to pressure investment spending and could begin to weigh more heavily on hiring.
With growth in the first half of the year coming in somewhat above potential, the labor market continued to strengthen, albeit at a slower pace than the year before. Net monthly payroll gains averaged 165,000 in the first half of 2019, down from 235,000 in the first half of 2018. This was enough to push the unemployment rate down by 0.2% to 3.7%. While the labor market remains strong, we believe the sharper slowdown in aggregate hours worked—a component of Guggenheim’s U.S. Recession Dashboard—may foreshadow a deterioration in labor market conditions in 2020.
After a weak start to the year, core inflation picked up in the second quarter but remained below the U.S. Federal Reserve’s (the “Fed”) target at 1.8% annualized. We expect inflation to firm a bit further in the second half of 2019. The Fed is also closely watching inflation expectations, which currently sit below levels the Fed would like to see. After a 14% decline in the fourth quarter of 2018, stocks rebounded as the Fed’s pivot on monetary policy took hold, and the government shutdown was resolved.
Internationally, the European Central Bank kept policy rates constant but modified their forward guidance, noting that rates would remain at or below current levels until mid-2020 at the earliest. They also signaled a high probability of rate cuts and a resumption of asset purchases at the September meeting. In Japan, core inflation weakened in the second quarter to 0.6%, while industrial production and exports remained in contraction from year ago levels.
Although the U.S. economy is in good shape overall, on July 31, 2019, after the period ended, the Fed announced its first rate cut since 2008 amid growing downside risks to policymakers’ baseline growth and inflation forecasts. Key among these are slowing global growth, the threat of additional U.S.-China tariffs and a possible hard Brexit, the odds of which have increased with the ascendance of Boris Johnson as the U.K. Prime Minister. While a possible U.S. fiscal contraction in 2020 was averted by the recently-signed budget deal, we expect two more Fed rate cuts in 2019, as Chair Jerome Powell seeks to sustain the expansion. In our view, this could serve to embolden the White House to impose new tariffs on China and Europe later this year, which could in turn further cloud the outlook for global growth.
For the six months ended June 30, 2019, the Standard & Poor’s 500® (“S&P 500”) Index* returned 18.54%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 14.03%. The return of the MSCI Emerging Markets Index* was 10.58%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 6.11% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 9.94%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 1.24% 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.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2019 |
*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.
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.
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.
Morningstar Long/Short Equity Category Average is an average return of the funds in the Morningstar Long/Short Equity Category. The categories assist investors and investment professionals in making meaningful comparisons between funds.
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.
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 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
ABOUT SHAREHOLDERS’ FUND EXPENSES (Unaudited) |
|
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, 2018 and ending June 30, 2019.
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) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
Long Short Equity Fund | 1.76% | 1.52% | $ 1,000.00 | $ 1,015.20 | $ 8.79 |
Global Managed Futures Strategy Fund | 1.80% | 6.06% | 1,000.00 | 1,060.60 | 9.20 |
Multi-Hedge Strategies Fund | 1.72% | 3.99% | 1,000.00 | 1,039.90 | 8.70 |
Commodities Strategy Fund | 1.86% | 11.35% | 1,000.00 | 1,113.50 | 9.75 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Long Short Equity Fund | 1.76% | 5.00% | $ 1,000.00 | $ 1,016.07 | $ 8.80 |
Global Managed Futures Strategy Fund | 1.80% | 5.00% | 1,000.00 | 1,015.87 | 9.00 |
Multi-Hedge Strategies Fund | 1.72% | 5.00% | 1,000.00 | 1,016.27 | 8.60 |
Commodities Strategy Fund | 1.86% | 5.00% | 1,000.00 | 1,015.57 | 9.30 |
1 | Annualized and excludes expenses of the underlying funds in which the Funds invest, if any. This ratio represents net expenses, which includes dividends on short sales. Excluding these expenses, the operating expense ratio of the Multi-Hedge Strategies Fund would be 1.18%. |
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, 2018 to June 30, 2019. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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) | |
Exxon Mobil Corp. | 1.3% |
Chevron Corp. | 1.3% |
Pfizer, Inc. | 1.2% |
Merck & Company, Inc. | 1.2% |
Medtronic plc | 1.1% |
Kinder Morgan, Inc. | 1.1% |
Omnicom Group, Inc. | 1.1% |
Amgen, Inc. | 1.1% |
Alphabet, Inc. — Class C | 1.1% |
Verizon Communications, Inc. | 1.1% |
Top Ten Total | 11.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Long Short Equity Fund | 1.52% | (4.09%) | 1.32% | 5.21% |
HFRX Equity Hedge Index | 5.97% | (4.24%) | 0.66% | 1.39% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
Morningstar Long/Short Equity Category Average | 7.87% | 1.60% | 2.12% | 5.43% |
* | 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 the 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
LONG SHORT EQUITY FUND |
|
| Value | ||||||
COMMON STOCKS† - 98.5% | ||||||||
Consumer, Non-cyclical - 32.7% | ||||||||
Pfizer, Inc. | 7,254 | $ | 314,243 | |||||
Merck & Company, Inc. | 3,743 | 313,851 | ||||||
Medtronic plc | 3,138 | 305,610 | ||||||
Amgen, Inc.1 | 1,615 | 297,612 | ||||||
McKesson Corp. | 2,102 | 282,488 | ||||||
Archer-Daniels-Midland Co. | 6,808 | 277,767 | ||||||
Gilead Sciences, Inc.1 | 4,053 | 273,821 | ||||||
Kimberly-Clark Corp.1 | 2,020 | 269,225 | ||||||
Johnson & Johnson1 | 1,885 | 262,543 | ||||||
PepsiCo, Inc.1 | 1,854 | 243,115 | ||||||
Zimmer Biomet Holdings, Inc.1 | 1,882 | 221,587 | ||||||
Ingredion, Inc.1 | 2,640 | 217,774 | ||||||
Becton Dickinson and Co. | 859 | 216,477 | ||||||
Baxter International, Inc.1 | 2,475 | 202,702 | ||||||
CVS Health Corp.1 | 3,646 | 198,671 | ||||||
Molson Coors Brewing Co. — Class B1 | 3,438 | 192,528 | ||||||
Tyson Foods, Inc. — Class A | 2,362 | 190,708 | ||||||
Allergan plc1 | 1,117 | 187,019 | ||||||
Hologic, Inc.*,1 | 3,767 | 180,891 | ||||||
Philip Morris International, Inc.1 | 2,266 | 177,949 | ||||||
Procter & Gamble Co.1 | 1,599 | 175,330 | ||||||
Colgate-Palmolive Co.1 | 2,303 | 165,056 | ||||||
Pilgrim’s Pride Corp.*,1 | 6,418 | 162,953 | ||||||
AmerisourceBergen Corp. — Class A | 1,796 | 153,127 | ||||||
Abbott Laboratories | 1,792 | 150,707 | ||||||
Hill-Rom Holdings, Inc. | 1,417 | 148,246 | ||||||
Sysco Corp.1 | 2,077 | 146,885 | ||||||
Cardinal Health, Inc.1 | 3,095 | 145,774 | ||||||
Darling Ingredients, Inc.* | 7,180 | 142,810 | ||||||
Biogen, Inc.*,1 | 575 | 134,475 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 427 | 133,476 | ||||||
Cal-Maine Foods, Inc. | 3,191 | 133,129 | ||||||
Clorox Co. | 829 | 126,928 | ||||||
Kroger Co.1 | 5,553 | 120,556 | ||||||
AMERCO | 318 | 120,379 | ||||||
Post Holdings, Inc.* | 1,065 | 110,728 | ||||||
General Mills, Inc. | 2,106 | 110,607 | ||||||
Herbalife Nutrition Ltd.* | 2,565 | 109,679 | ||||||
Jazz Pharmaceuticals plc* | 716 | 102,073 | ||||||
ManpowerGroup, Inc. | 1,034 | 99,884 | ||||||
Constellation Brands, Inc. — Class A1 | 503 | 99,061 | ||||||
Integer Holdings Corp.* | 1,168 | 98,019 | ||||||
Vector Group Ltd. | 10,016 | 97,656 | ||||||
Alexion Pharmaceuticals, Inc.* | 737 | 96,532 | ||||||
Flowers Foods, Inc. | 4,011 | 93,336 | ||||||
Innoviva, Inc.* | 5,767 | 83,968 | ||||||
Kraft Heinz Co.1 | 2,641 | 81,977 | ||||||
JM Smucker Co. | 697 | 80,287 | ||||||
Humana, Inc. | 262 | 69,509 | ||||||
TrueBlue, Inc.* | 2,967 | 65,452 | ||||||
US Foods Holding Corp.* | 1,821 | 65,119 | ||||||
Thermo Fisher Scientific, Inc. | 216 | 63,435 | ||||||
Central Garden & Pet Co. — Class A* | 2,490 | 61,354 | ||||||
Laboratory Corporation of America Holdings* | 343 | 59,305 | ||||||
Mylan N.V.* | 3,105 | 59,119 | ||||||
Mondelez International, Inc. — Class A | 1,088 | 58,643 | ||||||
B&G Foods, Inc.2 | 2,718 | 56,534 | ||||||
UnitedHealth Group, Inc. | 231 | 56,366 | ||||||
Total Consumer, Non-cyclical | 8,865,055 | |||||||
Industrial - 14.0% | ||||||||
FedEx Corp.1 | 1,750 | 287,332 | ||||||
United Parcel Service, Inc. — Class B1 | 2,013 | 207,882 | ||||||
CSX Corp.1 | 2,597 | 200,930 | ||||||
Norfolk Southern Corp.1 | 888 | 177,005 | ||||||
Parker-Hannifin Corp. | 991 | 168,480 | ||||||
Cummins, Inc. | 958 | 164,144 | ||||||
Textron, Inc.1 | 2,874 | 152,437 | ||||||
Caterpillar, Inc.1 | 1,113 | 151,691 | ||||||
J.B. Hunt Transport Services, Inc.1 | 1,655 | 151,284 | ||||||
Landstar System, Inc. | 1,345 | 145,247 | ||||||
Knight-Swift Transportation Holdings, Inc.2 | 4,365 | 143,347 | ||||||
Schneider National, Inc. — Class B | 7,670 | 139,901 | ||||||
Huntington Ingalls Industries, Inc.1 | 514 | 115,516 | ||||||
Kennametal, Inc. | 3,093 | 114,410 | ||||||
Forward Air Corp. | 1,851 | 109,487 | ||||||
Werner Enterprises, Inc. | 3,514 | 109,215 | ||||||
Oshkosh Corp. | 1,293 | 107,952 | ||||||
Saia, Inc.* | 1,654 | 106,964 | ||||||
Kansas City Southern1 | 878 | 106,958 | ||||||
Heartland Express, Inc. | 5,619 | 101,535 | ||||||
Avnet, Inc. | 2,241 | 101,450 | ||||||
Agilent Technologies, Inc. | 1,328 | 99,162 | ||||||
Waters Corp.*,1 | 460 | 99,010 | ||||||
Old Dominion Freight Line, Inc. | 592 | 88,362 | ||||||
Masco Corp. | 2,190 | 85,935 | ||||||
Echo Global Logistics, Inc.* | 3,932 | 82,061 | ||||||
Union Pacific Corp.1 | 464 | 78,467 | ||||||
Marten Transport Ltd. | 4,162 | 75,540 | ||||||
Snap-on, Inc.1 | 409 | 67,747 | ||||||
Vishay Intertechnology, Inc. | 3,672 | 60,662 | ||||||
Total Industrial | 3,800,113 | |||||||
Communications - 12.1% | ||||||||
Omnicom Group, Inc.1 | 3,643 | 298,544 | ||||||
Alphabet, Inc. — Class C* | 273 | 295,089 | ||||||
Verizon Communications, Inc. | 5,127 | 292,906 | ||||||
AT&T, Inc.1 | 7,034 | 235,709 | ||||||
Discovery, Inc. — Class A*,1 | 7,296 | 223,987 | ||||||
AMC Networks, Inc. — Class A* | 3,169 | 172,679 | ||||||
Shenandoah Telecommunications Co. | 4,318 | 166,329 | ||||||
Comcast Corp. — Class A1 | 3,846 | 162,609 | ||||||
Facebook, Inc. — Class A*,1 | 804 | 155,172 | ||||||
Cogent Communications Holdings, Inc. | 2,534 | 150,418 | ||||||
MSG Networks, Inc. — Class A* | 5,995 | 124,336 | ||||||
TEGNA, Inc. | 7,849 | 118,912 | ||||||
John Wiley & Sons, Inc. — Class A | 2,507 | 114,971 | ||||||
Meredith Corp. | 2,068 | 113,864 | ||||||
ATN International, Inc. | 1,903 | 109,860 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 9 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
LONG SHORT EQUITY FUND |
|
| Value | ||||||
Scholastic Corp. | 3,000 | $ | 99,720 | |||||
News Corp. — Class A | 6,179 | 83,355 | ||||||
Amazon.com, Inc.* | 40 | 75,745 | ||||||
Walt Disney Co.1 | 425 | 59,347 | ||||||
Vonage Holdings Corp.* | 5,189 | 58,792 | ||||||
Cisco Systems, Inc.1 | 1,016 | 55,606 | ||||||
InterDigital, Inc. | 848 | 54,611 | ||||||
New Media Investment Group, Inc. | 5,745 | 54,233 | ||||||
Total Communications | 3,276,794 | |||||||
Energy - 11.2% | ||||||||
Exxon Mobil Corp. | 4,762 | 364,912 | ||||||
Chevron Corp. | 2,808 | 349,428 | ||||||
Kinder Morgan, Inc. | 14,493 | 302,614 | ||||||
ONEOK, Inc.1 | 4,063 | 279,575 | ||||||
Williams Companies, Inc.1 | 9,965 | 279,419 | ||||||
Phillips 661 | 2,345 | 219,351 | ||||||
Valero Energy Corp.1 | 2,413 | 206,577 | ||||||
HollyFrontier Corp.1 | 4,415 | 204,326 | ||||||
Delek US Holdings, Inc. | 4,535 | 183,758 | ||||||
Marathon Petroleum Corp. | 2,891 | 161,549 | ||||||
Cheniere Energy, Inc.* | 1,601 | 109,588 | ||||||
CVR Energy, Inc. | 2,036 | 101,780 | ||||||
Targa Resources Corp. | 2,490 | 97,757 | ||||||
Renewable Energy Group, Inc.* | 5,068 | 80,379 | ||||||
Unit Corp.* | 8,059 | 71,645 | ||||||
PBF Energy, Inc. — Class A | 1,068 | 33,428 | ||||||
Total Energy | 3,046,086 | |||||||
Financial - 8.7% | ||||||||
Equity Commonwealth REIT1 | 8,912 | 289,818 | ||||||
Apartment Investment & Management Co. — Class A REIT | 5,773 | 289,343 | ||||||
Medical Properties Trust, Inc. REIT1 | 13,974 | 243,707 | ||||||
HCP, Inc. REIT1 | 7,035 | 224,979 | ||||||
JPMorgan Chase & Co.1 | 1,193 | 133,377 | ||||||
Berkshire Hathaway, Inc. — Class B* | 468 | 99,763 | ||||||
Hartford Financial Services Group, Inc.1 | 1,773 | 98,792 | ||||||
Hospitality Properties Trust REIT | 3,726 | 93,150 | ||||||
Deluxe Corp. | 2,135 | 86,809 | ||||||
Summit Hotel Properties, Inc. REIT | 6,776 | 77,721 | ||||||
Host Hotels & Resorts, Inc. REIT1 | 3,501 | 63,788 | ||||||
Bank of America Corp. | 2,138 | 62,002 | ||||||
Visa, Inc. — Class A1 | 348 | 60,395 | ||||||
Northern Trust Corp.1 | 670 | 60,300 | ||||||
Franklin Resources, Inc. | 1,726 | 60,065 | ||||||
Western Union Co. | 3,009 | 59,849 | ||||||
MetLife, Inc. | 1,198 | 59,505 | ||||||
Mastercard, Inc. — Class A | 224 | 59,255 | ||||||
Wells Fargo & Co. | 1,252 | 59,245 | ||||||
Assured Guaranty Ltd. | 1,402 | 58,996 | ||||||
Prudential Financial, Inc.1 | 573 | 57,873 | ||||||
Urban Edge Properties REIT | 3,242 | 56,184 | ||||||
Total Financial | 2,354,916 | |||||||
Consumer, Cyclical - 8.0% | ||||||||
Delta Air Lines, Inc. | 4,284 | 243,117 | ||||||
Southwest Airlines Co.1 | 3,818 | 193,878 | ||||||
JetBlue Airways Corp.*,1 | 10,464 | 193,479 | ||||||
Allison Transmission Holdings, Inc.1 | 4,055 | 187,949 | ||||||
United Continental Holdings, Inc.*,1 | 2,013 | 176,238 | ||||||
PACCAR, Inc.1 | 1,879 | 134,649 | ||||||
World Fuel Services Corp. | 3,690 | 132,692 | ||||||
Alaska Air Group, Inc. | 2,024 | 129,354 | ||||||
Casey’s General Stores, Inc. | 767 | 119,644 | ||||||
Cinemark Holdings, Inc. | 2,665 | 96,206 | ||||||
Lear Corp.1 | 578 | 80,498 | ||||||
UniFirst Corp. | 423 | 79,765 | ||||||
SkyWest, Inc. | 1,228 | 74,503 | ||||||
Lions Gate Entertainment Corp. — Class A | 5,863 | 71,822 | ||||||
Walgreens Boots Alliance, Inc. | 1,271 | 69,486 | ||||||
Home Depot, Inc.1 | 298 | 61,975 | ||||||
Walmart, Inc. | 560 | 61,875 | ||||||
Nu Skin Enterprises, Inc. — Class A | 1,224 | 60,368 | ||||||
Total Consumer, Cyclical | 2,167,498 | |||||||
Utilities - 7.6% | ||||||||
Pinnacle West Capital Corp.1 | 2,700 | 254,043 | ||||||
Portland General Electric Co. | 4,632 | 250,915 | ||||||
Ameren Corp.1 | 3,186 | 239,301 | ||||||
National Fuel Gas Co.1 | 4,415 | 232,891 | ||||||
PPL Corp.1 | 7,422 | 230,156 | ||||||
FirstEnergy Corp.1 | 4,923 | 210,754 | ||||||
Exelon Corp.1 | 3,749 | 179,727 | ||||||
AES Corp.1 | 8,534 | 143,030 | ||||||
OGE Energy Corp. | 3,116 | 132,617 | ||||||
Southern Co. | 1,482 | 81,925 | ||||||
Entergy Corp. | 581 | 59,802 | ||||||
NRG Energy, Inc. | 1,585 | 55,665 | ||||||
Total Utilities | 2,070,826 | |||||||
Technology - 3.7% | ||||||||
Microsoft Corp. | 1,503 | 201,342 | ||||||
Apple, Inc. | 908 | 179,712 | ||||||
Skyworks Solutions, Inc.1 | 2,092 | 161,649 | ||||||
Activision Blizzard, Inc. | 2,188 | 103,274 | ||||||
Intel Corp.1 | 1,963 | 93,968 | ||||||
Oracle Corp.1 | 1,414 | 80,555 | ||||||
HP, Inc. | 3,084 | 64,116 | ||||||
Diodes, Inc.* | 1,705 | 62,011 | ||||||
Hewlett Packard Enterprise Co. | 3,860 | 57,707 | ||||||
Total Technology | 1,004,334 | |||||||
Basic Materials - 0.5% | ||||||||
Westlake Chemical Corp.1 | 1,054 | 73,211 | ||||||
Domtar Corp. | 1,543 | 68,710 | ||||||
Total Basic Materials | 141,921 | |||||||
Total Common Stocks | ||||||||
(Cost $25,545,487) | 26,727,543 | |||||||
10| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
LONG SHORT EQUITY FUND |
|
| Value | ||||||
MONEY MARKET FUND† - 3.3% | ||||||||
Invesco Short-Term Investments Trust Treasury Obligations Portfolio — Institutional Class 2.22%3 | 891,646 | $ | 891,646 | |||||
Total Money Market Fund | ||||||||
(Cost $891,646) | 891,646 | |||||||
SECURITIES LENDING COLLATERAL†,4 - 0.5% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%3 | 140,957 | 140,957 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $140,957) | 140,957 | |||||||
Total Investments - 102.3% | ||||||||
(Cost $26,578,090) | $ | 27,760,146 | ||||||
Other Assets & Liabilities, net - (2.3)% | (620,100 | ) | ||||||
Total Net Assets - 100.0% | $ | 27,140,046 |
Custom Basket Swap Agreements | |||||||||||||||
Counterparty | Reference | Financing | Payment | Maturity | Notional | Value and | |||||||||
OTC Custom Basket Swaps†† | |||||||||||||||
Goldman Sachs International | Long Short Equity Portfolio Long Custom Basket Swap5 | 2.83% | At Maturity | 05/06/24 | $ | 5,995,211 | $ | 145,396 | |||||||
Morgan Stanley Capital Services LLC | Long Short Equity Portfolio Long Custom Basket Swap6 | 2.78% | At Maturity | 03/27/24 | 5,829,065 | 81,442 | |||||||||
$ | 11,824,276 | $ | 226,838 | ||||||||||||
OTC Custom Basket Swaps Sold Short†† | |||||||||||||||
Morgan Stanley Capital Services LLC | Long Short Equity Portfolio Short Custom Basket Swap7 | (2.08%) | At Maturity | 03/27/24 | $ | 12,350,940 | $ | (455,329 | ) | ||||||
Goldman Sachs International | Long Short Equity Portfolio Short Custom Basket Swap8 | (2.18%) | At Maturity | 05/06/24 | 12,049,323 | (145,884 | ) | ||||||||
$ | 24,400,263 | $ | (601,213 | ) |
| Shares | Percentage |
| |||||||||
CUSTOM BASKET OF LONG SECURITIES6 | ||||||||||||
McKesson Corp. | 456 | 1.06 | % | $ | 8,519 | |||||||
Omnicom Group, Inc. | 791 | 1.12 | % | 7,191 | ||||||||
Tyson Foods, Inc. — Class A | 513 | 0.71 | % | 6,537 | ||||||||
Delta Air Lines, Inc. | 930 | 0.91 | % | 6,306 | ||||||||
Allergan plc | 242 | 0.70 | % | 5,711 | ||||||||
Microsoft Corp. | 326 | 0.75 | % | 5,604 | ||||||||
World Fuel Services Corp. | 801 | 0.49 | % | 5,479 | ||||||||
JetBlue Airways Corp.* | 2,273 | 0.72 | % | 5,342 | ||||||||
Pilgrim’s Pride Corp.* | 1,394 | 0.61 | % | 5,214 | ||||||||
Casey’s General Stores, Inc. | 166 | 0.44 | % | 4,879 | ||||||||
Medtronic plc | 681 | 1.14 | % | 4,856 | ||||||||
Facebook, Inc. — Class A* | 174 | 0.58 | % | 4,721 | ||||||||
Discovery, Inc. — Class A* | 1,585 | 0.83 | % | 4,495 | ||||||||
Kimberly-Clark Corp. | 439 | 1.00 | % | 4,359 | ||||||||
United Continental Holdings, Inc.* | 437 | 0.66 | % | 3,942 | ||||||||
Alaska Air Group, Inc. | 439 | 0.48 | % | 3,916 | ||||||||
ManpowerGroup, Inc. | 224 | 0.37 | % | 3,743 | ||||||||
PepsiCo, Inc. | 402 | �� | 0.90 | % | 3,714 | |||||||
CVR Energy, Inc. | 442 | 0.38 | % | 3,532 | ||||||||
UniFirst Corp. | 92 | 0.30 | % | 3,464 | ||||||||
Gilead Sciences, Inc. | 880 | 1.02 | % | 3,432 | ||||||||
Delek US Holdings, Inc. | 985 | 0.68 | % | 3,428 | ||||||||
Cummins, Inc. | 208 | 0.61 | % | 3,284 | ||||||||
Norfolk Southern Corp. | 192 | 0.66 | % | 3,247 | ||||||||
AT&T, Inc. | 1,527 | 0.88 | % | 3,222 | ||||||||
JPMorgan Chase & Co. | 259 | 0.50 | % | 3,165 | ||||||||
Constellation Brands, Inc. — Class A | 109 | 0.37 | % | 2,923 | ||||||||
Oshkosh Corp. | 281 | 0.40 | % | 2,903 | ||||||||
Kinder Morgan, Inc. | 3,148 | 1.13 | % | 2,833 | ||||||||
Walt Disney Co. | 92 | 0.22 | % | 2,701 | ||||||||
Hologic, Inc.* | 818 | 0.67 | % | 2,591 | ||||||||
Integer Holdings Corp.* | 253 | 0.36 | % | 2,556 | ||||||||
Hill-Rom Holdings, Inc. | 307 | 0.55 | % | 2,529 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
LONG SHORT EQUITY FUND |
| Shares | Percentage |
| |||||||||
Hartford Financial Services Group, Inc. | 385 | 0.37 | % | $ | 2,503 | |||||||
Huntington Ingalls Industries, Inc. | 111 | 0.43 | % | 2,416 | ||||||||
Procter & Gamble Co. | 347 | 0.65 | % | 2,342 | ||||||||
Colgate-Palmolive Co. | 500 | 0.61 | % | 2,330 | ||||||||
Sysco Corp. | 451 | 0.55 | % | 2,291 | ||||||||
CSX Corp. | 564 | 0.75 | % | 2,239 | ||||||||
Apple, Inc. | 227 | 0.77 | % | 2,145 | ||||||||
Caterpillar, Inc. | 241 | 0.56 | % | 2,118 | ||||||||
Portland General Electric Co. | 1,006 | 0.93 | % | 2,092 | ||||||||
Abbott Laboratories | 389 | 0.56 | % | 2,089 | ||||||||
Pfizer, Inc. | 1,576 | 1.17 | % | 2,049 | ||||||||
Textron, Inc. | 624 | 0.57 | % | 2,034 | ||||||||
Agilent Technologies, Inc. | 288 | 0.37 | % | 1,971 | ||||||||
TEGNA, Inc. | 1,705 | 0.44 | % | 1,944 | ||||||||
SkyWest, Inc. | 266 | 0.28 | % | 1,886 | ||||||||
MetLife, Inc. | 260 | 0.22 | % | 1,864 | ||||||||
Flowers Foods, Inc. | 871 | 0.35 | % | 1,812 | ||||||||
AmerisourceBergen Corp. — Class A | 390 | 0.57 | % | 1,715 | ||||||||
Comcast Corp. — Class A | 835 | 0.61 | % | 1,713 | ||||||||
Walmart, Inc. | 121 | 0.23 | % | 1,607 | ||||||||
News Corp. — Class A | 1,342 | 0.31 | % | 1,584 | ||||||||
PACCAR, Inc. | 408 | 0.50 | % | 1,567 | ||||||||
Mastercard, Inc. — Class A | 48 | 0.22 | % | 1,536 | ||||||||
Baxter International, Inc. | 537 | 0.75 | % | 1,509 | ||||||||
Visa, Inc. — Class A | 75 | 0.22 | % | 1,450 | ||||||||
Knight-Swift Transportation Holdings, Inc. | 948 | 0.53 | % | 1,384 | ||||||||
ONEOK, Inc. | 882 | 1.04 | % | 1,366 | ||||||||
Skyworks Solutions, Inc. | 454 | 0.60 | % | 1,358 | ||||||||
Kansas City Southern | 190 | 0.40 | % | 1,341 | ||||||||
Saia, Inc.* | 359 | 0.40 | % | 1,325 | ||||||||
Avnet, Inc. | 486 | 0.38 | % | 1,302 | ||||||||
Oracle Corp. | 307 | 0.30 | % | 1,277 | ||||||||
Merck & Company, Inc. | 813 | 1.17 | % | 1,268 | ||||||||
HP, Inc. | 669 | 0.24 | % | 1,244 | ||||||||
Home Depot, Inc. | 64 | 0.23 | % | 1,198 | ||||||||
Becton Dickinson and Co. | 186 | 0.80 | % | 1,192 | ||||||||
Prudential Financial, Inc. | 124 | 0.21 | % | 1,174 | ||||||||
Thermo Fisher Scientific, Inc. | 47 | 0.24 | % | 1,167 | ||||||||
FirstEnergy Corp. | 1,069 | 0.79 | % | 1,165 | ||||||||
Parker-Hannifin Corp. | 215 | 0.63 | % | 1,141 | ||||||||
Berkshire Hathaway, Inc. — Class B* | 101 | 0.37 | % | 1,125 | ||||||||
John Wiley & Sons, Inc. — Class A | 544 | 0.43 | % | 1,093 | ||||||||
Innoviva, Inc.* | 1,252 | 0.31 | % | 1,089 | ||||||||
Snap-on, Inc. | 88 | 0.25 | % | 1,058 | ||||||||
Allison Transmission Holdings, Inc. | 881 | 0.70 | % | 1,048 | ||||||||
Landstar System, Inc. | 292 | 0.54 | % | 1,028 | ||||||||
Amazon.com, Inc.* | 8 | 0.26 | % | 1,023 | ||||||||
Chevron Corp. | 610 | 1.30 | % | 1,007 | ||||||||
CVS Health Corp. | 850 | 0.79 | % | 945 | ||||||||
Bio-Rad Laboratories, Inc. — Class A* | 92 | 0.49 | % | 936 | ||||||||
Diodes, Inc.* | 370 | 0.23 | % | 929 | ||||||||
AMERCO | 69 | 0.45 | % | 905 | ||||||||
Kennametal, Inc. | 672 | 0.43 | % | 894 | ||||||||
Western Union Co. | 653 | 0.22 | % | 862 | ||||||||
Clorox Co. | 180 | 0.47 | % | 856 | ||||||||
Marathon Petroleum Corp. | 628 | 0.60 | % | 856 | ||||||||
Jazz Pharmaceuticals plc* | 155 | 0.38 | % | 817 | ||||||||
Lear Corp. | 125 | 0.30 | % | 805 | ||||||||
Activision Blizzard, Inc. | 475 | 0.38 | % | 798 | ||||||||
ATN International, Inc. | 413 | 0.41 | % | 793 | ||||||||
Southwest Airlines Co. | 829 | 0.72 | % | 788 | ||||||||
Cheniere Energy, Inc.* | 347 | 0.41 | % | 778 | ||||||||
Alexion Pharmaceuticals, Inc.* | 160 | 0.36 | % | 765 | ||||||||
Franklin Resources, Inc. | 375 | 0.22 | % | 743 | ||||||||
HCP, Inc. | 1,528 | 0.84 | % | 718 | ||||||||
Old Dominion Freight Line, Inc. | 128 | 0.33 | % | 710 | ||||||||
Marten Transport Ltd. | 904 | 0.28 | % | 651 | ||||||||
Entergy Corp. | 126 | 0.22 | % | 645 | ||||||||
Central Garden & Pet Co. — Class A* | 541 | 0.23 | % | 633 | ||||||||
Union Pacific Corp. | 100 | 0.29 | % | 610 | ||||||||
Westlake Chemical Corp. | 229 | 0.27 | % | 605 | ||||||||
Masco Corp. | 475 | 0.32 | % | 571 | ||||||||
Cogent Communications Holdings, Inc. | 550 | 0.56 | % | 564 | ||||||||
General Mills, Inc. | 457 | 0.41 | % | 558 | ||||||||
US Foods Holding Corp.* | 395 | 0.24 | % | 529 | ||||||||
Ameren Corp. | 692 | 0.89 | % | 498 | ||||||||
Biogen, Inc.* | 125 | 0.50 | % | 490 | ||||||||
Laboratory Corporation of America Holdings* | 74 | 0.22 | % | 480 | ||||||||
Mondelez International, Inc. — Class A | 236 | 0.22 | % | 433 | ||||||||
Southern Co. | 322 | 0.31 | % | 419 | ||||||||
Cisco Systems, Inc. | 220 | 0.21 | % | 350 | ||||||||
Wells Fargo & Co. | 272 | 0.22 | % | 329 | ||||||||
Nu Skin Enterprises, Inc. — Class A | 265 | 0.22 | % | 321 | ||||||||
Bank of America Corp. | 464 | 0.23 | % | 266 | ||||||||
Johnson & Johnson | 409 | 0.98 | % | 244 | ||||||||
Humana, Inc. | 57 | 0.26 | % | 137 | ||||||||
Northern Trust Corp. | 145 | 0.22 | % | 135 | ||||||||
UnitedHealth Group, Inc. | 50 | 0.21 | % | 115 |
12| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
Summit Hotel Properties, Inc. | 1,472 | 0.29 | % | $ | 59 | |||||||
JM Smucker Co. | 151 | 0.30 | % | 44 | ||||||||
Williams Companies, Inc. | 2,164 | 1.04 | % | (48 | ) | |||||||
Echo Global Logistics, Inc.* | 854 | 0.31 | % | (80 | ) | |||||||
InterDigital, Inc. | 184 | 0.20 | % | (125 | ) | |||||||
Valero Energy Corp. | 524 | 0.77 | % | (215 | ) | |||||||
Hewlett Packard Enterprise Co. | 838 | 0.21 | % | (260 | ) | |||||||
OGE Energy Corp. | 677 | 0.49 | % | (290 | ) | |||||||
Apartment Investment & Management Co. — Class A | 1,254 | 1.08 | % | (364 | ) | |||||||
Equity Commonwealth | 1,936 | 1.08 | % | (368 | ) | |||||||
Host Hotels & Resorts, Inc. | 760 | 0.24 | % | (593 | ) | |||||||
Vonage Holdings Corp.* | 1,127 | 0.22 | % | (618 | ) | |||||||
Cardinal Health, Inc. | 672 | 0.54 | % | (645 | ) | |||||||
United Parcel Service, Inc. — Class B | 437 | 0.77 | % | (700 | ) | |||||||
Amgen, Inc. | 350 | 1.11 | % | (714 | ) | |||||||
TrueBlue, Inc.* | 644 | 0.24 | % | (741 | ) | |||||||
Deluxe Corp. | 463 | 0.32 | % | (755 | ) | |||||||
B&G Foods, Inc. | 590 | 0.21 | % | (814 | ) | |||||||
Assured Guaranty Ltd. | 304 | 0.22 | % | (827 | ) | |||||||
Urban Edge Properties | 704 | 0.21 | % | (859 | ) | |||||||
Kraft Heinz Co. | 573 | 0.31 | % | (917 | ) | |||||||
Meredith Corp. | 449 | 0.42 | % | (986 | ) | |||||||
Hospitality Properties Trust | 809 | 0.35 | % | (1,092 | ) | |||||||
PBF Energy, Inc. — Class A | 910 | 0.49 | % | (1,183 | ) | |||||||
Post Holdings, Inc.* | 231 | 0.41 | % | (1,194 | ) | |||||||
Targa Resources Corp. | 541 | 0.36 | % | (1,298 | ) | |||||||
MSG Networks, Inc. — Class A* | 1,302 | 0.46 | % | (1,328 | ) | |||||||
Pinnacle West Capital Corp. | 586 | 0.95 | % | (1,383 | ) | |||||||
Heartland Express, Inc. | 1,220 | 0.38 | % | (1,440 | ) | |||||||
Vishay Intertechnology, Inc. | 797 | 0.23 | % | (1,466 | ) | |||||||
Domtar Corp. | 335 | 0.26 | % | (1,504 | ) | |||||||
Forward Air Corp. | 402 | 0.41 | % | (1,632 | ) | |||||||
AMC Networks, Inc. — Class A* | 688 | 0.64 | % | (1,665 | ) | |||||||
Phillips 66 | 509 | 0.82 | % | (1,899 | ) | |||||||
Cal-Maine Foods, Inc. | 693 | 0.50 | % | (1,913 | ) | |||||||
Werner Enterprises, Inc. | 763 | 0.41 | % | (1,938 | ) | |||||||
New Media Investment Group, Inc. | 1,248 | 0.20 | % | (1,959 | ) | |||||||
Walgreens Boots Alliance, Inc. | 276 | 0.26 | % | (2,087 | ) | |||||||
Exelon Corp. | 814 | 0.67 | % | (2,108 | ) | |||||||
PPL Corp. | 1,612 | 0.86 | % | (2,144 | ) | |||||||
Darling Ingredients, Inc.* | 1,559 | 0.53 | % | (2,183 | ) | |||||||
Intel Corp. | 426 | 0.35 | % | (2,254 | ) | |||||||
Vector Group Ltd. | 2,175 | 0.36 | % | (2,284 | ) | |||||||
Molson Coors Brewing Co. — Class B | 746 | 0.72 | % | (2,454 | ) | |||||||
Archer-Daniels-Midland Co. | 1,479 | 1.04 | % | (2,500 | ) | |||||||
NRG Energy, Inc. | 344 | 0.21 | % | (2,649 | ) | |||||||
Cinemark Holdings, Inc. | 578 | 0.36 | % | (2,688 | ) | |||||||
J.B. Hunt Transport Services, Inc. | 359 | 0.56 | % | (2,761 | ) | |||||||
AES Corp. | 1,854 | 0.53 | % | (2,762 | ) | |||||||
Waters Corp.* | 100 | 0.37 | % | (2,982 | ) | |||||||
Kroger Co. | 1,206 | 0.45 | % | (3,087 | ) | |||||||
Medical Properties Trust, Inc. | 3,035 | 0.91 | % | (3,339 | ) | |||||||
Unit Corp.* | 1,750 | 0.27 | % | (3,627 | ) | |||||||
Zimmer Biomet Holdings, Inc. | 409 | 0.83 | % | (3,742 | ) | |||||||
Exxon Mobil Corp. | 1,034 | 1.36 | % | (3,836 | ) | |||||||
Scholastic Corp. | 651 | 0.37 | % | (4,075 | ) | |||||||
Verizon Communications, Inc. | 1,113 | 1.09 | % | (4,174 | ) | |||||||
Philip Morris International, Inc. | 492 | 0.66 | % | (4,182 | ) | |||||||
HollyFrontier Corp. | 959 | 0.76 | % | (4,354 | ) | |||||||
Lions Gate Entertainment Corp. — Class A | 1,273 | 0.27 | % | (4,456 | ) | |||||||
Schneider National, Inc. — Class B | 1,666 | 0.52 | % | (4,498 | ) | |||||||
FedEx Corp. | 380 | 1.07 | % | (4,522 | ) | |||||||
Alphabet, Inc. — Class C* | 59 | 1.09 | % | (5,434 | ) | |||||||
Herbalife Nutrition Ltd.* | 557 | 0.41 | % | (5,782 | ) | |||||||
Ingredion, Inc. | 573 | 0.81 | % | (5,976 | ) | |||||||
Mylan N.V.* | 674 | 0.22 | % | (6,208 | ) | |||||||
Shenandoah Telecommunications Co. | 938 | 0.62 | % | (7,091 | ) | |||||||
Renewable Energy Group, Inc.* | 1,101 | 0.30 | % | (7,762 | ) | |||||||
National Fuel Gas Co. | 959 | 0.87 | % | (7,845 | ) | |||||||
Total Custom Basket of Long Securities | 81,442 | |||||||||||
CUSTOM BASKET OF SHORT SECURITIES7 | ||||||||||||
Core Laboratories N.V. | (1,096 | ) | (0.48 | %) | 16,669 | |||||||
Palo Alto Networks, Inc.* | (451 | ) | (0.76 | %) | 16,096 | |||||||
National Oilwell Varco, Inc. | (3,464 | ) | (0.63 | %) | 14,133 | |||||||
Agree Realty Corp. | (2,309 | ) | (1.21 | %) | 13,669 | |||||||
New York Community Bancorp, Inc. | (6,974 | ) | (0.57 | %) | 11,716 | |||||||
Realty Income Corp. | (2,152 | ) | (1.20 | %) | 9,641 | |||||||
Nutanix, Inc. — Class A* | (727 | ) | (0.15 | %) | 8,465 | |||||||
NewMarket Corp. | (258 | ) | (0.84 | %) | 7,990 | |||||||
Brandywine Realty Trust | (5,716 | ) | (0.66 | %) | 7,717 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
Empire State Realty Trust, Inc. — Class A | (6,834 | ) | (0.82 | %) | $ | 6,629 | ||||||
Concho Resources, Inc. | (747 | ) | (0.62 | %) | 6,525 | |||||||
Texas Roadhouse, Inc. — Class A | (729 | ) | (0.32 | %) | 5,533 | |||||||
New Residential Investment Corp. | (3,313 | ) | (0.41 | %) | 5,036 | |||||||
FireEye, Inc.* | (2,824 | ) | (0.34 | %) | 4,773 | |||||||
BOK Financial Corp. | (1,099 | ) | (0.67 | %) | 4,627 | |||||||
Hudson Pacific Properties, Inc. | (4,695 | ) | (1.26 | %) | 4,460 | |||||||
Signature Bank | (515 | ) | (0.50 | %) | 3,631 | |||||||
Alarm.com Holdings, Inc.* | (454 | ) | (0.20 | %) | 3,446 | |||||||
Paychex, Inc. | (632 | ) | (0.42 | %) | 3,225 | |||||||
Kaiser Aluminum Corp. | (563 | ) | (0.44 | %) | 3,164 | |||||||
STORE Capital Corp. | (3,594 | ) | (0.97 | %) | 2,745 | |||||||
Douglas Emmett, Inc. | (2,835 | ) | (0.91 | %) | 2,693 | |||||||
Rollins, Inc. | (1,617 | ) | (0.47 | %) | 2,664 | |||||||
Autodesk, Inc.* | (239 | ) | (0.32 | %) | 2,618 | |||||||
salesforce.com, Inc.* | (761 | ) | (0.93 | %) | 2,580 | |||||||
DocuSign, Inc.* | (512 | ) | (0.21 | %) | 2,474 | |||||||
SPS Commerce, Inc.* | (487 | ) | (0.40 | %) | 2,226 | |||||||
First Republic Bank | (544 | ) | (0.43 | %) | 1,523 | |||||||
American Campus Communities, Inc. | (1,154 | ) | (0.43 | %) | 1,477 | |||||||
Healthcare Realty Trust, Inc. | (1,337 | ) | (0.34 | %) | 1,457 | |||||||
RealPage, Inc.* | (677 | ) | (0.32 | %) | 1,320 | |||||||
Alexandria Real Estate Equities, Inc. | (673 | ) | (0.77 | %) | 1,267 | |||||||
Columbia Financial, Inc.* | (2,700 | ) | (0.33 | %) | 1,161 | |||||||
MFA Financial, Inc. | (8,241 | ) | (0.48 | %) | 1,154 | |||||||
WesBanco, Inc. | (1,215 | ) | (0.38 | %) | 1,118 | |||||||
Fortive Corp. | (1,303 | ) | (0.86 | %) | 1,068 | |||||||
Diamondback Energy, Inc. | (662 | ) | (0.58 | %) | 1,016 | |||||||
CoreSite Realty Corp. | (354 | ) | (0.33 | %) | 990 | |||||||
MongoDB, Inc.* | (172 | ) | (0.21 | %) | 945 | |||||||
UDR, Inc. | (1,621 | ) | (0.59 | %) | 697 | |||||||
Tyler Technologies, Inc.* | (256 | ) | (0.45 | %) | 534 | |||||||
Digital Realty Trust, Inc. | (397 | ) | (0.38 | %) | 389 | |||||||
PTC, Inc.* | (1,175 | ) | (0.85 | %) | 329 | |||||||
ServiceNow, Inc.* | (98 | ) | (0.22 | %) | 315 | |||||||
WP Carey, Inc. | (864 | ) | (0.57 | %) | 254 | |||||||
WR Grace & Co. | (2,446 | ) | (1.51 | %) | 245 | |||||||
Twilio, Inc. — Class A* | (201 | ) | (0.22 | %) | 139 | |||||||
CVB Financial Corp. | (4,003 | ) | (0.68 | %) | 120 | |||||||
MercadoLibre, Inc.* | (44 | ) | (0.22 | %) | 77 | |||||||
Livent Corp.* | (1 | ) | 0.00 | % | 3 | |||||||
HubSpot, Inc.* | (160 | ) | (0.22 | %) | (4 | ) | ||||||
Associated Banc-Corp. | (2,798 | ) | (0.48 | %) | (56 | ) | ||||||
Elastic N.V.* | (363 | ) | (0.22 | %) | (65 | ) | ||||||
Workday, Inc. — Class A* | (133 | ) | (0.22 | %) | (74 | ) | ||||||
VeriSign, Inc.* | (131 | ) | (0.22 | %) | (150 | ) | ||||||
Trade Desk, Inc. — Class A* | (120 | ) | (0.22 | %) | (159 | ) | ||||||
Monolithic Power Systems, Inc. | (563 | ) | (0.62 | %) | (208 | ) | ||||||
Blackline, Inc.* | (513 | ) | (0.22 | %) | (309 | ) | ||||||
NIKE, Inc. — Class B | (493 | ) | (0.34 | %) | (433 | ) | ||||||
Paylocity Holding Corp.* | (292 | ) | (0.22 | %) | (557 | ) | ||||||
Anaplan, Inc.* | (544 | ) | (0.22 | %) | (568 | ) | ||||||
Okta, Inc.* | (224 | ) | (0.22 | %) | (580 | ) | ||||||
Q2 Holdings, Inc.* | (364 | ) | (0.23 | %) | (593 | ) | ||||||
Dominion Energy, Inc. | (3,214 | ) | (2.01 | %) | (610 | ) | ||||||
RingCentral, Inc. — Class A* | (244 | ) | (0.23 | %) | (634 | ) | ||||||
Zendesk, Inc.* | (309 | ) | (0.22 | %) | (672 | ) | ||||||
BankUnited, Inc. | (1,778 | ) | (0.49 | %) | (703 | ) | ||||||
Everbridge, Inc.* | (305 | ) | (0.22 | %) | (724 | ) | ||||||
PayPal Holdings, Inc.* | (648 | ) | (0.60 | %) | (879 | ) | ||||||
Veeva Systems, Inc. — Class A* | (174 | ) | (0.23 | %) | (930 | ) | ||||||
Aspen Technology, Inc.* | (225 | ) | (0.23 | %) | (940 | ) | ||||||
Paycom Software, Inc.* | (125 | ) | (0.23 | %) | (988 | ) | ||||||
Proofpoint, Inc.* | (569 | ) | (0.55 | %) | (996 | ) | ||||||
Zscaler, Inc.* | (368 | ) | (0.23 | %) | (1,099 | ) | ||||||
Atlassian Corporation plc — Class A* | (216 | ) | (0.23 | %) | (1,154 | ) | ||||||
Alteryx, Inc. — Class A* | (261 | ) | (0.23 | %) | (1,209 | ) | ||||||
Blackstone Mortgage Trust, Inc. — Class A | (2,091 | ) | (0.60 | %) | (1,234 | ) | ||||||
Avalara, Inc.* | (392 | ) | (0.23 | %) | (1,240 | ) | ||||||
Allegheny Technologies, Inc.* | (4,528 | ) | (0.92 | %) | (1,295 | ) | ||||||
Chegg, Inc.* | (735 | ) | (0.23 | %) | (1,314 | ) | ||||||
Atmos Energy Corp. | (529 | ) | (0.45 | %) | (1,386 | ) | ||||||
CNO Financial Group, Inc. | (3,558 | ) | (0.48 | %) | (1,388 | ) | ||||||
Marriott Vacations Worldwide Corp. | (458 | ) | (0.36 | %) | (1,392 | ) | ||||||
Coupa Software, Inc.* | (226 | ) | (0.23 | %) | (1,399 | ) | ||||||
Southern Copper Corp. | (2,749 | ) | (0.86 | %) | (1,505 | ) | ||||||
Redwood Trust, Inc. | (3,385 | ) | (0.45 | %) | (1,557 | ) | ||||||
Old National Bancorp | (5,815 | ) | (0.78 | %) | (1,570 | ) | ||||||
People’s United Financial, Inc. | (3,745 | ) | (0.51 | %) | (1,573 | ) | ||||||
Universal Display Corp. | (153 | ) | (0.23 | %) | (1,640 | ) | ||||||
McDonald’s Corp. | (205 | ) | (0.34 | %) | (1,732 | ) | ||||||
Welltower, Inc. | (1,214 | ) | (0.80 | %) | (1,757 | ) | ||||||
Glacier Bancorp, Inc. | (1,658 | ) | (0.54 | %) | (1,790 | ) | ||||||
American Tower Corp. — Class A | (437 | ) | (0.72 | %) | (1,812 | ) | ||||||
Compass Minerals International, Inc. | (1,206 | ) | (0.54 | %) | (2,075 | ) | ||||||
Avery Dennison Corp. | (493 | ) | (0.46 | %) | (2,258 | ) | ||||||
Camden Property Trust | (812 | ) | (0.69 | %) | (2,276 | ) | ||||||
Appfolio, Inc. — Class A* | (556 | ) | (0.46 | %) | (2,312 | ) | ||||||
Adobe, Inc.* | (234 | ) | (0.56 | %) | (2,394 | ) |
14| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
LONG SHORT EQUITY FUND |
| Shares | Percentage |
| |||||||||
Extra Space Storage, Inc. | (541 | ) | (0.46 | %) | $ | (2,394 | ) | |||||
PPG Industries, Inc. | (379 | ) | (0.36 | %) | (2,513 | ) | ||||||
CoStar Group, Inc.* | (129 | ) | (0.58 | %) | (2,615 | ) | ||||||
Fair Isaac Corp.* | (141 | ) | (0.36 | %) | (2,625 | ) | ||||||
CubeSmart | (2,010 | ) | (0.54 | %) | (2,685 | ) | ||||||
RPM International, Inc. | (738 | ) | (0.37 | %) | (2,900 | ) | ||||||
Dunkin’ Brands Group, Inc. | (549 | ) | (0.35 | %) | (3,157 | ) | ||||||
Cintas Corp. | (309 | ) | (0.59 | %) | (3,377 | ) | ||||||
Sherwin-Williams Co. | (122 | ) | (0.45 | %) | (3,803 | ) | ||||||
Reliance Steel & Aluminum Co. | (533 | ) | (0.41 | %) | (3,822 | ) | ||||||
American Water Works Company, Inc. | (428 | ) | (0.40 | %) | (4,047 | ) | ||||||
NextEra Energy, Inc. | (386 | ) | (0.64 | %) | (4,125 | ) | ||||||
Microchip Technology, Inc. | (929 | ) | (0.65 | %) | (4,185 | ) | ||||||
First Industrial Realty Trust, Inc. | (2,672 | ) | (0.79 | %) | (4,248 | ) | ||||||
Sensient Technologies Corp. | (721 | ) | (0.43 | %) | (4,550 | ) | ||||||
Schlumberger Ltd. | (3,892 | ) | (1.25 | %) | (4,619 | ) | ||||||
Advanced Micro Devices, Inc.* | (1,531 | ) | (0.38 | %) | (4,850 | ) | ||||||
First Financial Bankshares, Inc. | (1,997 | ) | (0.50 | %) | (4,921 | ) | ||||||
Capitol Federal Financial, Inc. | (10,715 | ) | (1.19 | %) | (4,929 | ) | ||||||
EastGroup Properties, Inc. | (1,185 | ) | (1.11 | %) | (4,970 | ) | ||||||
Crown Castle International Corp. | (1,249 | ) | (1.32 | %) | (5,058 | ) | ||||||
South Jersey Industries, Inc. | (3,477 | ) | (0.95 | %) | (5,312 | ) | ||||||
Liberty Property Trust | (3,700 | ) | (1.50 | %) | (5,365 | ) | ||||||
American Homes 4 Rent — Class A | (3,342 | ) | (0.66 | %) | (5,637 | ) | ||||||
Intercontinental Exchange, Inc. | (497 | ) | (0.35 | %) | (6,004 | ) | ||||||
Arthur J Gallagher & Co. | (654 | ) | (0.46 | %) | (6,128 | ) | ||||||
CyrusOne, Inc. | (1,081 | ) | (0.51 | %) | (6,129 | ) | ||||||
Commercial Metals Co. | (6,041 | ) | (0.87 | %) | (6,343 | ) | ||||||
KAR Auction Services, Inc. | (1,558 | ) | (0.32 | %) | (6,453 | ) | ||||||
Pool Corp. | (221 | ) | (0.34 | %) | (6,665 | ) | ||||||
Vulcan Materials Co. | (314 | ) | (0.35 | %) | (6,974 | ) | ||||||
Guidewire Software, Inc.* | (1,056 | ) | (0.87 | %) | (7,029 | ) | ||||||
IAA, Inc.* | (1,558 | ) | (0.49 | %) | (7,033 | ) | ||||||
Equity LifeStyle Properties, Inc. | (950 | ) | (0.93 | %) | (7,097 | ) | ||||||
Americold Realty Trust | (3,517 | ) | (0.92 | %) | (7,175 | ) | ||||||
Linde plc | (246 | ) | (0.40 | %) | (7,348 | ) | ||||||
Pacific Premier Bancorp, Inc. | (1,795 | ) | (0.45 | %) | (7,581 | ) | ||||||
International Flavors & Fragrances, Inc. | (825 | ) | (0.97 | %) | (7,658 | ) | ||||||
Costco Wholesale Corp. | (310 | ) | (0.66 | %) | (7,704 | ) | ||||||
| Value and | |||||||||||
Invitation Homes, Inc. | (3,318 | ) | (0.72 | %) | (8,560 | ) | ||||||
Balchem Corp. | (1,100 | ) | (0.89 | %) | (8,888 | ) | ||||||
Wyndham Hotels & Resorts, Inc. | (1,419 | ) | (0.64 | %) | (9,025 | ) | ||||||
Martin Marietta Materials, Inc. | (271 | ) | (0.50 | %) | (9,125 | ) | ||||||
Wingstop, Inc. | (898 | ) | (0.69 | %) | (9,578 | ) | ||||||
Washington Federal, Inc. | (1,674 | ) | (0.47 | %) | (9,689 | ) | ||||||
MarketAxess Holdings, Inc. | (139 | ) | (0.36 | %) | (10,611 | ) | ||||||
Equinix, Inc. | (214 | ) | (0.87 | %) | (12,029 | ) | ||||||
Pegasystems, Inc. | (1,782 | ) | (1.03 | %) | (12,367 | ) | ||||||
Ball Corp. | (1,097 | ) | (0.62 | %) | (12,945 | ) | ||||||
IHS Markit Ltd.* | (2,771 | ) | (1.43 | %) | (13,278 | ) | ||||||
TransDigm Group, Inc.* | (395 | ) | (1.55 | %) | (13,574 | ) | ||||||
Bright Horizons Family Solutions, Inc.* | (536 | ) | (0.65 | %) | (14,327 | ) | ||||||
Woodward, Inc. | (760 | ) | (0.70 | %) | (15,033 | ) | ||||||
SBA Communications Corp.* | (851 | ) | (1.55 | %) | (15,858 | ) | ||||||
Everest Re Group Ltd. | (495 | ) | (0.99 | %) | (16,102 | ) | ||||||
Materion Corp. | (1,481 | ) | (0.81 | %) | (16,197 | ) | ||||||
Sun Communities, Inc. | (1,657 | ) | (1.72 | %) | (16,587 | ) | ||||||
TransUnion | (2,314 | ) | (1.38 | %) | (16,997 | ) | ||||||
Valley National Bancorp | (15,937 | ) | (1.39 | %) | (17,849 | ) | ||||||
Air Products & Chemicals, Inc. | (472 | ) | (0.87 | %) | (18,276 | ) | ||||||
RLI Corp. | (1,450 | ) | (1.01 | %) | (21,388 | ) | ||||||
Scotts Miracle-Gro Co. — Class A | (1,055 | ) | (0.84 | %) | (22,123 | ) | ||||||
Terreno Realty Corp. | (3,306 | ) | (1.31 | %) | (22,946 | ) | ||||||
Rexford Industrial Realty, Inc. | (5,426 | ) | (1.77 | %) | (25,285 | ) | ||||||
AptarGroup, Inc. | (1,446 | ) | (1.46 | %) | (27,214 | ) | ||||||
Total Custom Basket of Short Securities | (455,329 | ) | ||||||||||
CUSTOM BASKET OF LONG SECURITIES5 | ||||||||||||
Allergan plc | 243 | 0.69 | % | 10,833 | ||||||||
Medicines Co.* | 2,460 | 1.50 | % | 6,609 | ||||||||
RMR Group, Inc. — Class A | 1,975 | 1.55 | % | 5,528 | ||||||||
HollyFrontier Corp. | 959 | 0.74 | % | 5,524 | ||||||||
Marathon Petroleum Corp. | 628 | 0.59 | % | 5,093 | ||||||||
Valero Energy Corp. | 524 | 0.75 | % | 4,847 | ||||||||
Delek US Holdings, Inc. | 985 | 0.67 | % | 4,846 | ||||||||
PBF Energy, Inc. — Class A | 911 | 0.48 | % | 4,646 | ||||||||
Phillips 66 | 510 | 0.80 | % | 4,503 | ||||||||
Amgen, Inc. | 351 | 1.08 | % | 3,391 | ||||||||
Becton Dickinson and Co. | 187 | 0.79 | % | 2,803 | ||||||||
Discovery, Inc. — Class A* | 1,585 | 0.81 | % | 2,742 | ||||||||
Textron, Inc. | 624 | 0.55 | % | 2,733 | ||||||||
ONEOK, Inc. | 883 | 1.01 | % | 2,728 | ||||||||
Facebook, Inc. — Class A* | 175 | 0.56 | % | 2,608 | ||||||||
Kennametal, Inc. | 672 | 0.41 | % | 2,547 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
LONG SHORT EQUITY FUND |
| Shares | Percentage |
| |||||||||
UniFirst Corp. | 92 | 0.29 | % | $ | 2,385 | |||||||
CVR Energy, Inc. | 443 | 0.37 | % | 2,361 | ||||||||
Baxter International, Inc. | 538 | 0.73 | % | 2,287 | ||||||||
News Corp. — Class A | 1,343 | 0.30 | % | 2,270 | ||||||||
World Fuel Services Corp. | 802 | 0.48 | % | 2,238 | ||||||||
Alexion Pharmaceuticals, Inc.* | 160 | 0.35 | % | 2,214 | ||||||||
Jazz Pharmaceuticals plc* | 156 | 0.37 | % | 2,186 | ||||||||
Caterpillar, Inc. | 242 | 0.55 | % | 2,180 | ||||||||
Omnicom Group, Inc. | 791 | 1.08 | % | 2,167 | ||||||||
AT&T, Inc. | 1,528 | 0.85 | % | 2,139 | ||||||||
Allison Transmission Holdings, Inc. | 881 | 0.68 | % | 2,114 | ||||||||
United Continental Holdings, Inc.* | 438 | 0.64 | % | 2,094 | ||||||||
Renewable Energy Group, Inc.* | 1,101 | 0.29 | % | 2,059 | ||||||||
Chevron Corp. | 610 | 1.27 | % | 1,995 | ||||||||
Exxon Mobil Corp. | 1,035 | 1.32 | % | 1,853 | ||||||||
Landstar System, Inc. | 292 | 0.53 | % | 1,851 | ||||||||
Meredith Corp. | 449 | 0.41 | % | 1,818 | ||||||||
Saia, Inc.* | 359 | 0.39 | % | 1,809 | ||||||||
FedEx Corp. | 380 | 1.04 | % | 1,805 | ||||||||
Delta Air Lines, Inc. | 931 | 0.88 | % | 1,741 | ||||||||
Huntington Ingalls Industries, Inc. | 112 | 0.42 | % | 1,733 | ||||||||
Knight-Swift Transportation Holdings, Inc. | 948 | 0.52 | % | 1,687 | ||||||||
Cardinal Health, Inc. | 673 | 0.53 | % | 1,656 | ||||||||
Casey’s General Stores, Inc. | 167 | 0.43 | % | 1,603 | ||||||||
Integer Holdings Corp.* | 254 | 0.36 | % | 1,590 | ||||||||
Westlake Chemical Corp. | 229 | 0.27 | % | 1,585 | ||||||||
Bio-Rad Laboratories, Inc. — Class A* | 93 | 0.48 | % | 1,530 | ||||||||
Skyworks Solutions, Inc. | 455 | 0.59 | % | 1,502 | ||||||||
Oshkosh Corp. | 281 | 0.39 | % | 1,489 | ||||||||
Cummins, Inc. | 208 | 0.59 | % | 1,483 | ||||||||
United Parcel Service, Inc. — Class B | 437 | 0.75 | % | 1,425 | ||||||||
Alaska Air Group, Inc. | 440 | 0.47 | % | 1,386 | ||||||||
Agilent Technologies, Inc. | 289 | 0.36 | % | 1,324 | ||||||||
Ingredion, Inc. | 574 | 0.79 | % | 1,297 | ||||||||
Gilead Sciences, Inc. | 881 | 0.99 | % | 1,286 | ||||||||
J.B. Hunt Transport Services, Inc. | 360 | 0.55 | % | 1,260 | ||||||||
Humana, Inc. | 57 | 0.25 | % | 1,259 | ||||||||
Werner Enterprises, Inc. | 763 | 0.40 | % | 1,221 | ||||||||
Abbott Laboratories | 389 | 0.55 | % | 1,159 | ||||||||
Unit Corp.* | 1,751 | 0.26 | % | 1,156 | ||||||||
Old Dominion Freight Line, Inc. | 129 | 0.32 | % | 1,099 | ||||||||
Mylan N.V.* | 675 | 0.21 | % | 1,033 | ||||||||
Pfizer, Inc. | 1,576 | 1.14 | % | 1,024 | ||||||||
Molson Coors Brewing Co. — Class B | 747 | 0.70 | % | 1,023 | ||||||||
Archer-Daniels-Midland Co. | 1,479 | 1.01 | % | 932 | ||||||||
Oracle Corp. | 307 | 0.29 | % | 930 | ||||||||
Diodes, Inc.* | 371 | 0.23 | % | 916 | ||||||||
ManpowerGroup, Inc. | 225 | 0.36 | % | 916 | ||||||||
Williams Companies, Inc. | 2,165 | 1.01 | % | 888 | ||||||||
Comcast Corp. — Class A | 836 | 0.59 | % | 886 | ||||||||
McKesson Corp. | 457 | 1.02 | % | 818 | ||||||||
Innoviva, Inc.* | 1,253 | 0.30 | % | 802 | ||||||||
Cheniere Energy, Inc.* | 348 | 0.40 | % | 800 | ||||||||
PACCAR, Inc. | 408 | 0.49 | % | 763 | ||||||||
Waters Corp.* | 100 | 0.36 | % | 735 | ||||||||
Merck & Company, Inc. | 813 | 1.14 | % | 707 | ||||||||
Apple, Inc. | 227 | 0.75 | % | 706 | ||||||||
AES Corp. | 1,854 | 0.52 | % | 705 | ||||||||
Darling Ingredients, Inc.* | 1,560 | 0.52 | % | 702 | ||||||||
HCP, Inc. | 1,529 | 0.82 | % | 688 | ||||||||
Berkshire Hathaway, Inc. — Class B* | 102 | �� | 0.36 | % | 667 | |||||||
Home Depot, Inc. | 65 | 0.23 | % | 647 | ||||||||
PPL Corp. | 1,613 | 0.83 | % | 645 | ||||||||
Parker-Hannifin Corp. | 215 | 0.61 | % | 630 | ||||||||
HP, Inc. | 670 | 0.23 | % | 623 | ||||||||
Masco Corp. | 476 | 0.31 | % | 619 | ||||||||
Microsoft Corp. | 327 | 0.73 | % | 608 | ||||||||
Biogen, Inc.* | 125 | 0.49 | % | 599 | ||||||||
Hewlett Packard Enterprise Co. | 839 | 0.21 | % | 579 | ||||||||
Franklin Resources, Inc. | 375 | 0.22 | % | 536 | ||||||||
Vishay Intertechnology, Inc. | 798 | 0.22 | % | 535 | ||||||||
Kansas City Southern | 191 | 0.39 | % | 502 | ||||||||
Walgreens Boots Alliance, Inc. | 276 | 0.25 | % | 494 | ||||||||
Domtar Corp. | 335 | 0.25 | % | 479 | ||||||||
Laboratory Corporation of America Holdings* | 75 | 0.22 | % | 472 | ||||||||
Schneider National, Inc. — Class B | 1,666 | 0.51 | % | 466 | ||||||||
Kraft Heinz Co. | 574 | 0.30 | % | 459 | ||||||||
CVS Health Corp. | 851 | 0.77 | % | 443 | ||||||||
Shenandoah Telecommunications Co. | 938 | 0.60 | % | 441 | ||||||||
Intel Corp. | 426 | 0.34 | % | 435 | ||||||||
Entergy Corp. | 126 | 0.22 | % | 432 | ||||||||
Targa Resources Corp. | 541 | 0.35 | % | 422 | ||||||||
Walt Disney Co. | 92 | 0.21 | % | 420 | ||||||||
TrueBlue, Inc.* | 645 | 0.24 | % | 406 | ||||||||
Thermo Fisher Scientific, Inc. | 47 | 0.23 | % | 406 |
16| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
LONG SHORT EQUITY FUND |
| Shares | Percentage |
| |||||||||
Hartford Financial Services Group, Inc. | 385 | 0.36 | % | $ | 397 | |||||||
Echo Global Logistics, Inc.* | 854 | 0.30 | % | 393 | ||||||||
TEGNA, Inc. | 1,705 | 0.43 | % | 392 | ||||||||
Cal-Maine Foods, Inc. | 693 | 0.48 | % | 381 | ||||||||
Bank of America Corp. | 465 | 0.22 | % | 353 | ||||||||
Avnet, Inc. | 487 | 0.37 | % | 341 | ||||||||
Verizon Communications, Inc. | 1,114 | 1.06 | % | 334 | ||||||||
Lear Corp. | 126 | 0.29 | % | 333 | ||||||||
Northern Trust Corp. | 146 | 0.22 | % | 324 | ||||||||
Hospitality Properties Trust | 810 | 0.34 | % | 316 | ||||||||
Kinder Morgan, Inc. | 3,149 | 1.10 | % | 315 | ||||||||
Walmart, Inc. | 122 | 0.22 | % | 311 | ||||||||
John Wiley & Sons, Inc. — Class A | 545 | 0.42 | % | 311 | ||||||||
SkyWest, Inc. | 267 | 0.27 | % | 304 | ||||||||
MetLife, Inc. | 260 | 0.22 | % | 291 | ||||||||
JPMorgan Chase & Co. | 259 | 0.48 | % | 290 | ||||||||
Wells Fargo & Co. | 272 | 0.21 | % | 288 | ||||||||
Snap-on, Inc. | 89 | 0.25 | % | 280 | ||||||||
Hill-Rom Holdings, Inc. | 308 | 0.54 | % | 277 | ||||||||
Amazon.com, Inc.* | 9 | 0.28 | % | 269 | ||||||||
Forward Air Corp. | 402 | 0.40 | % | 253 | ||||||||
Activision Blizzard, Inc. | 475 | 0.37 | % | 238 | ||||||||
Flowers Foods, Inc. | 871 | 0.34 | % | 235 | ||||||||
Southern Co. | 322 | 0.30 | % | 235 | ||||||||
Marten Transport Ltd. | 904 | 0.27 | % | 235 | ||||||||
Constellation Brands, Inc. — Class A | 109 | 0.36 | % | 216 | ||||||||
Hologic, Inc.* | 819 | 0.66 | % | 213 | ||||||||
AmerisourceBergen Corp. — Class A | 390 | 0.55 | % | 211 | ||||||||
NRG Energy, Inc. | 344 | 0.20 | % | 196 | ||||||||
Philip Morris International, Inc. | 492 | 0.64 | % | 192 | ||||||||
Southwest Airlines Co. | 830 | 0.70 | % | 166 | ||||||||
Prudential Financial, Inc. | 125 | 0.21 | % | 158 | ||||||||
Scholastic Corp. | 652 | 0.36 | % | 137 | ||||||||
Alphabet, Inc. — Class C* | 59 | 1.06 | % | 129 | ||||||||
Ameren Corp. | 692 | 0.87 | % | 125 | ||||||||
MSG Networks, Inc. — Class A* | 1,302 | 0.45 | % | 117 | ||||||||
Procter & Gamble Co. | 347 | 0.63 | % | 94 | ||||||||
Norfolk Southern Corp. | 193 | 0.64 | % | 69 | ||||||||
General Mills, Inc. | 458 | 0.40 | % | 69 | ||||||||
FirstEnergy Corp. | 1,070 | 0.76 | % | 64 | ||||||||
Portland General Electric Co. | 1,006 | 0.91 | % | 50 | ||||||||
Assured Guaranty Ltd. | 305 | 0.21 | % | 46 | ||||||||
Western Union Co. | 654 | 0.22 | % | – | ||||||||
Mondelez International, Inc. — Class A | 237 | 0.21 | % | (21 | ) | |||||||
|
| |||||||||||
AMC Networks, Inc. — Class A* | 688 | 0.63 | % | (69 | ) | |||||||
UnitedHealth Group, Inc. | 50 | 0.20 | % | (93 | ) | |||||||
Medtronic plc | 682 | 1.11 | % | (116 | ) | |||||||
Deluxe Corp. | 464 | 0.31 | % | (153 | ) | |||||||
InterDigital, Inc. | 184 | 0.20 | % | (155 | ) | |||||||
National Fuel Gas Co. | 959 | 0.84 | % | (192 | ) | |||||||
Union Pacific Corp. | 101 | 0.28 | % | (192 | ) | |||||||
Johnson & Johnson | 410 | 0.95 | % | (205 | ) | |||||||
OGE Energy Corp. | 677 | 0.48 | % | (230 | ) | |||||||
Urban Edge Properties | 704 | 0.20 | % | (239 | ) | |||||||
Host Hotels & Resorts, Inc. | 761 | 0.23 | % | (274 | ) | |||||||
New Media Investment Group, Inc. | 1,248 | 0.20 | % | (275 | ) | |||||||
Central Garden & Pet Co. — Class A* | 541 | 0.22 | % | (292 | ) | |||||||
Nu Skin Enterprises, Inc. — Class A | 266 | 0.22 | % | (327 | ) | |||||||
Post Holdings, Inc.* | 232 | 0.40 | % | (387 | ) | |||||||
Summit Hotel Properties, Inc. | 1,472 | 0.28 | % | (397 | ) | |||||||
US Foods Holding Corp.* | 396 | 0.24 | % | (404 | ) | |||||||
Vonage Holdings Corp.* | 1,127 | 0.21 | % | (451 | ) | |||||||
Cogent Communications Holdings, Inc. | 551 | 0.55 | % | (496 | ) | |||||||
Cisco Systems, Inc. | 221 | 0.20 | % | (526 | ) | |||||||
Clorox Co. | 180 | 0.46 | % | (544 | ) | |||||||
Herbalife Nutrition Ltd.* | 557 | 0.40 | % | (563 | ) | |||||||
Kimberly-Clark Corp. | 439 | 0.98 | % | (584 | ) | |||||||
CSX Corp. | 564 | 0.73 | % | (694 | ) | |||||||
Cinemark Holdings, Inc. | 579 | 0.35 | % | (747 | ) | |||||||
Tyson Foods, Inc. — Class A | 513 | 0.69 | % | (805 | ) | |||||||
Heartland Express, Inc. | 1,221 | 0.37 | % | (806 | ) | |||||||
Colgate-Palmolive Co. | 500 | 0.60 | % | (830 | ) | |||||||
PepsiCo, Inc. | 403 | 0.88 | % | (834 | ) | |||||||
AMERCO | 69 | 0.44 | % | (880 | ) | |||||||
Sysco Corp. | 451 | 0.53 | % | (920 | ) | |||||||
Exelon Corp. | 815 | 0.65 | % | (1,035 | ) | |||||||
Zimmer Biomet Holdings, Inc. | 409 | 0.80 | % | (1,121 | ) | |||||||
JM Smucker Co. | 151 | 0.29 | % | (1,196 | ) | |||||||
Apartment Investment & Management Co. — Class A | 1,254 | 1.05 | % | (1,267 | ) | |||||||
B&G Foods, Inc. | 591 | 0.21 | % | (1,282 | ) | |||||||
Pinnacle West Capital Corp. | 587 | 0.92 | % | (1,350 | ) | |||||||
JetBlue Airways Corp.* | 2,273 | 0.70 | % | (1,364 | ) | |||||||
Vector Group Ltd. | 2,176 | 0.35 | % | (1,414 | ) | |||||||
Lions Gate Entertainment Corp. — Class A | 1,274 | 0.26 | % | (1,465 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
Medical Properties Trust, Inc. | 3,036 | 0.88 | % | $ | (1,761 | ) | ||||||
ATN International, Inc. | 413 | 0.40 | % | (1,896 | ) | |||||||
Equity Commonwealth | 1,936 | 1.05 | % | (2,072 | ) | |||||||
Pilgrim’s Pride Corp.* | 1,394 | 0.59 | % | (2,286 | ) | |||||||
Kroger Co. | 1,206 | 0.44 | % | (3,558 | ) | |||||||
Total Custom Basket of Long Securities | 145,396 | |||||||||||
CUSTOM BASKET OF SHORT SECURITIES8 | ||||||||||||
Realty Income Corp. | (2,152 | ) | (1.22 | %) | 7,017 | |||||||
Crown Castle International Corp. | (1,250 | ) | (1.34 | %) | 6,939 | |||||||
Alexandria Real Estate Equities, Inc. | (674 | ) | (0.78 | %) | 6,701 | |||||||
Brandywine Realty Trust | (5,717 | ) | (0,67 | %) | 5,889 | |||||||
International Flavors & Fragrances, Inc. | (825 | ) | (0.99 | %) | 5,825 | |||||||
Agree Realty Corp. | (2,310 | ) | (1.23 | %) | 5,521 | |||||||
Hudson Pacific Properties, Inc. | (4,695 | ) | (1.30 | %) | 4,836 | |||||||
STORE Capital Corp. | (3,594 | ) | (0.99 | %) | 4,277 | |||||||
WP Carey, Inc. | (864 | ) | (0.58 | %) | 3,205 | |||||||
Advanced Micro Devices, Inc.* | (1,531 | ) | (0.39 | %) | 3,123 | |||||||
Paychex, Inc. | (632 | ) | (0.43 | %) | 3,008 | |||||||
Empire State Realty Trust, Inc. — Class A | (6,835 | ) | (0.84 | %) | 3,007 | |||||||
Douglas Emmett, Inc. | (2,836 | ) | (0.94 | %) | 2,949 | |||||||
New York Community Bancorp, Inc. | (6,975 | ) | (0.58 | %) | 2,790 | |||||||
Rollins, Inc. | (1,617 | ) | (0.48 | %) | 2,700 | |||||||
SPS Commerce, Inc.* | (488 | ) | (0.41 | %) | 2,420 | |||||||
CyrusOne, Inc. | (1,081 | ) | (0.52 | %) | 2,400 | |||||||
RLI Corp. | (1,450 | ) | (1.03 | %) | 2,364 | |||||||
Compass Minerals International, Inc. | (1,206 | ) | (0.55 | %) | 2,038 | |||||||
American Tower Corp. — Class A | (437 | ) | (0.74 | %) | 1,975 | |||||||
UDR, Inc. | (1,622 | ) | (0.60 | %) | 1,865 | |||||||
MarketAxess Holdings, Inc. | (140 | ) | (0.37 | %) | 1,760 | |||||||
Extra Space Storage, Inc. | (541 | ) | (0.48 | %) | 1,628 | |||||||
Sherwin-Williams Co. | (122 | ) | (0.46 | %) | 1,535 | |||||||
Nutanix, Inc. — Class A* | (728 | ) | (0.16 | %) | 1,376 | |||||||
American Homes 4 Rent — Class A | (3,342 | ) | (0.67 | %) | 1,370 | |||||||
CVB Financial Corp. | (4,004 | ) | (0.70 | %) | 1,361 | |||||||
Healthcare Realty Trust, Inc. | (1,337 | ) | (0.35 | %) | 1,337 | |||||||
CubeSmart | (2,011 | ) | (0.56 | %) | 1,267 | |||||||
BOK Financial Corp. | (1,100 | ) | (0.69 | %) | 1,166 | |||||||
Equity LifeStyle Properties, Inc. | (950 | ) | (0.96 | %) | 1,074 | |||||||
Blackstone Mortgage Trust, Inc. — Class A | (2,091 | ) | (0.62 | %) | 1,066 | |||||||
NewMarket Corp. | (258 | ) | (0.86 | %) | 1,060 | |||||||
Everest Re Group Ltd. | (495 | ) | (1.02 | %) | 926 | |||||||
American Campus Communities, Inc. | (1,154 | ) | (0.44 | %) | 912 | |||||||
Tyler Technologies, Inc.* | (256 | ) | (0.46 | %) | 891 | |||||||
Snap, Inc. — Class A* | (1,814 | ) | (0.22 | %) | 872 | |||||||
Roku, Inc.* | (291 | ) | (0.22 | %) | 810 | |||||||
Camden Property Trust | (812 | ) | (0.70 | %) | 731 | |||||||
Sun Communities, Inc. | (1,657 | ) | (1.76 | %) | 729 | |||||||
Welltower, Inc. | (1,215 | ) | (0.82 | %) | 705 | |||||||
Invitation Homes, Inc. | (3,318 | ) | (0.74 | %) | 697 | |||||||
Woodward, Inc. | (761 | ) | (0.71 | %) | 670 | |||||||
Marriott Vacations Worldwide Corp. | (459 | ) | (0.37 | %) | 652 | |||||||
Digital Realty Trust, Inc. | (398 | ) | (0.39 | %) | 569 | |||||||
Wyndham Hotels & Resorts, Inc. | (1,420 | ) | (0.66 | %) | 554 | |||||||
New Relic, Inc.* | (306 | ) | (0.22 | %) | 486 | |||||||
Texas Roadhouse, Inc. — Class A | (730 | ) | (0.33 | %) | 482 | |||||||
Dunkin’ Brands Group, Inc. | (550 | ) | (0.36 | %) | 435 | |||||||
Alarm.com Holdings, Inc.* | (455 | ) | (0.20 | %) | 155 | |||||||
Capitol Federal Financial, Inc. | (10,715 | ) | (1.22 | %) | 107 | |||||||
First Republic Bank | (544 | ) | (0.44 | %) | 103 | |||||||
Sensient Technologies Corp. | (721 | ) | (0.44 | %) | 101 | |||||||
PayPal Holdings, Inc.* | (649 | ) | (0.62 | %) | 91 | |||||||
PPG Industries, Inc. | (380 | ) | (0.37 | %) | 53 | |||||||
Autodesk, Inc.* | (405 | ) | (0.55 | %) | 12 | |||||||
Old National Bancorp | (5,815 | ) | (0.80 | %) | — | |||||||
Linde plc | (246 | ) | (0.41 | %) | (2 | ) | ||||||
Equinix, Inc. | (215 | ) | (0.90 | %) | (11 | ) | ||||||
Chimera Investment Corp. | (3,018 | ) | (0.47 | %) | (91 | ) | ||||||
Arthur J Gallagher & Co. | (654 | ) | (0.48 | %) | (92 | ) | ||||||
New Residential Investment Corp. | (3,313 | ) | (0.42 | %) | (99 | ) | ||||||
CME Group, Inc. — Class A | (140 | ) | (0.23 | %) | (121 | ) | ||||||
CoreSite Realty Corp. | (355 | ) | (0.34 | %) | (128 | ) | ||||||
Mastercard, Inc. — Class A | (54 | ) | (0.12 | %) | (163 | ) | ||||||
Visa, Inc. — Class A | (81 | ) | (0.12 | %) | (202 | ) | ||||||
American Water Works Company, Inc. | (429 | ) | (0.41 | %) | (266 | ) | ||||||
Signature Bank | (516 | ) | (0.52 | %) | (268 | ) | ||||||
NIKE, Inc. — Class B | (493 | ) | (0.34 | %) | (340 | ) | ||||||
Intuit, Inc. | (105 | ) | (0.23 | %) | (364 | ) | ||||||
RealPage, Inc.* | (677 | ) | (0.33 | %) | (372 | ) | ||||||
AGNC Investment Corp. | (3,253 | ) | (0.45 | %) | (390 | ) | ||||||
Etsy, Inc.* | (445 | ) | (0.23 | %) | (417 | ) | ||||||
BankUnited, Inc. | (1,779 | ) | (0.50 | %) | (427 | ) |
18| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
LONG SHORT EQUITY FUND |
| Shares | Percentage |
| |||||||||
Columbia Financial, Inc.* | (2,700 | ) | (0.34 | %) | $ | (459 | ) | |||||
PROS Holdings, Inc.* | (434 | ) | (0.23 | %) | (467 | ) | ||||||
Intuitive Surgical, Inc.* | (53 | ) | (0.23 | %) | (487 | ) | ||||||
Align Technology, Inc.* | (101 | ) | (0.23 | %) | (492 | ) | ||||||
Intercontinental Exchange, Inc. | (497 | ) | (0.35 | %) | (497 | ) | ||||||
Fair Isaac Corp.* | (141 | ) | (0.37 | %) | (580 | ) | ||||||
Associated Banc-Corp. | (2,798 | ) | (0.49 | %) | (588 | ) | ||||||
Glacier Bancorp, Inc. | (1,658 | ) | (0.56 | %) | (630 | ) | ||||||
MFA Financial, Inc. | (8,241 | ) | (0.49 | %) | (659 | ) | ||||||
Planet Fitness, Inc. — Class A* | (384 | ) | (0.23 | %) | (706 | ) | ||||||
Appfolio, Inc. — Class A* | (287 | ) | (0.24 | %) | (720 | ) | ||||||
CoStar Group, Inc.* | (79 | ) | (0.36 | %) | (733 | ) | ||||||
Annaly Capital Management, Inc. | (5,853 | ) | (0.44 | %) | (761 | ) | ||||||
First Industrial Realty Trust, Inc. | (2,672 | ) | (0.81 | %) | (802 | ) | ||||||
ABIOMED, Inc.* | (107 | ) | (0.23 | %) | (836 | ) | ||||||
Qualys, Inc.* | (319 | ) | (0.23 | %) | (843 | ) | ||||||
RPM International, Inc. | (739 | ) | (0.37 | %) | (865 | ) | ||||||
ANSYS, Inc.* | (135 | ) | (0.23 | %) | (866 | ) | ||||||
DocuSign, Inc.* | (1,056 | ) | (0.44 | %) | (906 | ) | ||||||
McDonald’s Corp. | (206 | ) | (0.36 | %) | (906 | ) | ||||||
Pegasystems, Inc. | (1,783 | ) | (1.05 | %) | (981 | ) | ||||||
MSCI, Inc. — Class A | (117 | ) | (0.23 | %) | (1,016 | ) | ||||||
Two Harbors Investment Corp. | (3,965 | ) | (0.42 | %) | (1,071 | ) | ||||||
FireEye, Inc.* | (2,825 | ) | (0.35 | %) | (1,074 | ) | ||||||
NextEra Energy, Inc. | (386 | ) | (0.66 | %) | (1,116 | ) | ||||||
Pool Corp. | (221 | ) | (0.35 | %) | (1,143 | ) | ||||||
Five9, Inc.* | (552 | ) | (0.23 | %) | (1,196 | ) | ||||||
salesforce.com, Inc.* | (761 | ) | (0.96 | %) | (1,202 | ) | ||||||
Microchip Technology, Inc. | (930 | ) | (0.67 | %) | (1,265 | ) | ||||||
SBA Communications Corp.* | (851 | ) | (1.59 | %) | (1,336 | ) | ||||||
Palo Alto Networks, Inc.* | (451 | ) | (0.76 | %) | (1,339 | ) | ||||||
Redwood Trust, Inc. | (3,385 | ) | (0.46 | %) | (1,354 | ) | ||||||
HealthEquity, Inc.* | (435 | ) | (0.24 | %) | (1,371 | ) | ||||||
LiveRamp Holdings, Inc.* | (585 | ) | (0.24 | %) | (1,451 | ) | ||||||
Guardant Health, Inc.* | (331 | ) | (0.24 | %) | (1,519 | ) | ||||||
Cintas Corp. | (310 | ) | (0.61 | %) | (1,553 | ) | ||||||
Atmos Energy Corp. | (530 | ) | (0.46 | %) | (1,558 | ) | ||||||
Pacific Premier Bancorp, Inc. | (1,795 | ) | (0.46 | %) | (1,562 | ) | ||||||
Avery Dennison Corp. | (494 | ) | (0.47 | %) | (1,685 | ) | ||||||
PTC, Inc.* | (1,175 | ) | (0.88 | %) | (1,692 | ) | ||||||
Concho Resources, Inc. | (747 | ) | (0.64 | %) | (1,748 | ) | ||||||
EastGroup Properties, Inc. | (1,186 | ) | (1.14 | %) | (1,779 | ) | ||||||
Core Laboratories N.V. | (1,096 | ) | (0.48 | %) | (1,819 | ) | ||||||
CNO Financial Group, Inc. | (3,559 | ) | (0.49 | %) | (1,851 | ) | ||||||
Vulcan Materials Co. | (315 | ) | (0.36 | %) | (1,997 | ) | ||||||
People’s United Financial, Inc. | (3,746 | ) | (0.52 | %) | (2,098 | ) | ||||||
Liberty Property Trust | (3,700 | ) | (1.54 | %) | (2,109 | ) | ||||||
IAA, Inc.* | (1,558 | ) | (0.50 | %) | (2,223 | ) | ||||||
Costco Wholesale Corp. | (311 | ) | (0.68 | %) | (2,224 | ) | ||||||
Martin Marietta Materials, Inc. | (271 | ) | (0.52 | %) | (2,485 | ) | ||||||
First Financial Bankshares, Inc. | (1,997 | ) | (0.51 | %) | (2,516 | ) | ||||||
AptarGroup, Inc. | (1,446 | ) | (1.49 | %) | (2,545 | ) | ||||||
Monolithic Power Systems, Inc. | (564 | ) | (0.64 | %) | (2,600 | ) | ||||||
Adobe, Inc.* | (141 | ) | (0.34 | %) | (2,631 | ) | ||||||
Reliance Steel & Aluminum Co. | (534 | ) | (0.42 | %) | (2,948 | ) | ||||||
Kaiser Aluminum Corp. | (563 | ) | (0.46 | %) | (3,057 | ) | ||||||
Fortive Corp. | (1,304 | ) | (0.88 | %) | (3,077 | ) | ||||||
National Oilwell Varco, Inc. | (3,464 | ) | (0.64 | %) | (3,222 | ) | ||||||
Washington Federal, Inc. | (1,674 | ) | (0.49 | %) | (3,331 | ) | ||||||
Air Products & Chemicals, Inc. | (472 | ) | (0.89 | %) | (3,455 | ) | ||||||
Wingstop, Inc. | (597 | ) | (0.47 | %) | (3,510 | ) | ||||||
KAR Auction Services, Inc. | (1,558 | ) | (0.32 | %) | (3,526 | ) | ||||||
WesBanco, Inc. | (1,216 | ) | (0.39 | %) | (3,551 | ) | ||||||
Balchem Corp. | (1,100 | ) | (0.91 | %) | (3,652 | ) | ||||||
WR Grace & Co. | (2,447 | ) | (1.55 | %) | (3,842 | ) | ||||||
Materion Corp. | (1,482 | ) | (0.83 | %) | (3,883 | ) | ||||||
Ball Corp. | (1,098 | ) | (0.64 | %) | (3,898 | ) | ||||||
Southern Copper Corp. | (2,750 | ) | (0.89 | %) | (4,510 | ) | ||||||
Rexford Industrial Realty, Inc. | (5,426 | ) | (1.82 | %) | (4,775 | ) | ||||||
Allegheny Technologies, Inc.* | (4,528 | ) | (0.95 | %) | (5,117 | ) | ||||||
Guidewire Software, Inc.* | (1,329 | ) | (1.12 | %) | (5,155 | ) | ||||||
Valley National Bancorp | (15,937 | ) | (1.43 | %) | (5,578 | ) | ||||||
Scotts Miracle-Gro Co. — Class A | (1,055 | ) | (0.86 | %) | (5,792 | ) | ||||||
Diamondback Energy, Inc. | (663 | ) | (0.60 | %) | (6,106 | ) | ||||||
Proofpoint, Inc.* | (570 | ) | (0.57 | %) | (6,281 | ) | ||||||
Terreno Realty Corp. | (3,307 | ) | (1.35 | %) | (6,515 | ) | ||||||
South Jersey Industries, Inc. | (3,478 | ) | (0.97 | %) | (6,539 | ) | ||||||
TransDigm Group, Inc.* | (395 | ) | (1.59 | %) | (6,577 | ) | ||||||
Bright Horizons Family Solutions, Inc.* | (537 | ) | (0.67 | %) | (6,734 | ) | ||||||
TransUnion | (2,314 | ) | (1.41 | %) | (7,960 | ) | ||||||
IHS Markit Ltd.* | (2,772 | ) | (1.47 | %) | (11,310 | ) | ||||||
Schlumberger Ltd. | (3,893 | ) | (1.28 | %) | (11,874 | ) | ||||||
Howard Hughes Corp.* | (749 | ) | (0.77 | %) | (15,729 | ) | ||||||
Commercial Metals Co. | (6,042 | ) | (0.90 | %) | (18,307 | ) | ||||||
Total Custom Basket of Short Securities | (145,884 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
LONG SHORT EQUITY 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 custom basket swap collateral at June 30, 2019. |
2 | All or a portion of this security is on loan at June 30, 2019 — See Note 7. |
3 | Rate indicated is the 7-day yield as of June 30, 2019. |
4 | Securities lending collateral — See Note 7. |
5 | Total Return based on the return of the custom Goldman Sachs long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
6 | Total Return based on the return of the custom Morgan Stanley long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
7 | Total Return based on the return of the custom Morgan Stanley short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
8 | Total Return based on the return of the custom Goldman Sachs short basket securities +/- financing at a variable rate. Rate indicated is a rate effective at June 30, 2019. |
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, 2019 (See Note 4 in the Notes to Consolidated Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 26,727,543 | $ | — | $ | — | $ | 26,727,543 | ||||||||
Money Market Fund | 891,646 | — | — | 891,646 | ||||||||||||
Securities Lending Collateral | 140,957 | — | — | 140,957 | ||||||||||||
Custom Basket Swap Agreements** | — | 226,838 | — | 226,838 | ||||||||||||
Total Assets | $ | 27,760,146 | $ | 226,838 | $ | — | $ | 27,986,984 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Custom Basket Swap Agreements** | $ | — | $ | 601,213 | $ | — | $ | 601,213 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
20| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
LONG SHORT EQUITY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 | ||||
Assets: | ||||
Investments, at value - including $142,138 of securities loaned (cost $26,578,090) | $ | 27,760,146 | ||
Unrealized appreciation on OTC swap agreements | 226,838 | |||
Receivables: | ||||
Dividends | 34,347 | |||
Fund shares sold | 1,312 | |||
Securities lending income | 71 | |||
Total assets | 28,022,714 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 601,213 | |||
Payable for: | ||||
Return of securities lending collateral | 140,957 | |||
Swap settlement | 49,879 | |||
Management fees | 18,419 | |||
Fund shares redeemed | 12,791 | |||
Investor service fees | 5,117 | |||
Transfer agent and administrative fees | 2,047 | |||
Portfolio accounting fees | 2,047 | |||
Trustees’ fees* | 512 | |||
Miscellaneous | 49,686 | |||
Total liabilities | 882,668 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 27,140,046 | ||
Net assets consist of: | ||||
Paid in capital | $ | 30,419,096 | ||
Total distributable earnings (loss) | (3,279,050 | ) | ||
Net assets | $ | 27,140,046 | ||
Capital shares outstanding | 2,027,133 | |||
Net asset value per share | $ | 13.39 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 | ||||
Investment Income: | ||||
Dividends | $ | 317,673 | ||
Income from securities lending, net | 391 | |||
Total investment income | 318,064 | |||
Expenses: | ||||
Management fees | 123,539 | |||
Investor service fees | 34,316 | |||
Transfer agent and administrative fees | 13,726 | |||
Professional fees | 18,031 | |||
Portfolio accounting fees | 13,726 | |||
Trustees’ fees* | 3,768 | |||
Custodian fees | 3,663 | |||
Miscellaneous | 30,371 | |||
Total expenses | 241,140 | |||
Net investment income | 76,924 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (662,821 | ) | ||
Swap agreements | (1,693,748 | ) | ||
Net realized loss | (2,356,569 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 3,938,558 | |||
Swap agreements | (1,264,276 | ) | ||
Net change in unrealized appreciation (depreciation) | 2,674,282 | |||
Net realized and unrealized gain | 317,713 | |||
Net increase in net assets resulting from operations | $ | 394,637 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 21 |
LONG SHORT EQUITY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 76,924 | $ | 177,914 | ||||
Net realized loss on investments | (2,356,569 | ) | (1,900,182 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 2,674,282 | (3,213,298 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 394,637 | (4,935,566 | ) | |||||
Distributions to shareholders | — | (4,359,341 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,455,990 | 10,995,300 | ||||||
Distributions reinvested | — | 4,359,341 | ||||||
Cost of shares redeemed | (4,921,146 | ) | (15,986,990 | ) | ||||
Net decrease from capital share transactions | (2,465,156 | ) | (632,349 | ) | ||||
Net decrease in net assets | (2,070,519 | ) | (9,927,256 | ) | ||||
Net assets: | ||||||||
Beginning of period | 29,210,565 | 39,137,821 | ||||||
End of period | $ | 27,140,046 | $ | 29,210,565 | ||||
Capital share activity: | ||||||||
Shares sold | 180,443 | 675,872 | ||||||
Shares issued from reinvestment of distributions | — | 306,996 | ||||||
Shares redeemed | (367,608 | ) | (993,262 | ) | ||||
Net decrease in shares | (187,165 | ) | (10,394 | ) |
22| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
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 | $ | 13.19 | $ | 17.59 | $ | 15.37 | $ | 15.27 | $ | 15.08 | $ | 14.67 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .04 | .08 | (.05 | ) | .01 | (.11 | ) | (.09 | ) | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .16 | (2.19 | ) | 2.33 | .09 | .30 | .50 | |||||||||||||||||
Total from investment operations | .20 | (2.11 | ) | 2.28 | .10 | .19 | .41 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.06 | ) | — | — | — | |||||||||||||||||
Net realized gains | — | (2.29 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (2.29 | ) | (.06 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 13.39 | $ | 13.19 | $ | 17.59 | $ | 15.37 | $ | 15.27 | $ | 15.08 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 1.52% | (12.94 | %) | 14.85% | 0.65% | 1.26% | 2.79% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 27,140 | $ | 29,211 | $ | 39,138 | $ | 31,887 | $ | 39,120 | $ | 30,041 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.56 | % | 0.52 | % | (0.32 | %) | 0.04 | % | (0.71 | %) | (0.63 | %) | ||||||||||||
Total expensesd,f | 1.76 | % | 1.62 | % | 1.78 | % | 2.22 | % | 2.28 | % | 2.12 | % | ||||||||||||
Net expensese | 1.76 | % | 1.62 | % | 1.78 | % | 2.22 | % | 2.28 | % | 2.12 | % | ||||||||||||
Portfolio turnover rate | 89 | % | 266 | % | 258 | % | 239 | % | 244 | % | 316 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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, as applicable. |
f | Total expenses may include certain non-operating expenses. Excluding these non-operating expenses, the net expense ratios for the years ended December 31 would be: |
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
1.75% | 1.62% | 1.61% | 1.56% | 1.51% | 1.57% |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 23 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
GLOBAL MANAGED FUTURES STRATEGY FUND
OBJECTIVE: Seeks to generate positive total returns over time.
Consolidated Holdings Diversification (Market Exposure as % of Net Assets)
“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 38.1% |
Guggenheim Strategy Fund II | 18.3% |
Guggenheim Strategy Fund III | 17.2% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 5.5% |
Total | 79.1% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Global Managed Futures Strategy Fund | 6.06% | 0.18% | (0.04%) | (2.37%) |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 1.24% | 2.31% | 0.87% | 0.49% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 79.1% | ||||||||
Guggenheim Variable Insurance Strategy Fund III1 | 205,610 | $ | 5,090,910 | |||||
Guggenheim Strategy Fund II1 | 98,521 | 2,445,283 | ||||||
Guggenheim Strategy Fund III1 | 92,405 | 2,290,710 | ||||||
Guggenheim Ultra Short Duration Fund - Institutional Class1 | 73,899 | 736,032 | ||||||
Total Mutual Funds | ||||||||
(Cost $10,591,025) | 10,562,935 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 10.5% | ||||||||
U.S. Treasury Bills | ||||||||
2.11% due 07/16/192,3 | $ | 1,410,000 | 1,408,796 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,408,713) | 1,408,796 | |||||||
REPURCHASE AGREEMENTS††,4 - 10.7% | ||||||||
JPMorgan Chase & Co. | 951,657 | 951,657 | ||||||
Bank of America Merrill Lynch | 236,408 | 236,408 | ||||||
Barclays Capital | 236,408 | 236,408 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,424,473) | 1,424,473 | |||||||
Total Investments - 100.3% | ||||||||
(Cost $13,424,211) | $ | 13,396,204 | ||||||
Other Assets & Liabilities, net - (0.3)% | (45,577 | ) | ||||||
Total Net Assets - 100.0% | $ | 13,350,627 |
Futures Contracts
Description | Number of | Expiration | Notional | Value and | |||||||||
Interest Rate Futures Contracts Purchased† | |||||||||||||
U.S. Treasury 10 Year Note Futures Contracts | 27 | Sep 2019 | $ | 3,453,891 | $ | 42,649 | |||||||
U.S. Treasury Long Bond Futures Contracts | 7 | Sep 2019 | 1,088,500 | 28,591 | |||||||||
U.S. Treasury 2 Year Note Futures Contracts | 21 | Sep 2019 | 4,517,953 | 22,929 | |||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 4 | Sep 2019 | 709,625 | 21,429 | |||||||||
Euro - Bobl Futures Contracts | 29 | Sep 2019 | 4,434,440 | 17,627 | |||||||||
Australian Government 10 Year Bond Futures Contracts | 30 | Sep 2019 | 3,019,801 | 15,734 | |||||||||
U.S. Treasury 5 Year Note Futures Contracts | 9 | Sep 2019 | 1,063,125 | 11,234 | |||||||||
Euro - Bund Futures Contracts | 10 | Sep 2019 | 1,964,513 | 10,654 | |||||||||
Euro - 30 year Bond Futures Contracts | 1 | Sep 2019 | 230,664 | 9,356 | |||||||||
Euro - BTP Italian Government Bond Futures Contracts†† | 1 | Sep 2019 | 152,400 | 6,344 | |||||||||
Canadian Government 10 Year Bond Futures Contracts | 8 | Sep 2019 | 873,464 | 4,199 | |||||||||
Euro - OATS Futures Contracts†† | 8 | Sep 2019 | 1,500,091 | 2,043 | |||||||||
Australian Government 3 Year Bond Futures Contracts | 82 | Sep 2019 | 6,617,231 | 1,468 | |||||||||
$ | 29,625,698 | $ | 194,257 | ||||||||||
Commodity Futures Contracts Purchased† | |||||||||||||
Gasoline RBOB Futures Contracts | 12 | Sep 2019 | $ | 850,046 | $ | 96,485 | |||||||
Gold 100 oz. Futures Contracts | 6 | Aug 2019 | 848,640 | 24,008 | |||||||||
Brent Crude Futures Contracts | 4 | Jul 2019 | 256,800 | 13,523 | |||||||||
Sugar #11 Futures Contracts | 46 | Sep 2019 | 648,637 | 13,004 | |||||||||
Sugar #11 Futures Contracts | 12 | Feb 2020 | 181,440 | 3,468 | |||||||||
LME Zinc Futures Contracts | 1 | Aug 2019 | 62,679 | 420 | |||||||||
WTI Crude Futures Contracts | 1 | Jul 2019 | 58,000 | (1,395 | ) | ||||||||
Wheat Futures Contracts | 2 | Sep 2019 | 52,600 | (2,056 | ) | ||||||||
Lean Hogs Futures Contracts | 2 | Aug 2019 | 61,080 | (4,958 | ) | ||||||||
Cocoa Futures Contracts | 6 | Sep 2019 | 146,100 | (6,379 | ) | ||||||||
Corn Futures Contracts | 15 | Sep 2019 | 319,875 | (12,795 | ) | ||||||||
Natural Gas Futures Contracts | 21 | Aug 2019 | 480,480 | (15,023 | ) | ||||||||
Live Cattle Futures Contracts | 42 | Oct 2019 | 1,774,920 | (34,249 | ) | ||||||||
$ | 5,741,297 | $ | 74,053 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 25 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
Futures Contracts (continued) | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
Canadian Dollar Futures Contracts | 24 | Sep 2019 | $ | 1,835,160 | $ | 15,049 | ||||||||||
New Zealand Dollar Futures Contracts | 2 | Sep 2019 | 134,540 | 2,655 | ||||||||||||
Mexican Peso Futures Contracts | 22 | Sep 2019 | 566,060 | 464 | ||||||||||||
Japanese Yen Futures Contracts | 4 | Sep 2019 | 466,400 | (1,256 | ) | |||||||||||
$ | 3,002,160 | $ | 16,912 | |||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P 500 Index Mini Futures Contracts | 6 | Sep 2019 | $ | 882,975 | $ | 8,643 | ||||||||||
Dow Jones Industrial Average Index Mini Futures Contracts | 4 | Sep 2019 | 531,760 | 7,994 | ||||||||||||
SPI 200 Index Futures Contracts | 8 | Sep 2019 | 922,764 | 5,069 | ||||||||||||
FTSE MIB Index Futures Contracts†† | 1 | Sep 2019 | 120,337 | 3,918 | ||||||||||||
CAC 40 10 Euro Index Futures Contracts | 15 | Jul 2019 | 943,130 | 3,910 | ||||||||||||
MSCI EAFE Index Mini Futures Contracts | 1 | Sep 2019 | 96,165 | 1,978 | ||||||||||||
OMX Stockholm 30 Index Futures Contracts | 6 | Jul 2019 | 104,882 | 1,785 | ||||||||||||
S&P/TSX 60 IX Index Futures Contracts | 4 | Sep 2019 | 596,546 | 272 | ||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 2 | Sep 2019 | 307,750 | (100 | ) | |||||||||||
Nikkei 225 (OSE) Index Futures Contracts | 1 | Sep 2019 | 197,292 | (207 | ) | |||||||||||
Amsterdam Index Futures Contracts | 6 | Jul 2019 | 765,014 | (255 | ) | |||||||||||
Euro STOXX 50 Index Futures Contracts | 9 | Sep 2019 | 354,186 | (628 | ) | |||||||||||
FTSE/JSE TOP 40 Index Futures Contracts†† | 3 | Sep 2019 | 111,789 | (974 | ) | |||||||||||
MSCI Taiwan Stock Index Futures Contracts | 13 | Jul 2019 | 502,060 | (1,485 | ) | |||||||||||
CBOE Volatility Index Futures Contracts | 38 | Jul 2019 | 606,860 | (15,462 | ) | |||||||||||
$ | 7,043,510 | $ | 14,458 | |||||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||||
CBOE Volatility Index Futures Contracts | 40 | Aug 2019 | $ | 672,800 | $ | 8,802 | ||||||||||
CBOE Volatility Index Futures Contracts | 22 | Sep 2019 | 377,520 | 8,617 | ||||||||||||
Tokyo Stock Price Index Futures Contracts | 5 | Sep 2019 | 719,553 | 6,136 | ||||||||||||
HSCEI Index Futures Contracts†† | 2 | Jul 2019 | 138,777 | (211 | ) | |||||||||||
FTSE 100 Index Futures Contracts | 1 | Sep 2019 | 93,602 | (365 | ) | |||||||||||
Russell 2000 Index Mini Futures Contracts | 3 | Sep 2019 | 235,140 | (4,443 | ) | |||||||||||
S&P MidCap 400 Index Mini Futures Contracts | 1 | Sep 2019 | 195,280 | (5,002 | ) | |||||||||||
$ | 2,432,672 | $ | 13,534 | |||||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||||
Long Gilt Futures Contracts†† | 1 | Sep 2019 | $ | 165,488 | $ | (14 | ) | |||||||||
Euro - Schatz Futures Contracts | 9 | Sep 2019 | 1,149,414 | (210 | ) | |||||||||||
$ | 1,314,902 | $ | (224 | ) | ||||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||||
British Pound Futures Contracts | 14 | Sep 2019 | $ | 1,114,925 | $ | 1,902 | ||||||||||
Euro FX Futures Contracts | 8 | Sep 2019 | 1,144,150 | (4,449 | ) | |||||||||||
Australian Dollar Futures Contracts | 24 | Sep 2019 | 1,689,120 | (17,939 | ) | |||||||||||
Swiss Franc Futures Contracts | 29 | Sep 2019 | 3,739,550 | (63,179 | ) | |||||||||||
$ | 7,687,745 | $ | (83,665 | ) | ||||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||||
Live Cattle Futures Contracts | 48 | Dec 2019 | $ | 2,120,640 | $ | 33,532 | ||||||||||
Natural Gas Futures Contracts | 21 | Sep 2019 | 486,780 | 15,986 | ||||||||||||
Cattle Feeder Futures Contracts | 1 | Aug 2019 | 68,350 | 10,159 | ||||||||||||
Natural Gas Futures Contracts | 14 | Jul 2019 | 323,820 | 9,484 | ||||||||||||
Live Cattle Futures Contracts | 8 | Aug 2019 | 333,520 | 5,715 | ||||||||||||
Hard Red Winter Wheat Futures Contracts | 7 | Sep 2019 | 161,875 | 5,492 | ||||||||||||
Soybean Meal Futures Contracts | 8 | Dec 2019 | 257,760 | 2,526 | ||||||||||||
Cotton #2 Futures Contracts | 3 | May 2020 | 101,205 | 533 | ||||||||||||
Cotton #2 Futures Contracts | 8 | Dec 2019 | 264,160 | (651 | ) | |||||||||||
Platinum Futures Contracts | 1 | Oct 2019 | 41,960 | (950 | ) | |||||||||||
Copper Futures Contracts | 1 | Sep 2019 | 67,850 | (1,478 | ) | |||||||||||
LME Primary Aluminum Futures Contracts | 14 | Aug 2019 | 627,410 | (2,996 | ) | |||||||||||
LME Lead Futures Contracts | 5 | Aug 2019 | 241,356 | (3,871 | ) |
26| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
Futures Contracts (concluded) | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Commodity Futures Contracts Sold Short† (continued) | ||||||||||||||||
Soybean Oil Futures Contracts | 21 | Dec 2019 | $ | 363,258 | $ | (6,453 | ) | |||||||||
Soybean Futures Contracts | 11 | Nov 2019 | 507,788 | (7,883 | ) | |||||||||||
Silver Futures Contracts | 3 | Sep 2019 | 230,325 | (7,944 | ) | |||||||||||
Coffee ‘C’ Futures Contracts | 3 | Sep 2019 | 123,300 | (9,122 | ) | |||||||||||
Low Sulphur Gas Oil Futures Contracts | 3 | Aug 2019 | 176,625 | (9,942 | ) | |||||||||||
LME Nickel Futures Contracts | 4 | Aug 2019 | 304,224 | (16,709 | ) | |||||||||||
NY Harbor ULSD Futures Contracts | 3 | Jul 2019 | 243,142 | (17,988 | ) | |||||||||||
Sugar #11 Futures Contracts | 73 | Apr 2020 | 1,111,936 | (21,899 | ) | |||||||||||
Gasoline RBOB Futures Contracts | 9 | Jul 2019 | 712,606 | (85,148 | ) | |||||||||||
$ | 8,869,890 | $ | (109,607 | ) |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs, unless otherwise noted — 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 futures collateral at June 30, 2019. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | 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, 2019 (See Note 4 in the Notes to Consolidated Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 10,562,935 | $ | — | $ | — | $ | 10,562,935 | ||||||||
U.S. Treasury Bills | — | 1,408,796 | — | 1,408,796 | ||||||||||||
Repurchase Agreements | — | 1,424,473 | — | 1,424,473 | ||||||||||||
Interest Rate Futures Contracts** | 185,870 | 8,387 | — | 194,257 | ||||||||||||
Commodity Futures Contracts** | 234,335 | — | — | 234,335 | ||||||||||||
Currency Futures Contracts** | 20,070 | — | — | 20,070 | ||||||||||||
Equity Futures Contracts** | 53,206 | 3,918 | — | 57,124 | ||||||||||||
Total Assets | $ | 11,056,416 | $ | 2,845,574 | $ | — | $ | 13,901,990 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Interest Rate Futures Contracts** | $ | 210 | $ | 14 | $ | — | $ | 224 | ||||||||
Commodity Futures Contracts** | 269,889 | — | — | 269,889 | ||||||||||||
Currency Futures Contracts** | 86,823 | — | — | 86,823 | ||||||||||||
Equity Futures Contracts** | 27,947 | 1,185 | — | 29,132 | ||||||||||||
Total Liabilities | $ | 384,869 | $ | 1,199 | $ | — | $ | 386,068 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 27 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 2,410,909 | $ | 34,373 | $ | — | $ | — | $ | 1 | $ | 2,445,283 | 98,521 | $ | 34,672 | |||||||||||||||||
Guggenheim Strategy Fund III | 2,258,972 | 31,748 | — | — | (10 | ) | 2,290,710 | 92,405 | 32,056 | |||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund - Institutional Class | 726,522 | 9,515 | — | — | (5 | ) | 736,032 | 73,899 | 9,591 | |||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 5,318,567 | 70,431 | (300,000 | ) | (2,699 | ) | 4,611 | 5,090,910 | 205,610 | 70,573 | ||||||||||||||||||||||
$ | 10,714,970 | $ | 146,067 | $ | (300,000 | ) | $ | (2,699 | ) | $ | 4,597 | $ | 10,562,935 | $ | 146,892 |
28| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
GLOBAL MANAGED FUTURES STRATEGY FUND |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 | ||||
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $1,408,713) | $ | 1,408,796 | ||
Investments in affiliated issuers, at value (cost $10,591,025) | 10,562,935 | |||
Repurchase agreements, at value (cost $1,424,473) | 1,424,473 | |||
Cash | 31,224 | |||
Segregated cash with broker | 56,400 | |||
Receivables: | ||||
Dividends | 23,952 | |||
Fund shares sold | 21,362 | |||
Interest | 297 | |||
Total assets | 13,529,439 | |||
Liabilities: | ||||
Due to custodian | 37,758 | |||
Payable for: | ||||
Variation margin on futures contracts | 66,122 | |||
Securities purchased | 23,952 | |||
Management fees | 9,148 | |||
Fund shares redeemed | 8,471 | |||
Investor service fees | 2,580 | |||
Transfer agent and administrative fees | 1,032 | |||
Portfolio accounting fees | 1,032 | |||
Trustees’ fees* | 247 | |||
Miscellaneous | 28,470 | |||
Total liabilities | 178,812 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 13,350,627 | ||
Net assets consist of: | ||||
Paid in capital | $ | 13,781,670 | ||
Total distributable earnings (loss) | (431,043 | ) | ||
Net assets | $ | 13,350,627 | ||
Capital shares outstanding | 811,938 | |||
Net asset value per share | $ | 16.44 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 | ||||
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 146,892 | ||
Interest | 33,148 | |||
Total investment income | 180,040 | |||
Expenses: | ||||
Management fees | 62,444 | |||
Investor service fees | 16,548 | |||
Professional fees | 12,959 | |||
Transfer agent and administrative fees | 6,619 | |||
Portfolio accounting fees | 6,619 | |||
Trustees’ fees* | 1,798 | |||
Custodian fees | 1,557 | |||
Miscellaneous | 14,569 | |||
Total expenses | 123,113 | |||
Less: | ||||
Expenses waived by Adviser | (3,776 | ) | ||
Net expenses | 119,337 | |||
Net investment income | 60,703 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (5 | ) | ||
Investments in affiliated issuers | (2,699 | ) | ||
Futures contracts | 825,021 | |||
Foreign currency transactions | (39 | ) | ||
Net realized gain | 822,278 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (21 | ) | ||
Investments in affiliated issuers | 4,597 | |||
Futures contracts | (88,488 | ) | ||
Foreign currency translations | (141 | ) | ||
Net change in unrealized appreciation (depreciation) | (84,053 | ) | ||
Net realized and unrealized gain | 738,225 | |||
Net increase in net assets resulting from operations | $ | 798,928 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 29 |
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 | $ | 60,703 | $ | 175,689 | ||||
Net realized gain (loss) on investments | 822,278 | (1,330,963 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (84,053 | ) | (209,471 | ) | ||||
Net increase (decrease) in net assets resulting from operations | 798,928 | (1,364,745 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 1,425,775 | 3,343,451 | ||||||
Cost of shares redeemed | (2,155,469 | ) | (3,488,782 | ) | ||||
Net decrease from capital share transactions | (729,694 | ) | (145,331 | ) | ||||
Net increase (decrease) in net assets | 69,234 | (1,510,076 | ) | |||||
Net assets: | ||||||||
Beginning of period | 13,281,393 | 14,791,469 | ||||||
End of period | $ | 13,350,627 | $ | 13,281,393 | ||||
Capital share activity: | ||||||||
Shares sold | 88,676 | 198,960 | ||||||
Shares redeemed | (133,645 | ) | (209,139 | ) | ||||
Net decrease in shares | (44,969 | ) | (10,179 | ) |
30| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
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 | $ | 15.50 | $ | 17.06 | $ | 15.93 | $ | 19.42 | $ | 20.89 | $ | 18.60 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .07 | .20 | .10 | .06 | (.07 | ) | (.12 | ) | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .87 | (1.76 | ) | 1.27 | (2.88 | ) | (.25 | ) | 2.41 | |||||||||||||||
Total from investment operations | .94 | (1.56 | ) | 1.37 | (2.82 | ) | (.32 | ) | 2.29 | |||||||||||||||
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 | $ | 16.44 | $ | 15.50 | $ | 17.06 | $ | 15.93 | $ | 19.42 | $ | 20.89 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 6.06% | (9.14 | %) | 8.71% | (14.77 | %) | (1.55 | %) | 12.08% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 13,351 | $ | 13,281 | $ | 14,791 | $ | 14,782 | $ | 17,536 | $ | 11,433 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.92 | % | 1.21 | % | 0.59 | % | 0.32 | % | (0.35 | %) | (0.67 | %) | ||||||||||||
Total expensesd | 1.86 | % | 1.72 | % | 1.69 | % | 1.69 | % | 1.65 | % | 1.67 | % | ||||||||||||
Net expensese | 1.80 | % | 1.66 | % | 1.64 | % | 1.62 | % | 1.57 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 1 | % | 8 | % | 1 | % | 39 | % | 33 | % | 43 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 31 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND
OBJECTIVE: Seeks 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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 29, 2005 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 12.6% |
Guggenheim Variable Insurance Strategy Fund III | 11.3% |
Guggenheim Strategy Fund III | 11.3% |
Red Hat, Inc. | 2.1% |
SunTrust Banks, Inc. | 1.7% |
L3 Technologies, Inc. | 1.7% |
First Data Corp. — Class A | 1.6% |
Versum Materials, Inc. | 1.3% |
Celgene Corp. | 1.3% |
Anadarko Petroleum Corp. | 1.3% |
Top Ten Total | 46.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Multi-Hedge Strategies Fund | 3.99% | 3.77% | 1.59% | 2.34% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
HFRX Global Hedge Fund Index | 4.22% | (1.95%) | (0.11%) | 1.42% |
* | 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 and S&P 500 Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
|
| Value | ||||||
COMMON STOCKS† - 30.0% | ||||||||
Technology - 7.1% | ||||||||
Red Hat, Inc.*,1 | 4,174 | $ | 783,710 | |||||
First Data Corp. — Class A* | 22,287 | 603,309 | ||||||
Mellanox Technologies Ltd.*,1 | 3,536 | 391,329 | ||||||
Electronics for Imaging, Inc.* | 8,416 | 310,635 | ||||||
Tableau Software, Inc. — Class A* | 1,413 | 234,586 | ||||||
Aquantia Corp.*,1 | 12,396 | 161,520 | ||||||
Cypress Semiconductor Corp.1 | 6,973 | 155,079 | ||||||
Total Technology | 2,640,168 | |||||||
Consumer, Non-cyclical - 5.7% | ||||||||
Celgene Corp.* | 5,063 | 468,024 | ||||||
Spark Therapeutics, Inc.* | 4,245 | 434,603 | ||||||
Total System Services, Inc. | 2,440 | 312,979 | ||||||
Worldpay, Inc. — Class A*,1 | 2,493 | 305,517 | ||||||
WellCare Health Plans, Inc.*,1 | 872 | 248,581 | ||||||
Array BioPharma, Inc.* | 3,347 | 155,067 | ||||||
LSC Communications, Inc. | 30,085 | 110,412 | ||||||
Pacific Biosciences of California, Inc.*,1 | 15,449 | 93,466 | ||||||
Total Consumer, Non-cyclical | 2,128,649 | |||||||
Financial - 5.5% | ||||||||
SunTrust Banks, Inc.1 | 10,240 | 643,584 | ||||||
Fidelity Southern Corp. | 14,250 | 441,323 | ||||||
TCF Financial Corp. | 19,781 | 411,247 | ||||||
LegacyTexas Financial Group, Inc.1 | 5,986 | 243,690 | ||||||
HFF, Inc. — Class A | 5,088 | 231,402 | ||||||
Genworth Financial, Inc. — Class A* | 13,429 | 49,821 | ||||||
Total Financial | 2,021,067 | |||||||
Communications - 4.5% | ||||||||
Finisar Corp.* | 19,057 | 435,834 | ||||||
Tribune Media Co. — Class A | 8,692 | 401,744 | ||||||
Zayo Group Holdings, Inc.*,1 | 9,737 | 320,445 | ||||||
Shutterfly, Inc.* | 4,621 | 233,592 | ||||||
Liberty Expedia Holdings, Inc. — Class A* | 3,531 | 168,746 | ||||||
Sprint Corp.*,1 | 13,690 | 89,943 | ||||||
Total Communications | 1,650,304 | |||||||
Industrial - 3.8% | ||||||||
L3 Technologies, Inc. | 2,615 | 641,119 | ||||||
Global Brass & Copper Holdings, Inc.1 | 7,403 | 323,733 | ||||||
Advanced Disposal Services, Inc.*,1 | 9,924 | 316,675 | ||||||
Control4 Corp.* | 6,521 | 154,874 | ||||||
Total Industrial | 1,436,401 | |||||||
Basic Materials - 1.3% | ||||||||
Versum Materials, Inc. | 9,258 | 477,528 | ||||||
Energy - 1.3% | ||||||||
Anadarko Petroleum Corp.1 | 6,600 | 465,696 | ||||||
Consumer, Cyclical - 0.4% | ||||||||
Caesars Entertainment Corp.* | 13,290 | 157,088 | ||||||
Utilities - 0.4% | ||||||||
El Paso Electric Co.1 | 2,348 | 153,559 | ||||||
Total Common Stocks | ||||||||
(Cost $11,179,943) | 11,130,460 | |||||||
MASTER LIMITED PARTNERSHIPS† - 0.8% | ||||||||
Energy - 0.8% | ||||||||
Buckeye Partners, LP | 7,591 | 311,610 | ||||||
Total Master Limited Partnerships | ||||||||
(Cost $309,279) | 311,610 | |||||||
RIGHTS† - 0.0% | ||||||||
Cushing Renaissance Fund* | 3 | 1 | ||||||
Total Rights | ||||||||
(Cost $—) | 1 | |||||||
MUTUAL FUNDS† - 35.3% | ||||||||
Guggenheim Strategy Fund II2 | 188,562 | 4,680,101 | ||||||
Guggenheim Variable Insurance Strategy Fund III2 | 168,639 | 4,175,490 | ||||||
Guggenheim Strategy Fund III2 | 168,272 | 4,171,450 | ||||||
Guggenheim Ultra Short Duration Fund - Institutional Class2 | 4,295 | 42,776 | ||||||
Total Mutual Funds | ||||||||
(Cost $13,167,328) | 13,069,817 | |||||||
CLOSED-END FUNDS† - 9.1% | ||||||||
Dividend and Income Fund | 5,252 | 60,503 | ||||||
RMR Real Estate Income Fund | 1,721 | 31,546 | ||||||
Boulder Growth & Income Fund, Inc. | 1,781 | 20,019 | ||||||
General American Investors Company, Inc. | 557 | 19,768 | ||||||
GDL Fund | 2,126 | 19,634 | ||||||
Adams Natural Resources Fund, Inc. | 1,180 | 19,517 | ||||||
Cushing Energy Income Fund | 2,758 | 19,223 | ||||||
BrandywineGLOBAL Global Income Opportunities Fund, Inc. | 1,630 | 19,120 | ||||||
New Ireland Fund, Inc. | 2,084 | 18,693 | ||||||
Franklin Universal Trust | 2,517 | 18,424 | ||||||
Aberdeen Asia-Pacific Income Fund, Inc. | 4,369 | 18,263 | ||||||
Brookfield Global Listed Infrastructure Income Fund, Inc. | 1,426 | 18,253 | ||||||
Salient Midstream & MLP Fund | 2,075 | 17,824 | ||||||
Japan Smaller Capitalization Fund, Inc. | 2,090 | 17,786 | ||||||
BlackRock Resources & Commodities Strategy Trust3 | 2,140 | 17,505 | ||||||
Herzfeld Caribbean Basin Fund, Inc. | 2,736 | 17,374 | ||||||
Eagle Growth & Income Opportunities Fund | 1,126 | 17,295 | ||||||
Swiss Helvetia Fund, Inc. | 2,186 | 17,269 | ||||||
Macquarie Global Infrastructure Total Return Fund, Inc. | 727 | 17,201 | ||||||
Korea Fund, Inc. | 596 | 17,189 | ||||||
Ellsworth Growth and Income Fund Ltd. | 1,670 | 17,134 | ||||||
Central and Eastern Europe Fund, Inc. | 629 | 17,109 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 33 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
|
| Value | ||||||
Kayne Anderson Midstream/Energy Fund, Inc. | 1,475 | $ | 17,080 | |||||
Western Asset Inflation - Linked Securities & Income Fund | 1,462 | 17,032 | ||||||
Source Capital, Inc. | 464 | 16,969 | ||||||
Adams Diversified Equity Fund, Inc. | 1,096 | 16,933 | ||||||
Bancroft Fund Ltd. | 755 | 16,912 | ||||||
Gabelli Healthcare & WellnessRx Trust | 1,602 | 16,869 | ||||||
Nuveen North Carolina Quality Municipal Income Fund | 1,262 | 16,823 | ||||||
First Trust High Income Long/Short Fund | 1,118 | 16,792 | ||||||
Nuveen Maryland Quality Municipal Income Fund | 1,289 | 16,705 | ||||||
Delaware Investments Minnesota Municipal Income Fund II, Inc. | 1,297 | 16,679 | ||||||
PGIM Global High Yield Fund, Inc. | 1,152 | 16,646 | ||||||
PGIM High Yield Bond Fund, Inc. | 1,136 | 16,620 | ||||||
Nuveen New Jersey Quality Municipal Income Fund | 1,178 | 16,610 | ||||||
CBRE Clarion Global Real Estate Income Fund | 2,209 | 16,545 | ||||||
Aberdeen Global Dynamic Dividend Fund | 1,710 | 16,484 | ||||||
Aberdeen Total Dynamic Dividend Fund | 1,973 | 16,455 | ||||||
Western Asset Inflation-Linked Opportunities & Income Fund | 1,470 | 16,449 | ||||||
Neuberger Berman California Municipal Fund, Inc. | 1,210 | 16,448 | ||||||
New Germany Fund, Inc. | 1,158 | 16,421 | ||||||
European Equity Fund, Inc. | 1,858 | 16,388 | ||||||
Eaton Vance California Municipal Income Trust | 1,318 | 16,317 | ||||||
Eaton Vance Limited Duration Income Fund | 1,287 | 16,281 | ||||||
Mexico Fund, Inc. | 1,184 | 16,280 | ||||||
AllianzGI NFJ Dividend Interest & Premium Strategy Fund | 1,312 | 16,269 | ||||||
Nuveen Pennsylvania Quality Municipal Income Fund | 1,189 | 16,230 | ||||||
First Trust Energy Infrastructure Fund | 1,018 | 16,227 | ||||||
Cushing MLP & Infrastructure Total Return Fund | 1,587 | 16,203 | ||||||
Nuveen Michigan Quality Municipal Income Fund | 1,192 | 16,164 | ||||||
Eaton Vance California Municipal Bond Fund | 1,465 | 16,159 | ||||||
AllianceBernstein National Municipal Income Fund, Inc. | 1,200 | 16,140 | ||||||
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 2,332 | 16,114 | ||||||
Eaton Vance New York Municipal Income Trust | 1,244 | 16,097 | ||||||
BlackRock Enhanced International Dividend Trust | 2,864 | 16,096 | ||||||
Western Asset Emerging Markets Debt Fund, Inc. | 1,123 | 16,081 | ||||||
ClearBridge Energy Midstream Opportunity Fund, Inc. | 1,746 | 16,063 | ||||||
First Trust Aberdeen Global Opportunity Income Fund | 1,541 | 16,026 | ||||||
BlackRock MuniHoldings California Quality Fund, Inc. | 1,173 | 16,011 | ||||||
BlackRock Energy and Resources Trust | 1,342 | 16,010 | ||||||
Nuveen Arizona Quality Municipal Income Fund | 1,224 | 15,998 | ||||||
Templeton Emerging Markets Fund/United States | 1,059 | 15,991 | ||||||
Morgan Stanley China A Share Fund, Inc. | 735 | 15,979 | ||||||
BlackRock MuniYield Pennsylvania Quality Fund | 1,139 | 15,969 | ||||||
Western Asset Intermediate Muni Fund, Inc. | 1,777 | 15,940 | ||||||
Taiwan Fund, Inc. | 940 | 15,933 | ||||||
Nuveen Massachusetts Quality Municipal Income Fund | 1,231 | 15,917 | ||||||
Nuveen Texas Quality Municipal Income Fund | 1,163 | 15,910 | ||||||
First Trust New Opportunities MLP & Energy Fund | 1,682 | 15,895 | ||||||
BlackRock Enhanced Global Dividend Trust | 1,480 | 15,880 | ||||||
Neuberger Berman New York Municipal Fund, Inc. | 1,295 | 15,877 | ||||||
Royce Value Trust, Inc. | 1,140 | 15,869 | ||||||
Nuveen Senior Income Fund | 2,663 | 15,792 | ||||||
Eaton Vance Floating-Rate Income Plus Fund | 1,054 | 15,778 | ||||||
Cohen & Steers Global Income Builder, Inc. | 1,766 | 15,770 | ||||||
China Fund, Inc. | 779 | 15,767 | ||||||
Nuveen Quality Municipal Income Fund3 | 1,125 | 15,750 | ||||||
Aberdeen Japan Equity Fund, Inc. | 2,249 | 15,743 | ||||||
BlackRock Limited Duration Income Trust | 1,049 | 15,735 | ||||||
Nuveen Global High Income Fund | 1,015 | 15,702 | ||||||
BlackRock Debt Strategies Fund, Inc. | 1,454 | 15,660 | ||||||
Nuveen Virginia Quality Municipal Income Fund | 1,199 | 15,623 | ||||||
Ares Dynamic Credit Allocation Fund, Inc. | 1,032 | 15,614 | ||||||
Nuveen Floating Rate Income Opportunity Fund | 1,603 | 15,613 | ||||||
LMP Capital and Income Fund, Inc. | 1,150 | 15,594 | ||||||
Voya Infrastructure Industrials and Materials Fund | 1,251 | 15,575 | ||||||
BlackRock MuniHoldings New Jersey Quality Fund, Inc. | 1,117 | 15,571 | ||||||
BlackRock MuniYield Michigan Quality Fund, Inc. | 1,133 | 15,567 | ||||||
Tekla Healthcare Investors | 775 | 15,562 | ||||||
Nuveen Pennsylvania Municipal Value Fund | 1,073 | 15,558 | ||||||
Tekla Healthcare Opportunities Fund | 872 | 15,539 | ||||||
AllianceBernstein Global High Income Fund, Inc. | 1,319 | 15,538 |
34| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
|
| Value | ||||||
Neuberger Berman MLP & Energy Income Fund, Inc. | 2,068 | $ | 15,531 | |||||
Nuveen California AMT-Free Quality Municipal Income Fund | 1,062 | 15,505 | ||||||
Nuveen Real Asset Income and Growth Fund | 915 | 15,491 | ||||||
Nuveen New York Quality Municipal Income Fund | 1,117 | 15,482 | ||||||
BlackRock Municipal Income Quality Trust | 1,125 | 15,480 | ||||||
Nuveen AMT-Free Quality Municipal Income Fund | 1,119 | 15,453 | ||||||
BlackRock Credit Allocation Income Trust | 1,191 | 15,447 | ||||||
First Trust Dynamic Europe Equity Income Fund | 1,101 | 15,436 | ||||||
BlackRock MuniHoldings Quality Fund, Inc. | 1,240 | 15,413 | ||||||
Royce Micro-Capital Trust, Inc. | 1,875 | 15,413 | ||||||
Sprott Focus Trust, Inc. | 2,284 | 15,394 | ||||||
Lazard Global Total Return and Income Fund, Inc. | 948 | 15,353 | ||||||
Nuveen Floating Rate Income Fund | 1,556 | 15,327 | ||||||
BlackRock MuniYield Quality Fund II, Inc. | 1,219 | 15,311 | ||||||
ClearBridge MLP & Midstream Total Return Fund, Inc. | 1,632 | 15,308 | ||||||
MFS Investment Grade Municipal Trust | 1,599 | 15,303 | ||||||
Morgan Stanley Emerging Markets Debt Fund, Inc. | 1,640 | 15,285 | ||||||
Wells Fargo Income Opportunities Fund | 1,854 | 15,277 | ||||||
BlackRock Corporate High Yield Fund, Inc. | 1,425 | 15,276 | ||||||
Eaton Vance Short Duration Diversified Income Fund | 1,128 | 15,273 | ||||||
Nuveen Georgia Quality Municipal Income Fund | 1,234 | 15,271 | ||||||
Templeton Dragon Fund, Inc. | 794 | 15,261 | ||||||
BlackRock MuniYield Quality Fund III, Inc.3 | 1,156 | 15,259 | ||||||
BlackRock MuniYield New York Quality Fund, Inc. | 1,199 | 15,239 | ||||||
Ivy High Income Opportunities Fund | 1,123 | 15,239 | ||||||
Goldman Sachs MLP Energy and Renaissance Fund | 2,886 | 15,238 | ||||||
BlackRock New York Municipal Income Quality Trust | 1,145 | 15,229 | ||||||
Pioneer Diversified High Income Trust | 1,062 | 15,187 | ||||||
Voya Emerging Markets High Income Dividend Equity Fund | 1,957 | 15,186 | ||||||
Virtus Total Return Fund, Inc. | 1,432 | 15,179 | ||||||
Eaton Vance Tax-Advantaged Global Dividend Income Fund | 945 | 15,167 | ||||||
BlackRock MuniHoldings New York Quality Fund, Inc. | 1,152 | 15,160 | ||||||
Tri-Continental Corp. | 562 | 15,157 | ||||||
Kayne Anderson MLP/Midstream Investment Co. | 989 | 15,142 | ||||||
Credit Suisse Asset Management Income Fund, Inc. | 4,866 | 15,133 | ||||||
Lazard World Dividend & Income Fund, Inc. | 1,520 | 15,124 | ||||||
Principal Real Estate Income Fund | 792 | 15,096 | ||||||
BlackRock MuniHoldings Investment Quality Fund | 1,135 | 15,095 | ||||||
BlackRock Enhanced Equity Dividend Trust | 1,701 | 15,088 | ||||||
John Hancock Investors Trust | 919 | 15,072 | ||||||
BlackRock MuniHoldings Quality Fund II, Inc. | 1,198 | 15,071 | ||||||
Clough Global Opportunities Fund | 1,611 | 15,063 | ||||||
Clough Global Dividend and Income Fund | 1,344 | 15,039 | ||||||
Nuveen Ohio Quality Municipal Income Fund | 1,009 | 15,029 | ||||||
Voya Global Advantage and Premium Opportunity Fund | 1,403 | 15,012 | ||||||
Tortoise Pipeline & Energy Fund, Inc. | 1,044 | 15,002 | ||||||
Aberdeen Global Premier Properties Fund | 2,387 | 14,943 | ||||||
Western Asset High Income Fund II, Inc. | 2,127 | 14,931 | ||||||
DWS Municipal Income Trust | 1,323 | 14,910 | ||||||
AllianzGI Equity & Convertible Income Fund | 689 | 14,910 | ||||||
Delaware Enhanced Global Dividend & Income Fund | 1,504 | 14,890 | ||||||
Western Asset Municipal Partners Fund, Inc. | 998 | 14,870 | ||||||
Delaware Investments National Municipal Income Fund | 1,125 | 14,861 | ||||||
John Hancock Tax-Advantaged Global Shareholder Yield Fund | 2,171 | 14,828 | ||||||
MFS Charter Income Trust | 1,818 | 14,817 | ||||||
Nuveen Credit Strategies Income Fund | 1,869 | 14,803 | ||||||
Gabelli Global Utility & Income Trust | 785 | 14,774 | ||||||
Nuveen Diversified Dividend & Income Fund | 1,387 | 14,772 | ||||||
DTF Tax-Free Income, Inc. | 1,067 | 14,767 | ||||||
Neuberger Berman Real Estate Securities Income Fund, Inc. | 2,866 | 14,717 | ||||||
Nuveen California Quality Municipal Income Fund | 1,016 | 14,712 | ||||||
Western Asset Global Corporate Defined Opportunity Fund, Inc. | 857 | 14,698 | ||||||
BlackRock Municipal 2030 Target Term Trust | 632 | 14,681 | ||||||
Morgan Stanley India Investment Fund, Inc. | 699 | 14,658 | ||||||
Western Asset High Income Opportunity Fund, Inc. | 2,857 | 14,657 | ||||||
BlackRock Multi-Sector Income Trust | 839 | 14,641 | ||||||
Voya Global Equity Dividend and Premium Opportunity Fund | 2,244 | 14,631 | ||||||
Gabelli Dividend & Income Trust | 674 | 14,606 | ||||||
Eaton Vance Municipal Income Trust | 1,174 | 14,605 | ||||||
Federated Premier Municipal Income Fund | 1,059 | 14,561 | ||||||
Templeton Emerging Markets Income Fund | 1,423 | 14,543 | ||||||
India Fund, Inc. | 683 | 14,534 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 35 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
|
| Value | ||||||
Nuveen All Capital Energy MLP Opportunities Fund | 2,348 | $ | 14,534 | |||||
ClearBridge MLP & Midstream Fund, Inc. | 1,211 | 14,471 | ||||||
BNY Mellon High Yield Strategies Fund | 4,727 | 14,465 | ||||||
MFS Multimarket Income Trust | 2,475 | 14,429 | ||||||
Eaton Vance New York Municipal Bond Fund | 1,204 | 14,424 | ||||||
Cushing Renaissance Fund3 | 1,022 | 14,410 | ||||||
Western Asset Global High Income Fund, Inc. | 1,451 | 14,408 | ||||||
Tortoise Power and Energy Infrastructure Fund, Inc. | 786 | 14,407 | ||||||
Madison Covered Call & Equity Strategy Fund | 2,179 | 14,403 | ||||||
First Trust Aberdeen Emerging Opportunity Fund | 1,024 | 14,397 | ||||||
Aberdeen Emerging Markets Equity Income Fund, Inc. | 1,968 | 14,386 | ||||||
Nuveen Multi-Market Income Fund | 1,957 | 14,345 | ||||||
Duff & Phelps Utility and Corporate Bond Trust, Inc. | 1,636 | 14,315 | ||||||
Cohen & Steers REIT and Preferred and Income Fund, Inc. | 662 | 14,312 | ||||||
Western Asset High Yield Defined Opportunity Fund, Inc. | 956 | 14,311 | ||||||
Brookfield Real Assets Income Fund, Inc. | 657 | 14,250 | ||||||
BlackRock New York Municipal Income Trust II | 1,030 | 14,245 | ||||||
Voya Asia Pacific High Dividend Equity Income Fund | 1,541 | 14,223 | ||||||
Duff & Phelps Global Utility Income Fund, Inc. | 926 | 14,177 | ||||||
BNY Mellon Municipal Income, Inc. | 1,662 | 14,160 | ||||||
BlackRock Enhanced Capital and Income Fund, Inc. | 895 | 14,141 | ||||||
BlackRock Core Bond Trust | 1,004 | 14,116 | ||||||
Wells Fargo Multi-Sector Income Fund | 1,125 | 14,108 | ||||||
Nuveen Connecticut Quality Municipal Income Fund | 1,085 | 14,073 | ||||||
Nuveen Energy MLP Total Return Fund | 1,544 | 14,066 | ||||||
Pioneer High Income Trust | 1,562 | 14,058 | ||||||
Liberty All-Star Equity Fund | 2,188 | 14,047 | ||||||
DWS Strategic Municipal Income Trust | 1,181 | 14,042 | ||||||
Liberty All Star Growth Fund, Inc. | 2,410 | 14,026 | ||||||
First Trust Intermediate Duration Preferred & Income Fund | 615 | 13,991 | ||||||
Eaton Vance Municipal Bond Fund | 1,124 | 13,971 | ||||||
Invesco High Income Trust II | 964 | 13,968 | ||||||
Putnam Municipal Opportunities Trust | 1,103 | 13,964 | ||||||
Nuveen Real Estate Income Fund | 1,328 | 13,944 | ||||||
Neuberger Berman High Yield Strategies Fund, Inc. | 1,191 | 13,935 | ||||||
GAMCO Natural Resources Gold & Income Trust | 2,393 | 13,927 | ||||||
Mexico Equity & Income Fund, Inc. | 1,239 | 13,753 | ||||||
Neuberger Berman Municipal Fund, Inc. | 943 | 13,749 | ||||||
Clough Global Equity Fund | 1,071 | 13,698 | ||||||
Wells Fargo Global Dividend Opportunity Fund | 2,495 | 13,673 | ||||||
Putnam Master Intermediate Income Trust | 2,975 | 13,655 | ||||||
Virtus Global Multi-Sector Income Fund | 1,078 | 13,647 | ||||||
Cohen & Steers MLP Income and Energy Opportunity Fund, Inc. | 1,428 | 13,523 | ||||||
Putnam Managed Municipal Income Trust | 1,771 | 13,513 | ||||||
Pioneer Municipal High Income Trust | 1,102 | 13,444 | ||||||
Nuveen Municipal Credit Income Fund | 838 | 13,199 | ||||||
Nuveen New York Municipal Value Fund 2 | 916 | 13,108 | ||||||
Nuveen New Jersey Municipal Value Fund | 952 | 12,681 | ||||||
Advent Claymore Convertible Securities and Income Fund | 682 | 10,271 | ||||||
Total Closed-End Funds | ||||||||
(Cost $3,099,118) | 3,353,665 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 16.2% | ||||||||
U.S. Treasury Bills | ||||||||
2.12% due 07/16/191,5,6 | $ | 4,650,000 | 4,646,031 | |||||
2.11% due 07/16/191,4,5 | 1,361,000 | 1,359,838 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $6,005,512) | 6,005,869 | |||||||
REPURCHASE AGREEMENTS††,7 - 2.7% | ||||||||
JPMorgan Chase & Co. | 670,289 | 670,289 | ||||||
Bank of America Merrill Lynch | 166,511 | 166,511 | ||||||
Barclays Capital | 166,511 | 166,511 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,003,311) | 1,003,311 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,8 - 0.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%9 | 41,275 | 41,275 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $41,275) | 41,275 | |||||||
Total Investments - 94.2% | ||||||||
(Cost $34,805,766) | $ | 34,916,008 | ||||||
COMMON STOCKS SOLD SHORT† - (13.6%) | ||||||||
Consumer, Cyclical - (0.1%) | ||||||||
Eldorado Resorts, Inc.* | 1,195 | (55,054 | ) | |||||
36| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
|
| Value | ||||||
Energy - (0.3%) | ||||||||
Occidental Petroleum Corp. | 1,936 | $ | (97,342 | ) | ||||
Communications - (0.7%) | ||||||||
T-Mobile US, Inc.* | 1,405 | (104,167 | ) | |||||
Expedia Group, Inc. | 1,271 | (169,081 | ) | |||||
Total Communications | (273,248 | ) | ||||||
Industrial - (2.2%) | ||||||||
II-VI, Inc.* | 4,227 | (154,539 | ) | |||||
Harris Corp. | 3,400 | (643,042 | ) | |||||
Total Industrial | (797,581 | ) | ||||||
Consumer, Non-cyclical - (2.3%) | ||||||||
Quad/Graphics, Inc. | 18,803 | (148,732 | ) | |||||
Centene Corp.* | 2,947 | (154,541 | ) | |||||
Bristol-Myers Squibb Co. | 5,063 | (229,607 | ) | |||||
Global Payments, Inc. | 1,977 | (316,577 | ) | |||||
Total Consumer, Non-cyclical | (849,457 | ) | ||||||
Technology - (3.1%) | ||||||||
salesforce.com, Inc.* | 1,559 | (236,547 | ) | |||||
Fidelity National Information Services, Inc. | 2,315 | (284,004 | ) | |||||
Fiserv, Inc.* | 6,753 | (615,603 | ) | |||||
Total Technology | (1,136,154 | ) | ||||||
Financial - (4.9%) | ||||||||
Jones Lang LaSalle, Inc. | 766 | (107,768 | ) | |||||
Prosperity Bancshares, Inc. | 3,161 | (208,784 | ) | |||||
Chemical Financial Corp. | 10,051 | (413,197 | ) | |||||
Ameris Bancorp | 11,400 | (446,766 | ) | |||||
BB&T Corp. | 13,261 | (651,513 | ) | |||||
Total Financial | (1,828,028 | ) | ||||||
Total Common Stocks Sold Short | ||||||||
(Proceeds $5,057,898) | (5,036,864 | ) | ||||||
EXCHANGE-TRADED FUNDS SOLD SHORT† - (9.2%) | ||||||||
SPDR S&P 500 ETF Trust | 13 | (3,809 | ) | |||||
Technology Select Sector SPDR Fund | 52 | (4,058 | ) | |||||
Consumer Discretionary Select Sector SPDR Fund | 120 | (14,304 | ) | |||||
Industrial Select Sector SPDR Fund | 188 | (14,555 | ) | |||||
iShares MSCI South Korea ETF | 273 | (16,344 | ) | |||||
Materials Select Sector SPDR Fund | 282 | (16,497 | ) | |||||
iShares MSCI Australia ETF | 1,392 | (31,376 | ) | |||||
Consumer Staples Select Sector SPDR Fund | 672 | (39,023 | ) | |||||
Invesco QQQ Trust Series 1 | 223 | (41,643 | ) | |||||
VanEck Vectors Russia ETF | 1,794 | (42,392 | ) | |||||
iShares MSCI Emerging Markets ETF | 1,061 | (45,528 | ) | |||||
Health Care Select Sector SPDR Fund | 502 | (46,505 | ) | |||||
iShares Russell 1000 Value ETF | 373 | (47,453 | ) | |||||
iShares Russell 1000 Growth ETF | 304 | (47,831 | ) | |||||
iShares MSCI Japan ETF | 974 | (53,161 | ) | |||||
iShares MSCI Mexico ETF | 1,314 | (57,002 | ) | |||||
iShares MSCI Taiwan ETF | 1,672 | (58,453 | ) | |||||
VanEck Vectors Gold Miners ETF | 2,371 | (60,603 | ) | |||||
iShares MSCI United Kingdom ETF | 2,092 | (67,613 | ) | |||||
iShares China Large-Capital ETF | 1,691 | (72,324 | ) | |||||
Financial Select Sector SPDR Fund | 3,307 | (91,273 | ) | |||||
iShares MSCI EAFE ETF | 1,479 | (97,215 | ) | |||||
iShares 20+ Year Treasury Bond ETF | 771 | (102,397 | ) | |||||
iShares Russell 2000 Index ETF | 792 | (123,156 | ) | |||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,078 | (134,071 | ) | |||||
iShares U.S. Real Estate ETF | 1,630 | (142,315 | ) | |||||
iShares TIPS Bond ETF | 1,650 | (190,558 | ) | |||||
Utilities Select Sector SPDR Fund | 3,576 | (213,237 | ) | |||||
iShares Core U.S. Aggregate Bond ETF | 1,943 | (216,353 | ) | |||||
Energy Select Sector SPDR Fund | 4,434 | (282,490 | ) | |||||
iShares 7-10 Year Treasury Bond ETF | 2,811 | (309,266 | ) | |||||
SPDR Bloomberg Barclays High Yield Bond ETF | 6,790 | (739,703 | ) | |||||
Total Exchange-Traded Funds Sold Short | ||||||||
(Proceeds $3,470,105) | (3,422,508 | ) | ||||||
Total Securities Sold Short - (22.8)% | ||||||||
(Proceeds $8,528,003) | $ | (8,459,372 | ) | |||||
Other Assets & Liabilities, net - 28.6% | 10,587,474 | |||||||
Total Net Assets - 100.0% | $ | 37,044,110 |
Futures Contracts
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||||
Gasoline RBOB Futures Contracts | 20 | Sep 2019 | $ | 1,416,744 | $ | 160,809 | ||||||||||
Sugar #11 Futures Contracts | 85 | Sep 2019 | 1,198,568 | 22,871 | ||||||||||||
Gold 100 oz. Futures Contracts | 3 | Aug 2019 | 424,320 | 9,706 | ||||||||||||
Sugar #11 Futures Contracts | 20 | Feb 2020 | 302,400 | 5,724 | ||||||||||||
Cattle Feeder Futures Contracts | 1 | Aug 2019 | 68,350 | 434 | ||||||||||||
Cotton #2 Futures Contracts | 1 | Dec 2019 | 33,020 | (180 | ) | |||||||||||
WTI Crude Futures Contracts | 2 | Jul 2019 | 116,000 | (2,791 | ) | |||||||||||
Brent Crude Futures Contracts | 2 | Jul 2019 | 128,400 | (3,003 | ) | |||||||||||
Corn Futures Contracts | 5 | Sep 2019 | 106,625 | (5,765 | ) | |||||||||||
Cocoa Futures Contracts | 7 | Sep 2019 | 170,450 | (7,442 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 37 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Commodity Futures Contracts Purchased† (continued) | ||||||||||||||||
Lean Hogs Futures Contracts | 7 | Aug 2019 | $ | 213,780 | $ | (9,805 | ) | |||||||||
Natural Gas Futures Contracts | 35 | Aug 2019 | 800,800 | (24,629 | ) | |||||||||||
Live Cattle Futures Contracts | 71 | Oct 2019 | 3,000,460 | (53,317 | ) | |||||||||||
$ | 7,979,917 | $ | 92,612 | |||||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||||
U.S. Treasury 10 Year Note Futures Contracts | 23 | Sep 2019 | $ | 2,942,203 | $ | 26,358 | ||||||||||
Euro - BTP Italian Government Bond Futures Contracts†† | 2 | Sep 2019 | 304,800 | 12,687 | ||||||||||||
Euro - 30 year Bond Futures Contracts | 1 | Sep 2019 | 230,664 | 9,356 | ||||||||||||
Australian Government 10 Year Bond Futures Contracts | 11 | Sep 2019 | 1,107,260 | 5,769 | ||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 1 | Sep 2019 | 177,406 | 5,357 | ||||||||||||
U.S. Treasury Long Bond Futures Contracts | 2 | Sep 2019 | 311,000 | 4,270 | ||||||||||||
Euro - OATS Futures Contracts†† | 13 | Sep 2019 | 2,437,648 | 3,320 | ||||||||||||
$ | 7,510,981 | $ | 67,117 | |||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
Canadian Dollar Futures Contracts | 39 | Sep 2019 | $ | 2,982,135 | $ | 36,090 | ||||||||||
New Zealand Dollar Futures Contracts | 4 | Sep 2019 | 269,080 | 3,422 | ||||||||||||
British Pound Futures Contracts | 7 | Sep 2019 | 557,463 | (1,110 | ) | |||||||||||
$ | 3,808,678 | $ | 38,402 | |||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
FTSE MIB Index Futures Contracts†† | 1 | Sep 2019 | $ | 120,337 | $ | 3,918 | ||||||||||
SPI 200 Index Futures Contracts | 5 | Sep 2019 | 576,727 | 3,168 | ||||||||||||
OMX Stockholm 30 Index Futures Contracts | 10 | Jul 2019 | 174,804 | 2,975 | ||||||||||||
CAC 40 10 Euro Index Futures Contracts | 4 | Jul 2019 | 251,501 | 936 | ||||||||||||
S&P/TSX 60 IX Index Futures Contracts | 3 | Sep 2019 | 447,410 | 204 | ||||||||||||
FTSE 100 Index Futures Contracts | 1 | Sep 2019 | 93,602 | 35 | ||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 1 | Sep 2019 | 153,875 | (13 | ) | |||||||||||
Amsterdam Index Futures Contracts | 2 | Jul 2019 | 255,004 | (85 | ) | |||||||||||
S&P 500 Index Mini Futures Contracts | 2 | Sep 2019 | 294,325 | (179 | ) | |||||||||||
Euro STOXX 50 Index Futures Contracts | 7 | Sep 2019 | 275,478 | (488 | ) | |||||||||||
CBOE Volatility Index Futures Contracts | 96 | Jul 2019 | 1,533,120 | (37,717 | ) | |||||||||||
$ | 4,176,183 | $ | (27,246 | ) | ||||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||||
CBOE Volatility Index Futures Contracts | 102 | Aug 2019 | $ | 1,715,640 | $ | 22,152 | ||||||||||
CBOE Volatility Index Futures Contracts | 55 | Sep 2019 | 943,800 | 21,452 | ||||||||||||
Tokyo Stock Price Index Futures Contracts | 2 | Sep 2019 | 287,821 | 2,491 | ||||||||||||
Nikkei 225 (OSE) Index Futures Contracts | 1 | Sep 2019 | 197,292 | (274 | ) | |||||||||||
Russell 2000 Index Mini Futures Contracts | 1 | Sep 2019 | 78,380 | (407 | ) | |||||||||||
$ | 3,222,933 | $ | 45,414 | |||||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||||
Euro - Bund Futures Contracts | 4 | Sep 2019 | $ | 785,805 | $ | 49 | ||||||||||
Long Gilt Futures Contracts†† | 9 | Sep 2019 | 1,489,389 | (123 | ) | |||||||||||
Canadian Government 10 Year Bond Futures Contracts | 10 | Sep 2019 | 1,091,830 | (423 | ) | |||||||||||
$ | 3,367,024 | $ | (497 | ) | ||||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||||
Euro FX Futures Contracts | 1 | Sep 2019 | $ | 143,019 | $ | 19 | ||||||||||
Australian Dollar Futures Contracts | 17 | Sep 2019 | 1,196,460 | (11,037 | ) | |||||||||||
Swiss Franc Futures Contracts | 50 | Sep 2019 | 6,447,500 | (105,142 | ) | |||||||||||
$ | 7,786,979 | $ | (116,160 | ) |
38| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||||
Live Cattle Futures Contracts | 81 | Dec 2019 | $ | 3,578,580 | $ | 54,477 | ||||||||||
Natural Gas Futures Contracts | 35 | Sep 2019 | 811,300 | 24,341 | ||||||||||||
Natural Gas Futures Contracts | 19 | Jul 2019 | 439,470 | 12,872 | ||||||||||||
Live Cattle Futures Contracts | 12 | Aug 2019 | 500,280 | 5,483 | ||||||||||||
Soybean Meal Futures Contracts | 12 | Dec 2019 | 386,640 | 3,604 | ||||||||||||
Hard Red Winter Wheat Futures Contracts | 2 | Sep 2019 | 46,250 | 1,569 | ||||||||||||
Cotton #2 Futures Contracts | 5 | May 2020 | 168,675 | 894 | ||||||||||||
LME Primary Aluminum Futures Contracts | 5 | Aug 2019 | 224,075 | (1,278 | ) | |||||||||||
LME Lead Futures Contracts | 2 | Aug 2019 | 96,542 | (1,548 | ) | |||||||||||
Silver Futures Contracts | 1 | Sep 2019 | 76,775 | (2,648 | ) | |||||||||||
Coffee ‘C’ Futures Contracts | 1 | Sep 2019 | 41,100 | (3,041 | ) | |||||||||||
LME Nickel Futures Contracts | 1 | Aug 2019 | 76,056 | (5,173 | ) | |||||||||||
Soybean Futures Contracts | 9 | Nov 2019 | 415,462 | (6,102 | ) | |||||||||||
Soybean Oil Futures Contracts | 29 | Dec 2019 | 501,642 | (9,249 | ) | |||||||||||
Low Sulphur Gas Oil Futures Contracts | 6 | Aug 2019 | 353,250 | (10,835 | ) | |||||||||||
NY Harbor ULSD Futures Contracts | 4 | Jul 2019 | 324,190 | (16,025 | ) | |||||||||||
Sugar #11 Futures Contracts | 124 | Apr 2020 | 1,888,768 | (36,812 | ) | |||||||||||
Gasoline RBOB Futures Contracts | 14 | Jul 2019 | 1,108,498 | (132,453 | ) | |||||||||||
$ | 11,037,553 | $ | (121,924 | ) |
Custom Basket Swap Agreements | |||||||||||||||
Counterparty | Reference Obligation | Financing | Payment | Maturity | Notional | Value and | |||||||||
OTC Custom Basket Swap Agreements†† | |||||||||||||||
Morgan Stanley Capital Services LLC | Equity Market Neutral Long Custom Basket Swap10 | 2.78% | At Maturity | 08/31/23 | $ | 8,228,702 | $ | 620,681 | |||||||
Morgan Stanley Capital Services LLC | Long/Short Equity Long Custom Basket Swap11 | 2.78% | At Maturity | 08/31/23 | 6,031,153 | 204,806 | |||||||||
Goldman Sachs International | Long/Short Equity Long Custom Basket Swap12 | 2.83% | At Maturity | 05/06/24 | 6,103,369 | 137,946 | |||||||||
Goldman Sachs International | Equity Market Neutral Long Custom Basket Swap13 | 2.83% | At Maturity | 05/06/24 | 7,714,196 | (34,949 | ) | ||||||||
$ | 28,077,420 | $ | 928,484 | ||||||||||||
OTC Custom Basket Swap Agreements Sold Short†† | |||||||||||||||
Morgan Stanley Capital Services LLC | Long/Short Equity Short Custom Basket Swap14 | (2.08%) | At Maturity | 08/31/23 | $ | 4,940,378 | $ | (102,717 | ) | ||||||
Goldman Sachs International | Equity Market Neutral Short Custom Basket Swap15 | (2.18%) | At Maturity | 05/06/24 | 4,848,606 | (57,469 | ) | ||||||||
Goldman Sachs International | Long/Short Equity Short Custom Basket Swap16 | (2.04%) | At Maturity | 05/06/24 | 7,913,576 | 130,736 | |||||||||
Morgan Stanley Capital Services LLC | Equity Market Neutral Short Custom Basket Swap17 | (1.95%) | At Maturity | 08/31/23 | 7,940,005 | 171,771 | |||||||||
$ | 25,642,565 | $ | 142,321 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 39 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
CUSTOM BASKET OF LONG SECURITIES10 | ||||||||||||
American Tower Corp. — Class A | 1,828 | 4.55 | % | $ | 81,316 | |||||||
Sun Communities, Inc. | 3,025 | 4.72 | % | 64,246 | ||||||||
Rexford Industrial Realty, Inc. | 8,636 | 4.24 | % | 57,551 | ||||||||
Invitation Homes, Inc. | 14,430 | 4.69 | % | 56,697 | ||||||||
Equity LifeStyle Properties, Inc. | 2,503 | 3.69 | % | 51,027 | ||||||||
American Homes 4 Rent — Class A | 15,377 | 4.54 | % | 46,790 | ||||||||
Americold Realty Trust | 15,870 | 6.25 | % | 44,893 | ||||||||
Equinix, Inc. | 735 | 4.50 | % | 44,749 | ||||||||
Crown Castle International Corp. | 3,247 | 5.14 | % | 44,388 | ||||||||
Terreno Realty Corp. | 5,961 | 3.55 | % | 42,963 | ||||||||
Equity Residential | 4,234 | 3.91 | % | 42,645 | ||||||||
HCP, Inc. | 9,462 | 3.68 | % | 41,441 | ||||||||
Ventas, Inc. | 4,576 | 3.80 | % | 31,606 | ||||||||
MGM Growth Properties LLC — Class A | 6,294 | 2.34 | % | 17,488 | ||||||||
Hudson Pacific Properties, Inc. | 5,818 | 2.35 | % | 13,474 | ||||||||
InterXion Holding N.V.* | 4,684 | 4.33 | % | 12,785 | ||||||||
JBG SMITH Properties | 6,184 | 2.96 | % | 10,574 | ||||||||
VICI Properties, Inc. | 15,586 | 4.17 | % | 3,139 | ||||||||
Omega Healthcare Investors, Inc. | 8,886 | 3.97 | % | 2,298 | ||||||||
CubeSmart | 5,971 | 2.43 | % | (165 | ) | |||||||
Annaly Capital Management, Inc. | 27,753 | 3.08 | % | (297 | ) | |||||||
Blackstone Mortgage Trust, Inc. — Class A | 5,889 | 2.55 | % | (3,009 | ) | |||||||
Federal Realty Investment Trust | 1,908 | 2.99 | % | (4,131 | ) | |||||||
Four Corners Property Trust, Inc. | 6,843 | 2.27 | % | (5,292 | ) | |||||||
Cousins Properties, Inc. | 4,684 | 2.06 | % | (5,513 | ) | |||||||
Iron Mountain, Inc. | 7,687 | 2.92 | % | (15,781 | ) | |||||||
Sunstone Hotel Investors, Inc. | 10,652 | 1.77 | % | (25,461 | ) | |||||||
Pebblebrook Hotel Trust | 7,459 | 2.55 | % | (29,740 | ) | |||||||
Total Custom Basket of Long Securities | 620,681 | |||||||||||
CUSTOM BASKET OF SHORT SECURITIES17 | ||||||||||||
Tanger Factory Outlet Centers, Inc. | (13,904 | ) | (2.85 | %) | 85,354 | |||||||
Washington Prime Group, Inc. | (39,533 | ) | (1.90 | %) | 63,259 | |||||||
Ashford Hospitality Trust, Inc. | (19,599 | ) | (0.73 | %) | 44,778 | |||||||
Brandywine Realty Trust | (16,686 | ) | (3.01 | %) | 36,785 | |||||||
Hospitality Properties Trust | (10,855 | ) | (3.42 | %) | 34,817 | |||||||
SL Green Realty Corp. | (2,157 | ) | (2.18 | %) | 22,569 | |||||||
Hersha Hospitality Trust | (13,198 | ) | (2.75 | %) | 22,299 | |||||||
Physicians Realty Trust | (15,813 | ) | (3.47 | %) | 22,014 | |||||||
Vanguard Real Estate ETF | (5,148 | ) | (5.67 | %) | 13,472 | |||||||
Xenia Hotels & Resorts, Inc. | (13,455 | ) | (3.53 | %) | 13,425 | |||||||
Lennar Corp. — Class A | (1,919 | ) | (1.17 | %) | 6,586 | |||||||
Vornado Realty Trust | (3,688 | ) | (2.98 | %) | 6,581 | |||||||
Healthcare Realty Trust, Inc. | (6,195 | ) | (2.44 | %) | 5,199 | |||||||
Apollo Commercial Real Estate Finance, Inc. | (11,288 | ) | (2.61 | %) | 3,146 | |||||||
Digital Realty Trust, Inc. | (2,630 | ) | (3.90 | %) | 762 | |||||||
PulteGroup, Inc. | (3,134 | ) | (1.25 | %) | 708 | |||||||
Piedmont Office Realty Trust, Inc. — Class A | (15,445 | ) | (3.88 | %) | 598 | |||||||
Cushman & Wakefield plc* | (10,969 | ) | (2.47 | %) | 541 | |||||||
Brixmor Property Group, Inc. | (10,151 | ) | (2.29 | %) | (699 | ) | ||||||
Kimco Realty Corp. | (13,617 | ) | (3.17 | %) | (2,183 | ) | ||||||
CyrusOne, Inc. | (2,993 | ) | (2.18 | %) | (2,993 | ) | ||||||
VEREIT, Inc. | (28,460 | ) | (3.23 | %) | (5,989 | ) | ||||||
CBRE Group, Inc. — Class A* | (3,984 | ) | (2.57 | %) | (6,116 | ) | ||||||
iShares U.S. Real Estate ETF | (15,299 | ) | (16.82 | %) | (12,200 | ) | ||||||
Marriott International, Inc. — Class A | (2,218 | ) | (3.92 | %) | (18,516 | ) | ||||||
Independence Realty Trust, Inc. | (18,732 | ) | (2.73 | %) | (22,056 | ) | ||||||
NexPoint Residential Trust, Inc. | (5,607 | ) | (2.92 | %) | (23,408 | ) | ||||||
Hilton Worldwide Holdings, Inc. | (1,682 | ) | (2.07 | %) | (27,067 | ) | ||||||
Prologis, Inc. | (3,432 | ) | (3.46 | %) | (27,491 | ) | ||||||
PS Business Parks, Inc. | (2,086 | ) | (4.43 | %) | (62,404 | ) | ||||||
Total Custom Basket of Short Securities | 171,771 | |||||||||||
CUSTOM BASKET OF LONG SECURITIES11 | ||||||||||||
Kimberly-Clark Corp. | 483 | 1.06 | % | 12,966 | ||||||||
Pilgrim’s Pride Corp.* | 1,776 | 0.75 | % | 12,349 | ||||||||
Tyson Foods, Inc. — Class A | 589 | 0.79 | % | 12,029 | ||||||||
Omnicom Group, Inc. | 923 | 1.25 | % | 11,657 | ||||||||
Merck & Company, Inc. | 826 | 1.15 | % | 10,136 | ||||||||
Portland General Electric Co. | 1,224 | 1.10 | % | 9,764 | ||||||||
Pinnacle West Capital Corp. | 714 | 1.11 | % | 9,629 | ||||||||
Kinder Morgan, Inc. | 3,709 | 1.28 | % | 9,296 | ||||||||
Delek US Holdings, Inc. | 1,174 | 0.79 | % | 9,116 | ||||||||
TEGNA, Inc. | 2,489 | 0.63 | % | 8,942 | ||||||||
Baxter International, Inc. | 529 | 0.72 | % | 8,887 | ||||||||
CSX Corp. | 576 | 0.74 | % | 8,169 |
40| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage |
| |||||||||
AES Corp. | 2,350 | 0.65 | % | $ | 7,755 | |||||||
Norfolk Southern Corp. | 195 | 0.64 | % | 7,716 | ||||||||
ONEOK, Inc. | 1,047 | 1.19 | % | 7,696 | ||||||||
Apartment Investment & Management Co. — Class A | 1,516 | 1.26 | % | 7,535 | ||||||||
Zimmer Biomet Holdings, Inc. | 467 | 0.91 | % | 7,475 | ||||||||
Casey’s General Stores, Inc. | 234 | 0.61 | % | 7,388 | ||||||||
Allergan plc | 254 | 0.71 | % | 7,319 | ||||||||
Cummins, Inc. | 243 | 0.69 | % | 7,178 | ||||||||
World Fuel Services Corp. | 984 | 0.59 | % | 6,655 | ||||||||
FirstEnergy Corp. | 1,200 | 0.85 | % | 6,600 | ||||||||
McKesson Corp. | 555 | 1.24 | % | 6,102 | ||||||||
Skyworks Solutions, Inc. | 553 | 0.71 | % | 5,501 | ||||||||
AT&T, Inc. | 1,402 | 0.78 | % | 5,483 | ||||||||
Discovery, Inc. — Class A* | 1,801 | 0.92 | % | 5,107 | ||||||||
CVR Energy, Inc. | 525 | 0.44 | % | 5,012 | ||||||||
JetBlue Airways Corp.* | 2,973 | 0.91 | % | 4,961 | ||||||||
Chevron Corp. | 622 | 1.28 | % | 4,950 | ||||||||
Medtronic plc | 744 | 1.20 | % | 4,624 | ||||||||
Delta Air Lines, Inc. | 1,025 | 0.96 | % | 4,552 | ||||||||
Kansas City Southern | 199 | 0.40 | % | 4,432 | ||||||||
Bio-Rad Laboratories, Inc. — Class A* | 106 | 0.55 | % | 4,331 | ||||||||
Oshkosh Corp. | 327 | 0.45 | % | 4,326 | ||||||||
Facebook, Inc. — Class A* | 82 | 0.26 | % | 4,230 | ||||||||
Medical Properties Trust, Inc. | 3,541 | 1.02 | % | 4,158 | ||||||||
Post Holdings, Inc.* | 310 | 0.53 | % | 3,976 | ||||||||
Exelon Corp. | 845 | 0.67 | % | 3,971 | ||||||||
ManpowerGroup, Inc. | 267 | 0.43 | % | 3,887 | ||||||||
AMERCO | 98 | 0.62 | % | 3,740 | ||||||||
Flowers Foods, Inc. | 789 | 0.30 | % | 3,527 | ||||||||
Integer Holdings Corp.* | 314 | 0.44 | % | 3,448 | ||||||||
Verizon Communications, Inc. | 1,100 | 1.04 | % | 3,189 | ||||||||
SkyWest, Inc. | 357 | 0.36 | % | 3,130 | ||||||||
JM Smucker Co. | 191 | 0.36 | % | 3,040 | ||||||||
Hill-Rom Holdings, Inc. | 365 | 0.63 | % | 3,006 | ||||||||
Hologic, Inc.* | 936 | 0.75 | % | 2,965 | ||||||||
Pfizer, Inc. | 1,568 | 1.13 | % | 2,822 | ||||||||
Jazz Pharmaceuticals plc* | 201 | 0.48 | % | 2,733 | ||||||||
Colgate-Palmolive Co. | 488 | 0.58 | % | 2,668 | ||||||||
Hartford Financial Services Group, Inc. | 283 | 0.26 | % | 2,667 | ||||||||
Caterpillar, Inc. | 220 | 0.50 | % | 2,561 | ||||||||
United Parcel Service, Inc. — Class B | 443 | 0.76 | % | 2,558 | ||||||||
US Foods Holding Corp.* | 509 | 0.30 | % | 2,530 | ||||||||
Huntington Ingalls Industries, Inc. | 115 | 0.43 | % | 2,517 | ||||||||
Oracle Corp. | 280 | 0.26 | % | 2,503 | ||||||||
MetLife, Inc. | 316 | 0.26 | % | 2,406 | ||||||||
Prudential Financial, Inc. | 151 | 0.25 | % | 2,374 | ||||||||
Marathon Petroleum Corp. | 719 | 0.67 | % | 2,324 | ||||||||
Philip Morris International, Inc. | 467 | 0.61 | % | 2,234 | ||||||||
Williams Companies, Inc. | 2,558 | 1.19 | % | 2,218 | ||||||||
Sysco Corp. | 483 | 0.57 | % | 2,217 | ||||||||
Becton Dickinson and Co. | 178 | 0.74 | % | 2,121 | ||||||||
AmerisourceBergen Corp. — Class A | 475 | 0.67 | % | 2,089 | ||||||||
Agilent Technologies, Inc. | 281 | 0.35 | % | 1,923 | ||||||||
PACCAR, Inc. | 352 | 0.42 | % | 1,918 | ||||||||
Kennametal, Inc. | 796 | 0.49 | % | 1,861 | ||||||||
Equity Commonwealth | 2,356 | 1.27 | % | 1,838 | ||||||||
Gilead Sciences, Inc. | 990 | 1.11 | % | 1,737 | ||||||||
Textron, Inc. | 567 | 0.50 | % | 1,644 | ||||||||
JPMorgan Chase & Co. | 135 | 0.25 | % | 1,575 | ||||||||
Allison Transmission Holdings, Inc. | 1,101 | 0.85 | % | 1,495 | ||||||||
Marten Transport Ltd. | 1,119 | 0.34 | % | 1,482 | ||||||||
Abbott Laboratories | 260 | 0.36 | % | 1,460 | ||||||||
CVS Health Corp. | 987 | 0.89 | % | 1,400 | ||||||||
Assured Guaranty Ltd. | 409 | 0.29 | % | 1,400 | ||||||||
Valero Energy Corp. | 611 | 0.87 | % | 1,332 | ||||||||
Avnet, Inc. | 393 | 0.29 | % | 1,309 | ||||||||
Landstar System, Inc. | 355 | 0.64 | % | 1,250 | ||||||||
Alaska Air Group, Inc. | 556 | 0.59 | % | 1,202 | ||||||||
Forward Air Corp. | 414 | 0.41 | % | 1,201 | ||||||||
Knight-Swift Transportation Holdings, Inc. | 1,211 | 0.66 | % | 1,136 | ||||||||
Diodes, Inc.* | 450 | 0.27 | % | 1,130 | ||||||||
Constellation Brands, Inc. — Class A | 111 | 0.36 | % | 1,107 | ||||||||
Biogen, Inc.* | 152 | 0.59 | % | 1,099 | ||||||||
General Mills, Inc. | 517 | 0.45 | % | 1,092 | ||||||||
Parker-Hannifin Corp. | 203 | 0.57 | % | 1,077 | ||||||||
John Wiley & Sons, Inc. — Class A | 756 | 0.57 | % | 1,026 | ||||||||
Clorox Co. | 211 | 0.54 | % | 1,004 | ||||||||
Northern Trust Corp. | 161 | 0.24 | % | 996 | ||||||||
Cheniere Energy, Inc.* | 399 | 0.45 | % | 895 | ||||||||
News Corp. — Class A | 1,414 | 0.32 | % | 857 | ||||||||
Old Dominion Freight Line, Inc. | 134 | 0.33 | % | 816 | ||||||||
Alphabet, Inc. — Class C* | 26 | 0.47 | % | 812 | ||||||||
Alexion Pharmaceuticals, Inc.* | 154 | 0.33 | % | 737 | ||||||||
Cogent Communications Holdings, Inc. | 670 | 0.66 | % | 687 | ||||||||
Ameren Corp. | 726 | 0.90 | % | 679 | ||||||||
Laboratory Corporation of America Holdings* | 90 | 0.26 | % | 584 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 41 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
Masco Corp. | 483 | 0.31 | % | $ | 580 | |||||||
Procter & Gamble Co. | 187 | 0.34 | % | 578 | ||||||||
Johnson & Johnson | 289 | 0.67 | % | 465 | ||||||||
Southwest Airlines Co. | 928 | 0.78 | % | 458 | ||||||||
Saia, Inc.* | 505 | 0.54 | % | 458 | ||||||||
PepsiCo, Inc. | 361 | 0.78 | % | 445 | ||||||||
United Continental Holdings, Inc.* | 491 | 0.71 | % | 376 | ||||||||
Southern Co. | 278 | 0.25 | % | 362 | ||||||||
Phillips 66 | 593 | 0.92 | % | 332 | ||||||||
Shenandoah Telecommunications Co. | 1,141 | 0.73 | % | 309 | ||||||||
Activision Blizzard, Inc. | 474 | 0.37 | % | 97 | ||||||||
HCP, Inc. | 1,644 | 0.87 | % | 90 | ||||||||
Deluxe Corp. | 605 | 0.41 | % | 9 | ||||||||
Darling Ingredients, Inc.* | 2,249 | 0.74 | % | (8 | ) | |||||||
Host Hotels & Resorts, Inc. | 925 | 0.28 | % | (36 | ) | |||||||
Macquarie Infrastructure Corp. | 382 | 0.26 | % | (105 | ) | |||||||
Echo Global Logistics, Inc.* | 1,121 | 0.39 | % | (106 | ) | |||||||
PPL Corp. | 1,825 | 0.94 | % | (276 | ) | |||||||
OGE Energy Corp. | 896 | 0.63 | % | (314 | ) | |||||||
Westlake Chemical Corp. | 278 | 0.32 | % | (481 | ) | |||||||
Comcast Corp. — Class A | 512 | 0.36 | % | (484 | ) | |||||||
TrueBlue, Inc.* | 875 | 0.32 | % | (657 | ) | |||||||
Innoviva, Inc.* | 1,456 | 0.35 | % | (672 | ) | |||||||
Vonage Holdings Corp.* | 1,297 | 0.24 | % | (712 | ) | |||||||
Domtar Corp. | 408 | 0.30 | % | (713 | ) | |||||||
B&G Foods, Inc. | 770 | 0.27 | % | (1,062 | ) | |||||||
Meredith Corp. | 506 | 0.46 | % | (1,111 | ) | |||||||
Molson Coors Brewing Co. — Class B | 916 | 0.85 | % | (1,208 | ) | |||||||
Amgen, Inc. | 387 | 1.18 | % | (1,278 | ) | |||||||
Waters Corp.* | 104 | 0.37 | % | (1,334 | ) | |||||||
Exxon Mobil Corp. | 991 | 1.26 | % | (1,402 | ) | |||||||
Targa Resources Corp. | 646 | 0.42 | % | (1,550 | ) | |||||||
InterDigital, Inc. | 224 | 0.24 | % | (1,856 | ) | |||||||
Lear Corp. | 152 | 0.35 | % | (1,926 | ) | |||||||
J.B. Hunt Transport Services, Inc. | 386 | 0.59 | % | (2,033 | ) | |||||||
Central Garden & Pet Co. — Class A* | 644 | 0.26 | % | (2,098 | ) | |||||||
Cal-Maine Foods, Inc. | 992 | 0.69 | % | (2,106 | ) | |||||||
Cinemark Holdings, Inc. | 629 | 0.38 | % | (2,113 | ) | |||||||
NRG Energy, Inc. | 419 | 0.24 | % | (2,295 | ) | |||||||
ATN International, Inc. | 481 | 0.46 | % | (2,357 | ) | |||||||
Werner Enterprises, Inc. | 1,098 | 0.57 | % | (2,575 | ) | |||||||
MSG Networks, Inc. — Class A* | 1,637 | 0.56 | % | (2,630 | ) | |||||||
Hospitality Properties Trust | 1,027 | 0.43 | % | (2,673 | ) | |||||||
AMC Networks, Inc. — Class A* | 850 | 0.77 | % | (2,675 | ) | |||||||
Summit Hotel Properties, Inc. | 1,549 | 0.29 | % | (2,759 | ) | |||||||
Cardinal Health, Inc. | 818 | 0.64 | % | (2,773 | ) | |||||||
Heartland Express, Inc. | 1,911 | 0.57 | % | (2,971 | ) | |||||||
National Fuel Gas Co. | 1,204 | 1.05 | % | (3,347 | ) | |||||||
New Media Investment Group, Inc. | 1,579 | 0.25 | % | (3,355 | ) | |||||||
Vishay Intertechnology, Inc. | 937 | 0.26 | % | (3,523 | ) | |||||||
Walgreens Boots Alliance, Inc. | 288 | 0.26 | % | (3,671 | ) | |||||||
PBF Energy, Inc. — Class A | 904 | 0.47 | % | (4,194 | ) | |||||||
Vector Group Ltd. | 3,184 | 0.51 | % | (4,202 | ) | |||||||
Unit Corp.* | 2,168 | 0.32 | % | (4,493 | ) | |||||||
Scholastic Corp. | 943 | 0.52 | % | (4,706 | ) | |||||||
Nu Skin Enterprises, Inc. — Class A | 323 | 0.26 | % | (5,788 | ) | |||||||
Kraft Heinz Co. | 637 | 0.33 | % | (6,199 | ) | |||||||
Schneider National, Inc. — Class B | 2,015 | 0.61 | % | (6,356 | ) | |||||||
HollyFrontier Corp. | 1,157 | 0.89 | % | (6,985 | ) | |||||||
Kroger Co. | 1,406 | 0.51 | % | (7,060 | ) | |||||||
Ingredion, Inc. | 721 | 0.99 | % | (7,318 | ) | |||||||
Herbalife Nutrition Ltd.* | 706 | 0.50 | % | (7,965 | ) | |||||||
Lions Gate Entertainment Corp. — Class A | 1,557 | 0.32 | % | (8,949 | ) | |||||||
Mylan N.V.* | 765 | 0.24 | % | (9,164 | ) | |||||||
Renewable Energy Group, Inc.* | 1,403 | 0.37 | % | (10,506 | ) | |||||||
Archer-Daniels-Midland Co. | 1,764 | 1.19 | % | (13,412 | ) | |||||||
FedEx Corp. | 447 | 1.22 | % | (14,419 | ) | |||||||
Total Custom Basket of Long Securities | 204,806 | |||||||||||
CUSTOM BASKET OF SHORT SECURITIES14 | ||||||||||||
National Oilwell Varco, Inc. | (1,361 | ) | (0.62 | %) | 33,808 | |||||||
Core Laboratories N.V. | (541 | ) | (0.58 | %) | 17,041 | |||||||
Texas Roadhouse, Inc. — Class A | (610 | ) | (0.66 | %) | 9,325 | |||||||
Commercial Metals Co. | (2,312 | ) | (0.84 | %) | 8,670 | |||||||
Old National Bancorp | (3,049 | ) | (1.02 | %) | 7,156 | |||||||
Palo Alto Networks, Inc.* | (184 | ) | (0.76 | %) | 6,055 | |||||||
Associated Banc-Corp. | �� | (945 | ) | (0.40 | %) | 5,774 | ||||||
Valley National Bancorp | (5,427 | ) | (1.18 | %) | 5,745 | |||||||
Compass Minerals International, Inc. | (504 | ) | (0.56 | %) | 4,306 | |||||||
Balchem Corp. | (388 | ) | (0.79 | %) | 4,287 | |||||||
New York Community Bancorp, Inc. | (2,274 | ) | (0.46 | %) | 4,171 | |||||||
Southern Copper Corp. | (1,056 | ) | (0.83 | %) | 3,724 | |||||||
Monolithic Power Systems, Inc. | (233 | ) | (0.64 | %) | 3,283 |
42| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage |
| |||||||||
People’s United Financial, Inc. | (1,895 | ) | (0.64 | %) | $ | 3,278 | ||||||
Nutanix, Inc. — Class A* | (268 | ) | (0.14 | %) | 3,121 | |||||||
salesforce.com, Inc.* | (335 | ) | (1.03 | %) | 2,831 | |||||||
Glacier Bancorp, Inc. | (551 | ) | (0.45 | %) | 2,829 | |||||||
Concho Resources, Inc. | (301 | ) | (0.63 | %) | 2,629 | |||||||
Empire State Realty Trust, Inc. — Class A | (2,549 | ) | (0.76 | %) | 2,603 | |||||||
FireEye, Inc.* | (1,165 | ) | (0.35 | %) | 2,440 | |||||||
RPM International, Inc. | (361 | ) | (0.45 | %) | 2,307 | |||||||
Paychex, Inc. | (386 | ) | (0.64 | %) | 1,970 | |||||||
Hudson Pacific Properties, Inc. | (1,481 | ) | (1.00 | %) | 1,927 | |||||||
Brandywine Realty Trust | (1,594 | ) | (0.46 | %) | 1,920 | |||||||
CVB Financial Corp. | (1,642 | ) | (0.70 | %) | 1,876 | |||||||
Autodesk, Inc.* | (170 | ) | (0.56 | %) | 1,862 | |||||||
Allegheny Technologies, Inc.* | (1,551 | ) | (0.79 | %) | 1,788 | |||||||
Agree Realty Corp. | (802 | ) | (1.04 | %) | 1,745 | |||||||
New Residential Investment Corp. | (1,299 | ) | (0.40 | %) | 1,593 | |||||||
Amazon.com, Inc.* | (11 | ) | (0.42 | %) | 1,310 | |||||||
Alarm.com Holdings, Inc.* | (167 | ) | (0.18 | %) | 1,267 | |||||||
Kaiser Aluminum Corp. | (204 | ) | (0.40 | %) | 1,248 | |||||||
CNO Financial Group, Inc. | (1,021 | ) | (0.34 | %) | 1,216 | |||||||
Rollins, Inc. | (636 | ) | (0.46 | %) | 1,048 | |||||||
First Republic Bank | (251 | ) | (0.50 | %) | 989 | |||||||
Sensient Technologies Corp. | (246 | ) | (0.37 | %) | 921 | |||||||
DocuSign, Inc.* | (189 | ) | (0.19 | %) | 913 | |||||||
BOK Financial Corp. | (448 | ) | (0.68 | %) | 845 | |||||||
Fortive Corp. | (522 | ) | (0.86 | %) | 832 | |||||||
Federal Realty Investment Trust | (116 | ) | (0.30 | %) | 537 | |||||||
Diamondback Energy, Inc. | (275 | ) | (0.61 | %) | 422 | |||||||
First Financial Bankshares, Inc. | (1,170 | ) | (0.73 | %) | 392 | |||||||
American Campus Communities, Inc. | (345 | ) | (0.32 | %) | 368 | |||||||
CoreSite Realty Corp. | (131 | ) | (0.31 | %) | 366 | |||||||
Healthcare Realty Trust, Inc. | (507 | ) | (0.32 | %) | 357 | |||||||
MongoDB, Inc.* | (63 | ) | (0.19 | %) | 346 | |||||||
Tyler Technologies, Inc.* | (128 | ) | (0.56 | %) | 267 | |||||||
NewMarket Corp. | (96 | ) | (0.78 | %) | 216 | |||||||
WesBanco, Inc. | (403 | ) | (0.31 | %) | 197 | |||||||
Equity Residential | (232 | ) | (0.36 | %) | 179 | |||||||
Guidewire Software, Inc.* | (454 | ) | (0.93 | %) | 165 | |||||||
ServiceNow, Inc.* | (36 | ) | (0.20 | %) | 116 | |||||||
WP Carey, Inc. | (310 | ) | (0.51 | %) | 92 | |||||||
Twilio, Inc. — Class A* | (73 | ) | (0.20 | %) | 50 | |||||||
Columbia Financial, Inc.* | (1,023 | ) | (0.31 | %) | 30 | |||||||
MercadoLibre, Inc.* | (16 | ) | (0.20 | %) | 28 | |||||||
Livent Corp.* | (1 | ) | 0.00 | % | 4 | |||||||
Value and Unrealized Depreciation | ||||||||||||
HubSpot, Inc.* | (58 | ) | (0.20 | %) | (1 | ) | ||||||
BankUnited, Inc. | (791 | ) | (0.54 | %) | (13 | ) | ||||||
Elastic N.V.* | (133 | ) | (0.20 | %) | (24 | ) | ||||||
Workday, Inc. — Class A* | (48 | ) | (0.20 | %) | (27 | ) | ||||||
VeriSign, Inc.* | (48 | ) | (0.20 | %) | (55 | ) | ||||||
Trade Desk, Inc. — Class A* | (44 | ) | (0.20 | %) | (58 | ) | ||||||
PTC, Inc.* | (489 | ) | (0.89 | %) | (76 | ) | ||||||
Blackline, Inc.* | (187 | ) | (0.20 | %) | (113 | ) | ||||||
NIKE, Inc. — Class B | (182 | ) | (0.31 | %) | (160 | ) | ||||||
Paylocity Holding Corp.* | (107 | ) | (0.20 | %) | (204 | ) | ||||||
Anaplan, Inc.* | (199 | ) | (0.20 | %) | (208 | ) | ||||||
Okta, Inc.* | (82 | ) | (0.21 | %) | (212 | ) | ||||||
Q2 Holdings, Inc.* | (133 | ) | (0.21 | %) | (217 | ) | ||||||
Dominion Energy, Inc. | (1,186 | ) | (1.86 | %) | (225 | ) | ||||||
RingCentral, Inc. — Class A* | (89 | ) | (0.21 | %) | (231 | ) | ||||||
Zendesk, Inc.* | (113 | ) | (0.20 | %) | (246 | ) | ||||||
Everbridge, Inc.* | (111 | ) | (0.20 | %) | (263 | ) | ||||||
Veeva Systems, Inc. — Class A* | (64 | ) | (0.21 | %) | (342 | ) | ||||||
Aspen Technology, Inc.* | (82 | ) | (0.21 | %) | (343 | ) | ||||||
Paycom Software, Inc.* | (46 | ) | (0.21 | %) | (364 | ) | ||||||
Zscaler, Inc.* | (135 | ) | (0.21 | %) | (403 | ) | ||||||
Atlassian Corporation plc — Class A* | (79 | ) | (0.21 | %) | (422 | ) | ||||||
PayPal Holdings, Inc.* | (311 | ) | (0.72 | %) | (422 | ) | ||||||
Alteryx, Inc. — Class A* | (96 | ) | (0.21 | %) | (445 | ) | ||||||
Avalara, Inc.* | (143 | ) | (0.21 | %) | (452 | ) | ||||||
Marsh & McLennan Companies, Inc. | (184 | ) | (0.37 | %) | (462 | ) | ||||||
Chegg, Inc.* | (268 | ) | (0.21 | %) | (479 | ) | ||||||
Washington Federal, Inc. | (600 | ) | (0.42 | %) | (498 | ) | ||||||
Coupa Software, Inc.* | (83 | ) | (0.21 | %) | (514 | ) | ||||||
Blackstone Mortgage Trust, Inc. — Class A | (685 | ) | (0.49 | %) | (531 | ) | ||||||
American Water Works Company, Inc. | (158 | ) | (0.37 | %) | (557 | ) | ||||||
STORE Capital Corp. | (1,220 | ) | (0.82 | %) | (562 | ) | ||||||
South Jersey Industries, Inc. | (1,407 | ) | (0.96 | %) | (577 | ) | ||||||
Universal Display Corp. | (56 | ) | (0.21 | %) | (600 | ) | ||||||
Welltower, Inc. | (426 | ) | (0.70 | %) | (617 | ) | ||||||
Douglas Emmett, Inc. | (906 | ) | (0.73 | %) | (666 | ) | ||||||
Signature Bank | (155 | ) | (0.38 | %) | (685 | ) | ||||||
SPS Commerce, Inc.* | (183 | ) | (0.38 | %) | (699 | ) | ||||||
MFA Financial, Inc. | (2,802 | ) | (0.41 | %) | (727 | ) | ||||||
Marriott Vacations Worldwide Corp. | (275 | ) | (0.54 | %) | (788 | ) | ||||||
Proofpoint, Inc.* | (231 | ) | (0.56 | %) | (789 | ) | ||||||
American Tower Corp. — Class A | (158 | ) | (0.65 | %) | (801 | ) | ||||||
Extra Space Storage, Inc. | (203 | ) | (0.44 | %) | (846 | ) | ||||||
Appfolio, Inc. — Class A* | (205 | ) | (0.42 | %) | (855 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 43 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage |
| |||||||||
CubeSmart | (730 | ) | (0.49 | %) | $ | (939 | ) | |||||
Intercontinental Exchange, Inc. | (200 | ) | (0.35 | %) | (948 | ) | ||||||
Sun Communities, Inc. | (611 | ) | (1.59 | %) | (957 | ) | ||||||
Fair Isaac Corp.* | (52 | ) | (0.33 | %) | (968 | ) | ||||||
Axis Capital Holdings Ltd. | (288 | ) | (0.35 | %) | (1,069 | ) | ||||||
Avery Dennison Corp. | (182 | ) | (0.43 | %) | (1,113 | ) | ||||||
Redwood Trust, Inc. | (1,517 | ) | (0.51 | %) | (1,125 | ) | ||||||
McDonald’s Corp. | (134 | ) | (0.56 | %) | (1,132 | ) | ||||||
CoStar Group, Inc.* | (60 | ) | (0.67 | %) | (1,267 | ) | ||||||
Adobe, Inc.* | (118 | ) | (0.70 | %) | (1,333 | ) | ||||||
Atmos Energy Corp. | (195 | ) | (0.42 | %) | (1,422 | ) | ||||||
Cintas Corp. | (136 | ) | (0.65 | %) | (1,486 | ) | ||||||
PPG Industries, Inc. | (180 | ) | (0.43 | %) | (1,531 | ) | ||||||
Reliance Steel & Aluminum Co. | (218 | ) | (0.42 | %) | (1,563 | ) | ||||||
NextEra Energy, Inc. | (161 | ) | (0.67 | %) | (1,638 | ) | ||||||
Camden Property Trust | (375 | ) | (0.79 | %) | (1,675 | ) | ||||||
Sherwin-Williams Co. | (52 | ) | (0.48 | %) | (1,713 | ) | ||||||
Advanced Micro Devices, Inc.* | (564 | ) | (0.35 | %) | (1,787 | ) | ||||||
Microchip Technology, Inc. | (398 | ) | (0.70 | %) | (1,793 | ) | ||||||
Crown Castle International Corp. | (452 | ) | (1.19 | %) | (1,873 | ) | ||||||
Schlumberger Ltd. | (1,586 | ) | (1.28 | %) | (1,882 | ) | ||||||
Capitol Federal Financial, Inc. | (3,571 | ) | (1.00 | %) | (2,000 | ) | ||||||
Realty Income Corp. | (939 | ) | (1.31 | %) | (2,004 | ) | ||||||
CyrusOne, Inc. | (370 | ) | (0.43 | %) | (2,036 | ) | ||||||
American Homes 4 Rent — Class A | (1,152 | ) | (0.57 | %) | (2,172 | ) | ||||||
Pacific Premier Bancorp, Inc. | (759 | ) | (0.47 | %) | (2,270 | ) | ||||||
First Industrial Realty Trust, Inc. | (764 | ) | (0.57 | %) | (2,315 | ) | ||||||
KAR Auction Services, Inc. | (565 | ) | (0.29 | %) | (2,340 | ) | ||||||
IAA, Inc.* | (565 | ) | (0.44 | %) | (2,550 | ) | ||||||
Dunkin’ Brands Group, Inc. | (318 | ) | (0.51 | %) | (2,557 | ) | ||||||
Essex Property Trust, Inc. | (61 | ) | (0.36 | %) | (2,689 | ) | ||||||
International Flavors & Fragrances, Inc. | (313 | ) | (0.92 | %) | (2,905 | ) | ||||||
Arthur J Gallagher & Co. | (291 | ) | (0.52 | %) | (3,021 | ) | ||||||
Alexandria Real Estate Equities, Inc. | (271 | ) | (0.77 | %) | (3,167 | ) | ||||||
Liberty Property Trust | (1,503 | ) | (1.52 | %) | (3,186 | ) | ||||||
Vulcan Materials Co. | (136 | ) | (0.38 | %) | (3,261 | ) | ||||||
Martin Marietta Materials, Inc. | (105 | ) | (0.49 | %) | (3,296 | ) | ||||||
WR Grace & Co. | (912 | ) | (1.40 | %) | (3,456 | ) | ||||||
Wingstop, Inc. | (330 | ) | (0.63 | %) | (3,527 | ) | ||||||
UDR, Inc. | (787 | ) | (0.72 | %) | (3,615 | ) | ||||||
Linde plc | (105 | ) | (0.43 | %) | (3,645 | ) | ||||||
Invitation Homes, Inc. | (1,121 | ) | (0.61 | %) | (3,745 | ) | ||||||
| Value and | |||||||||||
Wyndham Hotels & Resorts, Inc. | (750 | ) | (0.85 | %) | (3,849 | ) | ||||||
RLI Corp. | (502 | ) | (0.87 | %) | (4,381 | ) | ||||||
MarketAxess Holdings, Inc. | (58 | ) | (0.38 | %) | (4,531 | ) | ||||||
Equinix, Inc. | (77 | ) | (0.79 | %) | (4,943 | ) | ||||||
IHS Markit Ltd.* | (1,032 | ) | (1.33 | %) | (4,945 | ) | ||||||
Costco Wholesale Corp. | (169 | ) | (0.90 | %) | (4,957 | ) | ||||||
Americold Realty Trust | (1,622 | ) | (1.06 | %) | (4,991 | ) | ||||||
Woodward, Inc. | (280 | ) | (0.64 | %) | (5,233 | ) | ||||||
Pegasystems, Inc. | (771 | ) | (1.11 | %) | (5,252 | ) | ||||||
Bright Horizons Family Solutions, Inc.* | (199 | ) | (0.61 | %) | (5,289 | ) | ||||||
Everest Re Group Ltd. | (175 | ) | (0.88 | %) | (5,448 | ) | ||||||
Ball Corp. | (518 | ) | (0.73 | %) | (6,079 | ) | ||||||
TransDigm Group, Inc.* | (152 | ) | (1.49 | %) | (6,112 | ) | ||||||
EastGroup Properties, Inc. | (499 | ) | (1.17 | %) | (6,174 | ) | ||||||
TransUnion | (844 | ) | (1.26 | %) | (6,199 | ) | ||||||
Pool Corp. | (167 | ) | (0.65 | %) | (6,527 | ) | ||||||
Materion Corp. | (594 | ) | (0.82 | %) | (6,686 | ) | ||||||
SBA Communications Corp.* | (321 | ) | (1.46 | %) | (7,171 | ) | ||||||
Scotts Miracle-Gro Co. — Class A | (384 | ) | (0.77 | %) | (7,879 | ) | ||||||
Equity LifeStyle Properties, Inc. | (365 | ) | (0.90 | %) | (8,832 | ) | ||||||
AptarGroup, Inc. | (538 | ) | (1.35 | %) | (10,478 | ) | ||||||
Terreno Realty Corp. | (1,119 | ) | (1.11 | %) | (11,417 | ) | ||||||
Air Products & Chemicals, Inc. | (202 | ) | (0.93 | %) | (11,527 | ) | ||||||
Rexford Industrial Realty, Inc. | (2,000 | ) | (1.63 | %) | (11,852 | ) | ||||||
Total Custom Basket of Short Securities | (102,717 | ) | ||||||||||
CUSTOM BASKET OF LONG SECURITIES12 | ||||||||||||
Allergan plc | 255 | 0.71 | % | 11,369 | ||||||||
HollyFrontier Corp. | 1,158 | 0.88 | % | 6,671 | ||||||||
Marathon Petroleum Corp. | 719 | 0.66 | % | 5,831 | ||||||||
Delek US Holdings, Inc. | 1,175 | 0.78 | % | 5,781 | ||||||||
Valero Energy Corp. | 611 | 0.86 | % | 5,652 | ||||||||
Phillips 66 | 594 | 0.91 | % | 5,245 | ||||||||
PBF Energy, Inc. — Class A | 904 | 0.46 | % | 4,610 | ||||||||
Amgen, Inc. | 387 | 1.17 | % | 3,738 | ||||||||
ONEOK, Inc. | 1,048 | 1.18 | % | 3,238 | ||||||||
Discovery, Inc. — Class A* | 1,802 | 0.91 | % | 3,117 | ||||||||
Kennametal, Inc. | 796 | 0.48 | % | 3,017 | ||||||||
Jazz Pharmaceuticals plc* | 201 | 0.47 | % | 2,816 | ||||||||
CVR Energy, Inc. | 525 | 0.43 | % | 2,798 | ||||||||
World Fuel Services Corp. | 984 | 0.58 | % | 2,745 | ||||||||
Becton Dickinson and Co. | 178 | 0.73 | % | 2,668 | ||||||||
Allison Transmission Holdings, Inc. | 1,101 | 0.84 | % | 2,642 | ||||||||
Renewable Energy Group, Inc.* | 1,403 | 0.36 | % | 2,624 |
44| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage |
| |||||||||
Saia, Inc.* | 505 | 0.54 | % | $ | 2,545 | |||||||
Omnicom Group, Inc. | 923 | 1.24 | % | 2,529 | ||||||||
Textron, Inc. | 567 | 0.49 | % | 2,483 | ||||||||
News Corp. — Class A | 1,415 | 0.31 | % | 2,391 | ||||||||
Medicines Co.* | 890 | 0.53 | % | 2,391 | ||||||||
United Continental Holdings, Inc.* | 491 | 0.70 | % | 2,347 | ||||||||
Landstar System, Inc. | 356 | 0.63 | % | 2,257 | ||||||||
Casey’s General Stores, Inc. | 235 | 0.60 | % | 2,256 | ||||||||
Baxter International, Inc. | 530 | 0.71 | % | 2,253 | ||||||||
Knight-Swift Transportation Holdings, Inc. | 1,212 | 0.65 | % | 2,157 | ||||||||
Alexion Pharmaceuticals, Inc.* | 155 | 0.33 | % | 2,145 | ||||||||
FedEx Corp. | 447 | 1.20 | % | 2,123 | ||||||||
Meredith Corp. | 506 | 0.46 | % | 2,049 | ||||||||
Chevron Corp. | 623 | 1.27 | % | 2,037 | ||||||||
Cardinal Health, Inc. | 819 | 0.63 | % | 2,015 | ||||||||
RMR Group, Inc. — Class A | 711 | 0.55 | % | 1,990 | ||||||||
Caterpillar, Inc. | 220 | 0.49 | % | 1,982 | ||||||||
Integer Holdings Corp.* | 315 | 0.43 | % | 1,972 | ||||||||
AT&T, Inc. | 1,402 | 0.77 | % | 1,963 | ||||||||
Westlake Chemical Corp. | 279 | 0.32 | % | 1,931 | ||||||||
Delta Air Lines, Inc. | 1,026 | 0.95 | % | 1,919 | ||||||||
Skyworks Solutions, Inc. | 553 | 0.70 | % | 1,825 | ||||||||
Huntington Ingalls Industries, Inc. | 116 | 0.43 | % | 1,795 | ||||||||
Exxon Mobil Corp. | 992 | 1.25 | % | 1,776 | ||||||||
Bio-Rad Laboratories, Inc. — Class A* | 107 | 0.55 | % | 1,760 | ||||||||
Werner Enterprises, Inc. | 1,099 | 0.56 | % | 1,758 | ||||||||
Alaska Air Group, Inc. | 556 | 0.58 | % | 1,751 | ||||||||
Cummins, Inc. | 244 | 0.68 | % | 1,740 | ||||||||
Oshkosh Corp. | 327 | 0.45 | % | 1,733 | ||||||||
Ingredion, Inc. | 721 | 0.97 | % | 1,629 | ||||||||
Gilead Sciences, Inc. | 990 | 1.10 | % | 1,445 | ||||||||
United Parcel Service, Inc. — Class B | 443 | 0.75 | % | 1,444 | ||||||||
Unit Corp.* | 2,169 | 0.32 | % | 1,432 | ||||||||
J.B. Hunt Transport Services, Inc. | 386 | 0.58 | % | 1,351 | ||||||||
Agilent Technologies, Inc. | 282 | 0.35 | % | 1,292 | ||||||||
Molson Coors Brewing Co. — Class B | 917 | 0.84 | % | 1,256 | ||||||||
Facebook, Inc. — Class A* | 82 | 0.26 | % | 1,222 | ||||||||
Mylan N.V.* | 766 | 0.24 | % | 1,172 | ||||||||
Old Dominion Freight Line, Inc. | 135 | 0.33 | % | 1,150 | ||||||||
Diodes, Inc.* | 451 | 0.27 | % | 1,114 | ||||||||
Archer-Daniels-Midland Co. | 1,764 | 1.18 | % | 1,111 | ||||||||
ManpowerGroup, Inc. | 268 | 0.42 | % | 1,091 | ||||||||
Williams Companies, Inc. | 2,558 | 1.18 | % | 1,049 | ||||||||
Pfizer, Inc. | 1,568 | 1.11 | % | 1,019 | ||||||||
Darling Ingredients, Inc.* | 2,250 | 0.73 | % | 1,013 | ||||||||
McKesson Corp. | 556 | 1.22 | % | 995 | ||||||||
Innoviva, Inc.* | 1,456 | 0.35 | % | 932 | ||||||||
Cheniere Energy, Inc.* | 399 | 0.45 | % | 918 | ||||||||
AES Corp. | 2,351 | 0.65 | % | 893 | ||||||||
Oracle Corp. | 281 | 0.26 | % | 851 | ||||||||
Abbott Laboratories | 260 | 0.36 | % | 775 | ||||||||
Waters Corp.* | 105 | 0.37 | % | 772 | ||||||||
HCP, Inc. | 1,645 | 0.86 | % | 740 | ||||||||
PPL Corp. | 1,826 | 0.93 | % | 730 | ||||||||
Biogen, Inc.* | 152 | 0.58 | % | 728 | ||||||||
Merck & Company, Inc. | 827 | 1.14 | % | 719 | ||||||||
PACCAR, Inc. | 353 | 0.41 | % | 660 | ||||||||
Masco Corp. | 484 | 0.31 | % | 629 | ||||||||
Vishay Intertechnology, Inc. | 937 | 0.25 | % | 628 | ||||||||
Parker-Hannifin Corp. | 203 | 0.57 | % | 595 | ||||||||
Domtar Corp. | 408 | 0.30 | % | 583 | ||||||||
TEGNA, Inc. | 2,490 | 0.62 | % | 573 | ||||||||
Laboratory Corporation of America Holdings* | 91 | 0.26 | % | 572 | ||||||||
Schneider National, Inc. — Class B | 2,016 | 0.60 | % | 564 | ||||||||
TrueBlue, Inc.* | 876 | 0.32 | % | 552 | ||||||||
Cal-Maine Foods, Inc. | 993 | 0.68 | % | 546 | ||||||||
Comcast Corp. — Class A | 512 | 0.35 | % | 543 | ||||||||
Shenandoah Telecommunications Co. | 1,142 | 0.72 | % | 537 | ||||||||
Kansas City Southern | 200 | 0.40 | % | 526 | ||||||||
Echo Global Logistics, Inc.* | 1,121 | 0.38 | % | 516 | ||||||||
Walgreens Boots Alliance, Inc. | 288 | 0.26 | % | 516 | ||||||||
CVS Health Corp. | 987 | 0.88 | % | 513 | ||||||||
Kraft Heinz Co. | 637 | 0.32 | % | 510 | ||||||||
Targa Resources Corp. | 646 | 0.42 | % | 504 | ||||||||
John Wiley & Sons, Inc. — Class A | 756 | 0.57 | % | 431 | ||||||||
SkyWest, Inc. | 358 | 0.36 | % | 408 | ||||||||
Lear Corp. | 153 | 0.35 | % | 404 | ||||||||
Hospitality Properties Trust | 1,027 | 0.42 | % | 401 | ||||||||
Kinder Morgan, Inc. | 3,709 | 1.27 | % | 371 | ||||||||
Northern Trust Corp. | 161 | 0.24 | % | 357 | ||||||||
MetLife, Inc. | 317 | 0.26 | % | 355 | ||||||||
Verizon Communications, Inc. | 1,101 | 1.03 | % | 330 | ||||||||
Hill-Rom Holdings, Inc. | 366 | 0.63 | % | 329 | ||||||||
Hartford Financial Services Group, Inc. | 283 | 0.26 | % | 291 | ||||||||
Marten Transport Ltd. | 1,119 | 0.33 | % | 291 | ||||||||
Avnet, Inc. | 394 | 0.29 | % | 276 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 45 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
Forward Air Corp. | 414 | 0.40 | % | $ | 261 | |||||||
AmerisourceBergen Corp. — Class A | 475 | 0.66 | % | 257 | ||||||||
Hologic, Inc.* | 937 | 0.74 | % | 244 | ||||||||
NRG Energy, Inc. | 419 | 0.24 | % | 239 | ||||||||
Activision Blizzard, Inc. | 474 | 0.37 | % | 237 | ||||||||
Constellation Brands, Inc. — Class A | 112 | 0.36 | % | 222 | ||||||||
Flowers Foods, Inc. | 789 | 0.30 | % | 213 | ||||||||
Southern Co. | 278 | 0.25 | % | 203 | ||||||||
Scholastic Corp. | 944 | 0.51 | % | 198 | ||||||||
Prudential Financial, Inc. | 152 | 0.25 | % | 192 | ||||||||
Southwest Airlines Co. | 928 | 0.77 | % | 186 | ||||||||
Philip Morris International, Inc. | 468 | 0.60 | % | 183 | ||||||||
JPMorgan Chase & Co. | 135 | 0.25 | % | 151 | ||||||||
MSG Networks, Inc. — Class A* | 1,638 | 0.56 | % | 147 | ||||||||
Ameren Corp. | 727 | 0.89 | % | 131 | ||||||||
General Mills, Inc. | 518 | 0.45 | % | 78 | ||||||||
FirstEnergy Corp. | 1,201 | 0.84 | % | 72 | ||||||||
Norfolk Southern Corp. | 196 | 0.64 | % | 71 | ||||||||
Assured Guaranty Ltd. | 410 | 0.28 | % | 62 | ||||||||
Portland General Electric Co. | 1,225 | 1.09 | % | 61 | ||||||||
Alphabet, Inc. — Class C* | 26 | 0.46 | % | 57 | ||||||||
Procter & Gamble Co. | 187 | 0.34 | % | 50 | ||||||||
AMC Networks, Inc. — Class A* | 851 | 0.76 | % | (85 | ) | |||||||
Medtronic plc | 745 | 1.19 | % | (127 | ) | |||||||
Johnson & Johnson | 289 | 0.66 | % | (145 | ) | |||||||
Macquarie Infrastructure Corp. | 383 | 0.25 | % | (146 | ) | |||||||
InterDigital, Inc. | 224 | 0.24 | % | (188 | ) | |||||||
Deluxe Corp. | 606 | 0.40 | % | (200 | ) | |||||||
National Fuel Gas Co. | 1,205 | 1.04 | % | (241 | ) | |||||||
OGE Energy Corp. | 896 | 0.62 | % | (305 | ) | |||||||
Host Hotels & Resorts, Inc. | 926 | 0.28 | % | (333 | ) | |||||||
New Media Investment Group, Inc. | 1,579 | 0.24 | % | (347 | ) | |||||||
Central Garden & Pet Co. — Class A* | 644 | 0.26 | % | (348 | ) | |||||||
Nu Skin Enterprises, Inc. — Class A | 323 | 0.26 | % | (397 | ) | |||||||
Summit Hotel Properties, Inc. | 1,549 | 0.29 | % | (418 | ) | |||||||
Vonage Holdings Corp.* | 1,297 | 0.24 | % | (519 | ) | |||||||
US Foods Holding Corp.* | 509 | 0.30 | % | (519 | ) | |||||||
Post Holdings, Inc.* | 311 | 0.53 | % | (519 | ) | |||||||
Cogent Communications Holdings, Inc. | 670 | 0.65 | % | (603 | ) | |||||||
Clorox Co. | 212 | 0.53 | % | (640 | ) | |||||||
Kimberly-Clark Corp. | 484 | 1.06 | % | (644 | ) | |||||||
CSX Corp. | 577 | 0.73 | % | (710 | ) | |||||||
Herbalife Nutrition Ltd.* | 706 | 0.49 | % | (713 | ) | |||||||
PepsiCo, Inc. | 361 | 0.78 | % | (747 | ) | |||||||
Colgate-Palmolive Co. | 488 | 0.57 | % | (810 | ) | |||||||
Cinemark Holdings, Inc. | 630 | 0.37 | % | (813 | ) | |||||||
Tyson Foods, Inc. — Class A | 589 | 0.78 | % | (925 | ) | |||||||
Sysco Corp. | 483 | 0.56 | % | (985 | ) | |||||||
Exelon Corp. | 845 | 0.66 | % | (1,073 | ) | |||||||
AMERCO | 98 | 0.61 | % | (1,250 | ) | |||||||
Heartland Express, Inc. | 1,911 | 0.57 | % | (1,261 | ) | |||||||
Zimmer Biomet Holdings, Inc. | 468 | 0.90 | % | (1,282 | ) | |||||||
JM Smucker Co. | 192 | 0.36 | % | (1,521 | ) | |||||||
Apartment Investment & Management Co. — Class A | 1,517 | 1.25 | % | (1,532 | ) | |||||||
Pinnacle West Capital Corp. | 714 | 1.10 | % | (1,642 | ) | |||||||
B&G Foods, Inc. | 771 | 0.26 | % | (1,673 | ) | |||||||
JetBlue Airways Corp.* | 2,973 | 0.90 | % | (1,784 | ) | |||||||
Lions Gate Entertainment Corp. — Class A | 1,558 | 0.31 | % | (1,792 | ) | |||||||
Medical Properties Trust, Inc. | 3,541 | 1.01 | % | (2,054 | ) | |||||||
Vector Group Ltd. | 3,185 | 0.51 | % | (2,070 | ) | |||||||
ATN International, Inc. | 482 | 0.46 | % | (2,212 | ) | |||||||
Equity Commonwealth | 2,356 | 1.26 | % | (2,521 | ) | |||||||
Pilgrim’s Pride Corp.* | 1,776 | 0.74 | % | (2,913 | ) | |||||||
Kroger Co. | 1,407 | 0.50 | % | (4,151 | ) | |||||||
Total Custom Basket of Long Securities | 137,946 | |||||||||||
CUSTOM BASKET OF SHORT SECURITIES15 | ||||||||||||
Realty Income Corp. | (940 | ) | (1.35 | %) | 3,063 | |||||||
Alexandria Real Estate Equities, Inc. | (272 | ) | (0.79 | %) | 2,703 | |||||||
Crown Castle International Corp. | (452 | ) | (1.22 | %) | 2,508 | |||||||
International Flavors & Fragrances, Inc. | (314 | ) | (0.94 | %) | 2,217 | |||||||
Agree Realty Corp. | (802 | ) | (1.06 | %) | 1,917 | |||||||
Paychex, Inc. | (387 | ) | (0.66 | %) | 1,842 | |||||||
Brandywine Realty Trust | (1,595 | ) | (0.47 | %) | 1,643 | |||||||
Hudson Pacific Properties, Inc. | (1,481 | ) | (1.02 | %) | 1,525 | |||||||
STORE Capital Corp. | (1,220 | ) | (0.84 | %) | 1,452 | |||||||
WP Carey, Inc. | (311 | ) | (0.52 | %) | 1,154 | |||||||
Advanced Micro Devices, Inc.* | (565 | ) | (0.35 | %) | 1,153 | |||||||
Empire State Realty Trust, Inc. — Class A | (2,549 | ) | (0.78 | %) | 1,122 |
46| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage |
| |||||||||
Rollins, Inc. | (637 | ) | (0.47 | %) | $ | 1,064 | ||||||
Douglas Emmett, Inc. | (907 | ) | (0.75 | %) | 943 | |||||||
SPS Commerce, Inc.* | (184 | ) | (0.39 | %) | 913 | |||||||
New York Community Bancorp, Inc. | (2,275 | ) | (0.47 | %) | 910 | |||||||
UDR, Inc. | (787 | ) | (0.73 | %) | 905 | |||||||
Compass Minerals International, Inc. | (505 | ) | (0.57 | %) | 853 | |||||||
CyrusOne, Inc. | (371 | ) | (0.44 | %) | 824 | |||||||
RLI Corp. | (502 | ) | (0.89 | %) | 818 | |||||||
MarketAxess Holdings, Inc. | (58 | ) | (0.38 | %) | 729 | |||||||
American Tower Corp. — Class A | (159 | ) | (0.67 | %) | 719 | |||||||
Sherwin-Williams Co. | (53 | ) | (0.50 | %) | 667 | |||||||
Extra Space Storage, Inc. | (204 | ) | (0.45 | %) | 614 | |||||||
CVB Financial Corp. | (1,642 | ) | (0.71 | %) | 558 | |||||||
Nutanix, Inc. — Class A* | (269 | ) | (0.14 | %) | 508 | |||||||
Healthcare Realty Trust, Inc. | (508 | ) | (0.33 | %) | 508 | |||||||
BOK Financial Corp. | (449 | ) | (0.70 | %) | 476 | |||||||
American Homes 4 Rent — Class A | (1,153 | ) | (0.58 | %) | 473 | |||||||
CubeSmart | (730 | ) | (0.50 | %) | 460 | |||||||
Tyler Technologies, Inc.* | (129 | ) | (0.57 | %) | 449 | |||||||
Equity Residential | (233 | ) | (0.36 | %) | 438 | |||||||
Essex Property Trust, Inc. | (61 | ) | (0.37 | %) | 432 | |||||||
Equity LifeStyle Properties, Inc. | (366 | ) | (0.92 | %) | 414 | |||||||
Texas Roadhouse, Inc. — Class A | (610 | ) | (0.68 | %) | 403 | |||||||
NewMarket Corp. | (96 | ) | (0.79 | %) | 395 | |||||||
Marriott Vacations Worldwide Corp. | (275 | ) | (0.55 | %) | 391 | |||||||
Blackstone Mortgage Trust, Inc. — Class A | (685 | ) | (0.50 | %) | 349 | |||||||
Camden Property Trust | (376 | ) | (0.81 | %) | 338 | |||||||
Everest Re Group Ltd. | (175 | ) | (0.89 | %) | 327 | |||||||
Snap, Inc. — Class A* | (666 | ) | (0.20 | %) | 320 | |||||||
Roku, Inc.* | (107 | ) | (0.20 | %) | 298 | |||||||
Wyndham Hotels & Resorts, Inc. | (750 | ) | (0.86 | %) | 293 | |||||||
American Campus Communities, Inc. | (345 | ) | (0.33 | %) | 273 | |||||||
Sun Communities, Inc. | (611 | ) | (1.62 | %) | 269 | |||||||
Dunkin’ Brands Group, Inc. | (319 | ) | (0.52 | %) | 252 | |||||||
Welltower, Inc. | (427 | ) | (0.72 | %) | 248 | |||||||
Woodward, Inc. | (281 | ) | (0.66 | %) | 247 | |||||||
Federal Realty Investment Trust | (116 | ) | (0.31 | %) | 239 | |||||||
Invitation Homes, Inc. | (1,121 | ) | (0.62 | %) | 235 | |||||||
New Relic, Inc.* | (112 | ) | (0.20 | %) | 178 | |||||||
Axis Capital Holdings Ltd. | (288 | ) | (0.35 | %) | 101 | |||||||
| Value and | |||||||||||
Alarm.com Holdings, Inc.* | (168 | ) | (0.19 | %) | 57 | |||||||
First Republic Bank | (252 | ) | (0.51 | %) | 48 | |||||||
PayPal Holdings, Inc.* | (311 | ) | (0.73 | %) | 44 | |||||||
Capitol Federal Financial, Inc. | (3,571 | ) | (1.01 | %) | 36 | |||||||
Sensient Technologies Corp. | (247 | ) | (0.37 | %) | 35 | |||||||
Autodesk, Inc.* | (232 | ) | (0.78 | %) | 29 | |||||||
PPG Industries, Inc. | (180 | ) | (0.43 | %) | 25 | |||||||
Old National Bancorp | (3,050 | ) | (1.04 | %) | – | |||||||
Linde plc | (105 | ) | (0.43 | %) | (1 | ) | ||||||
Equinix, Inc. | (78 | ) | (0.81 | %) | (4 | ) | ||||||
New Residential Investment Corp. | (1,299 | ) | (0.41 | %) | (39 | ) | ||||||
Chimera Investment Corp. | (1,346 | ) | (0.52 | %) | (40 | ) | ||||||
Arthur J Gallagher & Co. | (291 | ) | (0.53 | %) | (41 | ) | ||||||
CME Group, Inc. — Class A | (51 | ) | (0.20 | %) | (44 | ) | ||||||
CoreSite Realty Corp. | (131 | ) | (0.31 | %) | (47 | ) | ||||||
Signature Bank | (156 | ) | (0.39 | %) | (81 | ) | ||||||
American Water Works Company, Inc. | (158 | ) | (0.38 | %) | (98 | ) | ||||||
Mastercard, Inc. — Class A | (38 | ) | (0.21 | %) | (114 | ) | ||||||
NIKE, Inc. — Class B | (182 | ) | (0.32 | %) | (126 | ) | ||||||
Intuit, Inc. | (38 | ) | (0.20 | %) | (132 | ) | ||||||
Visa, Inc. — Class A | (58 | ) | (0.21 | %) | (144 | ) | ||||||
Etsy, Inc.* | (163 | ) | (0.21 | %) | (153 | ) | ||||||
PROS Holdings, Inc.* | (159 | ) | (0.21 | %) | (171 | ) | ||||||
Columbia Financial, Inc.* | (1,024 | ) | (0.32 | %) | (174 | ) | ||||||
Intuitive Surgical, Inc.* | (19 | ) | (0.21 | %) | (175 | ) | ||||||
AGNC Investment Corp. | (1,476 | ) | (0.51 | %) | (177 | ) | ||||||
Align Technology, Inc.* | (37 | ) | (0.21 | %) | (180 | ) | ||||||
BankUnited, Inc. | (792 | ) | (0.55 | %) | (190 | ) | ||||||
Associated Banc-Corp. | (945 | ) | (0.41 | %) | (198 | ) | ||||||
Intercontinental Exchange, Inc. | (200 | ) | (0.35 | %) | (200 | ) | ||||||
Glacier Bancorp, Inc. | (551 | ) | (0.46 | %) | (209 | ) | ||||||
Fair Isaac Corp.* | (52 | ) | (0.34 | %) | (214 | ) | ||||||
MFA Financial, Inc. | (2,803 | ) | (0.42 | %) | (224 | ) | ||||||
First Industrial Realty Trust, Inc. | (764 | ) | (0.58 | %) | (229 | ) | ||||||
Marsh & McLennan Companies, Inc. | (184 | ) | (0.38 | %) | (234 | ) | ||||||
Planet Fitness, Inc. — Class A* | (141 | ) | (0.21 | %) | (259 | ) | ||||||
Appfolio, Inc. — Class A* | (106 | ) | (0.22 | %) | (266 | ) | ||||||
ABIOMED, Inc.* | (39 | ) | (0.21 | %) | (305 | ) | ||||||
Qualys, Inc.* | (117 | ) | (0.21 | %) | (309 | ) | ||||||
ANSYS, Inc.* | (50 | ) | (0.21 | %) | (321 | ) | ||||||
Amazon.com, Inc.* | (11 | ) | (0.43 | %) | (329 | ) | ||||||
DocuSign, Inc.* | (388 | ) | (0.40 | %) | (334 | ) | ||||||
Annaly Capital Management, Inc. | (2,726 | ) | (0.51 | %) | (354 | ) | ||||||
MSCI, Inc. — Class A | (43 | ) | (0.21 | %) | (373 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 47 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage |
| |||||||||
CoStar Group, Inc.* | (42 | ) | (0.48 | %) | $ | (390 | ) | |||||
RPM International, Inc. | (361 | ) | (0.45 | %) | (422 | ) | ||||||
Pegasystems, Inc. | (772 | ) | (1.13 | %) | (425 | ) | ||||||
Five9, Inc.* | (203 | ) | (0.21 | %) | (440 | ) | ||||||
FireEye, Inc.* | (1,165 | ) | (0.36 | %) | (443 | ) | ||||||
NextEra Energy, Inc. | (162 | ) | (0.68 | %) | (468 | ) | ||||||
SBA Communications Corp.* | (321 | ) | (1.49 | %) | (504 | ) | ||||||
HealthEquity, Inc.* | (160 | ) | (0.22 | %) | (504 | ) | ||||||
Two Harbors Investment Corp. | (1,943 | ) | (0.51 | %) | (525 | ) | ||||||
salesforce.com, Inc.* | (336 | ) | (1.05 | %) | (531 | ) | ||||||
CNO Financial Group, Inc. | (1,021 | ) | (0.35 | %) | (531 | ) | ||||||
LiveRamp Holdings, Inc.* | (215 | ) | (0.21 | %) | (533 | ) | ||||||
Microchip Technology, Inc. | (399 | ) | (0.71 | %) | (543 | ) | ||||||
Palo Alto Networks, Inc.* | (184 | ) | (0.77 | %) | (546 | ) | ||||||
Guardant Health, Inc.* | (121 | ) | (0.22 | %) | (555 | ) | ||||||
Atmos Energy Corp. | (196 | ) | (0.43 | %) | (576 | ) | ||||||
McDonald’s Corp. | (134 | ) | (0.57 | %) | (590 | ) | ||||||
Redwood Trust, Inc. | (1,517 | ) | (0.52 | %) | (607 | ) | ||||||
Avery Dennison Corp. | (182 | ) | (0.43 | %) | (621 | ) | ||||||
Pacific Premier Bancorp, Inc. | (759 | ) | (0.48 | %) | (660 | ) | ||||||
Cintas Corp. | (136 | ) | (0.67 | %) | (681 | ) | ||||||
PTC, Inc.* | (490 | ) | (0.91 | %) | (706 | ) | ||||||
Concho Resources, Inc. | (302 | ) | (0.64 | %) | (707 | ) | ||||||
EastGroup Properties, Inc. | (500 | ) | (1.20 | %) | (750 | ) | ||||||
IAA, Inc.* | (565 | ) | (0.45 | %) | (806 | ) | ||||||
Liberty Property Trust | (1,504 | ) | (1.55 | %) | (857 | ) | ||||||
Pool Corp. | (168 | ) | (0.66 | %) | (869 | ) | ||||||
Vulcan Materials Co. | (137 | ) | (0.39 | %) | (869 | ) | ||||||
Core Laboratories N.V. | (541 | ) | (0.58 | %) | (898 | ) | ||||||
AptarGroup, Inc. | (539 | ) | (1.38 | %) | (949 | ) | ||||||
Martin Marietta Materials, Inc. | (106 | ) | (0.50 | %) | (972 | ) | ||||||
People’s United Financial, Inc. | (1,896 | ) | (0.66 | %) | (1,062 | ) | ||||||
Monolithic Power Systems, Inc. | (233 | ) | (0.65 | %) | (1,074 | ) | ||||||
Kaiser Aluminum Corp. | (204 | ) | (0.41 | %) | (1,108 | ) | ||||||
WesBanco, Inc. | (404 | ) | (0.32 | %) | (1,180 | ) | ||||||
Washington Federal, Inc. | (600 | ) | (0.43 | %) | (1,194 | ) | ||||||
Reliance Steel & Aluminum Co. | (219 | ) | (0.43 | %) | (1,209 | ) | ||||||
Costco Wholesale Corp. | (170 | ) | (0.93 | %) | (1,216 | ) | ||||||
Fortive Corp. | (523 | ) | (0.88 | %) | (1,234 | ) | ||||||
National Oilwell Varco, Inc. | (1,362 | ) | (0.62 | %) | (1,267 | ) | ||||||
KAR Auction Services, Inc. | (565 | ) | (0.29 | %) | (1,279 | ) | ||||||
Balchem Corp. | (388 | ) | (0.80 | %) | (1,288 | ) | ||||||
Wingstop, Inc. | (220 | ) | (0.43 | %) | (1,294 | ) | ||||||
WR Grace & Co. | (913 | ) | (1.43 | %) | (1,433 | ) | ||||||
First Financial Bankshares, Inc. | (1,170 | ) | (0.74 | %) | (1,474 | ) | ||||||
Air Products & Chemicals, Inc. | (202 | ) | (0.94 | %) | (1,479 | ) | ||||||
| Value and | |||||||||||
Materion Corp. | (595 | ) | (0.83 | %) | (1,559 | ) | ||||||
Adobe, Inc.* | (85 | ) | (0.52 | %) | (1,586 | ) | ||||||
Southern Copper Corp. | (1,057 | ) | (0.85 | %) | (1,733 | ) | ||||||
Allegheny Technologies, Inc.* | (1,552 | ) | (0.81 | %) | (1,754 | ) | ||||||
Rexford Industrial Realty, Inc. | (2,001 | ) | (1.67 | %) | (1,761 | ) | ||||||
Ball Corp. | (518 | ) | (0.75 | %) | (1,839 | ) | ||||||
Valley National Bancorp | (5,427 | ) | (1.21 | %) | (1,899 | ) | ||||||
Scotts Miracle-Gro Co. — Class A | (385 | ) | (0.78 | %) | (2,114 | ) | ||||||
Guidewire Software, Inc.* | (555 | ) | (1.16 | %) | (2,185 | ) | ||||||
Terreno Realty Corp. | (1,119 | ) | (1.13 | %) | (2,204 | ) | ||||||
Bright Horizons Family Solutions, Inc.* | (200 | ) | (0.62 | %) | (2,508 | ) | ||||||
TransDigm Group, Inc.* | (152 | ) | (1.52 | %) | (2,531 | ) | ||||||
Diamondback Energy, Inc. | (276 | ) | (0.62 | %) | (2,542 | ) | ||||||
Proofpoint, Inc.* | (231 | ) | (0.57 | %) | (2,546 | ) | ||||||
South Jersey Industries, Inc. | (1,407 | ) | (0.98 | %) | (2,645 | ) | ||||||
TransUnion | (844 | ) | (1.28 | %) | (2,903 | ) | ||||||
IHS Markit Ltd.* | (1,033 | ) | (1.36 | %) | (4,215 | ) | ||||||
Howard Hughes Corp.* | (226 | ) | (0.58 | %) | (4,746 | ) | ||||||
Schlumberger Ltd. | (1,587 | ) | (1.30 | %) | (4,840 | ) | ||||||
Commercial Metals Co. | (2,312 | ) | (0.85 | %) | (7,005 | ) | ||||||
Total Custom Basket of Short Securities | (57,469 | ) | ||||||||||
CUSTOM BASKET OF LONG SECURITIES13 | ||||||||||||
Ventas, Inc. | 4,576 | 4.06 | % | 17,246 | ||||||||
InterXion Holding N.V.* | 4,684 | 4.63 | % | 11,980 | ||||||||
Terreno Realty Corp. | 5,961 | 3.79 | % | 11,340 | ||||||||
Rexford Industrial Realty, Inc. | 8,636 | 4.52 | % | 6,793 | ||||||||
HCP, Inc. | 9,462 | 3.92 | % | 4,004 | ||||||||
Omega Healthcare Investors, Inc. | 8,886 | 4.23 | % | 2,562 | ||||||||
Equinix, Inc. | 735 | 4.80 | % | 1 | ||||||||
MGM Growth Properties LLC — Class A | 6,294 | 2.50 | % | (358 | ) | |||||||
Annaly Capital Management, Inc. | 27,753 | 3.28 | % | (561 | ) | |||||||
Sunstone Hotel Investors, Inc. | 10,652 | 1.89 | % | (1,023 | ) | |||||||
VICI Properties, Inc. | 15,586 | 4.45 | % | (1,057 | ) | |||||||
Sun Communities, Inc. | 3,025 | 5.03 | % | (1,591 | ) | |||||||
Iron Mountain, Inc. | 7,687 | 3.12 | % | (3,071 | ) | |||||||
Equity LifeStyle Properties, Inc. | 2,503 | 3.94 | % | (3,207 | ) | |||||||
Invitation Homes, Inc. | 14,430 | 5.00 | % | (3,234 | ) | |||||||
Blackstone Mortgage Trust, Inc. — Class A | 5,889 | 2.72 | % | (3,297 | ) | |||||||
CubeSmart | 5,971 | 2.59 | % | (3,743 | ) |
48| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
Pebblebrook Hotel Trust | 7,459 | 2.72 | % | $ | (3,810 | ) | ||||||
Four Corners Property Trust, Inc. | 6,843 | 2.42 | % | (3,854 | ) | |||||||
JBG SMITH Properties | 6,184 | 3.15 | % | (4,205 | ) | |||||||
Federal Realty Investment Trust | 1,908 | 3.18 | % | (4,274 | ) | |||||||
Cousins Properties, Inc. | 4,684 | 2.20 | % | (5,201 | ) | |||||||
Hudson Pacific Properties, Inc. | 5,818 | 2.51 | % | (5,947 | ) | |||||||
American Homes 4 Rent — Class A | 15,377 | 4.85 | % | (6,407 | ) | |||||||
Equity Residential | 4,234 | 4.17 | % | (7,881 | ) | |||||||
American Tower Corp. — Class A | 1,828 | 4.84 | % | (9,001 | ) | |||||||
Crown Castle International Corp. | 3,247 | 5.49 | % | (17,153 | ) | |||||||
Total Custom Basket of Long Securities | (34,949 | ) | ||||||||||
CUSTOM BASKET OF SHORT SECURITIES16 | ||||||||||||
Ashford Hospitality Trust, Inc. | (19,599 | ) | (0.75 | %) | 28,810 | |||||||
iShares U.S. Real Estate ETF | (15,299 | ) | (16.88 | %) | 27,007 | |||||||
Brandywine Realty Trust | (16,686 | ) | (3.02 | %) | 17,043 | |||||||
SL Green Realty Corp. | (2,157 | ) | (2.19 | %) | 16,236 | |||||||
Washington Prime Group, Inc. | (39,533 | ) | (1.91 | %) | 13,849 | |||||||
Vanguard Real Estate ETF | (4,845 | ) | (5.35 | %) | 12,344 | |||||||
Piedmont Office Realty Trust, Inc. — Class A | (15,445 | ) | (3.89 | %) | 9,609 | |||||||
Vornado Realty Trust | (3,688 | ) | (2.99 | %) | 9,604 | |||||||
Physicians Realty Trust | (15,813 | ) | (3.48 | %) | 7,368 | |||||||
Lennar Corp. — Class A | (1,919 | ) | (1.18 | %) | 7,364 | |||||||
Hersha Hospitality Trust | (13,198 | ) | (2.76 | %) | 7,041 | |||||||
Healthcare Realty Trust, Inc. | (6,195 | ) | (2.45 | %) | 6,465 | |||||||
Xenia Hotels & Resorts, Inc. | (13,455 | ) | (3.55 | %) | 4,139 | |||||||
Digital Realty Trust, Inc. | (2,630 | ) | (3.91 | %) | 3,725 | |||||||
Apollo Commercial Real Estate Finance, Inc. | (11,288 | ) | (2.62 | %) | 3,088 | |||||||
PulteGroup, Inc. | (3,134 | ) | (1.25 | %) | 2,614 | |||||||
VEREIT, Inc. | (28,460 | ) | (3.24 | %) | 2,149 | |||||||
Tanger Factory Outlet Centers, Inc. | (13,904 | ) | (2.85 | %) | 459 | |||||||
Brixmor Property Group, Inc. | (10,151 | ) | (2.29 | %) | 173 | |||||||
PS Business Parks, Inc. | (2,086 | ) | (4.44 | %) | (27 | ) | ||||||
Cushman & Wakefield plc* | (10,969 | ) | (2.48 | %) | (504 | ) | ||||||
Independence Realty Trust, Inc. | (18,733 | ) | (2.74 | %) | (937 | ) | ||||||
Kimco Realty Corp. | (13,617 | ) | (3.18 | %) | (1,936 | ) | ||||||
CyrusOne, Inc. | (2,993 | ) | (2.18 | %) | (3,133 | ) | ||||||
Prologis, Inc. | (3,432 | ) | (3.47 | %) | (4,210 | ) | ||||||
Hospitality Properties Trust | (10,855 | ) | (3.43 | %) | (4,534 | ) | ||||||
NexPoint Residential Trust, Inc. | (5,608 | ) | (2.93 | %) | (6,505 | ) | ||||||
Hilton Worldwide Holdings, Inc. | (1,682 | ) | (2.08 | %) | (6,613 | ) | ||||||
CBRE Group, Inc. — Class A* | (3,984 | ) | (2.58 | %) | (6,627 | ) | ||||||
Marriott International, Inc. — Class A | (2,218 | ) | (3.93 | %) | (13,325 | ) | ||||||
Total Custom Basket of Short Securities | 130,736 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 49 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs, unless otherwise noted — 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, 2019. |
2 | Affiliated issuer. |
3 | All or a portion of this security is on loan at June 30, 2019 — See Note 7. |
4 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
5 | Rate indicated is the effective yield at the time of purchase. |
6 | All or a portion of this security is pledged as custom basket swap collateral at June 30, 2019. |
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, 2019. |
10 | Total Return based on the return of the custom Morgan Stanley Equity Market Neutral (“MNRE”) long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
11 | Total Return based on the return of the custom Morgan Stanley Long/Short Equity (“SMQLS”) long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
12 | Total Return based on the return of the custom Goldman Sachs SMQLS long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
13 | Total Return based on the return of the custom Goldman Sachs MNRE long basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
14 | Total Return based on the return of the custom Morgan Stanley SMQLS short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
15 | Total Return based on the return of the custom Goldman Sachs MNRE short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
16 | Total Return based on the return of the custom Goldman Sachs SMQLS short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
17 | Total Return based on the return of the custom Morgan Stanley MNRE short basket of securities +/- financing at a variable rate. Rate indicated is rate effective at June 30, 2019. |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
50| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Consolidated Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 11,130,460 | $ | — | $ | — | $ | 11,130,460 | ||||||||
Master Limited Partnerships | 311,610 | — | — | 311,610 | ||||||||||||
Rights | 1 | — | — | 1 | ||||||||||||
Mutual Funds | 13,069,817 | — | — | 13,069,817 | ||||||||||||
Closed-End Funds | 3,353,665 | — | — | 3,353,665 | ||||||||||||
U.S. Treasury Bills | — | 6,005,869 | — | 6,005,869 | ||||||||||||
Repurchase Agreements | — | 1,003,311 | — | 1,003,311 | ||||||||||||
Securities Lending Collateral | 41,275 | — | — | 41,275 | ||||||||||||
Commodity Futures Contracts** | 302,784 | — | — | 302,784 | ||||||||||||
Interest Rate Futures Contracts** | 51,159 | 16,007 | — | 67,166 | ||||||||||||
Currency Futures Contracts** | 39,531 | — | — | 39,531 | ||||||||||||
Equity Futures Contracts** | 53,413 | 3,918 | — | 57,331 | ||||||||||||
Custom Basket Swap Agreements** | — | 1,265,940 | — | 1,265,940 | ||||||||||||
Total Assets | $ | 28,353,715 | $ | 8,295,045 | $ | — | $ | 36,648,760 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks Sold Short | $ | 5,036,864 | $ | — | $ | — | $ | 5,036,864 | ||||||||
Exchange-Traded Funds Sold Short | 3,422,508 | — | — | 3,422,508 | ||||||||||||
Commodity Futures Contracts** | 332,096 | — | — | 332,096 | ||||||||||||
Interest Rate Futures Contracts** | 423 | 123 | — | 546 | ||||||||||||
Currency Futures Contracts** | 117,289 | — | — | 117,289 | ||||||||||||
Equity Futures Contracts** | 39,163 | — | — | 39,163 | ||||||||||||
Custom Basket Swap Agreements** | — | 195,135 | — | 195,135 | ||||||||||||
Total Liabilities | $ | 8,948,343 | $ | 195,258 | $ | — | $ | 9,143,601 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 51 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
MULTI-HEDGE STRATEGIES FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 5,717,144 | $ | 3,066,407 | $ | (4,100,000 | ) | $ | (21,159 | ) | $ | 17,709 | $ | 4,680,101 | 188,562 | $ | 67,114 | |||||||||||||||
Guggenheim Strategy Fund III | 4,113,656 | 57,813 | — | — | (19 | ) | 4,171,450 | 168,272 | 58,375 | |||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund - Institutional Class | 42,224 | 552 | — | — | — | 42,776 | 4,295 | 558 | ||||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 4,116,640 | 57,182 | — | — | 1,668 | 4,175,490 | 168,639 | 57,292 | ||||||||||||||||||||||||
$ | 13,989,664 | $ | 3,181,954 | $ | (4,100,000 | ) | $ | (21,159 | ) | $ | 19,358 | $ | 13,069,817 | $ | 183,339 |
52| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
MULTI-HEDGE STRATEGIES FUND |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 | ||||
Assets: | ||||
Investments in unaffiliated issuers, at value - including $40,234 of securities loaned (cost $20,635,127) | $ | 20,842,880 | ||
Investments in affiliated issuers, at value (cost $13,167,328) | 13,069,817 | |||
Repurchase agreements, at value (cost $1,003,311) | 1,003,311 | |||
Cash | 9,709,248 | |||
Segregated cash with broker | 24,373 | |||
Unrealized appreciation on OTC swap agreements | 1,265,940 | |||
Receivables: | ||||
Securities sold | 55,151 | |||
Dividends | 38,323 | |||
Fund shares sold | 18,219 | |||
Interest | 200 | |||
Securities lending income | 166 | |||
Other assets | 12,455 | |||
Total assets | 46,040,083 | |||
Liabilities: | ||||
Securities sold short, at value (proceeds $8,528,003) | 8,459,372 | |||
Due to custodian | 17,879 | |||
Unrealized depreciation on OTC swap agreements | 195,135 | |||
Payable for: | ||||
Securities purchased | 185,321 | |||
Return of securities lending collateral | 41,275 | |||
Management fees | 32,545 | |||
Variation margin on futures contracts | 30,651 | |||
Fund shares redeemed | 20,283 | |||
Swap settlement | 4,828 | |||
Miscellaneous | 8,684 | |||
Total liabilities | 8,995,973 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 37,044,110 | ||
Net assets consist of: | ||||
Paid in capital | $ | 38,047,169 | ||
Total distributable earnings (loss) | (1,003,059 | ) | ||
Net assets | $ | 37,044,110 | ||
Capital shares outstanding | 1,512,460 | |||
Net asset value per share | $ | 24.49 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 | ||||
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $1,748) | $ | 156,592 | ||
Dividends from securities of affiliated issuers | 183,339 | |||
Interest | 193,446 | |||
Income from securities lending, net | 1,680 | |||
Total investment income | 535,057 | |||
Expenses: | ||||
Management fees | 224,638 | |||
Short sales dividend expense | 105,043 | |||
Miscellaneous | 4,955 | |||
Total expenses | 334,636 | |||
Less: | ||||
Expenses waived by Adviser | (4,581 | ) | ||
Net expenses | 330,055 | |||
Net investment income | 205,002 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 79,311 | |||
Investments in affiliated issuers | (21,159 | ) | ||
Securities sold short | 187,754 | |||
Swap agreements | (547,545 | ) | ||
Futures contracts | 588,466 | |||
Foreign currency transactions | (1,007 | ) | ||
Net realized gain | 285,820 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 883,746 | |||
Investments in affiliated issuers | 19,358 | |||
Securities sold short | (786,713 | ) | ||
Swap agreements | 1,100,684 | |||
Futures contracts | (162,903 | ) | ||
Foreign currency translations | 81 | |||
Net change in unrealized appreciation (depreciation) | 1,054,253 | |||
Net realized and unrealized gain | 1,340,073 | |||
Net increase in net assets resulting from operations | $ | 1,545,075 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 53 |
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 | $ | 205,002 | $ | 348,193 | ||||
Net realized gain (loss) on investments | 285,820 | (378,789 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,054,253 | (2,258,942 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,545,075 | (2,289,538 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 1,463,676 | 7,666,661 | ||||||
Cost of shares redeemed | (6,299,823 | ) | (8,737,138 | ) | ||||
Net decrease from capital share transactions | (4,836,147 | ) | (1,070,477 | ) | ||||
Net decrease in net assets | (3,291,072 | ) | (3,360,015 | ) | ||||
Net assets: | ||||||||
Beginning of period | 40,335,182 | 43,695,197 | ||||||
End of period | $ | 37,044,110 | $ | 40,335,182 | ||||
Capital share activity: | ||||||||
Shares sold | 60,629 | 316,923 | ||||||
Shares redeemed | (261,164 | ) | (363,489 | ) | ||||
Net decrease in shares | (200,535 | ) | (46,566 | ) |
54| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED 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 | $ | 23.55 | $ | 24.83 | $ | 23.95 | $ | 24.09 | $ | 23.82 | $ | 22.75 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .13 | .20 | (.09 | ) | (.16 | ) | (.15 | ) | (.18 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .81 | (1.48 | ) | .97 | .04 | .58 | 1.25 | |||||||||||||||||
Total from investment operations | .94 | (1.28 | ) | .88 | (.12 | ) | .43 | 1.07 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | (.02 | ) | (.16 | ) | — | ||||||||||||||||
Total distributions | — | — | — | (.02 | ) | (.16 | ) | — | ||||||||||||||||
Net asset value, end of period | $ | 24.49 | $ | 23.55 | $ | 24.83 | $ | 23.95 | $ | 24.09 | $ | 23.82 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 3.99% | (5.16 | %) | 3.67% | (0.48 | %) | 1.85% | 4.66% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 37,044 | $ | 40,335 | $ | 43,695 | $ | 47,953 | $ | 52,281 | $ | 42,725 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.07 | % | 0.85 | % | (0.39 | %) | (0.66 | %) | (0.62 | %) | (0.79 | %) | ||||||||||||
Total expensesd | 1.75 | % | 1.54 | % | 1.88 | % | 2.27 | % | 2.38 | % | 2.50 | % | ||||||||||||
Net expensese | 1.72 | % | 1.52 | % | 1.85 | % | 2.23 | % | 2.34 | % | 2.45 | % | ||||||||||||
Portfolio turnover rate | 72 | % | 162 | % | 158 | % | 119 | % | 160 | % | 245 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 related to short sales. Excluding interest and dividend expense related to short sales, net expense ratios for the periods would be: |
06/30/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | 12/31/14 | |
1.18% | 1.16% | 1.16% | 1.17% | 1.18% | 1.17% |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 55 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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: 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 | 29.6% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 28.8% |
Total | 58.4% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Commodities Strategy Fund | 11.35% | (13.72%) | (14.58%) | (7.04%) |
S&P Goldman Sachs Commodity Index | 13.34% | (11.49%) | (13.33%) | (5.19%) |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
COMMODITIES STRATEGY FUND |
Shares | Value | |||||||
MUTUAL FUNDS† - 58.4% | ||||||||
Guggenheim Strategy Fund II1 | 37,501 | $ | 930,787 | |||||
Guggenheim Ultra Short Duration Fund - Institutional Class1 | 90,699 | 903,363 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,830,517) | 1,834,150 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 6.3% | ||||||||
U.S. Treasury Bills | ||||||||
2.11% due 07/16/192,3 | $ | 198,000 | 197,831 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $197,820) | 197,831 | |||||||
FEDERAL AGENCY NOTES†† - 3.1% | ||||||||
Farmer Mac | ||||||||
1.55% due 07/03/19 | 100,000 | 99,997 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $99,994) | 99,997 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 3.2% | ||||||||
Federal Home Loan Bank | ||||||||
2.22% due 07/02/193 | 100,000 | 99,994 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,994) | 99,994 | |||||||
REPURCHASE AGREEMENTS††,4 - 32.0% | ||||||||
JPMorgan Chase & Co. issued 06/28/19 at 2.53% due 07/01/19 | 670,564 | 670,564 | ||||||
Bank of America Merrill Lynch issued 06/28/19 at 2.48% due 07/01/19 | 166,580 | 166,580 | ||||||
Barclays Capital issued 06/28/19 at 2.40% due 07/01/19 | 166,579 | 166,579 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,003,723) | 1,003,723 | |||||||
Total Investments - 103.0% | ||||||||
(Cost $3,232,048) | $ | 3,235,695 | ||||||
Other Assets & Liabilities, net - (3.0)% | (94,615 | ) | ||||||
Total Net Assets - 100.0% | $ | 3,141,080 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||||
Goldman Sachs Commodity Index Futures Contracts | 30 | Jul 2019 | $ | 3,173,813 | $ | 133,986 |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
† | 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 futures collateral at June 30, 2019. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
See Sector Classification in Other Information section. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 57 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
COMMODITIES STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Consolidated Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 1,834,150 | $ | — | $ | — | $ | 1,834,150 | ||||||||
U.S. Treasury Bills | — | 197,831 | — | 197,831 | ||||||||||||
Federal Agency Notes | — | 99,997 | — | 99,997 | ||||||||||||
Federal Agency Discount Notes | — | 99,994 | — | 99,994 | ||||||||||||
Repurchase Agreements | — | 1,003,723 | — | 1,003,723 | ||||||||||||
Commodity Futures Contracts** | 133,986 | — | — | 133,986 | ||||||||||||
Total Assets | $ | 1,968,136 | $ | 1,401,545 | $ | — | $ | 3,369,681 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,063,576 | $ | 666,810 | $ | (800,000 | ) | $ | (1,703 | ) | $ | 2,104 | $ | 930,787 | 37,501 | $ | 16,937 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - Institutional Class | 838,500 | 889,770 | (825,000 | ) | (1,100 | ) | 1,193 | 903,363 | 90,699 | 14,859 | ||||||||||||||||||||||
$ | 1,902,076 | $ | 1,556,580 | $ | (1,625,000 | ) | $ | (2,803 | ) | $ | 3,297 | $ | 1,834,150 | $ | 31,796 |
58| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
COMMODITIES STRATEGY FUND |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 | ||||
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $397,808) | $ | 397,822 | ||
Investments in affiliated issuers, at value (cost $1,830,517) | 1,834,150 | |||
Repurchase agreements, at value (cost $1,003,723) | 1,003,723 | |||
Segregated cash with broker | 5,689 | |||
Receivables: | ||||
Fund shares sold | 17,125 | |||
Dividends | 5,035 | |||
Interest | 976 | |||
Total assets | 3,264,520 | |||
Liabilities: | ||||
Payable for: | ||||
Variation margin on futures contracts | 52,688 | |||
Fund shares redeemed | 52,222 | |||
Securities purchased | 5,035 | |||
Management fees | 1,556 | |||
Transfer agent and administrative fees | 586 | |||
Investor service fees | 586 | |||
Portfolio accounting fees | 234 | |||
Trustees’ fees* | 66 | |||
Miscellaneous | 10,467 | |||
Total liabilities | 123,440 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 3,141,080 | ||
Net assets consist of: | ||||
Paid in capital | $ | 5,017,636 | ||
Total distributable earnings (loss) | (1,876,556 | ) | ||
Net assets | $ | 3,141,080 | ||
Capital shares outstanding | 39,348 | |||
Net asset value per share | $ | 79.83 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 | ||||
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 31,796 | ||
Interest | 14,668 | |||
Total investment income | 46,464 | |||
Expenses: | ||||
Management fees | 15,208 | |||
Investor service fees | 4,383 | |||
Transfer agent and administrative fees | 4,383 | |||
Professional fees | 7,270 | |||
Portfolio accounting fees | 1,753 | |||
Trustees’ fees* | 531 | |||
Custodian fees | 453 | |||
Miscellaneous | 2,108 | |||
Total expenses | 36,089 | |||
Less: | ||||
Expenses waived by Adviser | (3,468 | ) | ||
Net expenses | 32,621 | |||
Net investment income | 13,843 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (2,803 | ) | ||
Futures contracts | (82,984 | ) | ||
Net realized loss | (85,787 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 56 | |||
Investments in affiliated issuers | 3,297 | |||
Futures contracts | 415,361 | |||
Net change in unrealized appreciation (depreciation) | 418,714 | |||
Net realized and unrealized gain | 332,927 | |||
Net increase in net assets resulting from operations | $ | 346,770 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 59 |
COMMODITIES STRATEGY FUND |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 13,843 | $ | 47,266 | ||||
Net realized loss on investments | (85,787 | ) | (289,978 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 418,714 | (532,869 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 346,770 | (775,581 | ) | |||||
Distributions to shareholders | — | (242,391 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 4,599,342 | 37,091,840 | ||||||
Distributions reinvested | — | 242,391 | ||||||
Cost of shares redeemed | (4,903,751 | ) | (37,948,813 | ) | ||||
Net decrease from capital share transactions | (304,409 | ) | (614,582 | ) | ||||
Net increase (decrease) in net assets | 42,361 | (1,632,554 | ) | |||||
Net assets: | ||||||||
Beginning of period | 3,098,719 | 4,731,273 | ||||||
End of period | $ | 3,141,080 | $ | 3,098,719 | ||||
Capital share activity: | ||||||||
Shares sold | 57,677 | 406,945 | ||||||
Shares issued from reinvestment of distributions | — | 2,774 | ||||||
Shares redeemed | (61,552 | ) | (420,605 | ) | ||||
Net decrease in shares | (3,875 | ) | (10,886 | ) |
60| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED 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 | $ | 71.69 | $ | 87.44 | $ | 83.74 | $ | 75.82 | $ | 114.64 | $ | 173.54 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .31 | .67 | — | c | (.03 | ) | (1.12 | ) | (1.76 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 7.83 | (13.34 | ) | 3.70 | 7.95 | (37.70 | ) | (57.14 | ) | |||||||||||||||
Total from investment operations | 8.14 | (12.67 | ) | 3.70 | 7.92 | (38.82 | ) | (58.90 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (3.08 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (3.08 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 79.83 | $ | 71.69 | $ | 87.44 | $ | 83.74 | $ | 75.82 | $ | 114.64 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | 11.35% | (15.12 | %) | 4.43% | 10.40% | (33.80 | %) | (34.01 | %) | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,141 | $ | 3,099 | $ | 4,731 | $ | 4,498 | $ | 2,671 | $ | 4,662 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.79 | % | 0.75 | % | — | e | (0.48 | %) | (1.16 | %) | (1.04 | %) | ||||||||||||
Total expensesf | 2.06 | % | 1.81 | % | 1.82 | % | 1.80 | % | 1.75 | % | 1.71 | % | ||||||||||||
Net expensesg | 1.86 | % | 1.69 | % | 1.72 | % | 1.67 | % | 1.63 | % | 1.62 | % | ||||||||||||
Portfolio turnover rate | 71 | % | 187 | % | 107 | % | 231 | % | 198 | % | 202 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 and reimbursements, as applicable. |
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 CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 61 |
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 (collectively the “Funds”). The Trust is authorized to issue an unlimited number of no par value shares. At June 30, 2019, 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 following Funds:
Fund Name | Investment |
Long Short Equity Fund | Non-diversified |
Global Managed Futures Strategy Fund | Non-diversified |
Multi-Hedge Strategies Fund | Non-diversified |
Commodities Strategy Fund | Non-diversified |
The Commodities Strategy Fund is designed and operated to accommodate frequent trading by shareholders and, unlike most mutual funds, offers unlimited exchange privileges with no minimum holding periods or transactions fees, which may cause the Fund 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.
Consolidation of Subsidiary
The consolidated financial statements of the Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund and Commodities Strategy Fund include 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 | $ | 692,830 | 5.2 | % | |||||||
Multi-Hedge Strategies Fund | 04/15/09 | 680,156 | 1.8 | % | ||||||||
Commodities Strategy Fund | 07/21/09 | 497,930 | 15.9 | % |
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 consolidated 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.
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 at 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 are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies 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 appreciation or depreciation 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”) index swap agreements entered into by a Fund are accounted for using the unrealized appreciation or depreciation 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 value of equity swaps with custom portfolio baskets are computed using the last exchange sale price for each underlying equity security within the swap agreement.
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 U.S. Treasury securities, 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 Consolidated 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 appreciation or depreciation. 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 appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
(f) 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 gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation 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) 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 Consolidated Statements 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, 2019, if any, are disclosed in the Funds’ Consolidated Statements of Assets and Liabilities.
(h) 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 a reduction to cost if the securities are still held and as realized gains if no longer held 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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
(i) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all 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.
(j) 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 2.40% at June 30, 2019.
(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.
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 Consolidated 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 Consolidated 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 may utilize 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.
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 Contracts
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
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 Consolidated Statements of Assets and Liabilities; securities held as collateral are noted on the Consolidated 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 | ||||||
Global Managed Futures Strategy Fund | Hedge, Leverage, Liquidity, Speculation | $ | 43,305,416 | $ | 20,525,691 | ||||
Multi-Hedge Strategies Fund | Duration, Hedge, Index exposure, Leverage, Liquidity, Speculation | 27,487,540 | 28,015,714 | ||||||
Commodities Strategy Fund | Index exposure, Liquidity | 3,430,556 | — |
Swap Agreements
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. When utilizing OTC swaps, 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 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 exchange-traded futures contracts. Upon entering into certain centrally-cleared swap transactions, the 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 a fund utilizing centrally cleared swaps, the exchange bears the risk of loss. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Custom basket swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index or custom basket of securities) for a fixed or variable interest rate. Custom basket swaps will usually be computed based on the current value of the reference asset 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 custom basket 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 reference asset declines in value.
The following table represents the Funds’ use and volume of custom basket swaps on a quarterly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Long Short Equity Fund | Index exposure, Liquidity | $ | 14,664,250 | $ | 25,638,534 | ||||
Multi-Hedge Strategies Fund | Hedge, Index exposure, Leverage, Liquidity, Speculation | 30,137,942 | 26,949,839 |
Derivative Investment Holdings Categorized by Risk Exposure
The following is a summary of the location of derivative investments on the Funds’ Consolidated Statements of Assets and Liabilities as of June 30, 2019:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency/Interest Rate/Commodity contracts | Variation margin on futures contracts | Variation margin on futures contracts |
Equity contracts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2019:
Asset Derivative Investments Value | ||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Futures | Total Value at | ||||||||||||||||||
Long Short Equity Fund | $ | — | $ | 226,838 | $ | — | $ | — | $ | — | $ | 226,838 | ||||||||||||
Global Managed Futures Strategy Fund | 57,124 | — | 20,070 | 194,257 | 234,335 | 505,786 | ||||||||||||||||||
Multi-Hedge Strategies Fund | 57,331 | 1,265,940 | 39,531 | 67,166 | 302,784 | 1,732,752 | ||||||||||||||||||
Commodities Strategy Fund | — | — | — | — | 133,986 | 133,986 |
Liability Derivative Investments Value | ||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Futures | Total Value at | ||||||||||||||||||
Long Short Equity Fund | $ | — | $ | 601,213 | $ | — | $ | — | $ | — | $ | 601,213 | ||||||||||||
Global Managed Futures Strategy Fund | 29,132 | — | 86,823 | 224 | 269,889 | 386,068 | ||||||||||||||||||
Multi-Hedge Strategies Fund | 39,163 | 195,135 | 117,289 | 546 | 332,096 | 684,229 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Consolidated Schedules of Investments. Variation margin is reported within the Consolidated Statements of Assets and Liabilities. |
The following is a summary of the location of derivative investments on the Funds’ Consolidated Statements of Operations for the period ended June 30, 2019:
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 Consolidated Statements of Operations categorized by primary risk exposure for the period ended June 30, 2019:
Realized Gain (Loss) on Derivative Investments Recognized on the Consolidated Statements of Operations | ||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Futures | Total | ||||||||||||||||||
Long Short Equity Fund | $ | — | $ | (1,693,748 | ) | $ | — | $ | — | $ | — | $ | (1,693,748 | ) | ||||||||||
Global Managed Futures Strategy Fund | (297,410 | ) | — | 6,661 | 1,207,587 | (91,817 | ) | 825,021 | ||||||||||||||||
Multi-Hedge Strategies Fund | (335,621 | ) | (547,545 | ) | 98,835 | 757,462 | 67,790 | 40,921 | ||||||||||||||||
Commodities Strategy Fund | — | — | — | — | (82,984 | ) | (82,984 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Consolidated Statements of Operations | ||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Futures | Total | ||||||||||||||||||
Long Short Equity Fund | $ | — | $ | (1,264,276 | ) | $ | — | $ | — | $ | — | $ | (1,264,276 | ) | ||||||||||
Global Managed Futures Strategy Fund | (25,212 | ) | — | (40,939 | ) | 117,879 | (140,216 | ) | (88,488 | ) | ||||||||||||||
Multi-Hedge Strategies Fund | (74,338 | ) | 1,100,684 | 12,973 | 75,743 | (177,281 | ) | 937,781 | ||||||||||||||||
Commodities Strategy Fund | — | — | — | — | 415,361 | 415,361 |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
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 Consolidated 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 Consolidated Statements of Assets and Liabilities.
The following tables present derivative financial instruments and secured financing transactions that are subject to enforceable netting arrangements:
Gross Amounts Not Offset in | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Long Short Equity Fund | Custom basket swap agreements | $ | 226,838 | $ | — | $ | 226,838 | $ | (226,838 | ) | $ | — | $ | — | |||||||||||
Multi-Hedge Strategies Fund | Custom basket swap agreements | 1,265,940 | — | 1,265,940 | (195,135 | ) | — | 1,070,805 |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Gross Amounts Not Offset in | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Long Short Equity Fund | Custom basket swap agreements | $ | 601,213 | $ | — | $ | 601,213 | $ | (601,213 | ) | $ | — | $ | — | |||||||||||
Multi-Hedge Strategies Fund | Custom basket swap agreements | 195,135 | — | 195,135 | (195,135 | ) | — | — |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of June 30, 2019.
Fund | Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Global Managed Futures Strategy Fund | Goldman Sachs Group | Futures Contracts | $ | 56,400 | $ | — | ||||
Multi-Hedge Strategies Fund | Goldman Sachs Group | Futures Contracts | 24,373 | — | ||||||
Commodities Strategy Fund | Goldman Sachs Group | Futures Contracts | 5,689 | — |
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. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2019, the Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund and Commodities Strategy Fund waived $2,870, $4,528 and $2,059, respectively, related to advisory fees 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.
If a Fund invests in a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. 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, 2019, the following Funds waived fees related to investments in affiliated funds:
Fund | Amount Waived | |||
Global Managed Futures Strategy Fund | $ | 906 | ||
Multi-Hedge Strategies Fund | 53 | |||
Commodities Strategy Fund | 1,409 |
Certain 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 or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Funds’ 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.
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED 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, 2019, 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 Note | |||||||||||||||||
2.53% | 3.13% | |||||||||||||||||
Due 07/01/19 | $ | 65,103,744 | $ | 65,117,470 | 11/15/28 | $ | 55,552,000 | $ | 61,111,889 | |||||||||
U.S. Treasury Bills | ||||||||||||||||||
0.00% | ||||||||||||||||||
09/12/19 - 11/07/19 | 5,327,500 | 5,293,935 | ||||||||||||||||
60,879,500 | 66,405,824 | |||||||||||||||||
Barclays Capital | U.S. Treasury Bond | |||||||||||||||||
2.40% | 3.63% | |||||||||||||||||
Due 07/01/19 | 16,172,884 | 16,176,118 | 02/15/44 | 13,502,400 | 16,496,400 | |||||||||||||
Bank of America Merrill Lynch | U.S. Treasury Strip | |||||||||||||||||
2.48% | 0.00% | |||||||||||||||||
Due 07/01/19 | 16,172,884 | 16,176,226 | 02/15/40 | 27,668,676 | 16,496,341 |
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 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 Consolidated 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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2019, 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 | $ | 142,138 | $ | (140,957 | ) | $ | 1,181 | $ | 140,957 | * | $ | — | $ | 140,957 | |||||||||||
Multi-Hedge Strategies Fund | 40,234 | (40,234 | ) | — | 41,275 | — | 41,275 |
(a) | Actual collateral received by the Fund is generally greater than the amount shown due to overcollateralization. |
* | Subsequent to June 30, 2019, additional collateral was received. |
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 U.S. federal income tax returns for all open tax years, and has concluded that no provision for income tax is required in the Funds’ consolidated financial statements. The Funds’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
The Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund, and Commodities Strategy Fund 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, 2019, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value were as follows:
Fund | Tax Cost | Tax Unrealized Appreciation | Tax Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Long Short Equity Fund | $ | 26,893,260 | $ | 2,001,939 | $ | (1,509,428 | ) | $ | 492,511 | |||||||
Global Managed Futures Strategy Fund | 13,616,561 | 490,772 | (591,411 | ) | (100,639 | ) | ||||||||||
Multi-Hedge Strategies Fund | 26,497,429 | 2,638,812 | (1,631,082 | ) | 1,007,730 | |||||||||||
Commodities Strategy Fund | 3,434,885 | — | (65,204 | ) | (65,204 | ) |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 9 – Securities Transactions
For the period ended June 30, 2019, 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 | $ | 24,152,492 | $ | 28,770,017 | ||||
Global Managed Futures Strategy Fund | 146,067 | 300,000 | ||||||
Multi-Hedge Strategies Fund | 24,925,706 | 27,640,209 | ||||||
Commodities Strategy Fund | 1,556,579 | 1,625,000 |
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 8, 2020. 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 3.50% for the period ended June 30, 2019. The Funds did not have any borrowings outstanding under this agreement at June 30, 2019.
Note 11 – Recent Regulatory Reporting Updates
In August 2018, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2018-13, Fair Value Measurement (Topic 820), Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement (the “2018 ASU”) which adds, modifies and removes disclosure requirements related to certain aspects of fair value measurement. The 2018 ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. As of June 30, 2019, the Funds have fully adopted the provisions of the 2018 ASU, which did not have a material impact on the Funds’ consolidated financial statements and related disclosures or impact the Funds’ net assets or results of operations.
Note 12 – 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-2296 (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
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(concluded) |
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 would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
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.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. The plaintiff has not yet filed any such motion. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend.
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.
Note 13 – Subsequent Events
The Funds evaluated subsequent events through the date the consolidated financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ consolidated financial statements.
74 | 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. The Funds’ Forms N-PORT and 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”), each of whom is not an “interested person,” as defined by the Investment Company Act of 1940 (the “1940 Act”), of the Trust (the “Independent Trustees”), attended an in-person meeting held on May 20, 2019 (the “May Meeting”), called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the Advisory Agreement dated March 1, 2012, as amended, between the Trust and Security Investors, LLC (the “Advisor”), pursuant to which the Advisor serves as investment adviser to each series of the Trust (each, a “Fund” and collectively, the “Funds”)(the “Advisory Agreement”). Consistent with its practice, the Board considered information pertaining to the renewal of the Advisory Agreement at an in-person meeting held on April 24, 2019 (the “April Meeting” and, together with the May Meeting, the “Meetings”). After careful consideration, the Board unanimously approved, at the May Meeting, the continuance of the Advisory Agreement for an additional one-year term based on the Board’s review of qualitative and quantitative information provided by the Advisor. In the course of its consideration, the Board deemed the materials provided by the Advisor at, and prior to, the Meetings to be instrumental in the Trustees’ deliberations and their process in considering the continuation of the Advisory Agreement. The Board also considered the review it conducted at each Meeting, as augmented by additional teleconference meetings prior to each Meeting, to be integral to its consideration of the continuation of the Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as they deemed reasonably necessary to evaluate the Advisory Agreement. In addition, the Board received a memorandum from 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 continuation of the Advisory Agreement, 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 comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). In addition, at the April Meeting, the Board met with representatives of FUSE Research Network (“FUSE”), the independent third-party service provider engaged to prepare the FUSE reports, to review FUSE’s process and methodology for preparing the FUSE reports presented to the Board for its consideration, including in particular, the process for the selection of peer funds. The Independent Trustees carefully evaluated all of the information provided, met in executive session outside the presence of Fund management, and were advised by independent legal counsel with respect to their deliberations.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
OTHER INFORMATION (Unaudited)(continued) |
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; (d) each Fund’s overall fees and operating expenses compared with those of similar funds, and the existence of or potential for the realization of economies of scale; (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 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 and relationships with third-party service providers, 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 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 the continuation of the Advisory Agreement for an additional one-year term 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), enterprise and Fund risk management infrastructure and processes, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity program. The Board reviewed the scope of services provided by the Advisor under the Advisory Agreement and noted that there would be no significant differences between the scope of services provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. 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 continuation of the Advisory Agreement would ensure shareholders of the Funds continue to receive high quality services at a cost that is 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. Part of the Board’s review focused on the information presented in the FUSE reports, which provided comparisons of 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 opinion that it found the peer groups compiled by FUSE to be appropriate, but acknowledged the existence of certain key features of the Funds that differentiate them from 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 taken into consideration. With respect to tradability, in particular, the Board considered that non-tradable peer funds incur lower expense ratios than the tradable Funds because the non-tradable peer funds necessarily experience less shareholder activity and lower transaction volumes than the 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. 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 Advisory Agreement for the last calendar year. In its review, the Board considered the direct revenue 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, which the Advisor confirmed was unchanged from the previous year. In its evaluation, the Board also considered the effect of the sale of Guggenheim’s ETF business in April 2018 on the Advisor’s and its affiliates’ profitability for the past year. The Board also considered the challenges currently affecting variable product-dedicated funds, including slowed investment in variable insurance products generally. 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.
76 | 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, unanimously concluded that the terms of the Advisory Agreement were reasonable, and that approval of the continuation of the Advisory Agreement for an additional one-year term was in the best interests of each Fund and its shareholders.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
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 |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee and Member of the Audit Committee (2016-present); and Member of the Governance and Nominating Committee (2017-present). | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm).
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 109 | None. |
Corey A. Colehour (1945) | Trustee (1998-present); Member of the Audit Committee (1998-present); Member of the Governance and Nominating Committee (2017-present). | Retired. | 109 | None. |
J. Kenneth Dalton (1941) | Trustee (1998-present); Chairman and Member of the Audit Committee (1998-present); and Member of the Governance and Nominating Committee (2018-present). | Retired. | 109 | Former: Epiphany Funds (2) (2009-January 2019). |
Thomas F. Lydon, Jr. (1960) | Trustee, Member of the Audit Committee (2005-present); Chairman and Member of the Governance and Nominating Committee (2017-present). | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 109 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trust (3) (2017-present). |
Sandra G. Sponem (1958) | Trustee and Member of the Audit Committee (2016-present); Member of the Governance and Nominating Committee (2017-present); and Chairwoman (January 2019 - present). | Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 109 | SPDR Series Trust (78) (2018-present); SPDR Index Shares Funds (31) (2018-present); SSGA Active Trust (12) (2018-present); and SSGA Master Trust (1) (2018-present). |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
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 Managing Director, Guggenheim Investments (2010-present); Senior Vice President, Security Investors, LLC (2010-present); Vice President, certain other funds in the Fund Complex (2000-present).
Former: Manager, Guggenheim Specialized Products, LLC (2005- 2018); 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, LLC and 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, Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Amy J. Lee | President (2017-present). | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); President, certain other funds in the Fund Complex (2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Senior Managing Director, Guggenheim Investments (2012-present); Vice President, certain other funds in the Fund Complex (2007-present).
Former: Interested Trustee, certain other funds in the Fund Complex (2018-February 2019); President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
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 (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary (2018-present). | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present). | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: Chief Compliance Officer, Security Investors, LLC (2012-February 2018); Chief Compliance Officer, Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held with the | Principal Occupation(s) |
OFFICERS - concluded | ||
Margaux Misantone (1978) | AML Officer (2017-present). | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present).
Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
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). |
William Rehder (1967) | Assistant Vice President (2018-present). | Current: Managing Director, Guggenheim Investments (2002-present). |
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, Mutual Fund Administration for 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: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer 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. |
** | 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. |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
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. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
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.
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
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.
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6.30.2019
Rydex Variable Trust Funds 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 |
Beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports may no longer be sent by mail, unless you specifically request paper copies of the reports from the insurance company that offers your contract or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and other communications from the insurance company electronically by following the instructions provided by the insurance company.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company that you wish to receive paper copies of reports by following the instructions provided by the insurance company. Your election to receive reports in paper will apply to all portfolio companies available under your contract.
GuggenheimInvestments.com | RVASECF-SEMI-0619x1219 |
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 | 19 |
CONSUMER PRODUCTS FUND | 25 |
ELECTRONICS FUND | 31 |
ENERGY FUND | 37 |
ENERGY SERVICES FUND | 43 |
FINANCIAL SERVICES FUND | 49 |
HEALTH CARE FUND | 56 |
INTERNET FUND | 62 |
LEISURE FUND | 68 |
PRECIOUS METALS FUND | 75 |
REAL ESTATE FUND | 81 |
RETAILING FUND | 88 |
TECHNOLOGY FUND | 94 |
TELECOMMUNICATIONS FUND | 101 |
TRANSPORTATION FUND | 107 |
UTILITIES FUND | 113 |
NOTES TO FINANCIAL STATEMENTS | 119 |
OTHER INFORMATION | 129 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 132 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 135 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
| June 30, 2019 |
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, 2019.
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.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
July 31, 2019
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 within the same sector or industry. Certain of the sector 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, 2019 |
U.S. economic growth slowed to an annualized 2.1% in the second quarter from 3.1% in the first quarter. Personal consumption expenditures rebounded sharply, as expected, while government spending contributed an outsized 0.9% to growth, the most since mid-2009. However, negative contributions were seen from housing, business capital expenditures, inventory investment, and net exports. Looking ahead, we expect the economy to grow at a 2.0% pace in the third quarter.
The second quarter gross domestic product (“GDP”) release also featured annual revisions to the five prior years of data, which showed that growth peaked in year-over-year terms in the second quarter of 2018, earlier than previously thought. An upwardly revised personal savings rate could give consumption room to run, while downwardly revised and shrinking corporate profits may continue to pressure investment spending and could begin to weigh more heavily on hiring.
With growth in the first half of the year coming in somewhat above potential, the labor market continued to strengthen, albeit at a slower pace than the year before. Net monthly payroll gains averaged 165,000 in the first half of 2019, down from 235,000 in the first half of 2018. This was enough to push the unemployment rate down by 0.2% to 3.7%. While the labor market remains strong, we believe the sharper slowdown in aggregate hours worked—a component of Guggenheim’s U.S. Recession Dashboard—may foreshadow a deterioration in labor market conditions in 2020.
After a weak start to the year, core inflation picked up in the second quarter but remained below the U.S. Federal Reserve’s (the “Fed”) target at 1.8% annualized. We expect inflation to firm a bit further in the second half of 2019. The Fed is also closely watching inflation expectations, which currently sit below levels the Fed would like to see. After a 14% decline in the fourth quarter of 2018, stocks rebounded as the Fed’s pivot on monetary policy took hold, and the government shutdown was resolved.
Internationally, the European Central Bank kept policy rates constant but modified their forward guidance, noting that rates would remain at or below current levels until mid-2020 at the earliest. They also signaled a high probability of rate cuts and a resumption of asset purchases at the September meeting. In Japan, core inflation weakened in the second quarter to 0.6%, while industrial production and exports remained in contraction from year ago levels.
Although the U.S. economy is in good shape overall, on July 31, 2019 after the period ended, the Fed announced its first rate cut since 2008 amid growing downside risks to policymakers’ baseline growth and inflation forecasts. Key among these are slowing global growth, the threat of additional U.S.-China tariffs and a possible hard Brexit, the odds of which have increased with the ascendance of Boris Johnson as the U.K. Prime Minister. While a possible U.S. fiscal contraction in 2020 was averted by the recently-signed budget deal, we expect two more Fed rate cuts in 2019, as Chair Jerome Powell seeks to sustain the expansion. In our view, this could serve to embolden the White House to impose new tariffs on China and Europe later this year, which could in turn further cloud the outlook for global growth.
For the six months ended June 30, 2019, the Standard & Poor’s 500® (“S&P 500”) Index* returned 18.54%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 14.03%. The return of the MSCI Emerging Markets Index* was 10.58%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 6.11% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 9.94%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 1.24% 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).
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2019 |
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.
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 nondurable 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, 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 which 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® 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® 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® Telecommunication 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) |
|
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, 2018 and ending June 30, 2019.
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) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
Banking Fund | 1.85% | 14.74% | $ 1,000.00 | $ 1,147.40 | $ 9.85 |
Basic Materials Fund | 1.85% | 15.85% | 1,000.00 | 1,158.50 | 9.90 |
Biotechnology Fund | 1.85% | 14.05% | 1,000.00 | 1,140.50 | 9.82 |
Consumer Products Fund | 1.85% | 13.03% | 1,000.00 | 1,130.30 | 9.77 |
Electronics Fund | 1.85% | 26.82% | 1,000.00 | 1,268.20 | 10.40 |
Energy Fund | 1.85% | 10.41% | 1,000.00 | 1,104.10 | 9.65 |
Energy Services Fund | 1.85% | 9.34% | 1,000.00 | 1,093.40 | 9.60 |
Financial Services Fund | 1.85% | 18.20% | 1,000.00 | 1,182.00 | 10.01 |
Health Care Fund | 1.85% | 12.58% | 1,000.00 | 1,125.80 | 9.75 |
Internet Fund | 1.85% | 23.56% | 1,000.00 | 1,235.60 | 10.25 |
Leisure Fund | 1.85% | 21.52% | 1,000.00 | 1,215.20 | 10.16 |
Precious Metals Fund | 1.75% | 20.13% | 1,000.00 | 1,201.30 | 9.55 |
Real Estate Fund | 1.85% | 15.89% | 1,000.00 | 1,158.90 | 9.90 |
Retailing Fund | 1.85% | 16.34% | 1,000.00 | 1,163.40 | 9.92 |
Technology Fund | 1.85% | 25.81% | 1,000.00 | 1,258.10 | 10.36 |
Telecommunications Fund | 1.85% | 11.09% | 1,000.00 | 1,110.90 | 9.68 |
Transportation Fund | 1.85% | 13.69% | 1,000.00 | 1,136.90 | 9.80 |
Utilities Fund | 1.85% | 12.59% | 1,000.00 | 1,125.90 | 9.75 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Banking Fund | 1.85% | 5.00% | $ 1,000.00 | $ 1,015.62 | $ 9.25 |
Basic Materials Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Biotechnology Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Consumer Products Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Electronics Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Energy Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Energy Services Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Financial Services Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Health Care Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Internet Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Leisure Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Precious Metals Fund | 1.75% | 5.00% | 1,000.00 | 1,016.12 | 8.75 |
Real Estate Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Retailing Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Technology Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Telecommunications Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Transportation Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Utilities Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
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, 2018 to June 30, 2019. |
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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. | 4.0% |
Bank of America Corp. | 4.0% |
Citigroup, Inc. | 4.0% |
JPMorgan Chase & Co. | 3.9% |
U.S. Bancorp | 3.5% |
PNC Financial Services Group, Inc. | 3.0% |
Capital One Financial Corp. | 2.5% |
Bank of New York Mellon Corp. | 2.5% |
BB&T Corp. | 2.4% |
SunTrust Banks, Inc. | 2.0% |
Top Ten Total | 31.8% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Banking Fund | 14.74% | (5.34%) | 5.01% | 8.29% |
S&P 500 Financials Index | 17.24% | 6.31% | 10.58% | 13.09% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
BANKING FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Banks - 91.7% | ||||||||
Wells Fargo & Co. | 3,392 | $ | 160,509 | |||||
Bank of America Corp. | 5,519 | 160,051 | ||||||
Citigroup, Inc. | 2,285 | 160,019 | ||||||
JPMorgan Chase & Co. | 1,411 | 157,750 | ||||||
U.S. Bancorp | 2,669 | 139,856 | ||||||
PNC Financial Services Group, Inc. | 887 | 121,767 | ||||||
Bank of New York Mellon Corp. | 2,263 | 99,911 | ||||||
BB&T Corp. | 1,913 | 93,986 | ||||||
SunTrust Banks, Inc. | 1,285 | 80,762 | ||||||
M&T Bank Corp. | 439 | 74,661 | ||||||
Fifth Third Bancorp | 2,503 | 69,834 | ||||||
Northern Trust Corp. | 764 | 68,760 | ||||||
KeyCorp | 3,692 | 65,533 | ||||||
First Republic Bank | 637 | 62,203 | ||||||
Citizens Financial Group, Inc. | 1,755 | 62,057 | ||||||
Regions Financial Corp. | 4,013 | 59,954 | ||||||
Huntington Bancshares, Inc. | 4,269 | 58,998 | ||||||
SVB Financial Group* | 235 | 52,779 | ||||||
Comerica, Inc. | 718 | 52,155 | ||||||
Zions Bancorp North America | 974 | 44,784 | ||||||
ICICI Bank Ltd. ADR | 3,400 | 42,806 | ||||||
HDFC Bank Ltd. ADR | 325 | 42,263 | ||||||
Popular, Inc. | 756 | 41,005 | ||||||
East West Bancorp, Inc. | 875 | 40,924 | ||||||
HSBC Holdings plc ADR | 968 | 40,404 | ||||||
Toronto-Dominion Bank1 | 692 | 40,385 | ||||||
Signature Bank | 330 | 39,877 | ||||||
Commerce Bancshares, Inc. | 667 | 39,793 | ||||||
Royal Bank of Canada | 496 | 39,382 | ||||||
Credit Suisse Group AG ADR* | 3,270 | 39,142 | ||||||
UBS Group AG* | 3,283 | 38,904 | ||||||
Bank of Nova Scotia | 712 | 38,697 | ||||||
Bank of Montreal | 503 | 37,951 | ||||||
Cullen/Frost Bankers, Inc. | 400 | 37,464 | ||||||
Canadian Imperial Bank of Commerce | 471 | 37,002 | ||||||
Synovus Financial Corp. | 1,051 | 36,785 | ||||||
BOK Financial Corp. | 473 | 35,702 | ||||||
CIT Group, Inc. | 670 | 35,202 | ||||||
First Citizens BancShares, Inc. — Class A | 78 | 35,121 | ||||||
First Horizon National Corp. | 2,282 | 34,070 | ||||||
Western Alliance Bancorporation* | 752 | 33,629 | ||||||
Prosperity Bancshares, Inc. | 505 | 33,355 | ||||||
PacWest Bancorp | 848 | 32,928 | ||||||
Webster Financial Corp. | 686 | 32,770 | ||||||
Pinnacle Financial Partners, Inc. | 568 | 32,649 | ||||||
Wintrust Financial Corp. | 431 | 31,532 | ||||||
First Financial Bankshares, Inc. | 1,024 | 31,529 | ||||||
IBERIABANK Corp. | 413 | 31,326 | ||||||
Bank OZK | 1,009 | 30,361 | ||||||
FNB Corp. | 2,571 | 30,261 | ||||||
United Bankshares, Inc. | 810 | 30,043 | ||||||
Umpqua Holdings Corp. | 1,790 | 29,696 | ||||||
TCF Financial Corp. | 1,396 | 29,023 | ||||||
First Hawaiian, Inc. | 1,116 | 28,871 | ||||||
Associated Banc-Corp. | 1,360 | 28,750 | ||||||
Glacier Bancorp, Inc. | 707 | 28,669 | ||||||
Hancock Whitney Corp. | 712 | 28,523 | ||||||
UMB Financial Corp. | 428 | 28,171 | ||||||
BankUnited, Inc. | 832 | 28,072 | ||||||
Home BancShares, Inc. | 1,443 | 27,792 | ||||||
Texas Capital Bancshares, Inc.* | 442 | 27,126 | ||||||
Chemical Financial Corp. | 655 | 26,927 | ||||||
CenterState Bank Corp. | 1,160 | 26,715 | ||||||
BancorpSouth Bank | 916 | 26,601 | ||||||
Cathay General Bancorp | 737 | 26,466 | ||||||
Atlantic Union Bankshares Corp. | 748 | 26,427 | ||||||
Old National Bancorp | 1,571 | 26,063 | ||||||
CVB Financial Corp. | 1,234 | 25,951 | ||||||
Fulton Financial Corp. | 1,577 | 25,815 | ||||||
Columbia Banking System, Inc. | 697 | 25,217 | ||||||
Cadence BanCorp | 1,202 | 25,002 | ||||||
First Financial Bancorp | 1,000 | 24,220 | ||||||
United Community Banks, Inc. | 824 | 23,533 | ||||||
First Midwest Bancorp, Inc. | 1,127 | 23,070 | ||||||
Simmons First National Corp. — Class A | 991 | 23,051 | ||||||
Trustmark Corp. | 689 | 22,909 | ||||||
LegacyTexas Financial Group, Inc. | 535 | 21,780 | ||||||
Hope Bancorp, Inc. | 1,500 | 20,670 | ||||||
Total Banks | 3,674,701 | |||||||
Savings & Loans - 3.0% | ||||||||
People’s United Financial, Inc. | 2,392 | 40,138 | ||||||
Sterling Bancorp | 1,545 | 32,878 | ||||||
Investors Bancorp, Inc. | 2,443 | 27,239 | ||||||
Pacific Premier Bancorp, Inc. | 689 | 21,276 | ||||||
Total Savings & Loans | 121,531 | |||||||
Diversified Financial Services - 2.5% | ||||||||
Capital One Financial Corp. | 1,105 | 100,268 | ||||||
Insurance - 2.3% | ||||||||
AXA Equitable Holdings, Inc. | 2,359 | 49,303 | ||||||
Voya Financial, Inc. | 788 | 43,576 | ||||||
Total Insurance | 92,879 | |||||||
Total Common Stocks | ||||||||
(Cost $2,333,660) | 3,989,379 |
8| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
BANKING FUND |
Face Amount | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
JPMorgan Chase & Co. issued 06/28/19 at 2.53% due 07/01/19 | $ | 16,849 | $ | 16,849 | ||||
Bank of America Merrill Lynch issued 06/28/19 at 2.48% due 07/01/19 | 4,186 | 4,186 | ||||||
Barclays Capital issued 06/28/19 at 2.40% due 07/01/19 | 4,186 | 4,186 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $25,221) | 25,221 |
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.8% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 30,048 | 30,048 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $30,048) | 30,048 | |||||||
Total Investments - 100.9% | ||||||||
(Cost $2,388,929) | $ | 4,044,648 | ||||||
Other Assets & Liabilities, net - (0.9)% | (34,598 | ) | ||||||
Total Net Assets - 100.0% | $ | 4,010,050 |
* | 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, 2019 — 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, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 3,989,379 | $ | — | $ | — | $ | 3,989,379 | ||||||||
Repurchase Agreements | — | 25,221 | — | 25,221 | ||||||||||||
Securities Lending Collateral | 30,048 | — | — | 30,048 | ||||||||||||
Total Assets | $ | 4,019,427 | $ | 25,221 | $ | — | $ | 4,044,648 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 9 |
BANKING FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $29,472 of securities loaned (cost $2,363,708) | $ | 4,019,427 | ||
Repurchase agreements, at value (cost $25,221) | 25,221 | |||
Receivables: | ||||
Securities sold | 39,078 | |||
Fund shares sold | 14,426 | |||
Dividends | 7,786 | |||
Foreign tax reclaims | 437 | |||
Interest | 5 | |||
Total assets | 4,106,380 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 54,048 | |||
Return of securities lending collateral | 30,048 | |||
Professional fees | 3,196 | |||
Management fees | 2,578 | |||
Transfer agent and administrative fees | 758 | |||
Investor service fees | 758 | |||
Portfolio accounting fees | 304 | |||
Trustees’ fees* | 82 | |||
Miscellaneous | 4,558 | |||
Total liabilities | 96,330 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 4,010,050 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,665,969 | ||
Total distributable earnings (loss) | 344,081 | |||
Net assets | $ | 4,010,050 | ||
Capital shares outstanding | 45,709 | |||
Net asset value per share | $ | 87.73 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $788) | $ | 63,196 | ||
Interest | 314 | |||
Income from securities lending, net | 10 | |||
Total investment income | 63,520 | |||
Expenses: | ||||
Management fees | 18,670 | |||
Investor service fees | 5,491 | |||
Transfer agent and administrative fees | 5,491 | |||
Professional fees | 7,075 | |||
Portfolio accounting fees | 2,196 | |||
Trustees’ fees* | 917 | |||
Custodian fees | 746 | |||
Line of credit fees | 3 | |||
Miscellaneous | 38 | |||
Total expenses | 40,627 | |||
Net investment income | 22,893 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 191,424 | |||
Net realized gain | 191,424 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 422,655 | |||
Net change in unrealized appreciation (depreciation) | 422,655 | |||
Net realized and unrealized gain | 614,079 | |||
Net increase in net assets resulting from operations | $ | 636,972 |
* | 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 | $ | 22,893 | $ | 40,316 | ||||
Net realized gain on investments | 191,424 | 696,638 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 422,655 | (1,739,382 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 636,972 | (1,002,428 | ) | |||||
Distributions to shareholders | — | (36,389 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 4,706,894 | 24,259,647 | ||||||
Distributions reinvested | — | 36,389 | ||||||
Cost of shares redeemed | (6,882,020 | ) | (27,401,238 | ) | ||||
Net decrease from capital share transactions | (2,175,126 | ) | (3,105,202 | ) | ||||
Net decrease in net assets | (1,538,154 | ) | (4,144,019 | ) | ||||
Net assets: | ||||||||
Beginning of period | 5,548,204 | 9,692,223 | ||||||
End of period | $ | 4,010,050 | $ | 5,548,204 | ||||
Capital share activity: | ||||||||
Shares sold | 54,523 | 259,935 | ||||||
Shares issued from reinvestment of distributions | — | 384 | ||||||
Shares redeemed | (81,382 | ) | (289,569 | ) | ||||
Net decrease in shares | (26,859 | ) | (29,250 | ) |
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 | $ | 76.46 | $ | 95.19 | $ | 84.90 | $ | 67.87 | $ | 71.43 | $ | 86.82 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .45 | .56 | .28 | .10 | .42 | .48 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.82 | (18.70 | ) | 10.28 | 17.11 | (3.86 | ) | 2.55 | ||||||||||||||||
Total from investment operations | 11.27 | (18.14 | ) | 10.56 | 17.21 | (3.44 | ) | 3.03 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.56 | ) | (.27 | ) | (.18 | ) | (.12 | ) | (1.44 | ) | |||||||||||||
Net realized gains | — | (.03 | ) | — | — | — | (16.98 | ) | ||||||||||||||||
Total distributions | — | (.59 | ) | (.27 | ) | (.18 | ) | (.12 | ) | (18.42 | ) | |||||||||||||
Net asset value, end of period | $ | 87.73 | $ | 76.46 | $ | 95.19 | $ | 84.90 | $ | 67.87 | $ | 71.43 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 14.74% | (19.19 | %) | 12.48% | 27.25% | (4.86 | %) | 3.42% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,010 | $ | 5,548 | $ | 9,692 | $ | 16,076 | $ | 5,611 | $ | 3,938 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.04 | % | 0.59 | % | 0.33 | % | 0.69 | % | 0.62 | % | 0.56 | % | ||||||||||||
Total expenses | 1.85 | % | 1.71 | % | 1.70 | % | 1.67 | % | 1.59 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 75 | % | 320 | % | 273 | % | 417 | % | 388 | % | 285 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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, 2019 |
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) | |
Ecolab, Inc. | 3.2% |
DuPont de Nemours, Inc. | 3.1% |
Air Products & Chemicals, Inc. | 3.0% |
Sherwin-Williams Co. | 2.7% |
Dow, Inc. | 2.5% |
Newmont Goldcorp Corp. | 2.3% |
Vale S.A. ADR | 2.3% |
LyondellBasell Industries N.V. — Class A | 2.3% |
PPG Industries, Inc. | 2.2% |
Linde plc | 2.2% |
Top Ten Total | 25.8% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Basic Materials Fund | 15.85% | (1.62%) | 2.69% | 6.71% |
S&P 500 Materials Index | 17.26% | 3.20% | 5.44% | 11.39% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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 S&P 500 Materials Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
BASIC MATERIALS FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Chemicals - 46.7% | ||||||||
Ecolab, Inc. | 1,028 | $ | 202,968 | |||||
DuPont de Nemours, Inc. | 2,639 | 198,110 | ||||||
Air Products & Chemicals, Inc. | 839 | 189,924 | ||||||
Sherwin-Williams Co. | 376 | 172,317 | ||||||
Dow, Inc. | 3,272 | 161,342 | ||||||
LyondellBasell Industries N.V. — Class A | 1,733 | 149,263 | ||||||
PPG Industries, Inc. | 1,203 | 140,402 | ||||||
Linde plc | 690 | 138,552 | ||||||
International Flavors & Fragrances, Inc.1 | 717 | 104,030 | ||||||
Celanese Corp. — Class A | 918 | 98,960 | ||||||
Eastman Chemical Co. | 1,133 | 88,181 | ||||||
FMC Corp. | 1,062 | 88,093 | ||||||
Mosaic Co. | 3,386 | 84,752 | ||||||
CF Industries Holdings, Inc. | 1,805 | 84,312 | ||||||
Westlake Chemical Corp. | 1,170 | 81,268 | ||||||
Albemarle Corp. | 1,066 | 75,057 | ||||||
RPM International, Inc. | 1,219 | 74,493 | ||||||
Axalta Coating Systems Ltd.* | 2,342 | 69,721 | ||||||
WR Grace & Co. | 814 | 61,954 | ||||||
Ashland Global Holdings, Inc. | 754 | 60,297 | ||||||
Huntsman Corp. | 2,925 | 59,787 | ||||||
Ingevity Corp.* | 560 | 58,895 | ||||||
Nutrien Ltd. | 1,091 | 58,325 | ||||||
Chemours Co. | 2,163 | 51,912 | ||||||
Valvoline, Inc. | 2,654 | 51,833 | ||||||
Olin Corp. | 2,337 | 51,204 | ||||||
Balchem Corp. | 473 | 47,286 | ||||||
Sensient Technologies Corp. | 635 | 46,660 | ||||||
Cabot Corp. | 961 | 45,849 | ||||||
Element Solutions, Inc.* | 4,183 | 43,252 | ||||||
HB Fuller Co. | 893 | 41,435 | ||||||
Methanex Corp. | 906 | 41,187 | ||||||
Sociedad Quimica y Minera de Chile S.A. ADR | 1,263 | 39,292 | ||||||
GCP Applied Technologies, Inc.* | 1,495 | 33,847 | ||||||
Total Chemicals | 2,994,760 | |||||||
Mining - 16.7% | ||||||||
Newmont Goldcorp Corp. | 3,929 | 151,149 | ||||||
Freeport-McMoRan, Inc. | 9,474 | 109,993 | ||||||
Barrick Gold Corp. | 6,658 | 104,997 | ||||||
Rio Tinto plc ADR | 1,550 | 96,627 | ||||||
BHP Group Ltd. ADR1 | 1,256 | 72,986 | ||||||
Royal Gold, Inc. | 681 | 69,796 | ||||||
Teck Resources Ltd. — Class B | 2,695 | 62,147 | ||||||
Alcoa Corp.* | 2,397 | 56,114 | ||||||
Agnico Eagle Mines Ltd. | 1,089 | 55,800 | ||||||
AngloGold Ashanti Ltd. ADR | 2,925 | 52,094 | ||||||
Wheaton Precious Metals Corp. | 2,144 | 51,842 | ||||||
Franco-Nevada Corp.1 | 551 | 46,769 | ||||||
Pan American Silver Corp. | 3,375 | 43,571 | ||||||
Compass Minerals International, Inc. | 650 | 35,717 | ||||||
Kaiser Aluminum Corp. | 343 | 33,480 | ||||||
Livent Corp.* | 3,874 | 26,808 | ||||||
Total Mining | 1,069,890 | |||||||
Packaging & Containers - 12.2% | ||||||||
Ball Corp. | 1,873 | 131,091 | ||||||
Westrock Co. | 2,207 | 80,489 | ||||||
Packaging Corporation of America | 833 | 79,401 | ||||||
Crown Holdings, Inc.* | 1,269 | 77,536 | ||||||
Berry Global Group, Inc.* | 1,359 | 71,470 | ||||||
Sealed Air Corp. | 1,660 | 71,015 | ||||||
Sonoco Products Co. | 1,037 | 67,758 | ||||||
Amcor plc* | 4,991 | 57,347 | ||||||
Graphic Packaging Holding Co. | 3,880 | 54,242 | ||||||
Silgan Holdings, Inc. | 1,627 | 49,786 | ||||||
Owens-Illinois, Inc. | 2,536 | 43,797 | ||||||
Total Packaging & Containers | 783,932 | |||||||
Iron & Steel - 9.0% | ||||||||
Vale S.A. ADR | 11,166 | 150,071 | ||||||
Nucor Corp. | 1,990 | 109,649 | ||||||
Steel Dynamics, Inc. | 2,305 | 69,611 | ||||||
Reliance Steel & Aluminum Co. | 727 | 68,789 | ||||||
ArcelorMittal1 | 2,878 | 51,890 | ||||||
Allegheny Technologies, Inc.* | 1,895 | 47,754 | ||||||
Carpenter Technology Corp. | 839 | 40,255 | ||||||
Commercial Metals Co. | 2,189 | 39,074 | ||||||
Total Iron & Steel | 577,093 | |||||||
Building Materials - 6.0% | ||||||||
Vulcan Materials Co. | 819 | 112,457 | ||||||
Martin Marietta Materials, Inc. | 437 | 100,558 | ||||||
Eagle Materials, Inc. | 590 | 54,693 | ||||||
Louisiana-Pacific Corp. | 1,884 | 49,399 | ||||||
Summit Materials, Inc. — Class A* | 2,161 | 41,599 | ||||||
US Concrete, Inc.* | 500 | 24,845 | ||||||
Total Building Materials | 383,551 | |||||||
Forest Products & Paper - 2.4% | ||||||||
International Paper Co. | 2,541 | 110,076 | ||||||
Domtar Corp. | 1,003 | 44,664 | ||||||
Total Forest Products & Paper | 154,740 | |||||||
Biotechnology - 2.0% | ||||||||
Corteva, Inc.* | 4,369 | 129,191 | ||||||
Miscellaneous Manufacturing - 1.7% | ||||||||
AptarGroup, Inc. | 614 | 76,345 | ||||||
Trinseo S.A. | 838 | 35,481 | ||||||
Total Miscellaneous Manufacturing | 111,826 | |||||||
Household Products & Housewares - 1.3% | ||||||||
Avery Dennison Corp. | 727 | 84,100 | ||||||
Housewares - 1.0% | ||||||||
Scotts Miracle-Gro Co. — Class A | 630 | 62,055 | ||||||
14| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
BASIC MATERIALS FUND |
|
| Value | ||||||
Coal - 0.5% | ||||||||
Warrior Met Coal, Inc. | 1,145 | $ | 29,907 | |||||
Total Common Stocks | ||||||||
(Cost $3,374,303) | 6,381,045 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 1.7% | ||||||||
JPMorgan Chase & Co. | $ | 70,118 | 70,118 | |||||
Bank of America Merrill Lynch | 17,418 | 17,418 | ||||||
Barclays Capital | 17,418 | 17,418 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $104,954) | 104,954 | |||||||
SECURITIES LENDING COLLATERAL†,3 - 2.7% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 174,761 | 174,761 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $174,761) | 174,761 | |||||||
Total Investments - 103.9% | ||||||||
(Cost $3,654,018) | $ | 6,660,760 | ||||||
Other Assets & Liabilities, net - (3.9)% | (249,974 | ) | ||||||
Total Net Assets - 100.0% | $ | 6,410,786 |
* | 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, 2019 — 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, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 6,381,045 | $ | — | $ | — | $ | 6,381,045 | ||||||||
Repurchase Agreements | — | 104,954 | — | 104,954 | ||||||||||||
Securities Lending Collateral | 174,761 | — | — | 174,761 | ||||||||||||
Total Assets | $ | 6,555,806 | $ | 104,954 | $ | — | $ | 6,660,760 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 15 |
BASIC MATERIALS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $172,496 of securities loaned (cost $3,549,064) | $ | 6,555,806 | ||
Repurchase agreements, at value (cost $104,954) | 104,954 | |||
Cash | 312 | |||
Receivables: | ||||
Fund shares sold | 10,561 | |||
Dividends | 6,266 | |||
Securities lending income | 59 | |||
Foreign tax reclaims | 22 | |||
Interest | 22 | |||
Total assets | 6,678,002 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 174,761 | |||
Securities purchased | 54,298 | |||
Deferred foreign capital gain taxes | 19,017 | |||
Management fees | 3,984 | |||
Transfer agent and administrative fees | 1,172 | |||
Investor service fees | 1,172 | |||
Fund shares redeemed | 1,169 | |||
Portfolio accounting fees | 469 | |||
Trustees’ fees* | 117 | |||
Miscellaneous | 11,057 | |||
Total liabilities | 267,216 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 6,410,786 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,815,910 | ||
Total distributable earnings (loss) | 2,594,876 | |||
Net assets | $ | 6,410,786 | ||
Capital shares outstanding | 84,587 | |||
Net asset value per share | $ | 75.79 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $541) | $ | 78,619 | ||
Interest | 688 | |||
Income from securities lending, net | 1,311 | |||
Total investment income | 80,618 | |||
Expenses: | ||||
Management fees | 26,880 | |||
Investor service fees | 7,906 | |||
Transfer agent and administrative fees | 7,906 | |||
Professional fees | 5,030 | |||
Portfolio accounting fees | 3,162 | |||
Trustees’ fees* | 1,010 | |||
Custodian fees | 918 | |||
Line of credit fees | 2 | |||
Miscellaneous | 5,667 | |||
Total expenses | 58,481 | |||
Net investment income | 22,137 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 221,017 | |||
Net realized gain | 221,017 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 681,670 | |||
Net change in unrealized appreciation (depreciation) | 681,670 | |||
Net realized and unrealized gain | 902,687 | |||
Net increase in net assets resulting from operations | $ | 924,824 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
16| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BASIC MATERIALS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 22,137 | $ | 5,877 | ||||
Net realized gain on investments | 221,017 | 1,250,769 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 681,670 | (3,002,408 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 924,824 | (1,745,762 | ) | |||||
Distributions to shareholders | — | (209,047 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,681,155 | 9,436,602 | ||||||
Distributions reinvested | — | 209,047 | ||||||
Cost of shares redeemed | (3,363,270 | ) | (18,590,190 | ) | ||||
Net decrease from capital share transactions | (682,115 | ) | (8,944,541 | ) | ||||
Net increase (decrease) in net assets | 242,709 | (10,899,350 | ) | |||||
Net assets: | ||||||||
Beginning of period | 6,168,077 | 17,067,427 | ||||||
End of period | $ | 6,410,786 | $ | 6,168,077 | ||||
Capital share activity: | ||||||||
Shares sold | 36,938 | 119,254 | ||||||
Shares issued from reinvestment of distributions | — | 2,686 | ||||||
Shares redeemed | (46,637 | ) | (237,662 | ) | ||||
Net decrease in shares | (9,699 | ) | (115,722 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 17 |
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 | $ | 65.42 | $ | 81.27 | $ | 67.61 | $ | 52.52 | $ | 63.47 | $ | 74.45 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .25 | .05 | (.07 | ) | .02 | .18 | .15 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.12 | (13.91 | ) | 14.47 | 15.43 | (11.13 | ) | (1.32 | ) | |||||||||||||||
Total from investment operations | 10.37 | (13.86 | ) | 14.40 | 15.45 | (10.95 | ) | (1.17 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.42 | ) | (.50 | ) | — | — | (3.39 | ) | |||||||||||||||
Net realized gains | — | (1.57 | ) | (.24 | ) | (.36 | ) | — | (6.42 | ) | ||||||||||||||
Total distributions | — | (1.99 | ) | (.74 | ) | (.36 | ) | — | (9.81 | ) | ||||||||||||||
Net asset value, end of period | $ | 75.79 | $ | 65.42 | $ | 81.27 | $ | 67.61 | $ | 52.52 | $ | 63.47 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 15.85% | (17.44 | %) | 21.43% | 30.86% | (17.30 | %) | (1.81 | %) | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,411 | $ | 6,168 | $ | 17,067 | $ | 15,229 | $ | 5,084 | $ | 9,062 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.70 | % | 0.06 | % | (0.10 | %) | 0.08 | % | 0.27 | % | 0.18 | % | ||||||||||||
Total expenses | 1.85 | % | 1.73 | % | 1.70 | % | 1.66 | % | 1.59 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 41 | % | 83 | % | 181 | % | 266 | % | 228 | % | 218 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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. |
18| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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) | |
Amgen, Inc. | 6.7% |
AbbVie, Inc. | 6.4% |
Gilead Sciences, Inc. | 5.8% |
Celgene Corp. | 5.0% |
Illumina, Inc. | 4.7% |
Vertex Pharmaceuticals, Inc. | 4.3% |
Biogen, Inc. | 4.3% |
Regeneron Pharmaceuticals, Inc. | 3.7% |
Alexion Pharmaceuticals, Inc. | 3.5% |
Incyte Corp. | 2.7% |
Top Ten Total | 47.1% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Biotechnology Fund | 14.05% | (0.36%) | 6.43% | 16.05% |
S&P 500 Health Care Index | 8.07% | 12.99% | 10.61% | 15.52% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
BIOTECHNOLOGY FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.7% | ||||||||
Biotechnology - 71.1% | ||||||||
Amgen, Inc. | 7,834 | $ | 1,443,650 | |||||
Gilead Sciences, Inc. | 18,511 | 1,250,603 | ||||||
Celgene Corp.* | 11,604 | 1,072,674 | ||||||
Illumina, Inc.* | 2,763 | 1,017,198 | ||||||
Vertex Pharmaceuticals, Inc.* | 5,131 | 940,923 | ||||||
Biogen, Inc.* | 3,938 | 920,980 | ||||||
Regeneron Pharmaceuticals, Inc.* | 2,559 | 800,967 | ||||||
Alexion Pharmaceuticals, Inc.* | 5,783 | 757,457 | ||||||
Incyte Corp.* | 6,769 | 575,094 | ||||||
Exact Sciences Corp.* | 4,563 | 538,617 | ||||||
BioMarin Pharmaceutical, Inc.* | 6,236 | 534,113 | ||||||
Seattle Genetics, Inc.* | 6,488 | 449,034 | ||||||
Sage Therapeutics, Inc.* | 2,293 | 419,825 | ||||||
Ionis Pharmaceuticals, Inc.* | 6,371 | 409,464 | ||||||
Alnylam Pharmaceuticals, Inc.* | 5,223 | 378,981 | ||||||
Bluebird Bio, Inc.* | 2,968 | 377,530 | ||||||
Exelixis, Inc.* | 16,291 | 348,139 | ||||||
Amarin Corporation plc ADR*,1 | 14,360 | 278,440 | ||||||
FibroGen, Inc.* | 6,037 | 272,752 | ||||||
ACADIA Pharmaceuticals, Inc.* | 10,114 | 270,347 | ||||||
Spark Therapeutics, Inc.* | 2,614 | 267,621 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 4,207 | 267,145 | ||||||
United Therapeutics Corp.* | 3,282 | 256,193 | ||||||
Immunomedics, Inc.* | 16,743 | 232,225 | ||||||
Medicines Co.* | 6,236 | 227,427 | ||||||
PTC Therapeutics, Inc.* | 5,040 | 226,800 | ||||||
Intercept Pharmaceuticals, Inc.* | 2,750 | 218,818 | ||||||
Myriad Genetics, Inc.* | 7,631 | 211,989 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 1,824 | 208,210 | ||||||
REGENXBIO, Inc.* | 3,638 | 186,884 | ||||||
Total Biotechnology | 15,360,100 | |||||||
Pharmaceuticals - 25.3% | ||||||||
AbbVie, Inc. | 19,063 | 1,386,261 | ||||||
Sarepta Therapeutics, Inc.* | 3,286 | 499,308 | ||||||
Array BioPharma, Inc.* | 9,450 | 437,818 | ||||||
Neurocrine Biosciences, Inc.* | 4,506 | 380,442 | ||||||
PRA Health Sciences, Inc.* | 3,573 | 354,263 | ||||||
Jazz Pharmaceuticals plc* | 2,470 | 352,123 | ||||||
Nektar Therapeutics* | 9,756 | 347,118 | ||||||
Alkermes plc* | 12,069 | 272,035 | ||||||
Agios Pharmaceuticals, Inc.* | 4,662 | 232,541 | ||||||
Global Blood Therapeutics, Inc.* | 4,131 | 217,291 | ||||||
Supernus Pharmaceuticals, Inc.* | 5,685 | 188,117 | ||||||
Portola Pharmaceuticals, Inc.* | 6,872 | 186,437 | ||||||
Madrigal Pharmaceuticals, Inc.* | 1,668 | 174,823 | ||||||
Heron Therapeutics, Inc.* | 9,046 | 168,165 | ||||||
Spectrum Pharmaceuticals, Inc.* | 15,917 | 137,045 | ||||||
Clovis Oncology, Inc.* | 8,257 | 122,782 | ||||||
Total Pharmaceuticals | 5,456,569 | |||||||
Healthcare-Products - 1.8% | ||||||||
Bio-Techne Corp. | 1,833 | 382,162 | ||||||
Healthcare-Services - 1.5% | ||||||||
Syneos Health, Inc.* | 6,297 | 321,714 | ||||||
Total Common Stocks | ||||||||
(Cost $9,138,480) | 21,520,545 | |||||||
RIGHTS††† - 0.0% | ||||||||
Clinical Data, Inc.*,2 | 4,730 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,3 - 0.8% | ||||||||
JPMorgan Chase & Co. | $ | 110,641 | 110,641 | |||||
Bank of America Merrill Lynch | 27,485 | 27,485 | ||||||
Barclays Capital | 27,485 | 27,485 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $165,611) | 165,611 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,4 - 0.9% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%5 | 205,494 | 205,494 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $205,494) | 205,494 | |||||||
Total Investments - 101.4% | ||||||||
(Cost $9,509,585) | $ | 21,891,650 | ||||||
Other Assets & Liabilities, net - (1.4)% | (298,620 | ) | ||||||
Total Net Assets - 100.0% | $ | 21,593,030 |
20| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
BIOTECHNOLOGY 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. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2019 — See Note 7. |
2 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
3 | Repurchase Agreements — See Note 6. |
4 | Securities lending collateral — See Note 7. |
5 | Rate indicated is the 7-day yield as of June 30, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 21,520,545 | $ | — | $ | — | $ | 21,520,545 | ||||||||
Rights | — | — | — | * | — | |||||||||||
Repurchase Agreements | — | 165,611 | — | 165,611 | ||||||||||||
Securities Lending Collateral | 205,494 | — | — | 205,494 | ||||||||||||
Total Assets | $ | 21,726,039 | $ | 165,611 | $ | — | $ | 21,891,650 |
* | Security has a market value of $0. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 21 |
BIOTECHNOLOGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $206,988 of securities loaned (cost $9,343,974) | $ | 21,726,039 | ||
Repurchase agreements, at value (cost $165,611) | 165,611 | |||
Receivables: | ||||
Fund shares sold | 2,750 | |||
Interest | 34 | |||
Securities lending income | 18 | |||
Total assets | 21,894,452 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 205,494 | |||
Fund shares redeemed | 32,616 | |||
Management fees | 13,680 | |||
Transfer agent and administrative fees | 4,024 | |||
Investor service fees | 4,024 | |||
Portfolio accounting fees | 1,609 | |||
Trustees’ fees* | 418 | |||
Miscellaneous | 39,557 | |||
Total liabilities | 301,422 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 21,593,030 | ||
Net assets consist of: | ||||
Paid in capital | $ | 9,494,563 | ||
Total distributable earnings (loss) | 12,098,467 | |||
Net assets | $ | 21,593,030 | ||
Capital shares outstanding | 242,244 | |||
Net asset value per share | $ | 89.14 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends | $ | 91,137 | ||
Interest | 1,684 | |||
Income from securities lending, net | 157 | |||
Total investment income | 92,978 | |||
Expenses: | ||||
Management fees | 95,485 | |||
Investor service fees | 28,084 | |||
Transfer agent and administrative fees | 28,084 | |||
Professional fees | 16,895 | |||
Portfolio accounting fees | 11,233 | |||
Trustees’ fees* | 3,095 | |||
Custodian fees | 2,614 | |||
Line of credit fees | 502 | |||
Miscellaneous | 22,268 | |||
Total expenses | 208,260 | |||
Net investment loss | (115,282 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,052,989 | |||
Net realized gain | 1,052,989 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,850,859 | |||
Net change in unrealized appreciation (depreciation) | 1,850,859 | |||
Net realized and unrealized gain | 2,903,848 | |||
Net increase in net assets resulting from operations | $ | 2,788,566 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
22| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
BIOTECHNOLOGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (115,282 | ) | $ | (282,823 | ) | ||
Net realized gain on investments | 1,052,989 | 1,936,319 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,850,859 | (4,235,879 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 2,788,566 | (2,582,383 | ) | |||||
Distributions to shareholders | — | (71,198 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 10,101,366 | 26,330,050 | ||||||
Distributions reinvested | — | 71,198 | ||||||
Cost of shares redeemed | (12,296,618 | ) | (32,020,031 | ) | ||||
Net decrease from capital share transactions | (2,195,252 | ) | (5,618,783 | ) | ||||
Net increase (decrease) in net assets | 593,314 | (8,272,364 | ) | |||||
Net assets: | ||||||||
Beginning of period | 20,999,716 | 29,272,080 | ||||||
End of period | $ | 21,593,030 | $ | 20,999,716 | ||||
Capital share activity: | ||||||||
Shares sold | 113,215 | 290,934 | ||||||
Shares issued from reinvestment of distributions | — | 751 | ||||||
Shares redeemed | (139,634 | ) | (361,313 | ) | ||||
Net decrease in shares | (26,419 | ) | (69,628 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 23 |
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 | $ | 78.16 | $ | 86.53 | $ | 66.86 | $ | 83.22 | $ | 76.71 | $ | 57.81 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.45 | ) | (.96 | ) | (.79 | ) | (.80 | ) | (1.02 | ) | (.62 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 11.43 | (7.17 | ) | 20.46 | (15.56 | ) | 7.53 | 19.52 | ||||||||||||||||
Total from investment operations | 10.98 | (8.13 | ) | 19.67 | (16.36 | ) | 6.51 | 18.90 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.24 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.24 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 89.14 | $ | 78.16 | $ | 86.53 | $ | 66.86 | $ | 83.22 | $ | 76.71 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 14.05% | (9.44 | %) | 29.44% | (19.66 | %) | 8.47% | 32.69% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 21,593 | $ | 21,000 | $ | 29,272 | $ | 22,231 | $ | 42,005 | $ | 38,094 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.03 | %) | (1.08 | %) | (0.99 | %) | (1.16 | %) | (1.17 | %) | (0.92 | %) | ||||||||||||
Total expenses | 1.85 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 43 | % | 109 | % | 137 | % | 127 | % | 161 | % | 165 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
24| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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. | 6.7% |
Coca-Cola Co. | 5.9% |
PepsiCo, Inc. | 5.4% |
Philip Morris International, Inc. | 4.5% |
Altria Group, Inc. | 3.9% |
Mondelez International, Inc. — Class A | 3.5% |
Estee Lauder Companies, Inc. — Class A | 3.3% |
Colgate-Palmolive Co. | 3.1% |
Kimberly-Clark Corp. | 2.7% |
Constellation Brands, Inc. — Class A | 2.6% |
Top Ten Total | 41.6% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Consumer Products Fund | 13.03% | 5.90% | 5.57% | 11.87% |
S&P 500 Consumer Staples Index | 16.18% | 16.39% | 8.39% | 12.83% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
CONSUMER PRODUCTS FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Food - 37.6% | ||||||||
Mondelez International, Inc. — Class A | 10,544 | $ | 568,322 | |||||
Kraft Heinz Co. | 12,971 | 402,620 | ||||||
Sysco Corp. | 5,581 | 394,688 | ||||||
General Mills, Inc. | 6,880 | 361,338 | ||||||
Tyson Foods, Inc. — Class A | 4,473 | 361,150 | ||||||
Hershey Co. | 2,550 | 341,776 | ||||||
Hormel Foods Corp. | 7,438 | 301,536 | ||||||
McCormick & Company, Inc. | 1,910 | 296,069 | ||||||
Kroger Co. | 12,678 | 275,239 | ||||||
Kellogg Co. | 5,079 | 272,082 | ||||||
JM Smucker Co. | 2,001 | 230,495 | ||||||
Conagra Brands, Inc. | 8,530 | 226,216 | ||||||
Campbell Soup Co. | 5,641 | 226,035 | ||||||
Lamb Weston Holdings, Inc. | 3,187 | 201,928 | ||||||
US Foods Holding Corp.* | 5,157 | 184,414 | ||||||
Post Holdings, Inc.* | 1,735 | 180,388 | ||||||
Pilgrim’s Pride Corp.* | 6,504 | 165,137 | ||||||
Ingredion, Inc. | 1,864 | 153,761 | ||||||
Flowers Foods, Inc. | 6,221 | 144,763 | ||||||
Performance Food Group Co.* | 3,399 | 136,062 | ||||||
Lancaster Colony Corp. | 895 | 132,997 | ||||||
Sanderson Farms, Inc. | 847 | 115,666 | ||||||
TreeHouse Foods, Inc.* | 2,097 | 113,448 | ||||||
Hain Celestial Group, Inc.* | 4,670 | 102,273 | ||||||
Sprouts Farmers Market, Inc.* | 5,309 | 100,287 | ||||||
Cal-Maine Foods, Inc. | 2,261 | 94,329 | ||||||
Total Food | 6,083,019 | |||||||
Beverages - 25.2% | ||||||||
Coca-Cola Co. | 18,859 | 960,300 | ||||||
PepsiCo, Inc. | 6,701 | 878,702 | ||||||
Constellation Brands, Inc. — Class A | 2,142 | 421,846 | ||||||
Keurig Dr Pepper, Inc. | 14,192 | 410,149 | ||||||
Monster Beverage Corp.* | 6,062 | 386,938 | ||||||
Brown-Forman Corp. — Class B | 6,096 | 337,901 | ||||||
Molson Coors Brewing Co. — Class B | 4,119 | 230,664 | ||||||
Anheuser-Busch InBev S.A. ADR | 1,877 | 166,133 | ||||||
Coca-Cola European Partners plc | 2,920 | 164,980 | ||||||
Fomento Economico Mexicano SAB de CV ADR | 1,295 | 125,291 | ||||||
Total Beverages | 4,082,904 | |||||||
Cosmetics & Personal Care - 14.4% | ||||||||
Procter & Gamble Co. | 9,819 | 1,076,653 | ||||||
Estee Lauder Companies, Inc. — Class A | 2,920 | 534,681 | ||||||
Colgate-Palmolive Co. | 7,070 | 506,707 | ||||||
Unilever N.V. — Class Y | 2,286 | 138,806 | ||||||
Edgewell Personal Care Co.* | 2,877 | 77,535 | ||||||
Total Cosmetics & Personal Care | 2,334,382 | |||||||
Agriculture - 12.3% | ||||||||
Philip Morris International, Inc. | 9,287 | 729,308 | ||||||
Altria Group, Inc. | 13,149 | 622,605 | ||||||
Archer-Daniels-Midland Co. | 7,625 | 311,100 | ||||||
Bunge Ltd. | 3,261 | 181,671 | ||||||
British American Tobacco plc ADR | 4,214 | 146,942 | ||||||
Total Agriculture | 1,991,626 | |||||||
Household Products & Housewares - 6.8% | ||||||||
Kimberly-Clark Corp. | 3,313 | 441,557 | ||||||
Clorox Co. | 1,888 | 289,072 | ||||||
Church & Dwight Company, Inc. | 3,730 | 272,514 | ||||||
Spectrum Brands Holdings, Inc. | 1,941 | 104,367 | ||||||
Total Household Products & Housewares | 1,107,510 | |||||||
Pharmaceuticals - 1.0% | ||||||||
Herbalife Nutrition Ltd.* | 3,884 | 166,080 | ||||||
Retail - 1.0% | ||||||||
Casey’s General Stores, Inc. | 1,009 | 157,394 | ||||||
Electrical Components & Equipment - 0.7% | ||||||||
Energizer Holdings, Inc. | 2,772 | 107,110 | ||||||
Commercial Services - 0.5% | ||||||||
Medifast, Inc. | 629 | 80,701 | ||||||
Total Common Stocks | ||||||||
(Cost $10,094,995) | 16,110,726 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.6% | ||||||||
JPMorgan Chase & Co. | $ | 65,702 | 65,702 | |||||
Bank of America Merrill Lynch | 16,321 | 16,321 | ||||||
Barclays Capital | 16,322 | 16,322 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $98,345) | 98,345 | |||||||
Total Investments - 100.1% | ||||||||
(Cost $10,193,340) | $ | 16,209,071 | ||||||
Other Assets & Liabilities, net - (0.1)% | (15,271 | ) | ||||||
Total Net Assets - 100.0% | $ | 16,193,800 |
26| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
CONSUMER PRODUCTS 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 | Repurchase Agreements — See Note 6. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 16,110,726 | $ | — | $ | — | $ | 16,110,726 | ||||||||
Repurchase Agreements | — | 98,345 | — | 98,345 | ||||||||||||
Total Assets | $ | 16,110,726 | $ | 98,345 | $ | — | $ | 16,209,071 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 27 |
CONSUMER PRODUCTS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value (cost $10,094,995) | $ | 16,110,726 | ||
Repurchase agreements, at value (cost $98,345) | 98,345 | |||
Receivables: | ||||
Dividends | 41,556 | |||
Foreign tax reclaims | 1,759 | |||
Interest | 22 | |||
Total assets | 16,252,408 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 11,896 | |||
Management fees | 11,472 | |||
Professional fees | 11,066 | |||
Printing fees | 7,078 | |||
Transfer agent and administrative fees | 3,374 | |||
Investor service fees | 3,374 | |||
Portfolio accounting fees | 1,350 | |||
Trustees’ fees* | 283 | |||
Miscellaneous | 8,715 | |||
Total liabilities | 58,608 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 16,193,800 | ||
Net assets consist of: | ||||
Paid in capital | $ | 11,293,559 | ||
Total distributable earnings (loss) | 4,900,241 | |||
Net assets | $ | 16,193,800 | ||
Capital shares outstanding | 256,827 | |||
Net asset value per share | $ | 63.05 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends | $ | 205,074 | ||
Interest | 1,074 | |||
Income from securities lending, net | 144 | |||
Total investment income | 206,292 | |||
Expenses: | ||||
Management fees | 64,643 | |||
Investor service fees | 19,013 | |||
Transfer agent and administrative fees | 19,013 | |||
Professional fees | 11,712 | |||
Portfolio accounting fees | 7,605 | |||
Trustees’ fees* | 1,675 | |||
Custodian fees | 1,566 | |||
Line of credit fees | 15 | |||
Miscellaneous | 15,117 | |||
Total expenses | 140,359 | |||
Net investment income | 65,933 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (249,537 | ) | ||
Net realized loss | (249,537 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,903,898 | |||
Net change in unrealized appreciation (depreciation) | 1,903,898 | |||
Net realized and unrealized gain | 1,654,361 | |||
Net increase in net assets resulting from operations | $ | 1,720,294 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
28| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
CONSUMER PRODUCTS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 65,933 | $ | 154,297 | ||||
Net realized gain (loss) on investments | (249,537 | ) | 227,545 | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,903,898 | (2,430,390 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,720,294 | (2,048,548 | ) | |||||
Distributions to shareholders | — | (517,916 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 17,072,923 | 24,322,968 | ||||||
Distributions reinvested | — | 517,916 | ||||||
Cost of shares redeemed | (15,720,506 | ) | (25,177,014 | ) | ||||
Net increase (decrease) from capital share transactions | 1,352,417 | (336,130 | ) | |||||
Net increase (decrease) in net assets | 3,072,711 | (2,902,594 | ) | |||||
Net assets: | ||||||||
Beginning of period | 13,121,089 | 16,023,683 | ||||||
End of period | $ | 16,193,800 | $ | 13,121,089 | ||||
Capital share activity: | ||||||||
Shares sold | 277,915 | 397,494 | ||||||
Shares issued from reinvestment of distributions | — | 8,554 | ||||||
Shares redeemed | (256,330 | ) | (412,473 | ) | ||||
Net increase (decrease) in shares | 21,585 | (6,425 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 29 |
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 | $ | 55.78 | $ | 66.30 | $ | 61.79 | $ | 61.56 | $ | 60.19 | $ | 56.94 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .26 | .70 | .17 | .44 | .58 | .42 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 7.01 | (8.51 | ) | 6.79 | 3.10 | 3.14 | 6.72 | |||||||||||||||||
Total from investment operations | 7.27 | (7.81 | ) | 6.96 | 3.54 | 3.72 | 7.14 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.45 | ) | (.64 | ) | (.42 | ) | (.34 | ) | (.30 | ) | |||||||||||||
Net realized gains | — | (2.26 | ) | (1.81 | ) | (2.89 | ) | (2.01 | ) | (3.59 | ) | |||||||||||||
Total distributions | — | (2.71 | ) | (2.45 | ) | (3.31 | ) | (2.35 | ) | (3.89 | ) | |||||||||||||
Net asset value, end of period | $ | 63.05 | $ | 55.78 | $ | 66.30 | $ | 61.79 | $ | 61.56 | $ | 60.19 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 13.03% | (12.12 | %) | 11.53% | 5.42% | 6.22% | 12.63% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,194 | $ | 13,121 | $ | 16,024 | $ | 18,410 | $ | 32,481 | $ | 26,090 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.87 | % | 1.14 | % | 0.27 | % | 0.68 | % | 0.95 | % | 0.70 | % | ||||||||||||
Total expenses | 1.85 | % | 1.72 | % | 1.70 | % | 1.65 | % | 1.61 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 97 | % | 176 | % | 133 | % | 161 | % | 225 | % | 194 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
30| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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. | 7.9% |
Broadcom, Inc. | 5.9% |
Texas Instruments, Inc. | 5.6% |
NVIDIA Corp. | 5.5% |
QUALCOMM, Inc. | 5.2% |
Micron Technology, Inc. | 3.8% |
Applied Materials, Inc. | 3.6% |
Analog Devices, Inc. | 3.5% |
Advanced Micro Devices, Inc. | 3.1% |
Xilinx, Inc. | 3.0% |
Top Ten Total | 47.1% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Electronics Fund | 26.82% | 7.52% | 14.03% | 14.37% |
S&P 500 Information Technology Index | 27.13% | 14.34% | 18.53% | 18.57% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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 S&P Information Technology Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
ELECTRONICS FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Semiconductors - 92.7% | ||||||||
Intel Corp. | 10,053 | $ | 481,237 | |||||
Broadcom, Inc. | 1,250 | 359,825 | ||||||
Texas Instruments, Inc. | 2,997 | 343,936 | ||||||
NVIDIA Corp. | 2,052 | 337,000 | ||||||
QUALCOMM, Inc. | 4,229 | 321,700 | ||||||
Micron Technology, Inc.* | 6,065 | 234,048 | ||||||
Applied Materials, Inc. | 4,878 | 219,071 | ||||||
Analog Devices, Inc. | 1,889 | 213,211 | ||||||
Advanced Micro Devices, Inc.* | 6,216 | 188,780 | ||||||
Xilinx, Inc. | 1,560 | 183,955 | ||||||
Lam Research Corp. | 940 | 176,570 | ||||||
NXP Semiconductor N.V. | 1,635 | 159,592 | ||||||
Microchip Technology, Inc.1 | 1,736 | 150,511 | ||||||
KLA-Tencor Corp. | 1,237 | 146,213 | ||||||
Maxim Integrated Products, Inc. | 2,253 | 134,775 | ||||||
Marvell Technology Group Ltd. | 5,452 | 130,139 | ||||||
Skyworks Solutions, Inc. | 1,581 | 122,164 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 2,993 | 117,236 | ||||||
ON Semiconductor Corp.* | 4,826 | 97,534 | ||||||
Teradyne, Inc. | 2,013 | 96,443 | ||||||
Qorvo, Inc.* | 1,425 | 94,919 | ||||||
Cypress Semiconductor Corp. | 4,203 | 93,475 | ||||||
ASML Holding N.V. — Class G | 448 | 93,153 | ||||||
Mellanox Technologies Ltd.* | 760 | 84,109 | ||||||
Monolithic Power Systems, Inc. | 599 | 81,332 | ||||||
Cree, Inc.* | 1,401 | 78,708 | ||||||
STMicroelectronics N.V. — Class Y1 | 4,241 | 74,726 | ||||||
Entegris, Inc. | 1,957 | 73,035 | ||||||
Silicon Laboratories, Inc.* | 697 | 72,070 | ||||||
Silicon Motion Technology Corp. ADR | 1,617 | 71,763 | ||||||
Kulicke & Soffa Industries, Inc. | 3,077 | 69,386 | ||||||
MKS Instruments, Inc. | 877 | 68,310 | ||||||
Semtech Corp.* | 1,248 | 59,966 | ||||||
Cabot Microelectronics Corp. | 529 | 58,232 | ||||||
Brooks Automation, Inc. | 1,409 | 54,599 | ||||||
Cirrus Logic, Inc.* | 1,229 | 53,707 | ||||||
Power Integrations, Inc. | 654 | 52,438 | ||||||
Inphi Corp.* | 1,002 | 50,200 | ||||||
Diodes, Inc.* | 1,269 | 46,154 | ||||||
Ambarella, Inc.* | 903 | 39,849 | ||||||
Synaptics, Inc.* | 1,139 | 33,191 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 2,191 | 33,150 | ||||||
Nanometrics, Inc.* | 884 | 30,684 | ||||||
Total Semiconductors | 5,681,096 | |||||||
Energy-Alternate Sources - 2.7% | ||||||||
First Solar, Inc.* | 1,353 | 88,865 | ||||||
SolarEdge Technologies, Inc.* | 1,245 | 77,763 | ||||||
Total Energy-Alternate Sources | 166,628 | |||||||
Electrical Components & Equipment - 1.6% | ||||||||
Universal Display Corp. | 525 | 98,731 | ||||||
Chemicals - 1.3% | ||||||||
Versum Materials, Inc. | 1,511 | 77,937 | ||||||
Electronics - 0.8% | ||||||||
Advanced Energy Industries, Inc.* | 869 | 48,899 | ||||||
Machinery-Diversified - 0.4% | ||||||||
Ichor Holdings Ltd.* | 1,031 | 24,373 | ||||||
Total Common Stocks | ||||||||
(Cost $2,495,898) | 6,097,664 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
JPMorgan Chase & Co. | $ | 26,196 | 26,196 | |||||
Bank of America Merrill Lynch | 6,507 | 6,507 | ||||||
Barclays Capital | 6,507 | 6,507 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $39,210) | 39,210 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.8% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 170,574 | 170,574 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $170,574) | 170,574 | |||||||
Total Investments - 103.0% | ||||||||
(Cost $2,705,682) | $ | 6,307,448 | ||||||
Other Assets & Liabilities, net - (3.0)% | (181,054 | ) | ||||||
Total Net Assets - 100.0% | $ | 6,126,394 |
32| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
ELECTRONICS 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, 2019 — 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, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 6,097,664 | $ | — | $ | — | $ | 6,097,664 | ||||||||
Repurchase Agreements | — | 39,210 | — | 39,210 | ||||||||||||
Securities Lending Collateral | 170,574 | — | — | 170,574 | ||||||||||||
Total Assets | $ | 6,268,238 | $ | 39,210 | $ | — | $ | 6,307,448 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 33 |
ELECTRONICS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $166,430 of securities loaned (cost $2,666,472) | $ | 6,268,238 | ||
Repurchase agreements, at value (cost $39,210) | 39,210 | |||
Receivables: | ||||
Securities sold | 241,395 | |||
Dividends | 9,152 | |||
Fund shares sold | 220 | |||
Securities lending income | 9 | |||
Interest | 8 | |||
Total assets | 6,558,232 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 242,928 | |||
Return of securities lending collateral | 170,574 | |||
Management fees | 3,974 | |||
Transfer agent and administrative fees | 1,169 | |||
Investor service fees | 1,169 | |||
Portfolio accounting fees | 468 | |||
Trustees’ fees* | 121 | |||
Miscellaneous | 11,435 | |||
Total liabilities | 431,838 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 6,126,394 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,089,616 | ||
Total distributable earnings (loss) | 3,036,778 | |||
Net assets | $ | 6,126,394 | ||
Capital shares outstanding | 71,782 | |||
Net asset value per share | $ | 85.35 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $141) | $ | 55,208 | ||
Interest | 509 | |||
Income from securities lending, net | 48 | |||
Total investment income | 55,765 | |||
Expenses: | ||||
Management fees | 27,649 | |||
Investor service fees | 8,132 | |||
Transfer agent and administrative fees | 8,132 | |||
Professional fees | 5,094 | |||
Portfolio accounting fees | 3,252 | |||
Trustees’ fees* | 908 | |||
Custodian fees | 810 | |||
Line of credit fees | 12 | |||
Miscellaneous | 6,175 | |||
Total expenses | 60,164 | |||
Net investment loss | (4,399 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 165,216 | |||
Net realized gain | 165,216 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,152,171 | |||
Net change in unrealized appreciation (depreciation) | 1,152,171 | |||
Net realized and unrealized gain | 1,317,387 | |||
Net increase in net assets resulting from operations | $ | 1,312,988 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
34| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ELECTRONICS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (4,399 | ) | $ | (7,149 | ) | ||
Net realized gain on investments | 165,216 | 1,317,537 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,152,171 | (2,100,923 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,312,988 | (790,535 | ) | |||||
Distributions to shareholders | — | (242,664 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 7,180,984 | 21,819,055 | ||||||
Distributions reinvested | — | 242,664 | ||||||
Cost of shares redeemed | (7,227,237 | ) | (27,404,421 | ) | ||||
Net decrease from capital share transactions | (46,253 | ) | (5,342,702 | ) | ||||
Net increase (decrease) in net assets | 1,266,735 | (6,375,901 | ) | |||||
Net assets: | ||||||||
Beginning of period | 4,859,659 | 11,235,560 | ||||||
End of period | $ | 6,126,394 | $ | 4,859,659 | ||||
Capital share activity: | ||||||||
Shares sold | 89,296 | 262,533 | ||||||
Shares issued from reinvestment of distributions | — | 2,952 | ||||||
Shares redeemed | (89,726 | ) | (333,916 | ) | ||||
Net decrease in shares | (430 | ) | (68,431 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 35 |
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 | $ | 67.30 | $ | 79.89 | $ | 60.95 | $ | 49.03 | $ | 48.01 | $ | 38.81 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.05 | ) | (.07 | ) | (.34 | ) | (.07 | ) | (.15 | ) | (.01 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 18.10 | (9.54 | ) | 19.28 | 11.99 | 1.17 | 9.21 | |||||||||||||||||
Total from investment operations | 18.05 | (9.61 | ) | 18.94 | 11.92 | 1.02 | 9.20 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (2.98 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (2.98 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 85.35 | $ | 67.30 | $ | 79.89 | $ | 60.95 | $ | 49.03 | $ | 48.01 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 26.82% | (12.71 | %) | 31.06% | 24.34% | 2.10% | 23.74% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,126 | $ | 4,860 | $ | 11,236 | $ | 8,709 | $ | 5,374 | $ | 7,410 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.14 | %) | (0.09 | %) | (0.48 | %) | (0.14 | %) | (0.31 | %) | (0.01 | %) | ||||||||||||
Total expenses | 1.85 | % | 1.71 | % | 1.70 | % | 1.66 | % | 1.59 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 104 | % | 248 | % | 327 | % | 362 | % | 351 | % | 381 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
36| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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. | 7.5% |
Chevron Corp. | 6.3% |
ConocoPhillips | 3.5% |
Schlumberger Ltd. | 3.1% |
EOG Resources, Inc. | 3.1% |
Kinder Morgan, Inc. | 2.8% |
Phillips 66 | 2.8% |
Marathon Petroleum Corp. | 2.6% |
Occidental Petroleum Corp. | 2.5% |
Valero Energy Corp. | 2.5% |
Top Ten Total | 36.7% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Energy Fund | 10.41% | (23.81%) | (12.94%) | (0.01%) |
S&P 500 Energy Index | 13.13% | (13.25%) | (5.54%) | 5.01% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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 S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
ENERGY FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.9% | ||||||||
Oil & Gas - 69.8% | ||||||||
Exxon Mobil Corp. | 8,650 | $ | 662,850 | |||||
Chevron Corp. | 4,523 | 562,842 | ||||||
ConocoPhillips | 5,048 | 307,928 | ||||||
EOG Resources, Inc. | 2,912 | 271,282 | ||||||
Phillips 66 | 2,631 | 246,104 | ||||||
Marathon Petroleum Corp. | 4,124 | 230,449 | ||||||
Occidental Petroleum Corp. | 4,501 | 226,310 | ||||||
Valero Energy Corp. | 2,640 | 226,010 | ||||||
Anadarko Petroleum Corp. | 3,124 | 220,429 | ||||||
Pioneer Natural Resources Co. | 1,215 | 186,940 | ||||||
Concho Resources, Inc. | 1,593 | 164,366 | ||||||
Hess Corp. | 2,578 | 163,884 | ||||||
Diamondback Energy, Inc. | 1,424 | 155,173 | ||||||
Continental Resources, Inc.* | 3,522 | 148,241 | ||||||
Devon Energy Corp. | 4,479 | 127,741 | ||||||
Marathon Oil Corp. | 8,877 | 126,142 | ||||||
Noble Energy, Inc. | 5,462 | 122,349 | ||||||
Apache Corp. | 4,176 | 120,979 | ||||||
BP plc ADR | 2,855 | 119,054 | ||||||
Petroleo Brasileiro S.A. ADR | 7,513 | 116,977 | ||||||
Cabot Oil & Gas Corp. — Class A | 4,999 | 114,777 | ||||||
HollyFrontier Corp. | 2,296 | 106,259 | ||||||
Royal Dutch Shell plc — Class A ADR | 1,589 | 103,396 | ||||||
Parsley Energy, Inc. — Class A* | 4,928 | 93,681 | ||||||
Cimarex Energy Co. | 1,548 | 91,843 | ||||||
Suncor Energy, Inc. | 2,844 | 88,619 | ||||||
Helmerich & Payne, Inc. | 1,696 | 85,852 | ||||||
CVR Energy, Inc. | 1,680 | 83,983 | ||||||
Canadian Natural Resources Ltd. | 3,061 | 82,555 | ||||||
WPX Energy, Inc.* | 7,119 | 81,940 | ||||||
Equities Corp. | 4,825 | 76,283 | ||||||
Murphy Oil Corp. | 3,088 | 76,119 | ||||||
PBF Energy, Inc. — Class A | 2,356 | 73,743 | ||||||
Delek US Holdings, Inc. | 1,605 | 65,035 | ||||||
Ecopetrol S.A. ADR | 3,521 | 64,399 | ||||||
PDC Energy, Inc.* | 1,611 | 58,093 | ||||||
Centennial Resource Development, Inc. — Class A* | 7,217 | 54,777 | ||||||
Whiting Petroleum Corp.* | 2,676 | 49,988 | ||||||
Range Resources Corp. | 7,007 | 48,909 | ||||||
Antero Resources Corp.* | 8,644 | 47,801 | ||||||
SM Energy Co. | 3,581 | 44,834 | ||||||
CNX Resources Corp.* | 5,994 | 43,816 | ||||||
California Resources Corp.* | 1,852 | 36,447 | ||||||
Carrizo Oil & Gas, Inc.* | 3,562 | 35,691 | ||||||
Total Oil & Gas | 6,214,890 | |||||||
Pipelines - 14.3% | ||||||||
Kinder Morgan, Inc. | 12,093 | 252,502 | ||||||
Williams Companies, Inc. | 7,751 | 217,338 | ||||||
ONEOK, Inc. | 2,877 | 197,966 | ||||||
Cheniere Energy, Inc.* | 2,278 | 155,929 | ||||||
Targa Resources Corp. | 2,854 | 112,048 | ||||||
Enbridge, Inc. | 2,783 | 100,411 | ||||||
Equitrans Midstream Corp. | 4,112 | 81,047 | ||||||
TC Energy Corp. | 1,615 | 79,975 | ||||||
Plains GP Holdings, LP — Class A* | 2,974 | 74,261 | ||||||
Total Pipelines | 1,271,477 | |||||||
Oil & Gas Services - 13.0% | ||||||||
Schlumberger Ltd. | 7,006 | 278,418 | ||||||
Baker Hughes a GE Co. | 7,455 | 183,617 | ||||||
Halliburton Co. | 7,272 | 165,365 | ||||||
National Oilwell Varco, Inc. | 5,004 | 111,239 | ||||||
TechnipFMC plc | 3,884 | 100,751 | ||||||
Core Laboratories N.V. | 1,340 | 70,055 | ||||||
Patterson-UTI Energy, Inc. | 4,857 | 55,904 | ||||||
ProPetro Holding Corp.* | 2,674 | 55,352 | ||||||
Oceaneering International, Inc.* | 2,656 | 54,156 | ||||||
RPC, Inc.1 | 6,520 | 47,009 | ||||||
US Silica Holdings, Inc. | 2,840 | 36,324 | ||||||
Total Oil & Gas Services | 1,158,190 | |||||||
Transportation - 0.9% | ||||||||
Golar LNG Ltd. | 4,270 | 78,910 | ||||||
Metal Fabricate & Hardware - 0.9% | ||||||||
Tenaris S.A. ADR | 2,911 | 76,588 | ||||||
Coal - 0.7% | ||||||||
Peabody Energy Corp. | 2,456 | 59,189 | ||||||
Energy-Alternate Sources - 0.3% | ||||||||
Renewable Energy Group, Inc.* | 1,810 | 28,707 | ||||||
Total Common Stocks | ||||||||
(Cost $4,495,494) | 8,887,951 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
JPMorgan Chase & Co. | $ | 44,934 | 44,934 | |||||
Bank of America Merrill Lynch | 11,162 | 11,162 | ||||||
Barclays Capital | 11,163 | 11,163 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $67,259) | 67,259 |
38| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
ENERGY FUND |
|
| Value | ||||||
SECURITIES LENDING COLLATERAL†,3 - 0.4% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 32,835 | $ | 32,835 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $32,835) | 32,835 | |||||||
Total Investments - 101.0% | ||||||||
(Cost $4,595,588) | $ | 8,988,045 | ||||||
Other Assets & Liabilities, net - (1.0)% | (88,591 | ) | ||||||
Total Net Assets - 100.0% | $ | 8,899,454 |
* | 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, 2019 — 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, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 8,887,951 | $ | — | $ | — | $ | 8,887,951 | ||||||||
Repurchase Agreements | — | 67,259 | — | 67,259 | ||||||||||||
Securities Lending Collateral | 32,835 | — | — | 32,835 | ||||||||||||
Total Assets | $ | 8,920,786 | $ | 67,259 | $ | — | $ | 8,988,045 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 39 |
ENERGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $31,565 of securities loaned (cost $4,528,329) | $ | 8,920,786 | ||
Repurchase agreements, at value (cost $67,259) | 67,259 | |||
Receivables: | ||||
Fund shares sold | 16,454 | |||
Dividends | 9,366 | |||
Interest | 15 | |||
Total assets | 9,013,880 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 53,927 | |||
Return of securities lending collateral | 32,835 | |||
Management fees | 5,711 | |||
Transfer agent and administrative fees | 1,680 | |||
Investor service fees | 1,680 | |||
Portfolio accounting fees | 672 | |||
Trustees’ fees* | 188 | |||
Miscellaneous | 17,733 | |||
Total liabilities | 114,426 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 8,899,454 | ||
Net assets consist of: | ||||
Paid in capital | $ | 14,016,663 | ||
Total distributable earnings (loss) | (5,117,209 | ) | ||
Net assets | $ | 8,899,454 | ||
Capital shares outstanding | 145,713 | |||
Net asset value per share | $ | 61.08 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $2,137) | $ | 156,564 | ||
Interest | 697 | |||
Income from securities lending, net | 67 | |||
Total investment income | 157,328 | |||
Expenses: | ||||
Management fees | 42,629 | |||
Investor service fees | 12,538 | |||
Transfer agent and administrative fees | 12,538 | |||
Professional fees | 7,942 | |||
Portfolio accounting fees | 5,015 | |||
Trustees’ fees* | 1,749 | |||
Custodian fees | 1,422 | |||
Line of credit fees | 10 | |||
Miscellaneous | 8,957 | |||
Total expenses | 92,800 | |||
Net investment income | 64,528 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 449,964 | |||
Net realized gain | 449,964 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 539,069 | |||
Net change in unrealized appreciation (depreciation) | 539,069 | |||
Net realized and unrealized gain | 989,033 | |||
Net increase in net assets resulting from operations | $ | 1,053,561 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
40| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
ENERGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 64,528 | $ | 9,956 | ||||
Net realized gain on investments | 449,964 | 342,155 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 539,069 | (4,513,930 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,053,561 | (4,161,819 | ) | |||||
Distributions to shareholders | — | (100,740 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 4,238,592 | 79,229,795 | ||||||
Distributions reinvested | — | 100,740 | ||||||
Cost of shares redeemed | (6,064,822 | ) | (82,713,811 | ) | ||||
Net decrease from capital share transactions | (1,826,230 | ) | (3,383,276 | ) | ||||
Net decrease in net assets | (772,669 | ) | (7,645,835 | ) | ||||
Net assets: | ||||||||
Beginning of period | 9,672,123 | 17,317,958 | ||||||
End of period | $ | 8,899,454 | $ | 9,672,123 | ||||
Capital share activity: | ||||||||
Shares sold | 67,415 | 1,057,017 | ||||||
Shares issued from reinvestment of distributions | — | 1,272 | ||||||
Shares redeemed | (96,537 | ) | (1,115,672 | ) | ||||
Net decrease in shares | (29,122 | ) | (57,383 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 41 |
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 | $ | 55.32 | $ | 74.58 | $ | 80.09 | $ | 61.43 | $ | 90.41 | $ | 123.98 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .40 | .04 | .53 | .08 | .76 | .48 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.36 | (18.95 | ) | (5.61 | ) | 18.72 | (27.58 | ) | (21.93 | ) | ||||||||||||||
Total from investment operations | 5.76 | (18.91 | ) | (5.08 | ) | 18.80 | (26.82 | ) | (21.45 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.35 | ) | (.43 | ) | (.14 | ) | (.36 | ) | (.12 | ) | |||||||||||||
Net realized gains | — | — | — | — | (1.80 | ) | (12.00 | ) | ||||||||||||||||
Total distributions | — | (.35 | ) | (.43 | ) | (.14 | ) | (2.16 | ) | (12.12 | ) | |||||||||||||
Net asset value, end of period | $ | 61.08 | $ | 55.32 | $ | 74.58 | $ | 80.09 | $ | 61.43 | $ | 90.41 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 10.41% | (25.49 | %) | (6.26 | %) | 31.37% | (30.22 | %) | (18.62 | %) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,899 | $ | 9,672 | $ | 17,318 | $ | 28,117 | $ | 19,682 | $ | 26,560 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.29 | % | 0.06 | % | 0.75 | % | 0.42 | % | 0.91 | % | 0.38 | % | ||||||||||||
Total expenses | 1.85 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 37 | % | 490 | % | 573 | % | 293 | % | 121 | % | 214 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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. |
42| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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. | 16.0% |
Baker Hughes a GE Co. | 10.6% |
Halliburton Co. | 7.9% |
National Oilwell Varco, Inc. | 6.4% |
TechnipFMC plc | 4.4% |
Helmerich & Payne, Inc. | 4.0% |
Transocean Ltd. | 3.5% |
Apergy Corp. | 3.5% |
Cactus, Inc. — Class A | 3.5% |
Patterson-UTI Energy, Inc. | 3.2% |
Top Ten Total | 63.0% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Energy Services Fund | 9.34% | (38.92%) | (24.31%) | (6.38%) |
S&P 500 Energy Index | 13.13% | (13.25%) | (5.54%) | 5.01% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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 S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
ENERGY SERVICES FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.6% | ||||||||
Oil & Gas Services - 83.2% | ||||||||
Schlumberger Ltd. | 15,621 | $ | 620,778 | |||||
Baker Hughes a GE Co. | 16,618 | 409,301 | ||||||
Halliburton Co. | 13,511 | 307,240 | ||||||
National Oilwell Varco, Inc. | 11,142 | 247,687 | ||||||
TechnipFMC plc | 6,516 | 169,025 | ||||||
Apergy Corp.* | 4,070 | 136,508 | ||||||
Patterson-UTI Energy, Inc. | 10,825 | 124,596 | ||||||
ProPetro Holding Corp.* | 5,963 | 123,434 | ||||||
Oceaneering International, Inc.* | 5,923 | 120,770 | ||||||
McDermott International, Inc.* | 12,300 | 118,818 | ||||||
Liberty Oilfield Services, Inc. — Class A1 | 7,242 | 117,176 | ||||||
Dril-Quip, Inc.* | 2,366 | 113,568 | ||||||
RPC, Inc.1 | 14,527 | 104,740 | ||||||
Core Laboratories N.V. | 1,965 | 102,730 | ||||||
Archrock, Inc. | 9,502 | 100,721 | ||||||
Oil States International, Inc.* | 4,798 | 87,803 | ||||||
US Silica Holdings, Inc. | 6,320 | 80,833 | ||||||
C&J Energy Services, Inc.* | 6,087 | 71,705 | ||||||
Keane Group, Inc.* | 10,112 | 67,953 | ||||||
Total Oil & Gas Services | 3,225,386 | |||||||
Oil & Gas - 9.9% | ||||||||
Helmerich & Payne, Inc. | 3,039 | 153,834 | ||||||
Transocean Ltd.* | 21,367 | 136,962 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 10,501 | 93,144 | ||||||
Total Oil & Gas | 383,940 | |||||||
Machinery-Diversified - 3.5% | ||||||||
Cactus, Inc. — Class A* | 4,062 | 134,533 | ||||||
Metal Fabricate & Hardware - 3.0% | ||||||||
Tenaris S.A. ADR | 4,393 | 115,580 | ||||||
Total Common Stocks | ||||||||
(Cost $2,923,655) | 3,859,439 |
| Face | |||||||
REPURCHASE AGREEMENTS††,2 - 1.4% | ||||||||
JPMorgan Chase & Co. | $ | 37,217 | 37,217 | |||||
Bank of America Merrill Lynch | 9,245 | 9,245 | ||||||
Barclays Capital | 9,245 | 9,245 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $55,707) | 55,707 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 5.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 196,862 | 196,862 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $196,862) | 196,862 | |||||||
Total Investments - 106.1% | ||||||||
(Cost $3,176,224) | $ | 4,112,008 | ||||||
Other Assets & Liabilities, net - (6.1)% | (236,003 | ) | ||||||
Total Net Assets - 100.0% | $ | 3,876,005 |
* | 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, 2019 — 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, 2019. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
44| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
ENERGY SERVICES FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 3,859,439 | $ | — | $ | — | $ | 3,859,439 | ||||||||
Repurchase Agreements | — | 55,707 | — | 55,707 | ||||||||||||
Securities Lending Collateral | 196,862 | — | — | 196,862 | ||||||||||||
Total Assets | $ | 4,056,301 | $ | 55,707 | $ | — | $ | 4,112,008 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 45 |
ENERGY SERVICES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $192,655 of securities loaned (cost $3,120,517) | $ | 4,056,301 | ||
Repurchase agreements, at value (cost $55,707) | 55,707 | |||
Receivables: | ||||
Fund shares sold | 146,974 | |||
Dividends | 7,340 | |||
Interest | 12 | |||
Securities lending income | 11 | |||
Total assets | 4,266,345 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 196,862 | |||
Securities purchased | 127,861 | |||
Fund shares redeemed | 53,798 | |||
Management fees | 2,234 | |||
Transfer agent and administrative fees | 657 | |||
Investor service fees | 657 | |||
Portfolio accounting fees | 263 | |||
Trustees’ fees* | 84 | |||
Miscellaneous | 7,924 | |||
Total liabilities | 390,340 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 3,876,005 | ||
Net assets consist of: | ||||
Paid in capital | $ | 12,708,558 | ||
Total distributable earnings (loss) | (8,832,553 | ) | ||
Net assets | $ | 3,876,005 | ||
Capital shares outstanding | 116,974 | |||
Net asset value per share | $ | 33.14 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $326) | $ | 48,193 | ||
Interest | 355 | |||
Income from securities lending, net | 152 | |||
Total investment income | 48,700 | |||
Expenses: | ||||
Management fees | 19,127 | |||
Investor service fees | 5,626 | |||
Transfer agent and administrative fees | 5,626 | |||
Professional fees | 4,534 | |||
Portfolio accounting fees | 2,250 | |||
Trustees’ fees* | 779 | |||
Custodian fees | 648 | |||
Line of credit fees | 4 | |||
Miscellaneous | 3,088 | |||
Total expenses | 41,682 | |||
Net investment income | 7,018 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (334,876 | ) | ||
Net realized loss | (334,876 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 584,422 | |||
Net change in unrealized appreciation (depreciation) | 584,422 | |||
Net realized and unrealized gain | 249,546 | |||
Net increase in net assets resulting from operations | $ | 256,564 |
* | 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. |
ENERGY SERVICES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 7,018 | $ | (9,036 | ) | |||
Net realized loss on investments | (334,876 | ) | (139,979 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 584,422 | (3,076,408 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 256,564 | (3,225,423 | ) | |||||
Distributions to shareholders | — | (203,149 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 8,008,804 | 23,622,688 | ||||||
Distributions reinvested | — | 203,149 | ||||||
Cost of shares redeemed | (7,881,367 | ) | (25,952,063 | ) | ||||
Net increase (decrease) from capital share transactions | 127,437 | (2,126,226 | ) | |||||
Net increase (decrease) in net assets | 384,001 | (5,554,798 | ) | |||||
Net assets: | ||||||||
Beginning of period | 3,492,004 | 9,046,802 | ||||||
End of period | $ | 3,876,005 | $ | 3,492,004 | ||||
Capital share activity: | ||||||||
Shares sold | 225,206 | 441,752 | ||||||
Shares issued from reinvestment of distributions | — | 3,791 | ||||||
Shares redeemed | (223,439 | ) | (487,404 | ) | ||||
Net increase (decrease) in shares | 1,767 | (41,861 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 47 |
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 | $ | 30.31 | $ | 57.60 | $ | 70.80 | $ | 58.00 | $ | 85.24 | $ | 132.25 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .05 | (.07 | ) | 1.11 | (.03 | ) | .66 | .36 | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 2.78 | (25.46 | ) | (14.31 | ) | 12.92 | (27.60 | ) | (37.41 | ) | ||||||||||||||
Total from investment operations | 2.83 | (25.53 | ) | (13.20 | ) | 12.89 | (26.94 | ) | (37.05 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.76 | ) | — | (.09 | ) | (.30 | ) | — | |||||||||||||||
Net realized gains | — | — | — | — | — | (9.96 | ) | |||||||||||||||||
Total distributions | — | (1.76 | ) | — | (.09 | ) | (.30 | ) | (9.96 | ) | ||||||||||||||
Net asset value, end of period | $ | 33.14 | $ | 30.31 | $ | 57.60 | $ | 70.80 | $ | 58.00 | $ | 85.24 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 9.34% | (45.65 | %) | (18.64 | %) | 23.15% | (31.70 | %) | (29.34 | %) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,876 | $ | 3,492 | $ | 9,047 | $ | 13,770 | $ | 11,475 | $ | 15,843 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.31 | % | (0.13 | %) | 1.92 | % | (0.26 | %) | 0.85 | % | 0.29 | % | ||||||||||||
Total expenses | 1.85 | % | 1.71 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 165 | % | 331 | % | 338 | % | 291 | % | 175 | % | 220 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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. |
48| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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 | 3.2% |
JPMorgan Chase & Co. | 2.6% |
Bank of America Corp. | 2.3% |
Wells Fargo & Co. | 2.0% |
Citigroup, Inc. | 1.8% |
American Express Co. | 1.4% |
American Tower Corp. — Class A | 1.3% |
Goldman Sachs Group, Inc. | 1.3% |
U.S. Bancorp | 1.3% |
BlackRock, Inc. — Class A | 1.2% |
Top Ten Total | 18.4% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Financial Services Fund | 18.20% | 5.72% | 7.24% | 10.95% |
S&P 500 Financials Index | 17.24% | 6.31% | 10.58% | 13.09% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
FINANCIAL SERVICES FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.4% | ||||||||
Banks - 30.0% | ||||||||
JPMorgan Chase & Co. | 2,328 | $ | 260,270 | |||||
Bank of America Corp. | 7,897 | 229,013 | ||||||
Wells Fargo & Co. | 4,248 | 201,015 | ||||||
Citigroup, Inc. | 2,499 | 175,005 | ||||||
Goldman Sachs Group, Inc. | 610 | 124,806 | ||||||
U.S. Bancorp | 2,378 | 124,607 | ||||||
Morgan Stanley | 2,661 | 116,578 | ||||||
PNC Financial Services Group, Inc. | 804 | 110,373 | ||||||
Bank of New York Mellon Corp. | 2,020 | 89,183 | ||||||
BB&T Corp. | 1,706 | 83,816 | ||||||
SunTrust Banks, Inc. | 1,144 | 71,900 | ||||||
M&T Bank Corp. | 401 | 68,198 | ||||||
State Street Corp. | 1,125 | 63,068 | ||||||
Northern Trust Corp. | 695 | 62,550 | ||||||
Fifth Third Bancorp | 2,225 | 62,078 | ||||||
KeyCorp | 3,291 | 58,415 | ||||||
First Republic Bank | 578 | 56,442 | ||||||
Citizens Financial Group, Inc. | 1,569 | 55,480 | ||||||
Regions Financial Corp. | 3,577 | 53,440 | ||||||
Huntington Bancshares, Inc. | 3,796 | 52,461 | ||||||
HDFC Bank Ltd. ADR | 397 | 51,626 | ||||||
ICICI Bank Ltd. ADR | 4,066 | 51,191 | ||||||
Popular, Inc. | 907 | 49,196 | ||||||
SVB Financial Group* | 219 | 49,185 | ||||||
Toronto-Dominion Bank1 | 830 | 48,439 | ||||||
Comerica, Inc. | 651 | 47,289 | ||||||
Royal Bank of Canada | 580 | 46,052 | ||||||
Zions Bancorp North America | 880 | 40,462 | ||||||
Signature Bank | 301 | 36,373 | ||||||
East West Bancorp, Inc. | 777 | 36,340 | ||||||
Commerce Bancshares, Inc. | 608 | 36,273 | ||||||
Synovus Financial Corp. | 951 | 33,285 | ||||||
First Horizon National Corp. | 2,026 | 30,248 | ||||||
PacWest Bancorp | 765 | 29,705 | ||||||
Pinnacle Financial Partners, Inc. | 502 | 28,855 | ||||||
Wintrust Financial Corp. | 393 | 28,752 | ||||||
IBERIABANK Corp. | 379 | 28,747 | ||||||
Bank OZK | 912 | 27,442 | ||||||
Umpqua Holdings Corp. | 1,595 | 26,461 | ||||||
First Hawaiian, Inc. | 1,010 | 26,129 | ||||||
Associated Banc-Corp. | 1,216 | 25,706 | ||||||
Hancock Whitney Corp. | 641 | 25,679 | ||||||
Texas Capital Bancshares, Inc.* | 403 | 24,732 | ||||||
Total Banks | 2,946,865 | |||||||
REITs - 28.4% | ||||||||
American Tower Corp. — Class A | 634 | 129,621 | ||||||
Crown Castle International Corp. | 760 | 99,066 | ||||||
Simon Property Group, Inc. | 609 | 97,294 | ||||||
Prologis, Inc. | 1,211 | 97,001 | ||||||
Equinix, Inc. | 189 | 95,311 | ||||||
Public Storage | 378 | 90,028 | ||||||
Welltower, Inc. | 960 | 78,269 | ||||||
AvalonBay Communities, Inc. | 367 | 74,567 | ||||||
Equity Residential | 965 | 73,263 | ||||||
Digital Realty Trust, Inc. | 586 | 69,025 | ||||||
Ventas, Inc. | 1,000 | 68,350 | ||||||
SBA Communications Corp.* | 295 | 66,328 | ||||||
Realty Income Corp. | 923 | 63,659 | ||||||
Essex Property Trust, Inc. | 213 | 62,181 | ||||||
Weyerhaeuser Co. | 2,326 | 61,267 | ||||||
Boston Properties, Inc. | 471 | 60,759 | ||||||
Alexandria Real Estate Equities, Inc. | 395 | 55,731 | ||||||
HCP, Inc. | 1,662 | 53,151 | ||||||
Mid-America Apartment Communities, Inc. | 443 | 52,168 | ||||||
Extra Space Storage, Inc. | 485 | 51,458 | ||||||
Invitation Homes, Inc. | 1,911 | 51,081 | ||||||
Host Hotels & Resorts, Inc. | 2,768 | 50,433 | ||||||
Annaly Capital Management, Inc. | 5,470 | 49,941 | ||||||
UDR, Inc. | 1,088 | 48,840 | ||||||
Vornado Realty Trust | 756 | 48,460 | ||||||
Regency Centers Corp. | 690 | 46,051 | ||||||
Duke Realty Corp. | 1,455 | 45,993 | ||||||
Camden Property Trust | 428 | 44,679 | ||||||
Federal Realty Investment Trust | 338 | 43,521 | ||||||
AGNC Investment Corp. | 2,441 | 41,058 | ||||||
Iron Mountain, Inc. | 1,309 | 40,972 | ||||||
VICI Properties, Inc. | 1,835 | 40,443 | ||||||
National Retail Properties, Inc. | 761 | 40,341 | ||||||
Gaming and Leisure Properties, Inc. | 1,005 | 39,175 | ||||||
Lamar Advertising Co. — Class A | 485 | 39,144 | ||||||
Apartment Investment & Management Co. — Class A | 761 | 38,141 | ||||||
Kilroy Realty Corp. | 516 | 38,086 | ||||||
Kimco Realty Corp. | 2,057 | 38,013 | ||||||
Liberty Property Trust | 757 | 37,880 | ||||||
Omega Healthcare Investors, Inc. | 1,023 | 37,595 | ||||||
STORE Capital Corp. | 1,113 | 36,940 | ||||||
American Homes 4 Rent — Class A | 1,505 | 36,587 | ||||||
Douglas Emmett, Inc. | 910 | 36,254 | ||||||
SL Green Realty Corp. | 451 | 36,247 | ||||||
CyrusOne, Inc. | 613 | 35,382 | ||||||
CubeSmart | 1,042 | 34,844 | ||||||
New Residential Investment Corp. | 2,220 | 34,166 | ||||||
Park Hotels & Resorts, Inc. | 1,164 | 32,080 | ||||||
Brixmor Property Group, Inc. | 1,761 | 31,487 | ||||||
Macerich Co. | 893 | 29,907 | ||||||
Sabra Health Care REIT, Inc. | 1,319 | 25,971 | ||||||
PotlatchDeltic Corp. | 579 | 22,569 | ||||||
Senior Housing Properties Trust | 2,310 | 19,104 | ||||||
Uniti Group, Inc. | 1,803 | 17,128 | ||||||
Total REITs | 2,787,010 | |||||||
Insurance - 19.9% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 1,487 | 316,984 | ||||||
Marsh & McLennan Companies, Inc. | 992 | 98,952 | ||||||
MetLife, Inc. | 1,903 | 94,522 | ||||||
Progressive Corp. | 1,170 | 93,518 | ||||||
American International Group, Inc. | 1,729 | 92,121 | ||||||
Chubb Ltd. | 598 | 88,080 | ||||||
Prudential Financial, Inc. | 869 | 87,769 |
50| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
FINANCIAL SERVICES FUND |
|
| Value | ||||||
Aflac, Inc. | 1,590 | $ | 87,148 | |||||
Travelers Companies, Inc. | 564 | 84,329 | ||||||
Allstate Corp. | 778 | 79,115 | ||||||
Willis Towers Watson plc | 346 | 66,273 | ||||||
Hartford Financial Services Group, Inc. | 1,122 | 62,518 | ||||||
Aon plc | 302 | 58,280 | ||||||
Loews Corp. | 1,030 | 56,310 | ||||||
Arthur J Gallagher & Co. | 641 | 56,145 | ||||||
Principal Financial Group, Inc. | 960 | 55,603 | ||||||
Cincinnati Financial Corp. | 533 | 55,256 | ||||||
Arch Capital Group Ltd.* | 1,405 | 52,097 | ||||||
Lincoln National Corp. | 783 | 50,464 | ||||||
Everest Re Group Ltd. | 194 | 47,953 | ||||||
Fidelity National Financial, Inc. | 1,130 | 45,539 | ||||||
AXA Equitable Holdings, Inc. | 2,096 | 43,806 | ||||||
Voya Financial, Inc. | 714 | 39,484 | ||||||
Athene Holding Ltd. — Class A* | 892 | 38,410 | ||||||
Unum Group | 1,101 | 36,939 | ||||||
Assurant, Inc. | 340 | 36,169 | ||||||
Brighthouse Financial, Inc.* | 764 | 28,031 | ||||||
Total Insurance | 1,951,815 | |||||||
Diversified Financial Services - 16.1% | ||||||||
American Express Co. | 1,129 | 139,364 | ||||||
BlackRock, Inc. — Class A | 261 | 122,487 | ||||||
CME Group, Inc. — Class A | 588 | 114,137 | ||||||
Charles Schwab Corp. | 2,478 | 99,591 | ||||||
Intercontinental Exchange, Inc. | 1,102 | 94,706 | ||||||
Capital One Financial Corp. | 984 | 89,288 | ||||||
TD Ameritrade Holding Corp. | 1,445 | 72,134 | ||||||
T. Rowe Price Group, Inc. | 650 | 71,312 | ||||||
Discover Financial Services | 879 | 68,202 | ||||||
Synchrony Financial | 1,938 | 67,191 | ||||||
Interactive Brokers Group, Inc. — Class A | 1,205 | 65,311 | ||||||
Ameriprise Financial, Inc. | 420 | 60,967 | ||||||
Franklin Resources, Inc. | 1,677 | 58,360 | ||||||
Nasdaq, Inc. | 566 | 54,432 | ||||||
Raymond James Financial, Inc. | 580 | 49,039 | ||||||
Ally Financial, Inc. | 1,575 | 48,809 | ||||||
Cboe Global Markets, Inc. | 451 | 46,737 | ||||||
E*TRADE Financial Corp. | 1,008 | 44,957 | ||||||
Invesco Ltd. | 2,092 | 42,802 | ||||||
SEI Investments Co. | 718 | 40,280 | ||||||
LPL Financial Holdings, Inc. | 443 | 36,136 | ||||||
Jefferies Financial Group, Inc. | 1,715 | 32,979 | ||||||
LendingTree, Inc.* | 75 | 31,502 | ||||||
Affiliated Managers Group, Inc. | 338 | 31,143 | ||||||
Total Diversified Financial Services | 1,581,866 | |||||||
Commercial Services - 2.4% | ||||||||
S&P Global, Inc. | 461 | 105,011 | ||||||
Moody’s Corp. | 421 | 82,225 | ||||||
MarketAxess Holdings, Inc. | 149 | 47,892 | ||||||
Total Commercial Services | 235,128 | |||||||
Savings & Loans - 0.9% | ||||||||
People’s United Financial, Inc. | 2,132 | 35,775 | ||||||
Sterling Bancorp | 1,377 | 29,302 | ||||||
Investors Bancorp, Inc. | 2,179 | 24,296 | ||||||
Total Savings & Loans | 89,373 | |||||||
Software - 0.6% | ||||||||
MSCI, Inc. — Class A | 271 | 64,712 | ||||||
Private Equity - 0.6% | ||||||||
KKR & Company, Inc. — Class A | 2,550 | 64,439 | ||||||
Media - 0.5% | ||||||||
FactSet Research Systems, Inc. | 160 | 45,850 | ||||||
Total Common Stocks | ||||||||
(Cost $5,543,805) | 9,767,058 | |||||||
SECURITIES LENDING COLLATERAL†,2 - 0.4% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%3 | 37,009 | 37,009 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $37,009) | 37,009 | |||||||
Total Investments - 99.8% | ||||||||
(Cost $5,580,814) | $ | 9,804,067 | ||||||
Other Assets & Liabilities, net - 0.2% | 18,905 | |||||||
Total Net Assets - 100.0% | $ | 9,822,972 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2019 — See Note 7. |
2 | Securities lending collateral — See Note 7. |
3 | Rate indicated is the 7-day yield as of June 30, 2019. |
ADR — American Depositary Receipt | |
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| 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
FINANCIAL SERVICES FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 9,767,058 | $ | — | $ | — | $ | 9,767,058 | ||||||||
Securities Lending Collateral | 37,009 | — | — | 37,009 | ||||||||||||
Total Assets | $ | 9,804,067 | $ | — | $ | — | $ | 9,804,067 |
52| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL SERVICES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $36,300 of securities loaned (cost $5,580,814) | $ | 9,804,067 | ||
Cash | 236 | |||
Receivables: | ||||
Securities sold | 137,187 | |||
Dividends | 20,033 | |||
Fund shares sold | 1,787 | |||
Foreign tax reclaims | 59 | |||
Total assets | 9,963,369 | |||
Liabilities: | ||||
Line of credit | 76,000 | |||
Payable for: | ||||
Return of securities lending collateral | 37,009 | |||
Management fees | 6,287 | |||
Professional fees | 6,202 | |||
Transfer agent and administrative fees | 1,849 | |||
Investor service fees | 1,849 | |||
Fund shares redeemed | 1,497 | |||
Portfolio accounting fees | 740 | |||
Trustees’ fees* | 158 | |||
Miscellaneous | 8,806 | |||
Total liabilities | 140,397 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 9,822,972 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,561,296 | ||
Total distributable earnings (loss) | 3,261,676 | |||
Net assets | $ | 9,822,972 | ||
Capital shares outstanding | 113,126 | |||
Net asset value per share | $ | 86.83 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $285) | $ | 120,239 | ||
Interest | 573 | |||
Income from securities lending, net | 5 | |||
Total investment income | 120,817 | |||
Expenses: | ||||
Management fees | 36,228 | |||
Investor service fees | 10,655 | |||
Transfer agent and administrative fees | 10,655 | |||
Professional fees | 11,587 | |||
Portfolio accounting fees | 4,262 | |||
Trustees’ fees* | 1,515 | |||
Custodian fees | 1,275 | |||
Line of credit fees | 30 | |||
Miscellaneous | 2,548 | |||
Total expenses | 78,755 | |||
Net investment income | 42,062 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 125,526 | |||
Net realized gain | 125,526 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,137,864 | |||
Net change in unrealized appreciation (depreciation) | 1,137,864 | |||
Net realized and unrealized gain | 1,263,390 | |||
Net increase in net assets resulting from operations | $ | 1,305,452 |
* | 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| 53 |
FINANCIAL SERVICES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 42,062 | $ | 61,540 | ||||
Net realized gain on investments | 125,526 | 914,802 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,137,864 | (2,021,689 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,305,452 | (1,045,347 | ) | |||||
Distributions to shareholders | — | (80,650 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 9,658,453 | 48,162,381 | ||||||
Distributions reinvested | — | 80,650 | ||||||
Cost of shares redeemed | (8,239,341 | ) | (56,375,926 | ) | ||||
Net increase (decrease) from capital share transactions | 1,419,112 | (8,132,895 | ) | |||||
Net increase (decrease) in net assets | 2,724,564 | (9,258,892 | ) | |||||
Net assets: | ||||||||
Beginning of period | 7,098,408 | 16,357,300 | ||||||
End of period | $ | 9,822,972 | $ | 7,098,408 | ||||
Capital share activity: | ||||||||
Shares sold | 115,838 | 576,992 | ||||||
Shares issued from reinvestment of distributions | — | 963 | ||||||
Shares redeemed | (99,342 | ) | (674,978 | ) | ||||
Net increase (decrease) in shares | 16,496 | (97,023 | ) |
54| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 73.46 | $ | 84.47 | $ | 73.42 | $ | 64.46 | $ | 67.34 | $ | 60.15 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .41 | .45 | .77 | — | c | .72 | .27 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 12.96 | (10.74 | ) | 10.63 | 9.32 | (3.36 | ) | 7.28 | ||||||||||||||||
Total from investment operations | 13.37 | (10.29 | ) | 11.40 | 9.32 | (2.64 | ) | 7.55 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.72 | ) | (.35 | ) | (.36 | ) | (.24 | ) | (.36 | ) | |||||||||||||
Total distributions | — | (.72 | ) | (.35 | ) | (.36 | ) | (.24 | ) | (.36 | ) | |||||||||||||
Net asset value, end of period | $ | 86.83 | $ | 73.46 | $ | 84.47 | $ | 73.42 | $ | 64.46 | $ | 67.34 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | 18.20% | (12.28 | %) | 15.57% | 15.83% | (3.99 | %) | 12.58% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,823 | $ | 7,098 | $ | 16,357 | $ | 16,230 | $ | 13,963 | $ | 13,743 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.99 | % | 0.54 | % | 1.00 | % | — | f | 1.09 | % | 0.41 | % | ||||||||||||
Total expenses | 1.85 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 83 | % | 403 | % | 364 | % | 329 | % | 213 | % | 215 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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%. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 55 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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 | 3.5% |
Pfizer, Inc. | 2.8% |
UnitedHealth Group, Inc. | 2.8% |
Merck & Company, Inc. | 2.7% |
Abbott Laboratories | 2.2% |
Thermo Fisher Scientific, Inc. | 2.0% |
Amgen, Inc. | 1.9% |
Eli Lilly & Co. | 1.9% |
AbbVie, Inc. | 1.9% |
Danaher Corp. | 1.9% |
Top Ten Total | 23.6% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Health Care Fund | 12.58% | 7.17% | 8.51% | 13.93% |
S&P 500 Health Care Index | 8.07% | 12.99% | 10.61% | 15.52% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
HEALTH CARE FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.8% | ||||||||
Pharmaceuticals - 33.8% | ||||||||
Johnson & Johnson | 5,006 | $ | 697,236 | |||||
Pfizer, Inc. | 13,023 | 564,156 | ||||||
Merck & Company, Inc. | 6,386 | 535,466 | ||||||
Eli Lilly & Co. | 3,349 | 371,036 | ||||||
AbbVie, Inc. | 5,089 | 370,072 | ||||||
CVS Health Corp. | 5,690 | 310,048 | ||||||
Allergan plc | 1,832 | 306,732 | ||||||
Bristol-Myers Squibb Co. | 6,718 | 304,661 | ||||||
Cigna Corp. | 1,771 | 279,021 | ||||||
Zoetis, Inc. | 2,378 | 269,879 | ||||||
McKesson Corp. | 1,389 | 186,668 | ||||||
Teva Pharmaceutical Industries Ltd. ADR* | 17,374 | 160,362 | ||||||
AmerisourceBergen Corp. — Class A | 1,826 | 155,685 | ||||||
Jazz Pharmaceuticals plc* | 995 | 141,847 | ||||||
Cardinal Health, Inc. | 2,991 | 140,876 | ||||||
AstraZeneca plc ADR | 3,322 | 137,132 | ||||||
DexCom, Inc.* | 893 | 133,807 | ||||||
Canopy Growth Corp.*,1 | 3,314 | 133,587 | ||||||
Sarepta Therapeutics, Inc.* | 879 | 133,564 | ||||||
Elanco Animal Health, Inc.* | 3,797 | 128,339 | ||||||
Novartis AG ADR | 1,393 | 127,195 | ||||||
Perrigo Company plc | 2,581 | 122,907 | ||||||
Alkermes plc* | 5,227 | 117,817 | ||||||
Mylan N.V.* | 6,175 | 117,572 | ||||||
Array BioPharma, Inc.* | 2,522 | 116,844 | ||||||
Tilray, Inc. — Class 2*,1 | 2,410 | 112,210 | ||||||
Bausch Health Companies, Inc.* | 4,441 | 112,002 | ||||||
Neurocrine Biosciences, Inc.* | 1,202 | 101,485 | ||||||
PRA Health Sciences, Inc.* | 956 | 94,787 | ||||||
Nektar Therapeutics* | 2,605 | 92,686 | ||||||
Global Blood Therapeutics, Inc.* | 1,103 | 58,018 | ||||||
Heron Therapeutics, Inc.* | 2,414 | 44,876 | ||||||
Mallinckrodt plc* | 3,552 | 32,607 | ||||||
Total Pharmaceuticals | 6,711,180 | |||||||
Healthcare-Products - 28.8% | ||||||||
Abbott Laboratories | 5,253 | 441,777 | ||||||
Thermo Fisher Scientific, Inc. | 1,350 | 396,468 | ||||||
Danaher Corp. | 2,585 | 369,448 | ||||||
Stryker Corp. | 1,574 | 323,583 | ||||||
Becton Dickinson and Co. | 1,208 | 304,428 | ||||||
Boston Scientific Corp.* | 6,665 | 286,462 | ||||||
Intuitive Surgical, Inc.* | 546 | 286,404 | ||||||
Medtronic plc | 2,930 | 285,353 | ||||||
Baxter International, Inc. | 2,890 | 236,691 | ||||||
Edwards Lifesciences Corp.* | 1,202 | 222,058 | ||||||
IDEXX Laboratories, Inc.* | 650 | 178,965 | ||||||
Zimmer Biomet Holdings, Inc. | 1,515 | 178,376 | ||||||
Align Technology, Inc.* | 619 | 169,420 | ||||||
ResMed, Inc. | 1,271 | 155,100 | ||||||
Cooper Companies, Inc. | 449 | 151,264 | ||||||
Teleflex, Inc. | 431 | 142,726 | ||||||
Dentsply Sirona, Inc. | 2,337 | 136,387 | ||||||
Hologic, Inc.* | 2,713 | 130,278 | ||||||
Varian Medical Systems, Inc.* | 948 | 129,051 | ||||||
ABIOMED, Inc.* | 487 | 126,859 | ||||||
Alcon, Inc.* | 1,986 | 123,231 | ||||||
Henry Schein, Inc.* | 1,708 | 119,389 | ||||||
LivaNova plc* | 1,551 | 111,610 | ||||||
Masimo Corp.* | 703 | 104,621 | ||||||
Bio-Techne Corp. | 489 | 101,952 | ||||||
Insulet Corp.* | 827 | 98,727 | ||||||
ICU Medical, Inc.* | 333 | 83,886 | ||||||
Integra LifeSciences Holdings Corp.* | 1,462 | 81,653 | ||||||
Tandem Diabetes Care, Inc.* | 1,093 | 70,520 | ||||||
NuVasive, Inc.* | 1,107 | 64,804 | ||||||
Patterson Companies, Inc. | 2,339 | 53,563 | ||||||
Inogen, Inc.* | 644 | 42,993 | ||||||
Total Healthcare-Products | 5,708,047 | |||||||
Biotechnology - 18.6% | ||||||||
Amgen, Inc. | 2,092 | 385,514 | ||||||
Gilead Sciences, Inc. | 4,941 | 333,814 | ||||||
Celgene Corp.* | 3,099 | 286,472 | ||||||
Illumina, Inc.* | 739 | 272,063 | ||||||
Vertex Pharmaceuticals, Inc.* | 1,369 | 251,047 | ||||||
Biogen, Inc.* | 1,050 | 245,563 | ||||||
Regeneron Pharmaceuticals, Inc.* | 682 | 213,466 | ||||||
Alexion Pharmaceuticals, Inc.* | 1,543 | 202,102 | ||||||
Incyte Corp.* | 1,805 | 153,353 | ||||||
Exact Sciences Corp.* | 1,218 | 143,773 | ||||||
BioMarin Pharmaceutical, Inc.* | 1,665 | 142,607 | ||||||
Seattle Genetics, Inc.* | 1,732 | 119,872 | ||||||
Sage Therapeutics, Inc.* | 611 | 111,868 | ||||||
Ionis Pharmaceuticals, Inc.* | 1,700 | 109,259 | ||||||
Alnylam Pharmaceuticals, Inc.* | 1,395 | 101,221 | ||||||
Bluebird Bio, Inc.* | 792 | 100,742 | ||||||
Exelixis, Inc.* | 4,348 | 92,917 | ||||||
ACADIA Pharmaceuticals, Inc.* | 2,701 | 72,198 | ||||||
United Therapeutics Corp.* | 875 | 68,302 | ||||||
Immunomedics, Inc.*,1 | 4,470 | 61,999 | ||||||
PTC Therapeutics, Inc.* | 1,346 | 60,570 | ||||||
Intercept Pharmaceuticals, Inc.* | 733 | 58,325 | ||||||
Myriad Genetics, Inc.* | 2,037 | 56,588 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 487 | 55,591 | ||||||
Total Biotechnology | 3,699,226 | |||||||
Healthcare-Services - 13.5% | ||||||||
UnitedHealth Group, Inc. | 2,238 | 546,094 | ||||||
Anthem, Inc. | 1,082 | 305,351 | ||||||
HCA Healthcare, Inc. | 1,901 | 256,958 | ||||||
Humana, Inc. | 820 | 217,546 | ||||||
IQVIA Holdings, Inc.* | 1,298 | 208,848 | ||||||
Centene Corp.* | 3,137 | 164,504 | ||||||
Laboratory Corporation of America Holdings* | 869 | 150,250 | ||||||
Quest Diagnostics, Inc. | 1,328 | 135,204 | ||||||
WellCare Health Plans, Inc.* | 473 | 134,838 | ||||||
Universal Health Services, Inc. — Class B | 985 | 128,434 | ||||||
DaVita, Inc.* | 2,043 | 114,939 | ||||||
Molina Healthcare, Inc.* | 747 | 106,926 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 57 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
HEALTH CARE FUND |
|
| Value | ||||||
Teladoc Health, Inc.* | 1,218 | $ | 80,888 | |||||
Amedisys, Inc.* | 589 | 71,511 | ||||||
Acadia Healthcare Company, Inc.* | 1,846 | 64,518 | ||||||
Total Healthcare-Services | 2,686,809 | |||||||
Electronics - 2.5% | ||||||||
Agilent Technologies, Inc. | 2,406 | 179,656 | ||||||
Mettler-Toledo International, Inc.* | 201 | 168,840 | ||||||
Waters Corp.* | 662 | 142,489 | ||||||
Total Electronics | 490,985 | |||||||
Software - 2.2% | ||||||||
Cerner Corp. | 2,447 | 179,365 | ||||||
Veeva Systems, Inc. — Class A* | 1,080 | 175,079 | ||||||
Medidata Solutions, Inc.* | 952 | 86,165 | ||||||
Total Software | 440,609 | |||||||
Commercial Services - 0.4% | ||||||||
HealthEquity, Inc.* | 1,123 | 73,444 | ||||||
Total Common Stocks | ||||||||
(Cost $8,780,969) | 19,810,300 | |||||||
| Face | |||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
JPMorgan Chase & Co. | $ | 92,692 | 92,692 | |||||
Bank of America Merrill Lynch | 23,026 | 23,026 | ||||||
Barclays Capital | 23,026 | 23,026 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $138,744) | 138,744 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 197,414 | 197,414 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $197,414) | 197,414 | |||||||
Total Investments - 101.5% | ||||||||
(Cost $9,117,127) | $ | 20,146,458 | ||||||
Other Assets & Liabilities, net - (1.5)% | (301,403 | ) | ||||||
Total Net Assets - 100.0% | $ | 19,845,055 |
* | 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, 2019 — 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, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 19,810,300 | $ | — | $ | — | $ | 19,810,300 | ||||||||
Repurchase Agreements | — | 138,744 | — | 138,744 | ||||||||||||
Securities Lending Collateral | 197,414 | — | — | 197,414 | ||||||||||||
Total Assets | $ | 20,007,714 | $ | 138,744 | $ | — | $ | 20,146,458 |
58| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HEALTH CARE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $192,531 of securities loaned (cost $8,978,383) | $ | 20,007,714 | ||
Repurchase agreements, at value (cost $138,744) | 138,744 | |||
Receivables: | ||||
Dividends | 9,039 | |||
Foreign tax reclaims | 1,306 | |||
Securities lending income | 1,090 | |||
Fund shares sold | 457 | |||
Interest | 29 | |||
Total assets | 20,158,379 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 197,414 | |||
Fund shares redeemed | 58,418 | |||
Management fees | 12,100 | |||
Transfer agent and administrative fees | 3,559 | |||
Investor service fees | 3,559 | |||
Portfolio accounting fees | 1,424 | |||
Trustees’ fees* | 386 | |||
Miscellaneous | 36,464 | |||
Total liabilities | 313,324 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | 19,845,055 | |||
Net assets consist of: | ||||
Paid in capital | $ | 9,485,582 | ||
Total distributable earnings (loss) | 10,359,473 | |||
Net assets | $ | 19,845,055 | ||
Capital shares outstanding | 282,566 | |||
Net asset value per share | $ | 70.23 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $701) | $ | 115,905 | ||
Interest | 1,452 | |||
Income from securities lending, net | 8,989 | |||
Total investment income | 126,346 | |||
Expenses: | ||||
Management fees | 88,359 | |||
Investor service fees | 25,988 | |||
Transfer agent and administrative fees | 25,988 | |||
Professional fees | 18,162 | |||
Portfolio accounting fees | 10,395 | |||
Trustees’ fees* | 3,094 | |||
Custodian fees | 2,493 | |||
Line of credit fees | 45 | |||
Miscellaneous | 17,889 | |||
Total expenses | 192,413 | |||
Net investment loss | (66,067 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,692,932 | |||
Net realized gain | 1,692,932 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 899,625 | |||
Net change in unrealized appreciation (depreciation) | 899,625 | |||
Net realized and unrealized gain | 2,592,557 | |||
Net increase in net assets resulting from operations | 2,526,490 |
* | 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| 59 |
HEALTH CARE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (66,067 | ) | $ | (173,935 | ) | ||
Net realized gain on investments | 1,692,932 | 1,244,879 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 899,625 | (1,637,146 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 2,526,490 | (566,202 | ) | |||||
Distributions to shareholders | — | (331,012 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 19,391,130 | 48,533,376 | ||||||
Distributions reinvested | — | 331,012 | ||||||
Cost of shares redeemed | (22,509,784 | ) | (50,187,301 | ) | ||||
Net decrease from capital share transactions | (3,118,654 | ) | (1,322,913 | ) | ||||
Net decrease in net assets | (592,164 | ) | (2,220,127 | ) | ||||
Net assets: | ||||||||
Beginning of period | 20,437,219 | 22,657,346 | ||||||
End of period | $ | 19,845,055 | $ | 20,437,219 | ||||
Capital share activity: | ||||||||
Shares sold | 286,591 | 720,012 | ||||||
Shares issued from reinvestment of distributions | — | 4,840 | ||||||
Shares redeemed | (331,635 | ) | (760,178 | ) | ||||
Net decrease in shares | (45,044 | ) | (35,326 | ) |
60| 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 | $ | 62.38 | $ | 62.43 | $ | 52.62 | $ | 60.47 | $ | 58.82 | $ | 48.91 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.21 | ) | (.48 | ) | (.44 | ) | (.37 | ) | (.30 | ) | (.31 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.06 | 1.33 | d | 12.39 | (5.36 | ) | 3.11 | 12.29 | ||||||||||||||||
Total from investment operations | 7.85 | .85 | 11.95 | (5.73 | ) | 2.81 | 11.98 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (.90 | ) | (2.14 | ) | (2.12 | ) | (1.16 | ) | (2.07 | ) | |||||||||||||
Total distributions | — | (.90 | ) | (2.14 | ) | (2.12 | ) | (1.16 | ) | (2.07 | ) | |||||||||||||
Net asset value, end of period | $ | 70.23 | $ | 62.38 | $ | 62.43 | $ | 52.62 | $ | 60.47 | $ | 58.82 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 12.58% | 1.25% | 22.86% | (9.70 | %) | 4.53% | 24.62% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 19,845 | $ | 20,437 | $ | 22,657 | $ | 18,778 | $ | 36,849 | $ | 43,294 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.64 | %) | (0.72 | %) | (0.73 | %) | (0.67 | %) | (0.47 | %) | (0.57 | %) | ||||||||||||
Total expenses | 1.85 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.59 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 91 | % | 194 | % | 156 | % | 146 | % | 154 | % | 176 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the year because of the sales and purchases 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| 61 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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. | 7.9% |
Alphabet, Inc. — Class A | 7.0% |
Facebook, Inc. — Class A | 6.1% |
Cisco Systems, Inc. | 3.9% |
Alibaba Group Holding Ltd. ADR | 3.3% |
Netflix, Inc. | 3.3% |
PayPal Holdings, Inc. | 3.0% |
salesforce.com, Inc. | 2.8% |
Booking Holdings, Inc. | 2.3% |
Baidu, Inc. ADR | 1.7% |
Top Ten Total | 41.3% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Internet Fund | 23.56% | 2.38% | 12.73% | 16.06% |
S&P 500 Information Technology Index | 27.13% | 14.34% | 18.53% | 18.57% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance returns do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
INTERNET FUND |
|
| Value | ||||||
COMMON STOCKS† - 100.0% | ||||||||
Internet - 59.0% | ||||||||
Amazon.com, Inc.* | 424 | $ | 802,899 | |||||
Alphabet, Inc. — Class A* | 653 | 707,068 | ||||||
Facebook, Inc. — Class A* | 3,214 | 620,302 | ||||||
Alibaba Group Holding Ltd. ADR* | 1,974 | 334,494 | ||||||
Netflix, Inc.* | 905 | 332,425 | ||||||
Booking Holdings, Inc.* | 126 | 236,213 | ||||||
Baidu, Inc. ADR* | 1,496 | 175,571 | ||||||
eBay, Inc. | 3,906 | 154,287 | ||||||
JD.com, Inc. ADR* | 4,885 | 147,967 | ||||||
Twitter, Inc.* | 3,868 | 134,993 | ||||||
VeriSign, Inc.* | 629 | 131,562 | ||||||
Expedia Group, Inc. | 888 | 118,131 | ||||||
Match Group, Inc.1 | 1,723 | 115,906 | ||||||
Palo Alto Networks, Inc.* | 565 | 115,124 | ||||||
IAC/InterActiveCorp* | 520 | 113,116 | ||||||
Ctrip.com International Ltd. ADR* | 2,753 | 101,613 | ||||||
Okta, Inc.* | 776 | 95,844 | ||||||
Wayfair, Inc. — Class A* | 641 | 93,586 | ||||||
MercadoLibre, Inc.* | 152 | 92,989 | ||||||
GoDaddy, Inc. — Class A* | 1,310 | 91,897 | ||||||
Weibo Corp. ADR*,1 | 1,943 | 84,618 | ||||||
Pinduoduo, Inc. ADR* | 3,995 | 82,417 | ||||||
Zillow Group, Inc. — Class A* | 1,797 | 82,231 | ||||||
Zillow Group, Inc. — Class C* | 1,770 | 82,110 | ||||||
Shopify, Inc. — Class A* | 267 | 80,140 | ||||||
F5 Networks, Inc.* | 542 | 78,931 | ||||||
GrubHub, Inc.* | 940 | 73,311 | ||||||
Baozun, Inc. ADR*,1 | 1,462 | 72,895 | ||||||
YY, Inc. ADR* | 1,033 | 71,990 | ||||||
SINA Corp.* | 1,632 | 70,388 | ||||||
Wix.com Ltd.* | 487 | 69,203 | ||||||
Etsy, Inc.* | 1,112 | 68,243 | ||||||
Autohome, Inc. ADR*,1 | 786 | 67,297 | ||||||
TripAdvisor, Inc.* | 1,432 | 66,287 | ||||||
58.com, Inc. ADR* | 1,048 | 65,154 | ||||||
Cargurus, Inc.* | 1,398 | 50,482 | ||||||
Yelp, Inc. — Class A* | 1,280 | 43,750 | ||||||
Shutterfly, Inc.* | 687 | 34,728 | ||||||
Stamps.com, Inc.* | 541 | 24,491 | ||||||
Total Internet | 5,984,653 | |||||||
Software - 19.1% | ||||||||
salesforce.com, Inc.* | 1,850 | 280,700 | ||||||
Activision Blizzard, Inc. | 3,444 | 162,557 | ||||||
Electronic Arts, Inc.* | 1,495 | 151,384 | ||||||
Veeva Systems, Inc. — Class A* | 783 | 126,932 | ||||||
Twilio, Inc. — Class A* | 802 | 109,353 | ||||||
Akamai Technologies, Inc.* | 1,207 | 96,729 | ||||||
Take-Two Interactive Software, Inc.* | 835 | 94,797 | ||||||
Citrix Systems, Inc. | 957 | 93,920 | ||||||
NetEase, Inc. ADR | 349 | 89,264 | ||||||
Dropbox, Inc. — Class A* | 3,400 | 85,170 | ||||||
Momo, Inc. ADR | 2,291 | 82,018 | ||||||
Bilibili, Inc. ADR*,1 | 4,588 | 74,647 | ||||||
Coupa Software, Inc.* | 583 | 73,814 | ||||||
MongoDB, Inc.* | 478 | 72,699 | ||||||
HubSpot, Inc.* | 404 | 68,890 | ||||||
HUYA, Inc. ADR* | 2,713 | 67,038 | ||||||
New Relic, Inc.* | 649 | 56,145 | ||||||
j2 Global, Inc. | 625 | 55,556 | ||||||
Cornerstone OnDemand, Inc.* | 855 | 49,530 | ||||||
Box, Inc. — Class A* | 2,423 | 42,669 | ||||||
Total Software | 1,933,812 | |||||||
Telecommunications - 10.5% | ||||||||
Cisco Systems, Inc. | 7,160 | 391,867 | ||||||
Motorola Solutions, Inc. | 829 | 138,219 | ||||||
Arista Networks, Inc.* | 457 | 118,647 | ||||||
Juniper Networks, Inc. | 3,005 | 80,023 | ||||||
GDS Holdings Ltd. ADR* | 1,888 | 70,932 | ||||||
Ciena Corp.* | 1,577 | 64,862 | ||||||
ViaSat, Inc.* | 706 | 57,059 | ||||||
LogMeIn, Inc. | 693 | 51,060 | ||||||
CommScope Holding Company, Inc.* | 2,882 | 45,334 | ||||||
Finisar Corp.* | 1,937 | 44,299 | ||||||
Total Telecommunications | 1,062,302 | |||||||
Commercial Services - 4.6% | ||||||||
PayPal Holdings, Inc.* | 2,669 | 305,494 | ||||||
CoStar Group, Inc.* | 215 | 119,123 | ||||||
2U, Inc.* | 1,070 | 40,275 | ||||||
Total Commercial Services | 464,892 | |||||||
Diversified Financial Services - 2.2% | ||||||||
TD Ameritrade Holding Corp. | 2,783 | 138,927 | ||||||
E*TRADE Financial Corp. | 1,915 | 85,409 | ||||||
Total Diversified Financial Services | 224,336 | |||||||
REITs - 1.7% | ||||||||
Equinix, Inc. | 345 | 173,980 | ||||||
Computers - 1.5% | ||||||||
Nutanix, Inc. — Class A* | 2,169 | 56,264 | ||||||
Lumentum Holdings, Inc.* | 1,052 | 56,188 | ||||||
NetScout Systems, Inc.* | 1,488 | 37,780 | ||||||
Total Computers | 150,232 | |||||||
Advertising - 0.8% | ||||||||
Trade Desk, Inc. — Class A* | 358 | 81,545 | ||||||
Retail - 0.6% | ||||||||
Qurate Retail, Inc. — Class A* | 4,890 | 60,587 | ||||||
Total Common Stocks | ||||||||
(Cost $4,704,967) | 10,136,339 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 63 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
INTERNET FUND |
| Face | Value | ||||||
REPURCHASE AGREEMENTS††,2 - 0.3% | ||||||||
JPMorgan Chase & Co. | $ | 19,281 | $ | 19,281 | ||||
Bank of America Merrill Lynch | 4,790 | 4,790 | ||||||
Barclays Capital | 4,790 | 4,790 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $28,861) | 28,861 |
|
| |||||||
SECURITIES LENDING COLLATERAL†,3 - 3.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 314,435 | 314,435 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $314,435) | 314,435 | |||||||
Total Investments - 103.4% | ||||||||
(Cost $5,048,263) | $ | 10,479,635 | ||||||
Other Assets & Liabilities, net - (3.4)% | (344,641 | ) | ||||||
Total Net Assets - 100.0% | $ | 10,134,994 |
* | 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, 2019 — 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, 2019. |
ADR — American Depositary Receipt | |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 10,136,339 | $ | — | $ | — | $ | 10,136,339 | ||||||||
Repurchase Agreements | — | 28,861 | — | 28,861 | ||||||||||||
Securities Lending Collateral | 314,435 | — | — | 314,435 | ||||||||||||
Total Assets | $ | 10,450,774 | $ | 28,861 | $ | — | $ | 10,479,635 |
64| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INTERNET FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $304,354 of securities loaned (cost $5,019,402) | $ | 10,450,774 | ||
Repurchase agreements, at value (cost $28,861) | 28,861 | |||
Receivables: | ||||
Dividends | 531 | |||
Securities lending income | 197 | |||
Interest | 6 | |||
Total assets | 10,480,369 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 314,435 | |||
Management fees | 6,614 | |||
Transfer agent and administrative fees | 1,945 | |||
Investor service fees | 1,945 | |||
Fund shares redeemed | 912 | |||
Portfolio accounting fees | 778 | |||
Trustees’ fees* | 196 | |||
Miscellaneous | 18,550 | |||
Total liabilities | 345,375 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 10,134,994 | ||
Net assets consist of: | ||||
Paid in capital | $ | 5,903,080 | ||
Total distributable earnings (loss) | 4,231,914 | |||
Net assets | $ | 10,134,994 | ||
Capital shares outstanding | 98,946 | |||
Net asset value per share | $ | 102.43 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $370) | $ | 18,051 | ||
Interest | 891 | |||
Income from securities lending, net | 960 | |||
Total investment income | 19,902 | |||
Expenses: | ||||
Management fees | 44,724 | |||
Investor service fees | 13,154 | |||
Transfer agent and administrative fees | 13,154 | |||
Professional fees | 7,531 | |||
Portfolio accounting fees | 5,262 | |||
Trustees’ fees* | 1,292 | |||
Custodian fees | 1,186 | |||
Line of credit fees | 25 | |||
Miscellaneous | 10,983 | |||
Total expenses | 97,311 | |||
Net investment loss | (77,409 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (52,636 | ) | ||
Net realized loss | (52,636 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,890,969 | |||
Net change in unrealized appreciation (depreciation) | 1,890,969 | |||
Net realized and unrealized gain | 1,838,333 | |||
Net increase in net assets resulting from operations | $ | 1,760,924 |
* | 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| 65 |
INTERNET FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (77,409 | ) | $ | (149,392 | ) | ||
Net realized gain (loss) on investments | (52,636 | ) | 304,663 | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,890,969 | (880,860 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,760,924 | (725,589 | ) | |||||
Distributions to shareholders | — | (206,047 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 20,479,347 | 53,056,598 | ||||||
Distributions reinvested | — | 206,047 | ||||||
Cost of shares redeemed | (20,204,645 | ) | (53,174,599 | ) | ||||
Net increase from capital share transactions | 274,702 | 88,046 | ||||||
Net increase (decrease) in net assets | 2,035,626 | (843,590 | ) | |||||
Net assets: | ||||||||
Beginning of period | 8,099,368 | 8,942,958 | ||||||
End of period | $ | 10,134,994 | $ | 8,099,368 | ||||
Capital share activity: | ||||||||
Shares sold | 206,511 | 541,673 | ||||||
Shares issued from reinvestment of distributions | — | 1,959 | ||||||
Shares redeemed | (205,261 | ) | (548,920 | ) | ||||
Net increase (decrease) in shares | 1,250 | (5,288 | ) |
66| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 82.90 | $ | 86.84 | $ | 65.13 | $ | 70.60 | $ | 79.11 | $ | 85.98 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.72 | ) | (1.25 | ) | (.79 | ) | (.14 | ) | (.76 | ) | (.92 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 20.25 | (1.23 | ) | 22.88 | (3.30 | ) | 7.29 | 2.61 | ||||||||||||||||
Total from investment operations | 19.53 | (2.48 | ) | 22.09 | (3.44 | ) | 6.53 | 1.69 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (1.46 | ) | (.38 | ) | (2.03 | ) | (15.04 | ) | (8.56 | ) | |||||||||||||
Total distributions | — | (1.46 | ) | (.38 | ) | (2.03 | ) | (15.04 | ) | (8.56 | ) | |||||||||||||
Net asset value, end of period | $ | 102.43 | $ | 82.90 | $ | 86.84 | $ | 65.13 | $ | 70.60 | $ | 79.11 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 23.56% | (3.20 | %) | 33.96% | 4.44% | 8.36% | 1.96% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 10,135 | $ | 8,099 | $ | 8,943 | $ | 8,485 | $ | 13,036 | $ | 6,624 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.47 | %) | (1.29 | %) | (1.01 | %) | (0.78 | %) | (1.03 | %) | (1.06 | %) | ||||||||||||
Total expenses | 1.85 | % | 1.72 | % | 1.71 | % | 1.66 | % | 1.61 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 181 | % | 485 | % | 365 | % | 384 | % | 363 | % | 283 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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| 67 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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. | 4.3% |
Altria Group, Inc. | 4.1% |
Comcast Corp. — Class A | 3.7% |
McDonald’s Corp. | 3.4% |
Netflix, Inc. | 3.4% |
Philip Morris International, Inc. | 3.0% |
Starbucks Corp. | 2.7% |
Charter Communications, Inc. — Class A | 2.7% |
Marriott International, Inc. — Class A | 1.9% |
Las Vegas Sands Corp. | 1.8% |
Top Ten Total | 31.0% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Leisure Fund | 21.52% | 5.31% | 7.61% | 15.94% |
S&P 500 Consumer Discretionary Index | 21.84% | 10.17% | 13.97% | 19.72% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
LEISURE FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.6% | ||||||||
Media - 24.2% | ||||||||
Walt Disney Co. | 1,658 | $ | 231,523 | |||||
Comcast Corp. — Class A | 4,726 | 199,815 | ||||||
Charter Communications, Inc. — Class A* | 370 | 146,217 | ||||||
Fox Corp. — Class A | 1,922 | 70,422 | ||||||
Discovery, Inc. — Class A* | 2,188 | 67,172 | ||||||
Liberty Broadband Corp. — Class C* | 613 | 63,887 | ||||||
CBS Corp. — Class B | 1,266 | 63,173 | ||||||
DISH Network Corp. — Class A* | 1,601 | 61,495 | ||||||
Altice USA, Inc. — Class A* | 2,478 | 60,339 | ||||||
Viacom, Inc. — Class B | 1,703 | 50,869 | ||||||
News Corp. — Class A | 3,033 | 40,915 | ||||||
Cable One, Inc. | 32 | 37,472 | ||||||
World Wrestling Entertainment, Inc. — Class A | 479 | 34,589 | ||||||
New York Times Co. — Class A | 1,015 | 33,109 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 610 | 32,714 | ||||||
Nexstar Media Group, Inc. — Class A | 316 | 31,916 | ||||||
Tribune Media Co. — Class A | 637 | 29,442 | ||||||
TEGNA, Inc. | 1,769 | 26,800 | ||||||
AMC Networks, Inc. — Class A* | 466 | 25,392 | ||||||
Total Media | 1,307,261 | |||||||
Retail - 17.9% | ||||||||
McDonald’s Corp. | 893 | 185,440 | ||||||
Starbucks Corp. | 1,755 | 147,122 | ||||||
Yum! Brands, Inc. | 767 | 84,884 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 90 | 65,959 | ||||||
Darden Restaurants, Inc. | 460 | 55,996 | ||||||
Domino’s Pizza, Inc. | 178 | 49,534 | ||||||
Yum China Holdings, Inc. | 997 | 46,061 | ||||||
Restaurant Brands International, Inc. | 658 | 45,757 | ||||||
Dunkin’ Brands Group, Inc. | 471 | 37,520 | ||||||
Wendy’s Co. | 1,581 | 30,956 | ||||||
Cracker Barrel Old Country Store, Inc. | 175 | 29,878 | ||||||
Texas Roadhouse, Inc. — Class A | 545 | 29,250 | ||||||
Wingstop, Inc. | 263 | 24,919 | ||||||
Shake Shack, Inc. — Class A* | 344 | 24,837 | ||||||
Jack in the Box, Inc. | 253 | 20,592 | ||||||
Cheesecake Factory, Inc. | 466 | 20,373 | ||||||
Bloomin’ Brands, Inc. | 1,021 | 19,307 | ||||||
Brinker International, Inc. | 454 | 17,865 | ||||||
Papa John’s International, Inc.1 | 397 | 17,754 | ||||||
BJ’s Restaurants, Inc. | 316 | 13,885 | ||||||
Total Retail | 967,889 | |||||||
Lodging - 12.4% | ||||||||
Marriott International, Inc. — Class A | 722 | 101,289 | ||||||
Las Vegas Sands Corp. | 1,677 | 99,094 | ||||||
Hilton Worldwide Holdings, Inc. | 803 | 78,485 | ||||||
MGM Resorts International | 2,023 | 57,797 | ||||||
Wynn Resorts Ltd. | 435 | 53,936 | ||||||
Melco Resorts & Entertainment Ltd. ADR | 2,155 | 46,807 | ||||||
Huazhu Group Ltd. ADR | 1,242 | 45,022 | ||||||
Hyatt Hotels Corp. — Class A | 549 | 41,795 | ||||||
Wyndham Hotels & Resorts, Inc. | 609 | 33,946 | ||||||
Choice Hotels International, Inc. | 375 | 32,629 | ||||||
Wyndham Destinations, Inc. | 681 | 29,896 | ||||||
Hilton Grand Vacations, Inc.* | 799 | 25,424 | ||||||
Boyd Gaming Corp. | 932 | 25,108 | ||||||
Total Lodging | 671,228 | |||||||
Entertainment - 8.4% | ||||||||
Live Nation Entertainment, Inc.* | 829 | 54,921 | ||||||
Stars Group, Inc.* | 2,551 | 43,546 | ||||||
Vail Resorts, Inc. | 192 | 42,851 | ||||||
Madison Square Garden Co. — Class A* | 134 | 37,512 | ||||||
Churchill Downs, Inc. | 279 | 32,104 | ||||||
Marriott Vacations Worldwide Corp. | 319 | 30,752 | ||||||
Cinemark Holdings, Inc. | 833 | 30,071 | ||||||
Six Flags Entertainment Corp. | 594 | 29,510 | ||||||
Eldorado Resorts, Inc.*,1 | 569 | 26,214 | ||||||
International Game Technology plc | 1,871 | 24,267 | ||||||
SeaWorld Entertainment, Inc.* | 755 | 23,405 | ||||||
Red Rock Resorts, Inc. — Class A | 1,084 | 23,284 | ||||||
Penn National Gaming, Inc.* | 1,149 | 22,130 | ||||||
Scientific Games Corp. — Class A* | 1,031 | 20,434 | ||||||
AMC Entertainment Holdings, Inc. — Class A1 | 1,502 | 14,014 | ||||||
Total Entertainment | 455,015 | |||||||
Agriculture - 7.9% | ||||||||
Altria Group, Inc. | 4,690 | 222,071 | ||||||
Philip Morris International, Inc. | 2,073 | 162,793 | ||||||
British American Tobacco plc ADR | 1,233 | 42,995 | ||||||
Total Agriculture | 427,859 | |||||||
Software - 7.6% | ||||||||
Activision Blizzard, Inc. | 1,905 | 89,916 | ||||||
Electronic Arts, Inc.* | 827 | 83,742 | ||||||
NetEase, Inc. ADR | 220 | 56,269 | ||||||
Take-Two Interactive Software, Inc.* | 461 | 52,337 | ||||||
Bilibili, Inc. ADR*,1 | 2,861 | 46,549 | ||||||
Sea Ltd. ADR* | 1,261 | 41,891 | ||||||
HUYA, Inc. ADR* | 1,689 | 41,735 | ||||||
Total Software | 412,439 | |||||||
Leisure Time - 6.7% | ||||||||
Carnival Corp. | 1,812 | 84,349 | ||||||
Royal Caribbean Cruises Ltd. | 627 | 75,999 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 954 | 51,163 | ||||||
Planet Fitness, Inc. — Class A* | 507 | 36,727 | ||||||
Harley-Davidson, Inc. | 974 | 34,898 | ||||||
Polaris Industries, Inc. | 377 | 34,394 | ||||||
Brunswick Corp. | 631 | 28,956 | ||||||
Callaway Golf Co. | 1,047 | 17,966 | ||||||
Total Leisure Time | 364,452 | |||||||
Beverages - 6.3% | ||||||||
Constellation Brands, Inc. — Class A | 478 | 94,137 | ||||||
Brown-Forman Corp. — Class B | 1,361 | 75,440 | ||||||
Molson Coors Brewing Co. — Class B | 920 | 51,520 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 69 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
LEISURE FUND |
|
| Value | ||||||
Anheuser-Busch InBev S.A. ADR | 515 | $ | 45,583 | |||||
Diageo plc ADR | 236 | 40,668 | ||||||
Boston Beer Company, Inc. — Class A* | 86 | 32,487 | ||||||
Total Beverages | 339,835 | |||||||
Internet - 5.5% | ||||||||
Netflix, Inc.* | 501 | 184,027 | ||||||
iQIYI, Inc. ADR*,1 | 2,863 | 59,121 | ||||||
Spotify Technology S.A.* | 371 | 54,248 | ||||||
Total Internet | 297,396 | |||||||
Toys, Games & Hobbies - 1.0% | ||||||||
Hasbro, Inc. | 501 | 52,946 | ||||||
Food Service - 0.8% | ||||||||
Aramark | 1,234 | 44,498 | ||||||
Telecommunications - 0.7% | ||||||||
GCI Liberty, Inc. — Class A* | 607 | 37,306 | ||||||
Miscellaneous Manufacturing - 0.2% | ||||||||
American Outdoor Brands Corp.* | 1,142 | 10,290 | ||||||
Total Common Stocks | ||||||||
(Cost $3,178,506) | 5,388,414 | |||||||
RIGHTS††† - 0.0% | ||||||||
Nexstar Media Group, Inc.*,5 | 1,910 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — |
| Face | |||||||
REPURCHASE AGREEMENTS††,2 - 0.2% | ||||||||
JPMorgan Chase & Co. | $ | 8,516 | 8,516 | |||||
Bank of America Merrill Lynch | 2,115 | 2,115 | ||||||
Barclays Capital | 2,115 | 2,115 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $12,746) | 12,746 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.2% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 120,299 | 120,299 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $120,299) | 120,299 | |||||||
Total Investments - 102.0% | ||||||||
(Cost $3,311,551) | $ | 5,521,459 | ||||||
Other Assets & Liabilities, net - (2.0)% | (105,771 | ) | ||||||
Total Net Assets - 100.0% | $ | 5,415,688 |
* | 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, 2019 — 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, 2019. |
5 | Security was fair valued by the valuation Committee at June 30, 2019. 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. |
70| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
LEISURE FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 5,388,414 | $ | — | $ | — | $ | 5,388,414 | ||||||||
Rights | — | — | — | * | — | |||||||||||
Repurchase Agreements | — | 12,746 | — | 12,746 | ||||||||||||
Securities Lending Collateral | 120,299 | — | — | 120,299 | ||||||||||||
Total Assets | $ | 5,508,713 | $ | 12,746 | $ | — | $ | 5,521,459 |
* | Security has a market value of $0. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 71 |
LEISURE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $119,939 of securities loaned (cost $3,298,805) | $ | 5,508,713 | ||
Repurchase agreements, at value (cost $12,746) | 12,746 | |||
Receivables: | ||||
Fund shares sold | 50,596 | |||
Dividends | 8,912 | |||
Foreign tax reclaims | 610 | |||
Securities lending income | 6 | |||
Interest | 2 | |||
Total assets | 5,581,585 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 120,299 | |||
Securities purchased | 26,595 | |||
Management fees | 3,718 | |||
Transfer agent and administrative fees | 1,094 | |||
Investor service fees | 1,094 | |||
Portfolio accounting fees | 437 | |||
Fund shares redeemed | 250 | |||
Trustees’ fees* | 129 | |||
Miscellaneous | 12,281 | |||
Total liabilities | 165,897 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 5,415,688 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,426,000 | ||
Total distributable earnings (loss) | 1,989,688 | |||
Net assets | $ | 5,415,688 | ||
Capital shares outstanding | 53,690 | |||
Net asset value per share | $ | 100.87 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $336) | $ | 57,767 | ||
Interest | 498 | |||
Income from securities lending, net | 307 | |||
Total investment income | 58,572 | |||
Expenses: | ||||
Management fees | 29,677 | |||
Investor service fees | 8,728 | |||
Transfer agent and administrative fees | 8,728 | |||
Professional fees | 5,432 | |||
Portfolio accounting fees | 3,491 | |||
Trustees’ fees* | 871 | |||
Custodian fees | 809 | |||
Line of credit fees | 36 | |||
Miscellaneous | 6,870 | |||
Total expenses | 64,642 | |||
Net investment loss | (6,070 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 352,955 | |||
Net realized gain | 352,955 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 775,595 | |||
Net change in unrealized appreciation (depreciation) | 775,595 | |||
Net realized and unrealized gain | 1,128,550 | |||
Net increase in net assets resulting from operations | $ | 1,122,480 |
* | 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. |
LEISURE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (6,070 | ) | $ | 18,335 | |||
Net realized gain on investments | 352,955 | 235,639 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 775,595 | (1,077,539 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,122,480 | (823,565 | ) | |||||
Distributions to shareholders | — | (238,213 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 8,740,876 | 17,293,584 | ||||||
Distributions reinvested | — | 238,213 | ||||||
Cost of shares redeemed | (8,012,253 | ) | (22,331,989 | ) | ||||
Net increase (decrease) from capital share transactions | 728,623 | (4,800,192 | ) | |||||
Net increase (decrease) in net assets | 1,851,103 | (5,861,970 | ) | |||||
Net assets: | ||||||||
Beginning of period | 3,564,585 | 9,426,555 | ||||||
End of period | $ | 5,415,688 | $ | 3,564,585 | ||||
Capital share activity: | ||||||||
Shares sold | 92,275 | 176,365 | ||||||
Shares issued from reinvestment of distributions | — | 2,434 | ||||||
Shares redeemed | (81,526 | ) | (231,728 | ) | ||||
Net increase (decrease) in shares | 10,749 | (52,929 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 73 |
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 | $ | 83.01 | $ | 98.33 | $ | 82.21 | $ | 76.44 | $ | 87.81 | $ | 95.41 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.08 | ) | .23 | .24 | .18 | .28 | .12 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 17.94 | (13.07 | ) | 16.28 | 7.07 | .87 | 6.53 | |||||||||||||||||
Total from investment operations | 17.86 | (12.84 | ) | 16.52 | 7.25 | 1.15 | 6.65 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.26 | ) | (.22 | ) | (.37 | ) | (.07 | ) | (.22 | ) | |||||||||||||
Net realized gains | — | (2.22 | ) | (.18 | ) | (1.11 | ) | (12.45 | ) | (14.03 | ) | |||||||||||||
Total distributions | — | (2.48 | ) | (.40 | ) | (1.48 | ) | (12.52 | ) | (14.25 | ) | |||||||||||||
Net asset value, end of period | $ | 100.87 | $ | 83.01 | $ | 98.33 | $ | 82.21 | $ | 76.44 | $ | 87.81 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 21.52% | (13.44 | %) | 20.11% | 9.56% | 0.30% | 7.49% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,416 | $ | 3,565 | $ | 9,427 | $ | 8,791 | $ | 13,764 | $ | 8,150 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.17 | %) | 0.24 | % | 0.26 | % | 0.23 | % | 0.34 | % | 0.13 | % | ||||||||||||
Total expenses | 1.85 | % | 1.71 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 124 | % | 239 | % | 303 | % | 530 | % | 288 | % | 339 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
74| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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) | |
Newmont Goldcorp Corp. | 8.7% |
Barrick Gold Corp. | 8.1% |
Freeport-McMoRan, Inc. | 6.4% |
Franco-Nevada Corp. | 6.2% |
Agnico Eagle Mines Ltd. | 5.4% |
Wheaton Precious Metals Corp. | 5.1% |
Kirkland Lake Gold Ltd. | 4.7% |
AngloGold Ashanti Ltd. ADR | 4.3% |
Royal Gold, Inc. | 4.0% |
VanEck Vectors Junior Gold Miners ETF | 4.0% |
Top Ten Total | 56.9% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Precious Metals Fund | 20.13% | 6.59% | (3.31%) | (3.34%) |
S&P 500 Materials Index | 17.26% | 3.20% | 5.44% | 11.39% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
PRECIOUS METALS FUND |
|
| Value | ||||||
COMMON STOCKS† - 95.8% | ||||||||
Mining - 95.8% | ||||||||
Newmont Goldcorp Corp. | 40,864 | $ | 1,572,038 | |||||
Barrick Gold Corp. | 92,732 | 1,462,384 | ||||||
Freeport-McMoRan, Inc. | 98,611 | 1,144,874 | ||||||
Franco-Nevada Corp.1 | 13,205 | 1,120,840 | ||||||
Agnico Eagle Mines Ltd. | 18,970 | 972,023 | ||||||
Wheaton Precious Metals Corp. | 37,883 | 916,011 | ||||||
Kirkland Lake Gold Ltd. | 19,888 | 853,593 | ||||||
AngloGold Ashanti Ltd. ADR | 43,506 | 774,842 | ||||||
Royal Gold, Inc. | 7,092 | 726,859 | ||||||
Kinross Gold Corp.* | 161,525 | 626,717 | ||||||
Gold Fields Ltd. ADR | 108,612 | 587,591 | ||||||
Sibanye Gold Ltd. ADR*,1 | 110,030 | 522,642 | ||||||
B2Gold Corp.* | 165,261 | 500,741 | ||||||
Pan American Silver Corp. | 35,726 | 461,223 | ||||||
Yamana Gold, Inc. | 176,251 | 444,153 | ||||||
Alamos Gold, Inc. — Class A | 70,844 | 428,606 | ||||||
Novagold Resources, Inc.* | 69,294 | 409,528 | ||||||
Pretium Resources, Inc.*,1 | 37,491 | 375,285 | ||||||
First Majestic Silver Corp.*,1 | 46,137 | 364,944 | ||||||
SSR Mining, Inc.* | 26,393 | 360,792 | ||||||
IAMGOLD Corp.* | 106,353 | 359,473 | ||||||
Osisko Gold Royalties Ltd. | 32,735 | 341,753 | ||||||
Eldorado Gold Corp.* | 49,330 | 287,101 | ||||||
Coeur Mining, Inc.* | 64,933 | 281,809 | ||||||
Sandstorm Gold Ltd.* | 49,684 | 275,249 | ||||||
Hecla Mining Co. | 145,558 | 262,004 | ||||||
Seabridge Gold, Inc.* | 18,761 | 253,836 | ||||||
MAG Silver Corp.* | 23,998 | 252,939 | ||||||
Fortuna Silver Mines, Inc.* | 66,961 | 190,839 | ||||||
Gold Resource Corp. | 38,469 | 130,025 | ||||||
Total Mining | 17,260,714 | |||||||
Total Common Stocks | ||||||||
(Cost $8,806,106) | 17,260,714 | |||||||
RIGHTS††† - 0.0% | ||||||||
Pan American Silver Corp.*,2 | 80,321 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
EXCHANGE-TRADED FUNDS† - 4.0% | ||||||||
VanEck Vectors Junior Gold Miners ETF | 20,644 | 721,714 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $427,792) | 721,714 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,3 - 1.1% | ||||||||
JPMorgan Chase & Co. | $ | 134,421 | 134,421 | |||||
Bank of America Merrill Lynch | 33,392 | 33,392 | ||||||
Barclays Capital | 33,393 | 33,393 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $201,206) | 201,206 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,4 - 2.5% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%5 | 443,832 | 443,832 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $443,832) | 443,832 | |||||||
Total Investments - 103.4% | ||||||||
(Cost $9,878,936) | $ | 18,627,466 | ||||||
Other Assets & Liabilities, net - (3.4)% | (606,515 | ) | ||||||
Total Net Assets - 100.0% | $ | 18,020,951 |
* | 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, 2019 — See Note 7. |
2 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
3 | Repurchase Agreements — See Note 6. |
4 | Securities lending collateral — See Note 7. |
5 | Rate indicated is the 7-day yield as of June 30, 2019. |
ADR — American Depositary Receipt | |
See Sector Classification in Other Information section. |
76| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
PRECIOUS METALS FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 17,260,714 | $ | — | $ | — | $ | 17,260,714 | ||||||||
Rights | — | — | — | * | — | |||||||||||
Exchange-Traded Funds | 721,714 | — | — | 721,714 | ||||||||||||
Repurchase Agreements | — | 201,206 | — | 201,206 | ||||||||||||
Securities Lending Collateral | 443,832 | — | — | 443,832 | ||||||||||||
Total Assets | $ | 18,426,260 | $ | 201,206 | $ | — | $ | 18,627,466 |
* | Security has a market value of $0. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 77 |
PRECIOUS METALS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $424,618 of securities loaned (cost $9,677,730) | $ | 18,426,260 | ||
Repurchase agreements, at value (cost $201,206) | 201,206 | |||
Cash | 607 | |||
Receivables: | ||||
Dividends | 2,486 | |||
Foreign tax reclaims | 1,859 | |||
Securities lending income | 260 | |||
Interest | 42 | |||
Fund shares sold | 6 | |||
Total assets | 18,632,726 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 443,832 | |||
Deferred foreign capital gain taxes | 86,192 | |||
Fund shares redeemed | 36,315 | |||
Management fees | 9,420 | |||
Transfer agent and administrative fees | 3,140 | |||
Investor service fees | 3,140 | |||
Portfolio accounting fees | 1,256 | |||
Trustees’ fees* | 298 | |||
Miscellaneous | 28,182 | |||
Total liabilities | 611,775 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 18,020,951 | ||
Net assets consist of: | ||||
Paid in capital | $ | 33,080,331 | ||
Total distributable earnings (loss) | (15,059,380 | ) | ||
Net assets | $ | 18,020,951 | ||
Capital shares outstanding | 621,471 | |||
Net asset value per share | $ | 29.00 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $4,504) | $ | 112,510 | ||
Interest | 2,315 | |||
Income from securities lending, net | 1,488 | |||
Total investment income | 116,313 | |||
Expenses: | ||||
Management fees | 60,545 | |||
Investor service fees | 20,181 | |||
Transfer agent and administrative fees | 20,181 | |||
Professional fees | 12,435 | |||
Portfolio accounting fees | 8,072 | |||
Trustees’ fees* | 2,188 | |||
Custodian fees | 1,939 | |||
Line of credit fees | 5 | |||
Miscellaneous | 15,673 | |||
Total expenses | 141,219 | |||
Net investment loss | (24,906 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,117,521 | |||
Net realized gain | 1,117,521 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,765,207 | |||
Net change in unrealized appreciation (depreciation) | 1,765,207 | |||
Net realized and unrealized gain | 2,882,728 | |||
Net increase in net assets resulting from operations | $ | 2,857,822 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
78| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PRECIOUS METALS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (24,906 | ) | $ | (161,031 | ) | ||
Net realized gain (loss) on investments | 1,117,521 | (1,276,942 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,765,207 | (3,405,828 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 2,857,822 | (4,843,801 | ) | |||||
Distributions to shareholders | — | (860,699 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 16,209,368 | 130,118,052 | ||||||
Distributions reinvested | — | 860,699 | ||||||
Cost of shares redeemed | (17,678,402 | ) | (138,843,308 | ) | ||||
Net decrease from capital share transactions | (1,469,034 | ) | (7,864,557 | ) | ||||
Net increase (decrease) in net assets | 1,388,788 | (13,569,057 | ) | |||||
Net assets: | ||||||||
Beginning of period | 16,632,163 | 30,201,220 | ||||||
End of period | $ | 18,020,951 | $ | 16,632,163 | ||||
Capital share activity: | ||||||||
Shares sold | 627,536 | 4,824,749 | ||||||
Shares issued from reinvestment of distributions | — | 32,068 | �� | |||||
Shares redeemed | (695,135 | ) | (5,164,558 | ) | ||||
Net decrease in shares | (67,599 | ) | (307,741 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 79 |
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 | $ | 24.14 | $ | 30.30 | $ | 29.72 | $ | 17.95 | $ | 27.60 | $ | 33.43 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.04 | ) | (.23 | ) | (.29 | ) | (.29 | ) | (.12 | ) | (.11 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.90 | (4.68 | ) | 2.29 | 12.06 | (8.01 | ) | (5.67 | ) | |||||||||||||||
Total from investment operations | 4.86 | (4.91 | ) | 2.00 | 11.77 | (8.13 | ) | (5.78 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.25 | ) | (1.42 | ) | — | (1.52 | ) | (.05 | ) | ||||||||||||||
Total distributions | — | (1.25 | ) | (1.42 | ) | — | (1.52 | ) | (.05 | ) | ||||||||||||||
Net asset value, end of period | $ | 29.00 | $ | 24.14 | $ | 30.30 | $ | 29.72 | $ | 17.95 | $ | 27.60 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 20.13% | (16.61 | %) | 7.08% | 65.52% | (30.37 | %) | (17.34 | %) | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 18,021 | $ | 16,632 | $ | 30,201 | $ | 22,672 | $ | 16,201 | $ | 18,313 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.31 | %) | (0.87 | %) | (0.93 | %) | (0.90 | %) | (0.50 | %) | (0.32 | %) | ||||||||||||
Total expensesd | 1.75 | % | 1.67 | % | 1.61 | % | 1.56 | % | 1.50 | % | 1.56 | % | ||||||||||||
Portfolio turnover rate | 85 | % | 639 | % | 691 | % | 298 | % | 203 | % | 168 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Does not include expenses of the underlying funds in which the Fund invests. |
e | Reverse share split — Per share amounts for the period presented through December 31, 2014 have been restated to reflect a 1:5 reverse share split effective January 24, 2014. |
80| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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 | 2.9% |
Crown Castle International Corp. | 2.3% |
Prologis, Inc. | 2.2% |
Simon Property Group, Inc. | 2.2% |
Equinix, Inc. | 2.1% |
Public Storage | 2.0% |
Welltower, Inc. | 1.8% |
AvalonBay Communities, Inc. | 1.7% |
Equity Residential | 1.7% |
Digital Realty Trust, Inc. | 1.6% |
Top Ten Total | 20.5% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Real Estate Fund | 15.89% | 6.56% | 5.47% | 12.51% |
MSCI U.S. REIT Index | 17.77% | 11.06% | 7.81% | 15.55% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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 MSCI U.S. REIT Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
REAL ESTATE FUND |
|
| Value | ||||||
COMMON STOCKS† - 102.0% | ||||||||
REITs - 98.4% | ||||||||
REITs-Diversified - 24.3% | ||||||||
American Tower Corp. — Class A | 2,315 | $ | 473,302 | |||||
Crown Castle International Corp. | 2,829 | 368,760 | ||||||
Equinix, Inc. | 660 | 332,831 | ||||||
Digital Realty Trust, Inc. | 2,157 | 254,073 | ||||||
SBA Communications Corp.* | 1,119 | 251,596 | ||||||
Weyerhaeuser Co. | 8,628 | 227,261 | ||||||
WP Carey, Inc. | 2,281 | 185,172 | ||||||
Vornado Realty Trust | 2,757 | 176,724 | ||||||
Duke Realty Corp. | 5,416 | 171,200 | ||||||
Cousins Properties, Inc. | 4,670 | 168,914 | ||||||
VICI Properties, Inc. | 6,835 | 150,643 | ||||||
Gaming and Leisure Properties, Inc. | 3,720 | 145,006 | ||||||
Lamar Advertising Co. — Class A | 1,760 | 142,050 | ||||||
New Residential Investment Corp. | 8,232 | 126,690 | ||||||
EPR Properties | 1,613 | 120,314 | ||||||
CoreSite Realty Corp. | 1,027 | 118,280 | ||||||
Rayonier, Inc. | 3,302 | 100,051 | ||||||
Outfront Media, Inc. | 3,735 | 96,326 | ||||||
PotlatchDeltic Corp. | 2,123 | 82,754 | ||||||
GEO Group, Inc. | 3,842 | 80,720 | ||||||
CoreCivic, Inc. | 3,749 | 77,829 | ||||||
Uniti Group, Inc. | 6,714 | 63,783 | ||||||
Total REITs-Diversified | 3,914,279 | |||||||
REITs-Apartments - 11.7% | ||||||||
AvalonBay Communities, Inc. | 1,331 | 270,433 | ||||||
Equity Residential | 3,533 | 268,225 | ||||||
Essex Property Trust, Inc. | 750 | 218,947 | ||||||
Invitation Homes, Inc. | 7,112 | 190,104 | ||||||
Mid-America Apartment Communities, Inc. | 1,602 | 188,651 | ||||||
UDR, Inc. | 4,030 | 180,907 | ||||||
Camden Property Trust | 1,547 | 161,491 | ||||||
Apartment Investment & Management Co. — Class A | 2,783 | 139,484 | ||||||
American Homes 4 Rent — Class A | 5,597 | 136,063 | ||||||
American Campus Communities, Inc. | 2,785 | 128,556 | ||||||
Total REITs-Apartments | 1,882,861 | |||||||
REITs-Office Property - 10.9% | ||||||||
Boston Properties, Inc. | 1,720 | 221,880 | ||||||
Alexandria Real Estate Equities, Inc. | 1,432 | 202,041 | ||||||
Kilroy Realty Corp. | 1,883 | 138,984 | ||||||
Douglas Emmett, Inc. | 3,331 | 132,707 | ||||||
SL Green Realty Corp. | 1,618 | 130,039 | ||||||
Hudson Pacific Properties, Inc. | 3,474 | 115,580 | ||||||
JBG SMITH Properties | 2,937 | 115,542 | ||||||
Highwoods Properties, Inc. | 2,489 | 102,796 | ||||||
Equity Commonwealth | 3,076 | 100,031 | ||||||
Paramount Group, Inc. | 6,477 | 90,743 | ||||||
Corporate Office Properties Trust | 3,222 | 84,964 | ||||||
Empire State Realty Trust, Inc. — Class A | 5,473 | 81,055 | ||||||
Piedmont Office Realty Trust, Inc. — Class A | 3,988 | 79,481 | ||||||
Brandywine Realty Trust | 5,530 | 79,190 | ||||||
Columbia Property Trust, Inc. | 3,729 | 77,339 | ||||||
Total REITs-Office Property | 1,752,372 | |||||||
REITs-Health Care - 9.8% | ||||||||
Welltower, Inc. | 3,569 | 290,980 | ||||||
Ventas, Inc. | 3,708 | 253,442 | ||||||
HCP, Inc. | 6,191 | 197,988 | ||||||
Omega Healthcare Investors, Inc. | 3,790 | 139,282 | ||||||
Medical Properties Trust, Inc. | 7,537 | 131,445 | ||||||
Healthcare Trust of America, Inc. — Class A | 4,384 | 120,253 | ||||||
Healthcare Realty Trust, Inc. | 3,235 | 101,320 | ||||||
Sabra Health Care REIT, Inc. | 4,902 | 96,520 | ||||||
Physicians Realty Trust | 5,226 | 91,141 | ||||||
CareTrust REIT, Inc. | 3,186 | 75,763 | ||||||
Senior Housing Properties Trust | 8,584 | 70,990 | ||||||
Total REITs-Health Care | 1,569,124 | |||||||
REITs-Warehouse/Industries - 7.6% | ||||||||
Prologis, Inc. | 4,489 | 359,569 | ||||||
Liberty Property Trust | 2,769 | 138,561 | ||||||
CyrusOne, Inc. | 2,222 | 128,254 | ||||||
First Industrial Realty Trust, Inc. | 3,001 | 110,257 | ||||||
Rexford Industrial Realty, Inc. | 2,602 | 105,043 | ||||||
EastGroup Properties, Inc. | 902 | 104,614 | ||||||
Americold Realty Trust | 3,070 | 99,529 | ||||||
STAG Industrial, Inc. | 3,291 | 99,520 | ||||||
QTS Realty Trust, Inc. — Class A | 1,788 | 82,570 | ||||||
Total REITs-Warehouse/Industries | 1,227,917 | |||||||
REITs-Shopping Centers - 6.6% | ||||||||
Regency Centers Corp. | 2,527 | 168,652 | ||||||
Federal Realty Investment Trust | 1,226 | 157,860 | ||||||
Kimco Realty Corp. | 7,656 | 141,483 | ||||||
Brixmor Property Group, Inc. | 6,546 | 117,042 | ||||||
Weingarten Realty Investors | 3,445 | 94,462 | ||||||
Retail Properties of America, Inc. — Class A | 6,793 | 79,886 | ||||||
SITE Centers Corp. | 5,933 | 78,553 | ||||||
Acadia Realty Trust | 2,774 | 75,924 | ||||||
Urban Edge Properties | 4,205 | 72,873 | ||||||
Retail Opportunity Investments Corp. | 4,174 | 71,501 | ||||||
Total REITs-Shopping Centers | 1,058,236 | |||||||
REITs-Hotels - 6.4% | ||||||||
Host Hotels & Resorts, Inc. | 10,269 | 187,101 | ||||||
MGM Growth Properties LLC — Class A | 4,834 | 148,162 | ||||||
Park Hotels & Resorts, Inc. | 4,311 | 118,811 | ||||||
Ryman Hospitality Properties, Inc. | 1,288 | 104,444 | ||||||
Hospitality Properties Trust | 4,154 | 103,850 | ||||||
Pebblebrook Hotel Trust | 3,456 | 97,390 | ||||||
Apple Hospitality REIT, Inc. | 6,062 | 96,143 | ||||||
Sunstone Hotel Investors, Inc. | 6,590 | 90,349 | ||||||
RLJ Lodging Trust | 5,019 | 89,037 | ||||||
Total REITs-Hotels | 1,035,287 | |||||||
82| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
REAL ESTATE FUND |
|
| Value | ||||||
REITs-Storage - 5.6% | ||||||||
Public Storage | 1,376 | $ | 327,722 | |||||
Extra Space Storage, Inc. | 1,767 | 187,479 | ||||||
Iron Mountain, Inc. | 4,854 | 151,930 | ||||||
CubeSmart | 3,805 | 127,239 | ||||||
Life Storage, Inc. | 1,116 | 106,109 | ||||||
Total REITs-Storage | 900,479 | |||||||
REITs-Mortgage - 5.4% | ||||||||
Annaly Capital Management, Inc. | 20,284 | 185,193 | ||||||
AGNC Investment Corp. | 9,092 | 152,927 | ||||||
Starwood Property Trust, Inc. | 5,612 | 127,505 | ||||||
Blackstone Mortgage Trust, Inc. — Class A | 3,042 | 108,234 | ||||||
Chimera Investment Corp. | 5,011 | 94,558 | ||||||
Two Harbors Investment Corp. | 7,437 | 94,227 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 4,603 | 84,649 | ||||||
Total REITs-Mortgage | 847,293 | |||||||
REITs-Regional Malls - 4.2% | ||||||||
Simon Property Group, Inc. | 2,220 | 354,667 | ||||||
Macerich Co. | 3,322 | 111,254 | ||||||
Taubman Centers, Inc. | 1,953 | 79,741 | ||||||
Brookfield Property REIT, Inc. — Class A | 3,548 | 67,022 | ||||||
Tanger Factory Outlet Centers, Inc.1 | 3,937 | 63,819 | ||||||
Total REITs-Regional Malls | 676,503 | |||||||
REITs-Single Tenant - 3.8% | ||||||||
Realty Income Corp. | 3,378 | 232,981 | ||||||
National Retail Properties, Inc. | 2,783 | 147,527 | ||||||
STORE Capital Corp. | 4,128 | 137,008 | ||||||
Spirit Realty Capital, Inc. | 2,386 | 101,787 | ||||||
Total REITs-Single Tenant | 619,303 | |||||||
REITs-Manufactured Homes - 2.1% | ||||||||
Sun Communities, Inc. | 1,357 | 173,954 | ||||||
Equity LifeStyle Properties, Inc. | 1,379 | 167,328 | ||||||
Total REITs-Manufactured Homes | 341,282 | |||||||
Total REITs | 15,824,936 | |||||||
Real Estate - 3.6% | ||||||||
Real Estate Management/Services - 2.8% | ||||||||
CBRE Group, Inc. — Class A* | 4,090 | 209,817 | ||||||
Jones Lang LaSalle, Inc. | 914 | 128,590 | ||||||
Redfin Corp.*,1 | 3,542 | 63,685 | ||||||
Realogy Holdings Corp. | 6,395 | 46,300 | ||||||
Total Real Estate Management/Services | 448,392 | |||||||
Real Estate Operations/Development - 0.8% | ||||||||
Howard Hughes Corp.* | 1,033 | 127,927 | ||||||
Total Real Estate | 576,319 | |||||||
Total Common Stocks | ||||||||
(Cost $11,221,078) | 16,401,255 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 1.1% | ||||||||
JPMorgan Chase & Co. | $ | 117,224 | 117,224 | |||||
Bank of America Merrill Lynch | 29,120 | 29,120 | ||||||
Barclays Capital | 29,120 | 29,120 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $175,464) | 175,464 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.4% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 61,846 | 61,846 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $61,846) | 61,846 | |||||||
Total Investments - 103.5% | ||||||||
(Cost $11,458,388) | $ | 16,638,565 | ||||||
Other Assets & Liabilities, net - (3.5)% | (570,277 | ) | ||||||
Total Net Assets - 100.0% | $ | 16,068,288 |
* | 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, 2019 — 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, 2019. |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 83 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
REAL ESTATE FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 16,401,255 | $ | — | $ | — | $ | 16,401,255 | ||||||||
Repurchase Agreements | — | 175,464 | — | 175,464 | ||||||||||||
Securities Lending Collateral | 61,846 | — | — | 61,846 | ||||||||||||
Total Assets | $ | 16,463,101 | $ | 175,464 | $ | — | $ | 16,638,565 |
84| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
REAL ESTATE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $60,799 of securities loaned (cost $11,282,924) | $ | 16,463,101 | ||
Repurchase agreements, at value (cost $175,464) | 175,464 | |||
Receivables: | ||||
Dividends | 82,245 | |||
Fund shares sold | 50,083 | |||
Interest | 37 | |||
Securities lending income | 12 | |||
Total assets | 16,770,942 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 457,188 | |||
Securities purchased | 142,393 | |||
Return of securities lending collateral | 61,846 | |||
Management fees | 10,222 | |||
Transfer agent and administrative fees | 3,006 | |||
Investor service fees | 3,006 | |||
Portfolio accounting fees | 1,203 | |||
Trustees’ fees* | 248 | |||
Miscellaneous | 23,542 | |||
Total liabilities | 702,654 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 16,068,288 | ||
Net assets consist of: | ||||
Paid in capital | $ | 12,682,602 | ||
Total distributable earnings (loss) | 3,385,686 | |||
Net assets | $ | 16,068,288 | ||
Capital shares outstanding | 385,238 | |||
Net asset value per share | $ | 41.71 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends | $ | 252,737 | ||
Interest | 875 | |||
Income from securities lending, net | 413 | |||
Total investment income | 254,025 | |||
Expenses: | ||||
Management fees | 57,166 | |||
Investor service fees | 16,814 | |||
Transfer agent and administrative fees | 16,814 | |||
Professional fees | 10,757 | |||
Portfolio accounting fees | 6,725 | |||
Trustees’ fees* | 1,633 | |||
Custodian fees | 1,436 | |||
Line of credit fees | 89 | |||
Miscellaneous | 12,862 | |||
Total expenses | 124,296 | |||
Net investment income | 129,729 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 62,439 | |||
Net realized gain | 62,439 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,635,591 | |||
Net change in unrealized appreciation (depreciation) | 1,635,591 | |||
Net realized and unrealized gain | 1,698,030 | |||
Net increase in net assets resulting from operations | $ | 1,827,759 |
* | 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| 85 |
REAL ESTATE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 129,729 | $ | 209,706 | ||||
Net realized gain (loss) on investments | 62,439 | (78,459 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,635,591 | (1,301,738 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,827,759 | (1,170,491 | ) | |||||
Distributions to shareholders | — | (127,066 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 21,465,631 | 44,849,856 | ||||||
Distributions reinvested | — | 127,066 | ||||||
Cost of shares redeemed | (19,932,663 | ) | (41,232,363 | ) | ||||
Net increase from capital share transactions | 1,532,968 | 3,744,559 | ||||||
Net increase in net assets | 3,360,727 | 2,447,002 | ||||||
Net assets: | ||||||||
Beginning of period | 12,707,561 | 10,260,559 | ||||||
End of period | $ | 16,068,288 | $ | 12,707,561 | ||||
Capital share activity: | ||||||||
Shares sold | 524,233 | 1,183,879 | ||||||
Shares issued from reinvestment of distributions | — | 3,246 | ||||||
Shares redeemed | (492,070 | ) | (1,095,657 | ) | ||||
Net increase in shares | 32,163 | 91,468 |
86| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 35.99 | $ | 39.22 | $ | 37.72 | $ | 34.50 | $ | 36.41 | $ | 30.42 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .39 | .64 | .36 | .63 | .53 | .50 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.33 | (3.48 | ) | 2.11 | 2.88 | (1.44 | ) | 5.88 | ||||||||||||||||
Total from investment operations | 5.72 | (2.84 | ) | 2.47 | 3.51 | (.91 | ) | 6.38 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.39 | ) | (.97 | ) | (.29 | ) | (1.00 | ) | (.39 | ) | |||||||||||||
Total distributions | — | (.39 | ) | (.97 | ) | (.29 | ) | (1.00 | ) | (.39 | ) | |||||||||||||
Net asset value, end of period | $ | 41.71 | $ | 35.99 | $ | 39.22 | $ | 37.72 | $ | 34.50 | $ | 36.41 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 15.89% | (7.33 | %) | 6.65% | 10.15% | (2.52 | %) | 21.01% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,068 | $ | 12,708 | $ | 10,261 | $ | 11,509 | $ | 16,324 | $ | 28,021 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.93 | % | 1.67 | % | 0.93 | % | 1.73 | % | 1.46 | % | 1.48 | % | ||||||||||||
Total expenses | 1.85 | % | 1.73 | % | 1.70 | % | 1.65 | % | 1.60 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 124 | % | 313 | % | 331 | % | 279 | % | 259 | % | 277 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 87 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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. | 10.9% |
Walmart, Inc. | 6.3% |
Alibaba Group Holding Ltd. ADR | 4.4% |
Home Depot, Inc. | 4.4% |
Costco Wholesale Corp. | 3.8% |
Booking Holdings, Inc. | 3.2% |
Lowe’s Companies, Inc. | 3.2% |
TJX Companies, Inc. | 2.8% |
Walgreens Boots Alliance, Inc. | 2.6% |
Target Corp. | 2.4% |
Top Ten Total | 44.0% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Retailing Fund | 16.34% | 1.56% | 6.77% | 13.47% |
S&P 500 Consumer Discretionary Index | 21.84% | 10.17% | 13.97% | 19.72% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
RETAILING FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.8% | ||||||||
Retail - 63.6% | ||||||||
Walmart, Inc. | 2,460 | $ | 271,805 | |||||
Home Depot, Inc. | 918 | 190,917 | ||||||
Costco Wholesale Corp. | 626 | 165,427 | ||||||
Lowe’s Companies, Inc. | 1,353 | 136,531 | ||||||
TJX Companies, Inc. | 2,328 | 123,105 | ||||||
Walgreens Boots Alliance, Inc. | 2,035 | 111,254 | ||||||
Target Corp. | 1,176 | 101,853 | ||||||
Ross Stores, Inc. | 912 | 90,397 | ||||||
Dollar General Corp. | 665 | 89,881 | ||||||
O’Reilly Automotive, Inc.* | 223 | 82,358 | ||||||
AutoZone, Inc.* | 73 | 80,261 | ||||||
Dollar Tree, Inc.* | 712 | 76,462 | ||||||
Ulta Beauty, Inc.* | 197 | 68,337 | ||||||
Best Buy Company, Inc. | 980 | 68,335 | ||||||
Genuine Parts Co. | 580 | 60,076 | ||||||
CarMax, Inc.* | 660 | 57,308 | ||||||
Tractor Supply Co. | 521 | 56,685 | ||||||
Tiffany & Co. | 561 | 52,532 | ||||||
Advance Auto Parts, Inc. | 337 | 51,945 | ||||||
Burlington Stores, Inc.* | 303 | 51,555 | ||||||
Carvana Co.*,1 | 799 | 50,009 | ||||||
Kohl’s Corp. | 907 | 43,128 | ||||||
L Brands, Inc. | 1,649 | 43,039 | ||||||
Gap, Inc. | 2,237 | 40,199 | ||||||
Macy’s, Inc. | 1,834 | 39,358 | ||||||
Five Below, Inc.* | 323 | 38,767 | ||||||
Williams-Sonoma, Inc. | 554 | 36,010 | ||||||
Qurate Retail, Inc. — Class A* | 2,861 | 35,448 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 405 | 35,280 | ||||||
Nordstrom, Inc. | 1,060 | 33,772 | ||||||
Foot Locker, Inc. | 790 | 33,117 | ||||||
Floor & Decor Holdings, Inc. — Class A* | 757 | 31,718 | ||||||
AutoNation, Inc.* | 706 | 29,610 | ||||||
Dick’s Sporting Goods, Inc. | 802 | 27,773 | ||||||
American Eagle Outfitters, Inc. | 1,526 | 25,789 | ||||||
Urban Outfitters, Inc.* | 1,008 | 22,932 | ||||||
RH*,1 | 194 | 22,426 | ||||||
Dillard’s, Inc. — Class A1 | 318 | 19,805 | ||||||
Bed Bath & Beyond, Inc.1 | 1,662 | 19,312 | ||||||
Children’s Place, Inc. | 200 | 19,076 | ||||||
Designer Brands, Inc. — Class A | 986 | 18,902 | ||||||
Sally Beauty Holdings, Inc.* | 1,411 | 18,823 | ||||||
Michaels Companies, Inc.* | 2,041 | 17,757 | ||||||
Big Lots, Inc. | 567 | 16,222 | ||||||
Abercrombie & Fitch Co. — Class A | 994 | 15,944 | ||||||
GameStop Corp. — Class A1 | 2,158 | 11,804 | ||||||
At Home Group, Inc.* | 1,407 | 9,371 | ||||||
Tailored Brands, Inc.1 | 1,543 | 8,903 | ||||||
Total Retail | 2,751,318 | |||||||
Internet - 33.6% | ||||||||
Amazon.com, Inc.* | 248 | 469,620 | ||||||
Alibaba Group Holding Ltd. ADR* | 1,128 | 191,140 | ||||||
Booking Holdings, Inc.* | 74 | 138,729 | ||||||
eBay, Inc. | 2,285 | 90,257 | ||||||
JD.com, Inc. ADR* | 2,774 | 84,024 | ||||||
Expedia Group, Inc. | 520 | 69,176 | ||||||
Ctrip.com International Ltd. ADR* | 1,557 | 57,469 | ||||||
Wayfair, Inc. — Class A* | 375 | 54,750 | ||||||
MercadoLibre, Inc.* | 86 | 52,612 | ||||||
Pinduoduo, Inc. ADR* | 2,252 | 46,459 | ||||||
GrubHub, Inc.* | 550 | 42,894 | ||||||
Baozun, Inc. ADR*,1 | 822 | 40,985 | ||||||
Etsy, Inc.* | 650 | 39,891 | ||||||
Stitch Fix, Inc. — Class A* | 879 | 28,119 | ||||||
Shutterfly, Inc.* | 402 | 20,321 | ||||||
Stamps.com, Inc.* | 317 | 14,351 | ||||||
Overstock.com, Inc.*,1 | 818 | 11,125 | ||||||
Total Internet | 1,451,922 | |||||||
Distribution & Wholesale - 2.0% | ||||||||
LKQ Corp.* | 1,681 | 44,731 | ||||||
Pool Corp. | 225 | 42,975 | ||||||
Total Distribution & Wholesale | 87,706 | |||||||
Commercial Services - 0.6% | ||||||||
Monro, Inc. | 306 | 26,102 | ||||||
Total Common Stocks | ||||||||
(Cost $2,814,940) | 4,317,048 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
JPMorgan Chase & Co. | $ | 14,748 | 14,748 | |||||
Bank of America Merrill Lynch | 3,664 | 3,664 | ||||||
Barclays Capital | 3,663 | 3,663 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $22,075) | 22,075 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.8% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 120,689 | 120,689 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $120,689) | 120,689 | |||||||
Total Investments - 103.1% | ||||||||
(Cost $2,957,704) | $ | 4,459,812 | ||||||
Other Assets & Liabilities, net - (3.1)% | (134,682 | ) | ||||||
Total Net Assets - 100.0% | $ | 4,325,130 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 89 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
RETAILING 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, 2019 — 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, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 4,317,048 | $ | — | $ | — | $ | 4,317,048 | ||||||||
Repurchase Agreements | — | 22,075 | — | 22,075 | ||||||||||||
Securities Lending Collateral | 120,689 | — | — | 120,689 | ||||||||||||
Total Assets | $ | 4,437,737 | $ | 22,075 | $ | — | $ | 4,459,812 |
90| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RETAILING FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $119,029 of securities loaned (cost $2,935,629) | $ | 4,437,737 | ||
Repurchase agreements, at value (cost $22,075) | 22,075 | |||
Receivables: | ||||
Dividends | 2,504 | |||
Securities lending income | 189 | |||
Interest | 5 | |||
Total assets | 4,462,510 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 120,689 | |||
Management fees | 2,829 | |||
Fund shares redeemed | 1,066 | |||
Transfer agent and administrative fees | 832 | |||
Investor service fees | 832 | |||
Portfolio accounting fees | 333 | |||
Trustees’ fees* | 113 | |||
Miscellaneous | 10,686 | |||
Total liabilities | 137,380 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 4,325,130 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,771,234 | ||
Total distributable earnings (loss) | 553,896 | |||
Net assets | $ | 4,325,130 | ||
Capital shares outstanding | 51,667 | |||
Net asset value per share | $ | 83.71 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $85) | $ | 36,385 | ||
Interest | 470 | |||
Income from securities lending, net | 1,427 | |||
Total investment income | 38,282 | |||
Expenses: | ||||
Management fees | 25,653 | |||
Investor service fees | 7,545 | |||
Transfer agent and administrative fees | 7,545 | |||
Professional fees | 3,746 | |||
Portfolio accounting fees | 3,018 | |||
Trustees’ fees* | 992 | |||
Custodian fees | 793 | |||
Line of credit fees | 19 | |||
Miscellaneous | 6,600 | |||
Total expenses | 55,911 | |||
Net investment loss | (17,629 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 487,963 | |||
Net realized gain | 487,963 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 402,705 | |||
Net change in unrealized appreciation (depreciation) | 402,705 | |||
Net realized and unrealized gain | 890,668 | |||
Net increase in net assets resulting from operations | $ | 873,039 |
* | 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| 91 |
RETAILING FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (17,629 | ) | $ | (36,385 | ) | ||
Net realized gain (loss) on investments | 487,963 | (198,522 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 402,705 | (160,691 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 873,039 | (395,598 | ) | |||||
Distributions to shareholders | — | (1,360 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,463,402 | 25,331,798 | ||||||
Distributions reinvested | — | 1,360 | ||||||
Cost of shares redeemed | (6,799,533 | ) | (25,996,766 | ) | ||||
Net decrease from capital share transactions | (3,336,131 | ) | (663,608 | ) | ||||
Net decrease in net assets | (2,463,092 | ) | (1,060,566 | ) | ||||
Net assets: | ||||||||
Beginning of period | 6,788,222 | 7,848,788 | ||||||
End of period | $ | 4,325,130 | $ | 6,788,222 | ||||
Capital share activity: | ||||||||
Shares sold | 42,129 | 313,528 | ||||||
Shares issued from reinvestment of distributions | — | 16 | ||||||
Shares redeemed | (84,805 | ) | (324,743 | ) | ||||
Net decrease in shares | (42,676 | ) | (11,199 | ) |
92| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 71.95 | $ | 74.37 | $ | 65.91 | $ | 69.96 | $ | 77.68 | $ | 81.49 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.23 | ) | (.30 | ) | .02 | (.05 | ) | (.16 | ) | (.40 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 11.99 | (2.11 | ) | 8.44 | (2.93 | ) | (.20 | ) | 6.79 | |||||||||||||||
Total from investment operations | 11.76 | (2.41 | ) | 8.46 | (2.98 | ) | (.36 | ) | 6.39 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.01 | ) | — | — | — | — | |||||||||||||||||
Net realized gains | — | — | — | (1.07 | ) | (7.36 | ) | (10.20 | ) | |||||||||||||||
Total distributions | — | (.01 | ) | — | (1.07 | ) | (7.36 | ) | (10.20 | ) | ||||||||||||||
Net asset value, end of period | $ | 83.71 | $ | 71.95 | $ | 74.37 | $ | 65.91 | $ | 69.96 | $ | 77.68 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 16.34% | (3.23 | %) | 12.82% | 0.30% | (1.33 | %) | 8.66% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,325 | $ | 6,788 | $ | 7,849 | $ | 5,278 | $ | 8,328 | $ | 7,304 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.58 | %) | (0.37 | %) | 0.03 | % | (0.25 | %) | (0.19 | %) | (0.51 | %) | ||||||||||||
Total expenses | 1.85 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 59 | % | 260 | % | 447 | % | 668 | % | 225 | % | 452 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Reverse share split — Per share amounts for the periods presented through December 1, 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| 93 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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) | |
Microsoft Corp. | 4.1% |
Apple, Inc. | 3.9% |
Alphabet, Inc. — Class A | 3.5% |
Facebook, Inc. — Class A | 3.1% |
Visa, Inc. — Class A | 2.4% |
Mastercard, Inc. — Class A | 2.1% |
Cisco Systems, Inc. | 1.9% |
Intel Corp. | 1.9% |
Oracle Corp. | 1.8% |
Adobe, Inc. | 1.5% |
Top Ten Total | 26.2% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Technology Fund | 25.81% | 12.25% | 14.02% | 14.94% |
S&P 500 Information Technology Index | 27.13% | 14.34% | 18.53% | 18.57% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
TECHNOLOGY FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Software - 28.5% | ||||||||
Microsoft Corp. | 7,104 | $ | 951,652 | |||||
Oracle Corp. | 7,430 | 423,287 | ||||||
Adobe, Inc.* | 1,203 | 354,464 | ||||||
salesforce.com, Inc.* | 2,102 | 318,937 | ||||||
Intuit, Inc. | 949 | 248,002 | ||||||
VMware, Inc. — Class A | 1,458 | 243,792 | ||||||
ServiceNow, Inc.* | 769 | 211,144 | ||||||
Workday, Inc. — Class A* | 967 | 198,796 | ||||||
Fidelity National Information Services, Inc. | 1,554 | 190,645 | ||||||
Activision Blizzard, Inc. | 3,919 | 184,977 | ||||||
Fiserv, Inc.* | 1,971 | 179,676 | ||||||
Autodesk, Inc.* | 1,070 | 174,303 | ||||||
Red Hat, Inc.* | 928 | 174,241 | ||||||
Electronic Arts, Inc.* | 1,703 | 172,446 | ||||||
Paychex, Inc. | 1,936 | 159,313 | ||||||
First Data Corp. — Class A* | 5,613 | 151,944 | ||||||
Cadence Design Systems, Inc.* | 1,886 | 133,548 | ||||||
Synopsys, Inc.* | 1,023 | 131,650 | ||||||
Splunk, Inc.* | 1,045 | 131,409 | ||||||
NetEase, Inc. ADR | 506 | 129,420 | ||||||
Twilio, Inc. — Class A* | 921 | 125,578 | ||||||
ANSYS, Inc.* | 613 | 125,555 | ||||||
Atlassian Corporation plc — Class A* | 954 | 124,821 | ||||||
Momo, Inc. ADR | 3,423 | 122,543 | ||||||
Broadridge Financial Solutions, Inc. | 908 | 115,933 | ||||||
SS&C Technologies Holdings, Inc. | 1,968 | 113,377 | ||||||
Akamai Technologies, Inc.* | 1,374 | 110,112 | ||||||
Paycom Software, Inc.* | 479 | 108,599 | ||||||
Take-Two Interactive Software, Inc.* | 954 | 108,308 | ||||||
Citrix Systems, Inc. | 1,099 | 107,856 | ||||||
Jack Henry & Associates, Inc. | 726 | 97,226 | ||||||
PTC, Inc.* | 1,082 | 97,120 | ||||||
Dropbox, Inc. — Class A* | 3,872 | 96,994 | ||||||
Aspen Technology, Inc.* | 705 | 87,617 | ||||||
DocuSign, Inc.* | 1,713 | 85,153 | ||||||
CDK Global, Inc. | 1,500 | 74,160 | ||||||
Total Software | 6,564,598 | |||||||
Semiconductors - 19.9% | ||||||||
Intel Corp. | 9,208 | 440,787 | ||||||
Broadcom, Inc. | 1,141 | 328,448 | ||||||
Texas Instruments, Inc. | 2,745 | 315,016 | ||||||
NVIDIA Corp. | 1,882 | 309,081 | ||||||
QUALCOMM, Inc. | 3,872 | 294,543 | ||||||
Micron Technology, Inc.* | 5,555 | 214,367 | ||||||
Applied Materials, Inc. | 4,471 | 200,793 | ||||||
Analog Devices, Inc. | 1,727 | 194,926 | ||||||
NXP Semiconductor N.V. | 1,843 | 179,895 | ||||||
Advanced Micro Devices, Inc.* | 5,691 | 172,836 | ||||||
Xilinx, Inc. | 1,426 | 168,154 | ||||||
Lam Research Corp. | 863 | 162,106 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 3,630 | 142,187 | ||||||
Microchip Technology, Inc.1 | 1,593 | 138,113 | ||||||
KLA-Tencor Corp. | 1,134 | 134,039 | ||||||
ASML Holding N.V. — Class G | 599 | 124,550 | ||||||
Maxim Integrated Products, Inc. | 2,058 | 123,110 | ||||||
Marvell Technology Group Ltd. | 4,998 | 119,302 | ||||||
Skyworks Solutions, Inc. | 1,449 | 111,964 | ||||||
IPG Photonics Corp.* | 584 | 90,082 | ||||||
ON Semiconductor Corp.* | 4,422 | 89,369 | ||||||
Teradyne, Inc. | 1,838 | 88,059 | ||||||
Qorvo, Inc.* | 1,310 | 87,259 | ||||||
Cypress Semiconductor Corp. | 3,847 | 85,557 | ||||||
Monolithic Power Systems, Inc. | 560 | 76,037 | ||||||
Cree, Inc.* | 1,280 | 71,910 | ||||||
Entegris, Inc. | 1,793 | 66,915 | ||||||
MKS Instruments, Inc. | 807 | 62,857 | ||||||
Total Semiconductors | 4,592,262 | |||||||
Internet - 17.3% | ||||||||
Alphabet, Inc. — Class A* | 747 | 808,852 | ||||||
Facebook, Inc. — Class A* | 3,663 | 706,959 | ||||||
Baidu, Inc. ADR* | 1,842 | 216,177 | ||||||
Twitter, Inc.* | 4,408 | 153,839 | ||||||
VeriSign, Inc.* | 718 | 150,177 | ||||||
Palo Alto Networks, Inc.* | 653 | 133,055 | ||||||
Match Group, Inc.1 | 1,957 | 131,647 | ||||||
IAC/InterActiveCorp* | 596 | 129,648 | ||||||
CDW Corp. | 1,119 | 124,209 | ||||||
Weibo Corp. ADR*,1 | 2,850 | 124,118 | ||||||
Shopify, Inc. — Class A* | 389 | 116,758 | ||||||
Symantec Corp. | 5,190 | 112,934 | ||||||
YY, Inc. ADR* | 1,592 | 110,947 | ||||||
Okta, Inc.* | 879 | 108,565 | ||||||
Wix.com Ltd.* | 742 | 105,438 | ||||||
GoDaddy, Inc. — Class A* | 1,488 | 104,383 | ||||||
Autohome, Inc. ADR*,1 | 1,212 | 103,771 | ||||||
Zillow Group, Inc. — Class C*,1 | 2,019 | 93,661 | ||||||
Zendesk, Inc.* | 1,031 | 91,790 | ||||||
F5 Networks, Inc.* | 620 | 90,291 | ||||||
Proofpoint, Inc.* | 663 | 79,726 | ||||||
TripAdvisor, Inc.* | 1,633 | 75,592 | ||||||
FireEye, Inc.* | 3,638 | 53,879 | ||||||
Yelp, Inc. — Class A* | 1,460 | 49,903 | ||||||
Total Internet | 3,976,319 | |||||||
Computers - 12.3% | ||||||||
Apple, Inc. | 4,557 | 901,921 | ||||||
International Business Machines Corp. | 2,402 | 331,236 | ||||||
Accenture plc — Class A | 1,096 | 202,508 | ||||||
Cognizant Technology Solutions Corp. — Class A | 2,818 | 178,633 | ||||||
HP, Inc. | 8,146 | 169,355 | ||||||
Hewlett Packard Enterprise Co. | 9,019 | 134,834 | ||||||
Check Point Software Technologies Ltd.* | 1,096 | 126,709 | ||||||
Western Digital Corp. | 2,607 | 123,963 | ||||||
DXC Technology Co. | 2,127 | 117,304 | ||||||
NetApp, Inc. | 1,875 | 115,688 | ||||||
Fortinet, Inc.* | 1,430 | 109,867 | ||||||
Seagate Technology plc | 2,322 | 109,413 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 95 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
TECHNOLOGY FUND |
|
| Value | ||||||
Amdocs Ltd. | 1,416 | $ | 87,919 | |||||
Nutanix, Inc. — Class A* | 2,464 | 63,916 | ||||||
Lumentum Holdings, Inc.* | 1,195 | 63,825 | ||||||
Total Computers | 2,837,091 | |||||||
Commercial Services - 6.4% | ||||||||
PayPal Holdings, Inc.* | 3,036 | 347,501 | ||||||
Automatic Data Processing, Inc. | 1,525 | 252,128 | ||||||
Worldpay, Inc. — Class A* | 1,508 | 184,806 | ||||||
Square, Inc. — Class A* | 2,285 | 165,731 | ||||||
Global Payments, Inc. | 939 | 150,362 | ||||||
FleetCor Technologies, Inc.* | 528 | 148,289 | ||||||
Total System Services, Inc. | 1,112 | 142,636 | ||||||
Sabre Corp. | 3,281 | 72,838 | ||||||
Total Commercial Services | 1,464,291 | |||||||
Diversified Financial Services - 5.8% | ||||||||
Visa, Inc. — Class A | 3,219 | 558,657 | ||||||
Mastercard, Inc. — Class A | 1,853 | 490,174 | ||||||
Pagseguro Digital Ltd. — Class A* | 2,947 | 114,845 | ||||||
Western Union Co. | 4,399 | 87,496 | ||||||
Alliance Data Systems Corp. | 594 | 83,237 | ||||||
Total Diversified Financial Services | 1,334,409 | |||||||
Telecommunications - 4.8% | ||||||||
Cisco Systems, Inc. | 8,150 | 446,050 | ||||||
Motorola Solutions, Inc. | 948 | 158,060 | ||||||
Corning, Inc. | 4,630 | 153,855 | ||||||
Arista Networks, Inc.* | 526 | 136,560 | ||||||
Juniper Networks, Inc. | 3,421 | 91,101 | ||||||
LogMeIn, Inc. | 799 | 58,870 | ||||||
CommScope Holding Company, Inc.* | 3,279 | 51,579 | ||||||
Total Telecommunications | 1,096,075 | |||||||
Electronics - 2.5% | ||||||||
Amphenol Corp. — Class A | 1,678 | 160,987 | ||||||
TE Connectivity Ltd. | 1,233 | 118,097 | ||||||
Trimble, Inc.* | 2,295 | 103,527 | ||||||
FLIR Systems, Inc. | 1,518 | 82,124 | ||||||
Avnet, Inc. | 1,502 | 67,996 | ||||||
Coherent, Inc.* | 415 | 56,594 | ||||||
Total Electronics | 589,325 | |||||||
Office & Business Equipment - 0.4% | ||||||||
Zebra Technologies Corp. — Class A* | 500 | 104,745 | ||||||
Electrical Components & Equipment - 0.4% | ||||||||
Universal Display Corp. | 490 | 92,149 | ||||||
Advertising - 0.4% | ||||||||
Trade Desk, Inc. — Class A* | 404 | 92,023 | ||||||
Machinery-Diversified - 0.4% | ||||||||
Cognex Corp. | 1,832 | 87,899 | ||||||
Energy-Alternate Sources - 0.4% | ||||||||
First Solar, Inc.* | 1,237 | 81,246 | ||||||
Total Common Stocks | ||||||||
(Cost $11,466,072) | 22,912,432 | |||||||
SECURITIES LENDING COLLATERAL†,2 - 1.6% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%3 | 370,674 | 370,674 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $370,674) | 370,674 | |||||||
Total Investments - 101.1% | ||||||||
(Cost $11,836,746) | $ | 23,283,106 | ||||||
Other Assets & Liabilities, net - (1.1)% | (259,955 | ) | ||||||
Total Net Assets - 100.0% | $ | 23,023,151 |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2019 — See Note 7. |
2 | Securities lending collateral — See Note 7. |
3 | Rate indicated is the 7-day yield as of June 30, 2019. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
96| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
TECHNOLOGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 22,912,432 | $ | — | $ | — | $ | 22,912,432 | ||||||||
Securities Lending Collateral | 370,674 | — | — | 370,674 | ||||||||||||
Total Assets | $ | 23,283,106 | $ | — | $ | — | $ | 23,283,106 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 97 |
TECHNOLOGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $361,746 of securities loaned (cost $11,836,746) | $ | 23,283,106 | ||
Cash | 683 | |||
Receivables: | ||||
Securities sold | 270,484 | |||
Dividends | 17,529 | |||
Fund shares sold | 794 | |||
Foreign tax reclaims | 590 | |||
Securities lending income | 9 | |||
Total assets | 23,573,195 | |||
Liabilities: | ||||
Line of credit | 1,000 | |||
Payable for: | ||||
Return of securities lending collateral | 370,674 | |||
Fund shares redeemed | 115,067 | |||
Management fees | 14,829 | |||
Transfer agent and administrative fees | 4,361 | |||
Investor service fees | 4,361 | |||
Portfolio accounting fees | 1,744 | |||
Trustees’ fees* | 397 | |||
Miscellaneous | 37,611 | |||
Total liabilities | 550,044 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 23,023,151 | ||
Net assets consist of: | ||||
Paid in capital | $ | 12,100,080 | ||
Total distributable earnings (loss) | 10,923,071 | |||
Net assets | $ | 23,023,151 | ||
Capital shares outstanding | 196,624 | |||
Net asset value per share | $ | 117.09 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $228) | $ | 117,296 | ||
Interest | 1,701 | |||
Income from securities lending, net | 79 | |||
Total investment income | 119,076 | |||
Expenses: | ||||
Management fees | 91,161 | |||
Investor service fees | 26,812 | |||
Transfer agent and administrative fees | 26,812 | |||
Professional fees | 18,153 | |||
Portfolio accounting fees | 10,725 | |||
Trustees’ fees* | 2,777 | |||
Custodian fees | 2,551 | |||
Line of credit fees | 5 | |||
Miscellaneous | 19,168 | |||
Total expenses | 198,164 | |||
Net investment loss | (79,088 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 222,279 | |||
Net realized gain | 222,279 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 4,111,089 | |||
Net change in unrealized appreciation (depreciation) | 4,111,089 | |||
Net realized and unrealized gain | 4,333,368 | |||
Net increase in net assets resulting from operations | $ | 4,254,280 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
98| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TECHNOLOGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (79,088 | ) | $ | (146,979 | ) | ||
Net realized gain on investments | 222,279 | 1,605,280 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 4,111,089 | (1,731,288 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 4,254,280 | (272,987 | ) | |||||
Distributions to shareholders | — | (660,584 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 29,211,329 | 41,595,282 | ||||||
Distributions reinvested | — | 660,584 | ||||||
Cost of shares redeemed | (26,503,024 | ) | (48,201,267 | ) | ||||
Net increase (decrease) from capital share transactions | 2,708,305 | (5,945,401 | ) | |||||
Net increase (decrease) in net assets | 6,962,585 | (6,878,972 | ) | |||||
Net assets: | ||||||||
Beginning of period | 16,060,566 | 22,939,538 | ||||||
End of period | $ | 23,023,151 | $ | 16,060,566 | ||||
Capital share activity: | ||||||||
Shares sold | 262,932 | 392,507 | ||||||
Shares issued from reinvestment of distributions | — | 6,013 | ||||||
Shares redeemed | (238,864 | ) | (463,173 | ) | ||||
Net increase (decrease) in shares | 24,068 | (64,653 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 99 |
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 | $ | 93.07 | $ | 96.71 | $ | 74.88 | $ | 71.70 | $ | 71.28 | $ | 64.65 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.40 | ) | (.63 | ) | (.56 | ) | (.21 | ) | (.32 | ) | (.32 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 24.42 | (.43 | ) | 24.71 | 7.78 | 1.13 | 6.95 | |||||||||||||||||
Total from investment operations | 24.02 | (1.06 | ) | 24.15 | 7.57 | .81 | 6.63 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (2.58 | ) | (2.32 | ) | (4.39 | ) | (.39 | ) | — | ||||||||||||||
Total distributions | — | (2.58 | ) | (2.32 | ) | (4.39 | ) | (.39 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 117.09 | $ | 93.07 | $ | 96.71 | $ | 74.88 | $ | 71.70 | $ | 71.28 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 25.81% | (1.49 | %) | 32.63% | 11.07% | 1.11% | 10.26% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 23,023 | $ | 16,061 | $ | 22,940 | $ | 18,156 | $ | 19,042 | $ | 18,218 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.74 | %) | (0.60 | %) | (0.64 | %) | (0.29 | %) | (0.45 | %) | (0.47 | %) | ||||||||||||
Total expenses | 1.85 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 115 | % | 178 | % | 200 | % | 321 | % | 142 | % | 197 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Reverse share split — Per share amounts for the period presented through December 31, 2014 have been restated to reflect a 1:5 reverse share split effective January 24, 2014. |
100| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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) | |
AT&T, Inc. | 12.5% |
Verizon Communications, Inc. | 12.1% |
Cisco Systems, Inc. | 11.7% |
T-Mobile US, Inc. | 6.2% |
Motorola Solutions, Inc. | 4.1% |
Sprint Corp. | 4.1% |
Arista Networks, Inc. | 3.5% |
CenturyLink, Inc. | 2.9% |
Ubiquiti Networks, Inc. | 2.4% |
Juniper Networks, Inc. | 2.4% |
Top Ten Total | 61.9% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Telecommunications Fund | 11.09% | 4.35% | 3.84% | 5.45% |
S&P 500 Telecommunication Services Index | 19.09% | 13.66% | 5.34% | 9.85% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
TELECOMMUNICATIONS FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Telecommunications - 91.9% | ||||||||
AT&T, Inc. | 15,198 | $ | 509,285 | |||||
Verizon Communications, Inc. | 8,597 | 491,147 | ||||||
Cisco Systems, Inc. | 8,701 | 476,206 | ||||||
T-Mobile US, Inc.* | 3,420 | 253,559 | ||||||
Motorola Solutions, Inc. | 1,007 | 167,897 | ||||||
Sprint Corp.* | 25,048 | 164,565 | ||||||
Arista Networks, Inc.* | 554 | 143,830 | ||||||
CenturyLink, Inc. | 9,912 | 116,565 | ||||||
Ubiquiti Networks, Inc.1 | 753 | 99,020 | ||||||
Juniper Networks, Inc. | 3,651 | 97,226 | ||||||
Zayo Group Holdings, Inc.* | 2,708 | 89,120 | ||||||
Ciena Corp.* | 1,916 | 78,805 | ||||||
ViaSat, Inc.* | 858 | 69,344 | ||||||
EchoStar Corp. — Class A* | 1,518 | 67,278 | ||||||
Vodafone Group plc ADR | 3,750 | 61,238 | ||||||
Telephone & Data Systems, Inc. | 1,916 | 58,246 | ||||||
CommScope Holding Company, Inc.* | 3,502 | 55,086 | ||||||
Finisar Corp.* | 2,353 | 53,813 | ||||||
Iridium Communications, Inc.* | 2,259 | 52,544 | ||||||
Intelsat S.A.* | 2,367 | 46,038 | ||||||
InterDigital, Inc. | 709 | 45,660 | ||||||
America Movil SAB de CV — Class L ADR | 3,080 | 44,845 | ||||||
Acacia Communications, Inc.* | 950 | 44,802 | ||||||
China Mobile Ltd. ADR | 966 | 43,750 | ||||||
Shenandoah Telecommunications Co. | 1,133 | 43,643 | ||||||
BCE, Inc. | 927 | 42,160 | ||||||
Rogers Communications, Inc. — Class B | 729 | 39,016 | ||||||
Telefonica Brasil S.A. ADR | 2,954 | 38,461 | ||||||
KT Corp. ADR | 3,107 | 38,434 | ||||||
Plantronics, Inc. | 1,036 | 38,373 | ||||||
TELUS Corp. | 1,018 | 37,574 | ||||||
SK Telecom Company Ltd. ADR | 1,502 | 37,175 | ||||||
TIM Participacoes S.A. ADR | 2,451 | 36,691 | ||||||
NETGEAR, Inc.* | 1,108 | 28,021 | ||||||
Casa Systems, Inc.* | 3,667 | 23,579 | ||||||
Total Telecommunications | 3,732,996 | |||||||
Internet - 4.4% | ||||||||
F5 Networks, Inc.* | 659 | 95,970 | ||||||
Cogent Communications Holdings, Inc. | 897 | 53,246 | ||||||
Boingo Wireless, Inc.* | 1,528 | 27,458 | ||||||
Total Internet | 176,674 | |||||||
Computers - 2.8% | ||||||||
Lumentum Holdings, Inc.* | 1,278 | 68,258 | ||||||
NetScout Systems, Inc.* | 1,808 | 45,905 | ||||||
Total Computers | 114,163 | |||||||
Electronics - 0.4% | ||||||||
Applied Optoelectronics, Inc.* | 1,502 | 15,440 | ||||||
Total Common Stocks | ||||||||
(Cost $3,215,330) | 4,039,273 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
JPMorgan Chase & Co. | $ | 17,718 | 17,718 | |||||
Bank of America Merrill Lynch | 4,401 | 4,401 | ||||||
Barclays Capital | 4,402 | 4,402 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $26,521) | 26,521 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.9% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 75,576 | 75,576 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $75,576) | 75,576 | |||||||
Total Investments - 102.0% | ||||||||
(Cost $3,317,427) | $ | 4,141,370 | ||||||
Other Assets & Liabilities, net - (2.0)% | (81,381 | ) | ||||||
Total Net Assets - 100.0% | $ | 4,059,989 |
* | 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, 2019 — 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, 2019. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
102| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
TELECOMMUNICATIONS FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 4,039,273 | $ | — | $ | — | $ | 4,039,273 | ||||||||
Repurchase Agreements | — | 26,521 | — | 26,521 | ||||||||||||
Securities Lending Collateral | 75,576 | — | — | 75,576 | ||||||||||||
Total Assets | $ | 4,114,849 | $ | 26,521 | $ | — | $ | 4,141,370 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 103 |
TELECOMMUNICATIONS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $74,166 of securities loaned (cost $3,290,906) | $ | 4,114,849 | ||
Repurchase agreements, at value (cost $26,521) | 26,521 | |||
Receivables: | ||||
Dividends | 4,969 | |||
Interest | 6 | |||
Total assets | 4,146,345 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 75,576 | |||
Management fees | 2,467 | |||
Fund shares redeemed | 800 | |||
Transfer agent and administrative fees | 726 | |||
Investor service fees | 726 | |||
Portfolio accounting fees | 290 | |||
Trustees’ fees* | 60 | |||
Miscellaneous | 5,711 | |||
Total liabilities | 86,356 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 4,059,989 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,890,963 | ||
Total distributable earnings (loss) | 169,026 | |||
Net assets | $ | 4,059,989 | ||
Capital shares outstanding | 67,995 | |||
Net asset value per share | $ | 59.71 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $572) | $ | 41,015 | ||
Interest | 237 | |||
Income from securities lending, net | 68 | |||
Total investment income | 41,320 | |||
Expenses: | ||||
Management fees | 13,704 | |||
Investor service fees | 4,030 | |||
Transfer agent and administrative fees | 4,030 | |||
Professional fees | 2,760 | |||
Portfolio accounting fees | 1,612 | |||
Trustees’ fees* | 394 | |||
Custodian fees | 347 | |||
Line of credit fees | 2 | |||
Miscellaneous | 2,889 | |||
Total expenses | 29,768 | |||
Net investment income | 11,552 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (38,297 | ) | ||
Net realized loss | (38,297 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 345,942 | |||
Net change in unrealized appreciation (depreciation) | 345,942 | |||
Net realized and unrealized gain | 307,645 | |||
Net increase in net assets resulting from operations | $ | 319,197 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
104| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TELECOMMUNICATIONS FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 11,552 | $ | 28,775 | ||||
Net realized loss on investments | (38,297 | ) | (74,284 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 345,942 | (300,467 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 319,197 | (345,976 | ) | |||||
Distributions to shareholders | — | (73,940 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 5,822,743 | 11,508,223 | ||||||
Distributions reinvested | — | 73,940 | ||||||
Cost of shares redeemed | (5,311,495 | ) | (11,446,388 | ) | ||||
Net increase from capital share transactions | 511,248 | 135,775 | ||||||
Net increase (decrease) in net assets | 830,445 | (284,141 | ) | |||||
Net assets: | ||||||||
Beginning of period | 3,229,544 | 3,513,685 | ||||||
End of period | $ | 4,059,989 | $ | 3,229,544 | ||||
Capital share activity: | ||||||||
Shares sold | 98,795 | 193,484 | ||||||
Shares issued from reinvestment of distributions | — | 1,260 | ||||||
Shares redeemed | (90,890 | ) | (194,735 | ) | ||||
Net increase in shares | 7,905 | 9 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 105 |
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 | $ | 53.75 | $ | 58.48 | $ | 57.03 | $ | 48.71 | $ | 53.12 | $ | 52.94 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .21 | .57 | .37 | .45 | .42 | .61 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 5.75 | (3.51 | ) | 2.86 | 8.03 | (3.94 | ) | .79 | ||||||||||||||||
Total from investment operations | 5.96 | (2.94 | ) | 3.23 | 8.48 | (3.52 | ) | 1.40 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.47 | ) | (.77 | ) | (.16 | ) | (.89 | ) | (1.22 | ) | |||||||||||||
Net realized gains | — | (1.32 | ) | (1.01 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (1.79 | ) | (1.78 | ) | (.16 | ) | (.89 | ) | (1.22 | ) | |||||||||||||
Net asset value, end of period | $ | 59.71 | $ | 53.75 | $ | 58.48 | $ | 57.03 | $ | 48.71 | $ | 53.12 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 11.09% | (5.29 | %) | 5.85% | 17.40% | (6.73 | %) | 2.62% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,060 | $ | 3,230 | $ | 3,514 | $ | 5,384 | $ | 2,329 | $ | 2,382 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.72 | % | 0.97 | % | 0.65 | % | 0.86 | % | 0.80 | % | 1.14 | % | ||||||||||||
Total expenses | 1.85 | % | 1.73 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 162 | % | 365 | % | 372 | % | 410 | % | 232 | % | 495 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Reverse share split — Per share amounts for the period presented through December 31, 2014 have been restated to reflect a 1:5 reverse share split effective January 24, 2014. |
106| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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. | 5.8% |
United Parcel Service, Inc. — Class B | 5.0% |
CSX Corp. | 4.1% |
General Motors Co. | 4.0% |
Norfolk Southern Corp. | 3.9% |
FedEx Corp. | 3.5% |
Ford Motor Co. | 3.4% |
Tesla, Inc. | 3.4% |
Delta Air Lines, Inc. | 3.2% |
Southwest Airlines Co. | 2.7% |
Top Ten Total | 39.0% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Transportation Fund | 13.69% | (4.34%) | 3.71% | 13.11% |
S&P 500 Industrials Index | 21.38% | 10.43% | 9.28% | 15.59% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
TRANSPORTATION FUND |
|
| Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Transportation - 45.1% | ||||||||
Union Pacific Corp. | 1,270 | $ | 214,770 | |||||
United Parcel Service, Inc. — Class B | 1,811 | 187,022 | ||||||
CSX Corp. | 1,993 | 154,198 | ||||||
Norfolk Southern Corp. | 718 | 143,119 | ||||||
FedEx Corp. | 783 | 128,561 | ||||||
Expeditors International of Washington, Inc. | 943 | 71,536 | ||||||
Kansas City Southern | 573 | 69,803 | ||||||
Old Dominion Freight Line, Inc. | 463 | 69,107 | ||||||
CH Robinson Worldwide, Inc. | 800 | 67,480 | ||||||
J.B. Hunt Transport Services, Inc. | 690 | 63,073 | ||||||
Genesee & Wyoming, Inc. — Class A* | 477 | 47,700 | ||||||
Knight-Swift Transportation Holdings, Inc. | 1,447 | 47,520 | ||||||
XPO Logistics, Inc.* | 810 | 46,826 | ||||||
Canadian Pacific Railway Ltd. | 189 | 44,460 | ||||||
Kirby Corp.* | 538 | 42,502 | ||||||
Landstar System, Inc. | 386 | 41,684 | ||||||
Canadian National Railway Co. | 446 | 41,246 | ||||||
ZTO Express Cayman, Inc. ADR | 2,119 | 40,515 | ||||||
Ryder System, Inc. | 603 | 35,155 | ||||||
Werner Enterprises, Inc. | 950 | 29,526 | ||||||
Saia, Inc.* | 406 | 26,256 | ||||||
Hub Group, Inc. — Class A* | 577 | 24,223 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 500 | 22,320 | ||||||
ArcBest Corp. | 611 | 17,175 | ||||||
Total Transportation | 1,675,777 | |||||||
Airlines - 18.6% | ||||||||
Delta Air Lines, Inc. | 2,112 | 119,856 | ||||||
Southwest Airlines Co. | 2,012 | 102,169 | ||||||
United Continental Holdings, Inc.* | 1,079 | 94,467 | ||||||
American Airlines Group, Inc. | 2,320 | 75,655 | ||||||
Alaska Air Group, Inc. | 873 | 55,794 | ||||||
JetBlue Airways Corp.* | 2,470 | 45,670 | ||||||
Ryanair Holdings plc ADR* | 604 | 38,741 | ||||||
Spirit Airlines, Inc.* | 747 | 35,654 | ||||||
SkyWest, Inc. | 581 | 35,249 | ||||||
Copa Holdings S.A. — Class A | 350 | 34,150 | ||||||
Allegiant Travel Co. — Class A | 216 | 30,996 | ||||||
Hawaiian Holdings, Inc. | 845 | 23,178 | ||||||
Total Airlines | 691,579 | |||||||
Auto Manufacturers - 13.8% | ||||||||
General Motors Co. | 3,861 | 148,764 | ||||||
Ford Motor Co. | 12,450 | 127,364 | ||||||
Tesla, Inc.*,1 | 560 | 125,138 | ||||||
Fiat Chrysler Automobiles N.V. | 2,861 | 39,539 | ||||||
Ferrari N.V. | 221 | 35,674 | ||||||
Tata Motors Ltd. ADR* | 3,033 | 35,425 | ||||||
Total Auto Manufacturers | 511,904 | |||||||
Auto Parts & Equipment - 13.5% | ||||||||
Aptiv plc | 858 | 69,352 | ||||||
Lear Corp. | 420 | 58,493 | ||||||
BorgWarner, Inc. | 1,386 | 58,184 | ||||||
Magna International, Inc. | 784 | 38,965 | ||||||
Delphi Technologies plc | 1,936 | 38,720 | ||||||
Autoliv, Inc. | 546 | 38,499 | ||||||
Goodyear Tire & Rubber Co. | 2,453 | 37,531 | ||||||
Dana, Inc. | 1,775 | 35,394 | ||||||
Adient plc | 1,277 | 30,993 | ||||||
Visteon Corp.* | 454 | 26,595 | ||||||
Cooper Tire & Rubber Co. | 794 | 25,051 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 1,912 | 24,397 | ||||||
Tenneco, Inc. — Class A | 1,714 | 19,008 | ||||||
Total Auto Parts & Equipment | 501,182 | |||||||
Commercial Services - 3.9% | ||||||||
AMERCO | 141 | 53,375 | ||||||
Macquarie Infrastructure Corp. | 908 | 36,810 | ||||||
Avis Budget Group, Inc.* | 919 | 32,312 | ||||||
Hertz Global Holdings, Inc.* | 1,506 | 24,036 | ||||||
Total Commercial Services | 146,533 | |||||||
Leisure Time - 2.2% | ||||||||
Harley-Davidson, Inc. | 1,316 | 47,152 | ||||||
Fox Factory Holding Corp.* | 433 | 35,727 | ||||||
Total Leisure Time | 82,879 | |||||||
Electronics - 1.4% | ||||||||
Gentex Corp. | 2,036 | 50,106 | ||||||
Home Builders - 1.0% | ||||||||
Thor Industries, Inc. | 619 | 36,180 | ||||||
Total Common Stocks | ||||||||
(Cost $1,497,953) | 3,696,140 | |||||||
RIGHTS† - 0.1% | ||||||||
Hertz Global Holdings, Inc.* | 1,366 | 2,663 | ||||||
Total Rights | ||||||||
(Cost $—) | 2,663 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
JPMorgan Chase & Co. | $ | 18,458 | 18,458 | |||||
Bank of America Merrill Lynch | 4,585 | 4,585 | ||||||
Barclays Capital | 4,585 | 4,585 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $27,628) | 27,628 |
108| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
TRANSPORTATION FUND |
|
| Value | ||||||
SECURITIES LENDING COLLATERAL†,3 - 2.5% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 93,503 | $ | 93,503 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $93,503) | 93,503 | |||||||
Total Investments - 102.8% | ||||||||
(Cost $1,619,084) | �� | $ | 3,819,934 | |||||
Other Assets & Liabilities, net - (2.8)% | (104,068 | ) | ||||||
Total Net Assets - 100.0% | $ | 3,715,866 |
* | 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, 2019 — 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, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 3,696,140 | $ | — | $ | — | $ | 3,696,140 | ||||||||
Rights | 2,663 | — | — | 2,663 | ||||||||||||
Repurchase Agreements | — | 27,628 | — | 27,628 | ||||||||||||
Securities Lending Collateral | 93,503 | — | — | 93,503 | ||||||||||||
Total Assets | $ | 3,792,306 | $ | 27,628 | $ | — | $ | 3,819,934 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 109 |
TRANSPORTATION FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $91,842 of securities loaned (cost $1,591,456) | $ | 3,792,306 | ||
Repurchase agreements, at value (cost $27,628) | 27,628 | |||
Cash | 449 | |||
Receivables: | ||||
Fund shares sold | 30,318 | |||
Dividends | 1,185 | |||
Foreign tax reclaims | 81 | |||
Securities lending income | 19 | |||
Interest | 6 | |||
Total assets | 3,851,992 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 93,503 | |||
Securities purchased | 30,656 | |||
Management fees | 2,379 | |||
Transfer agent and administrative fees | 700 | |||
Investor service fees | 700 | |||
Fund shares redeemed | 510 | |||
Portfolio accounting fees | 280 | |||
Trustees’ fees* | 77 | |||
Miscellaneous | 7,321 | |||
Total liabilities | 136,126 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 3,715,866 | ||
Net assets consist of: | ||||
Paid in capital | $ | 1,357,455 | ||
Total distributable earnings (loss) | 2,358,411 | |||
Net assets | $ | 3,715,866 | ||
Capital shares outstanding | 49,511 | |||
Net asset value per share | $ | 75.05 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $341) | $ | 47,242 | ||
Interest | 315 | |||
Income from securities lending, net | 53 | |||
Total investment income | 47,610 | |||
Expenses: | ||||
Management fees | 17,616 | |||
Investor service fees | 5,181 | |||
Transfer agent and administrative fees | 5,181 | |||
Professional fees | 4,517 | |||
Portfolio accounting fees | 2,072 | |||
Trustees’ fees* | 773 | |||
Custodian fees | 631 | |||
Line of credit fees | 10 | |||
Miscellaneous | 2,379 | |||
Total expenses | 38,360 | |||
Net investment income | 9,250 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 609,148 | |||
Net realized gain | 609,148 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (80,540 | ) | ||
Net change in unrealized appreciation (depreciation) | (80,540 | ) | ||
Net realized and unrealized gain | 528,608 | |||
Net increase in net assets resulting from operations | $ | 537,858 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
110| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
TRANSPORTATION FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 9,250 | $ | (13,086 | ) | |||
Net realized gain on investments | 609,148 | 983,030 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (80,540 | ) | (2,177,203 | ) | ||||
Net increase (decrease) in net assets resulting from operations | 537,858 | (1,207,259 | ) | |||||
Distributions to shareholders | — | (238,586 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,650,825 | 17,105,443 | ||||||
Distributions reinvested | — | 238,586 | ||||||
Cost of shares redeemed | (4,640,257 | ) | (23,469,276 | ) | ||||
Net decrease from capital share transactions | (989,432 | ) | (6,125,247 | ) | ||||
Net decrease in net assets | (451,574 | ) | (7,571,092 | ) | ||||
Net assets: | ||||||||
Beginning of period | 4,167,440 | 11,738,532 | ||||||
End of period | $ | 3,715,866 | $ | 4,167,440 | ||||
Capital share activity: | ||||||||
Shares sold | 48,234 | 208,178 | ||||||
Shares issued from reinvestment of distributions | — | 3,009 | ||||||
Shares redeemed | (61,855 | ) | (284,315 | ) | ||||
Net decrease in shares | (13,621 | ) | (73,128 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 111 |
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 | $ | 66.01 | $ | 86.15 | $ | 70.81 | $ | 100.87 | $ | 121.73 | $ | 99.13 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .16 | (.16 | ) | (.43 | ) | .16 | (.08 | ) | (.12 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.88 | (16.55 | ) | 15.99 | (20.23 | ) | (16.78 | ) | 22.72 | |||||||||||||||
Total from investment operations | 9.04 | (16.71 | ) | 15.56 | (20.07 | ) | (16.86 | ) | 22.60 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.22 | ) | — | — | — | |||||||||||||||||
Net realized gains | — | (3.43 | ) | — | (9.99 | ) | (4.00 | ) | — | |||||||||||||||
Total distributions | — | (3.43 | ) | (.22 | ) | (9.99 | ) | (4.00 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 75.05 | $ | 66.01 | $ | 86.15 | $ | 70.81 | $ | 100.87 | $ | 121.73 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 13.69% | (20.05 | %) | 22.02% | 15.43% | (14.09 | %) | 22.80% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,716 | $ | 4,167 | $ | 11,739 | $ | 12,883 | $ | 6,810 | $ | 22,672 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.45 | % | (0.19 | %) | (0.56 | %) | 0.73 | % | (0.06 | %) | (0.11 | %) | ||||||||||||
Total expenses | 1.85 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.60 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 89 | % | 237 | % | 308 | % | 174 | % | 99 | % | 196 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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. |
112| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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. | 5.1% |
Duke Energy Corp. | 4.2% |
Dominion Energy, Inc. | 4.1% |
Southern Co. | 3.9% |
Exelon Corp. | 3.5% |
American Electric Power Company, Inc. | 3.4% |
Sempra Energy | 3.2% |
Xcel Energy, Inc. | 2.8% |
Consolidated Edison, Inc. | 2.8% |
Public Service Enterprise Group, Inc. | 2.8% |
Top Ten Total | 35.8% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Utilities Fund | 12.59% | 15.12% | 7.96% | 10.92% |
S&P 500 Utilities Index | 14.70% | 19.03% | 10.00% | 12.17% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
UTILITIES FUND |
|
| Value | ||||||
COMMON STOCKS† - 100.0% | ||||||||
Electric - 83.7% | ||||||||
NextEra Energy, Inc. | 5,792 | $ | 1,186,549 | |||||
Duke Energy Corp. | 10,888 | 960,757 | ||||||
Dominion Energy, Inc. | 12,243 | 946,629 | ||||||
Southern Co. | 16,439 | 908,748 | ||||||
Exelon Corp. | 16,758 | 803,379 | ||||||
American Electric Power Company, Inc. | 8,868 | 780,473 | ||||||
Sempra Energy | 5,310 | 729,806 | ||||||
Xcel Energy, Inc. | 11,060 | 657,959 | ||||||
Consolidated Edison, Inc. | 7,378 | 646,903 | ||||||
Public Service Enterprise Group, Inc. | 10,969 | 645,197 | ||||||
WEC Energy Group, Inc. | 7,322 | 610,435 | ||||||
Eversource Energy | 7,799 | 590,852 | ||||||
DTE Energy Co. | 4,526 | 578,785 | ||||||
Edison International | 8,464 | 570,558 | ||||||
PPL Corp. | 18,234 | 565,436 | ||||||
FirstEnergy Corp. | 13,181 | 564,279 | ||||||
Entergy Corp. | 5,167 | 531,839 | ||||||
Ameren Corp. | 6,813 | 511,724 | ||||||
CMS Energy Corp. | 8,392 | 485,981 | ||||||
Avangrid, Inc. | 9,334 | 471,367 | ||||||
Evergy, Inc. | 7,593 | 456,719 | ||||||
CenterPoint Energy, Inc. | 15,677 | 448,833 | ||||||
PG&E Corp.* | 18,300 | 419,436 | ||||||
Alliant Energy Corp. | 8,320 | 408,346 | ||||||
AES Corp. | 24,052 | 403,112 | ||||||
Vistra Energy Corp. | 17,070 | 386,465 | ||||||
Pinnacle West Capital Corp. | 4,104 | 386,145 | ||||||
NRG Energy, Inc. | 10,463 | 367,461 | ||||||
OGE Energy Corp. | 8,201 | 349,035 | ||||||
IDACORP, Inc. | 2,645 | 265,637 | ||||||
Portland General Electric Co. | 4,849 | 262,670 | ||||||
Hawaiian Electric Industries, Inc. | 5,994 | 261,039 | ||||||
Black Hills Corp. | 3,285 | 256,788 | ||||||
ALLETE, Inc. | 2,983 | 248,215 | ||||||
PNM Resources, Inc. | 4,752 | 241,924 | ||||||
NorthWestern Corp. | 3,163 | 228,210 | ||||||
Avista Corp. | 4,598 | 205,071 | ||||||
Total Electric | 19,342,762 | |||||||
Gas - 10.4% | ||||||||
Atmos Energy Corp. | 4,005 | 422,768 | ||||||
NiSource, Inc. | 13,589 | 391,363 | ||||||
UGI Corp. | 6,897 | 368,369 | ||||||
ONE Gas, Inc. | 2,885 | 260,516 | ||||||
National Fuel Gas Co. | 4,792 | 252,778 | ||||||
New Jersey Resources Corp. | 5,042 | 250,940 | ||||||
Spire, Inc. | 2,940 | 246,725 | ||||||
South Jersey Industries, Inc. | 6,284 | 211,959 | ||||||
Total Gas | 2,405,418 | |||||||
Water - 3.9% | ||||||||
American Water Works Company, Inc. | 4,713 | 546,708 | ||||||
Aqua America, Inc. | 8,648 | 357,768 | ||||||
Total Water | 904,476 | |||||||
Building Materials - 1.2% | ||||||||
MDU Resources Group, Inc. | 10,498 | 270,848 | ||||||
Energy-Alternate Sources - 0.8% | ||||||||
Pattern Energy Group, Inc. — Class A | 7,703 | 177,862 | ||||||
Pipelines - 0.0% | ||||||||
Kinder Morgan, Inc. | 1 | 21 | ||||||
Total Common Stocks | ||||||||
(Cost $15,225,824) | 23,101,387 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.7% | ||||||||
JPMorgan Chase & Co. | $ | 105,313 | 105,313 | |||||
Bank of America Merrill Lynch | 26,162 | 26,162 | ||||||
Barclays Capital | 26,161 | 26,161 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $157,636) | 157,636 | |||||||
Total Investments - 100.7% | ||||||||
(Cost $15,383,460) | $ | 23,259,023 | ||||||
Other Assets & Liabilities, net - (0.7)% | (151,638 | ) | ||||||
Total Net Assets - 100.0% | $ | 23,107,385 |
* | 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. |
See Sector Classification in Other Information section. |
114| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
UTILITIES FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 23,101,387 | $ | — | $ | — | $ | 23,101,387 | ||||||||
Repurchase Agreements | — | 157,636 | — | 157,636 | ||||||||||||
Total Assets | $ | 23,101,387 | $ | 157,636 | $ | — | $ | 23,259,023 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 115 |
UTILITIES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value (cost $15,225,824) | $ | 23,101,387 | ||
Repurchase agreements, at value (cost $157,636) | 157,636 | |||
Receivables: | ||||
Dividends | 35,259 | |||
Fund shares sold | 1,621 | |||
Foreign tax reclaims | 123 | |||
Interest | 33 | |||
Total assets | 23,296,059 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 129,235 | |||
Management fees | 14,639 | |||
Transfer agent and administrative fees | 4,306 | |||
Investor service fees | 4,306 | |||
Portfolio accounting fees | 1,722 | |||
Trustees’ fees* | 359 | |||
Miscellaneous | 34,107 | |||
Total liabilities | 188,674 | |||
Commitments and contingent liabilities (Note 10) | — | |||
Net assets | $ | 23,107,385 | ||
Net assets consist of: | ||||
Paid in capital | $ | 16,926,040 | ||
Total distributable earnings (loss) | 6,181,345 | |||
Net assets | $ | 23,107,385 | ||
Capital shares outstanding | 721,817 | |||
Net asset value per share | $ | 32.01 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends | $ | 304,899 | ||
Interest | 1,293 | |||
Income from securities lending, net | 26 | |||
Total investment income | 306,218 | |||
Expenses: | ||||
Management fees | 82,657 | |||
Investor service fees | 24,311 | |||
Transfer agent and administrative fees | 24,311 | |||
Professional fees | 16,303 | |||
Portfolio accounting fees | 9,724 | |||
Trustees’ fees* | 2,170 | |||
Custodian fees | 1,979 | |||
Line of credit fees | 60 | |||
Miscellaneous | 18,090 | |||
Total expenses | 179,605 | |||
Net investment income | 126,613 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (70,523 | ) | ||
Net realized loss | (70,523 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 2,087,614 | |||
Net change in unrealized appreciation (depreciation) | 2,087,614 | |||
Net realized and unrealized gain | 2,017,091 | |||
Net increase in net assets resulting from operations | $ | 2,143,704 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
116| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
UTILITIES FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 126,613 | $ | 239,868 | ||||
Net realized gain (loss) on investments | (70,523 | ) | 70,434 | |||||
Net change in unrealized appreciation (depreciation) on investments | 2,087,614 | (467,247 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 2,143,704 | (156,945 | ) | |||||
Distributions to shareholders | — | (360,629 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 22,540,597 | 57,547,298 | ||||||
Distributions reinvested | — | 360,629 | ||||||
Cost of shares redeemed | (20,897,321 | ) | (52,739,822 | ) | ||||
Net increase from capital share transactions | 1,643,276 | 5,168,105 | ||||||
Net increase in net assets | 3,786,980 | 4,650,531 | ||||||
Net assets: | ||||||||
Beginning of period | 19,320,405 | 14,669,874 | ||||||
End of period | $ | 23,107,385 | $ | 19,320,405 | ||||
Capital share activity: | ||||||||
Shares sold | 730,067 | 2,027,789 | ||||||
Shares issued from reinvestment of distributions | — | 12,884 | ||||||
Shares redeemed | (687,746 | ) | (1,885,612 | ) | ||||
Net increase in shares | 42,321 | 155,061 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 117 |
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 | $ | 28.43 | $ | 27.97 | $ | 26.24 | $ | 22.86 | $ | 25.35 | $ | 20.89 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .20 | .43 | .42 | .36 | .39 | .48 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.38 | .62 | d | 2.42 | 3.38 | (2.24 | ) | 4.30 | ||||||||||||||||
Total from investment operations | 3.58 | 1.05 | 2.84 | 3.74 | (1.85 | ) | 4.78 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.46 | ) | (.55 | ) | (.17 | ) | (.64 | ) | (.32 | ) | |||||||||||||
Net realized gains | — | (.13 | ) | (.56 | ) | (.19 | ) | — | — | |||||||||||||||
Total distributions | — | (.59 | ) | (1.11 | ) | (.36 | ) | (.64 | ) | (.32 | ) | |||||||||||||
Net asset value, end of period | $ | 32.01 | $ | 28.43 | $ | 27.97 | $ | 26.24 | $ | 22.86 | $ | 25.35 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 12.59% | 3.78% | 11.02% | 16.34% | (7.36 | %) | 22.89% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 23,107 | $ | 19,320 | $ | 14,670 | $ | 15,242 | $ | 17,064 | $ | 28,415 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.30 | % | 1.54 | % | 1.48 | % | 1.39 | % | 1.66 | % | 2.07 | % | ||||||||||||
Total expenses | 1.85 | % | 1.73 | % | 1.70 | % | 1.65 | % | 1.61 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 80 | % | 299 | % | 183 | % | 234 | % | 312 | % | 247 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | The amount shown for a share outstanding throughout the period does not agree with the aggregate net losses on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of investments of the Fund. |
118| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 (collectively the “Funds”). The Trust is authorized to issue an unlimited number of no par value shares. At June 30, 2019, 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 following Funds:
Fund Name | Investment |
Banking Fund | Diversified |
Basic Materials Fund | Diversified |
Biotechnology Fund | Non-diversified |
Consumer Products Fund | Diversified |
Electronics Fund | Non-diversified |
Energy Fund | Diversified |
Energy Services Fund | Non-diversified |
Financial Services Fund | Diversified |
Health Care Fund | Diversified |
Internet Fund | Diversified |
Leisure Fund | Diversified |
Precious Metals Fund | Non-diversified |
Real Estate Fund | Diversified |
Retailing Fund | Diversified |
Technology Fund | Diversified |
Telecommunications Fund | Non-diversified |
Transportation Fund | Diversified |
Utilities Fund | Diversified |
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 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 sale price as of the close of business on the NYSE, usually
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
at 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 are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.
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 U.S. Treasury securities, and other information analysis.
(b) 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 Statements 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, 2019, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
(c) 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 a reduction to cost if the securities are still held and as realized gains if no longer held 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 realized gains. The actual amounts of income, return of capital, and realized gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.
(d) Distributions
Distributions of net investment income and net realized gains, if any, are declared and paid at least annually. Normally, all 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 U.S. federal income tax regulations which may differ from U.S. GAAP.
(e) 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 2.40% at June 30, 2019.
(f) 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.
120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 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 or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Funds’ 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 – 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 U.S. 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’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2019, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value were as follows:
Fund | Tax | Tax | Tax | Net | ||||||||||||
Banking Fund | $ | 2,986,976 | $ | 1,058,946 | $ | (1,274 | ) | $ | 1,057,672 | |||||||
Basic Materials Fund | 4,488,754 | 2,204,481 | (32,475 | ) | 2,172,006 | |||||||||||
Biotechnology Fund | 11,310,629 | 10,687,073 | (106,052 | ) | 10,581,021 | |||||||||||
Consumer Products Fund | 11,713,561 | 4,548,387 | (52,877 | ) | 4,495,510 | |||||||||||
Electronics Fund | 3,569,138 | 2,744,599 | (6,289 | ) | 2,738,310 | |||||||||||
Energy Fund | 6,767,961 | 2,472,457 | (252,373 | ) | 2,220,084 | |||||||||||
Energy Services Fund | 5,078,130 | — | (966,122 | ) | (966,122 | ) | ||||||||||
Financial Services Fund | 7,193,416 | 2,631,368 | (20,717 | ) | 2,610,651 | |||||||||||
Health Care Fund | 11,138,302 | 9,235,732 | (227,576 | ) | 9,008,156 | |||||||||||
Internet Fund | 6,409,376 | 4,095,844 | (25,585 | ) | 4,070,259 | |||||||||||
Leisure Fund | 3,861,992 | 1,669,021 | (9,554 | ) | 1,659,467 | |||||||||||
Precious Metals Fund | 16,750,038 | 1,935,833 | (58,405 | ) | 1,877,428 | |||||||||||
Real Estate Fund | 13,940,359 | 2,779,001 | (80,795 | ) | 2,698,206 | |||||||||||
Retailing Fund | 3,794,608 | 765,595 | (100,391 | ) | 665,204 | |||||||||||
Technology Fund | 13,636,259 | 9,664,630 | (17,783 | ) | 9,646,847 | |||||||||||
Telecommunications Fund | 3,889,385 | 286,020 | (34,035 | ) | 251,985 | |||||||||||
Transportation Fund | 1,933,563 | 1,904,435 | (18,064 | ) | 1,886,371 | |||||||||||
Utilities Fund | 16,967,344 | 6,292,256 | (577 | ) | 6,291,679 |
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.
122 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 5 – Securities Transactions
For the period ended June 30, 2019, 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 | $ | 3,354,021 | $ | 5,499,384 | ||||
Basic Materials Fund | 2,634,747 | 3,300,980 | ||||||
Biotechnology Fund | 9,630,210 | 11,955,365 | ||||||
Consumer Products Fund | 15,997,743 | 14,599,358 | ||||||
Electronics Fund | 6,662,758 | 6,718,585 | ||||||
Energy Fund | 3,610,692 | 5,339,927 | ||||||
Energy Services Fund | 7,211,984 | 7,068,763 | ||||||
Financial Services Fund | 8,371,436 | 6,934,731 | ||||||
Health Care Fund | 18,971,696 | 22,073,825 | ||||||
Internet Fund | 18,664,784 | 18,598,110 | ||||||
Leisure Fund | 8,830,962 | 8,131,383 | ||||||
Precious Metals Fund | 14,074,633 | 15,549,641 | ||||||
Real Estate Fund | 19,011,502 | 16,822,384 | ||||||
Retailing Fund | 3,527,289 | 6,850,053 | ||||||
Technology Fund | 26,586,891 | 23,943,528 | ||||||
Telecommunications Fund | 5,903,605 | 5,377,621 | ||||||
Transportation Fund | 3,573,683 | 4,553,790 | ||||||
Utilities Fund | 17,570,081 | 15,642,777 |
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. 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, 2019, 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 | $ | 1,226,763 | $ | 1,202,579 | $ | 44,503 | ||||||
Basic Materials Fund | 674,436 | 459,839 | 26,960 | |||||||||
Biotechnology Fund | 2,447,581 | 1,309,374 | (35,025 | ) | ||||||||
Consumer Products Fund | 3,775,956 | 3,920,075 | (80,495 | ) | ||||||||
Electronics Fund | 1,686,302 | 1,969,283 | 31,452 | |||||||||
Energy Fund | 1,216,145 | 938,256 | 8,761 | |||||||||
Energy Services Fund | 1,893,335 | 2,155,910 | (119,374 | ) | ||||||||
Financial Services Fund | 1,715,881 | 1,389,409 | 26,021 | |||||||||
Health Care Fund | 4,656,068 | 4,071,834 | 155,756 | |||||||||
Internet Fund | 6,006,147 | 4,637,128 | (47,957 | ) | ||||||||
Leisure Fund | 1,584,764 | 3,026,311 | 276,005 | |||||||||
Precious Metals Fund | 4,484,397 | 5,233,159 | 125,497 | |||||||||
Real Estate Fund | 3,222,377 | 2,823,424 | (25,281 | ) | ||||||||
Retailing Fund | 1,111,495 | 449,869 | 8,537 | |||||||||
Technology Fund | 8,562,786 | 7,284,550 | (7,244 | ) | ||||||||
Telecommunications Fund | 1,447,930 | 1,228,779 | (5,767 | ) | ||||||||
Transportation Fund | 1,243,282 | 995,294 | 144,588 | |||||||||
Utilities Fund | 1,805,631 | 4,194,700 | 23,695 |
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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, 2019, 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 Note | |||||||||||||||||
2.53% | 3.13% | |||||||||||||||||
Due 07/01/19 | $ | 65,103,744 | $ | 65,117,470 | 11/15/28 | $ | 55,552,000 | $ | 61,111,889 | |||||||||
U.S. Treasury Bills | ||||||||||||||||||
0.00% | ||||||||||||||||||
09/12/19 - 11/07/19 | 5,327,500 | 5,293,935 | ||||||||||||||||
60,879,500 | 66,405,824 | |||||||||||||||||
Barclays Capital | U.S. Treasury Bond | |||||||||||||||||
2.40% | 3.63% | |||||||||||||||||
Due 07/01/19 | 16,172,884 | 16,176,118 | 02/15/44 | 13,502,400 | 16,496,400 | |||||||||||||
Bank of America Merrill Lynch | U.S. Treasury Strip | |||||||||||||||||
2.48% | 0.00% | |||||||||||||||||
Due 07/01/19 | 16,172,884 | 16,176,226 | 02/15/40 | 27,668,676 | 16,496,341 |
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. Gl, 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.
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2019, 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 | $ | 29,472 | $ | (29,472 | ) | $ | — | $ | 30,048 | $ | — | $ | 30,048 | ||||||||||||
Basic Materials Fund | 172,496 | (172,496 | ) | — | 174,761 | — | 174,761 | ||||||||||||||||||
Biotechnology Fund | 206,988 | (205,494 | ) | 1,494 | 205,494 | * | — | 205,494 | |||||||||||||||||
Electronics Fund | 166,430 | (166,430 | ) | — | 170,574 | — | 170,574 | ||||||||||||||||||
Energy Fund | 31,565 | (31,565 | ) | — | 32,835 | — | 32,835 | ||||||||||||||||||
Energy Services Fund | 192,655 | (192,655 | ) | — | 196,862 | — | 196,862 | ||||||||||||||||||
Financial Services Fund | 36,300 | (36,300 | ) | — | 37,009 | — | 37,009 | ||||||||||||||||||
Health Care Fund | 192,531 | (192,531 | ) | — | 197,414 | — | 197,414 | ||||||||||||||||||
Internet Fund | 304,354 | (304,354 | ) | — | 314,435 | — | 314,435 | ||||||||||||||||||
Leisure Fund | 119,939 | (119,939 | ) | — | 120,299 | — | 120,299 | ||||||||||||||||||
Precious Metals Fund | 424,618 | (424,618 | ) | — | 443,832 | — | 443,832 | ||||||||||||||||||
Real Estate Fund | 60,799 | (60,799 | ) | — | 61,846 | — | 61,846 | ||||||||||||||||||
Retailing Fund | 119,029 | (119,029 | ) | — | 120,689 | — | 120,689 | ||||||||||||||||||
Technology Fund | 361,746 | (361,746 | ) | — | 370,674 | — | 370,674 | ||||||||||||||||||
Telecommunications Fund | 74,166 | (74,166 | ) | — | 75,576 | — | 75,576 | ||||||||||||||||||
Transportation Fund | 91,842 | (91,842 | ) | — | 93,503 | — | 93,503 |
(a) | Actual collateral received by the Fund is generally greater than the amount shown due to overcollateralization. |
* | Subsequent to June 30, 2019, additional collateral was received. |
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 – 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 8, 2020. 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 3.50% for the period ended June 30, 2019. On June 30, 2019, the Financial Services Fund and Technology Fund borrowed $76,000 and $1,000, respectively, under this agreement.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 125 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The average daily balances borrowed for the period ended June 30, 2019, were as follows:
Fund | Average Daily Balance | |||
Banking Fund | $ | 144 | ||
Basic Materials Fund | 138 | |||
Biotechnology Fund | 28,503 | |||
Consumer Products Fund | 873 | |||
Electronics Fund | 685 | |||
Energy Fund | 552 | |||
Energy Services Fund | 243 | |||
Financial Services Fund | 1,707 | |||
Health Care Fund | 2,569 | |||
Internet Fund | 1,448 | |||
Leisure Fund | 2,055 | |||
Precious Metals Fund | 260 | |||
Real Estate Fund | 5,061 | |||
Retailing Fund | 1,061 | |||
Technology Fund | 315 | |||
Telecommunications Fund | 110 | |||
Transportation Fund | 541 | |||
Utilities Fund | 3,387 |
Note 9 – Recent Regulatory Reporting Updates
In August 2018, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2018-13, Fair Value Measurement (Topic 820), Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement (the “2018 ASU”) which adds, modifies and removes disclosure requirements related to certain aspects of fair value measurement. The 2018 ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. As of June 30, 2019, the Funds have fully adopted the provisions of the 2018 ASU, which did not have a material impact on the Funds’ financial statements and related disclosures or impact the Funds’ net assets or results of operations.
Note 10 – 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-2296 (S.D.N.Y.) (the “MDL Proceeding”).
126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
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.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. The plaintiff has not yet filed any such motion. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend.
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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NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
Note 11 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
128 | 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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. The Funds’ Forms N-PORT and 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”), each of whom is not an “interested person,” as defined by the Investment Company Act of 1940 (the “1940 Act”), of the Trust (the “Independent Trustees”), attended an in-person meeting held on May 20, 2019 (the “May Meeting”), called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the Advisory Agreement dated March 1, 2012, as amended, between the Trust and Security Investors, LLC (the “Advisor”), pursuant to which the Advisor serves as investment adviser to each series of the Trust (each, a “Fund” and collectively, the “Funds”)(the “Advisory Agreement”). Consistent with its practice, the Board considered information pertaining to the renewal of the Advisory Agreement at an in-person meeting held on April 24, 2019 (the “April Meeting” and, together with the May Meeting, the “Meetings”). After careful consideration, the Board unanimously approved, at the May Meeting, the continuance of the Advisory Agreement for an additional one-year term based on the Board’s review of qualitative and quantitative information provided by the Advisor. In the course of its consideration, the Board deemed the materials provided by the Advisor at, and prior to, the Meetings to be instrumental in the Trustees’ deliberations and their process in considering the continuation of the Advisory Agreement. The Board also considered the review it conducted at each Meeting, as augmented by additional teleconference meetings prior to each Meeting, to be integral to its consideration of the continuation of the Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as they deemed reasonably necessary to evaluate the Advisory Agreement. In addition, the Board received a memorandum from 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 continuation of the Advisory Agreement, 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 comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). In addition, at the April Meeting, the Board met with representatives of FUSE Research Network (“FUSE”), the independent third-party service provider engaged to prepare the FUSE reports, to review FUSE’s process and methodology for preparing the FUSE reports presented to the Board for its consideration, including in particular, the process for the selection of peer funds. The Independent Trustees carefully evaluated all of the information provided, met in executive session outside the presence of Fund management, and were advised by independent legal counsel with respect to their deliberations.
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OTHER INFORMATION (Unaudited)(continued) |
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; (d) each Fund’s overall fees and operating expenses compared with those of similar funds, and the existence of or potential for the realization of economies of scale; (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 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 and relationships with third-party service providers, 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 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 the continuation of the Advisory Agreement for an additional one-year term 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), enterprise and Fund risk management infrastructure and processes, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity program. The Board reviewed the scope of services provided by the Advisor under the Advisory Agreement and noted that there would be no significant differences between the scope of services provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. 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 continuation of the Advisory Agreement would ensure shareholders of the Funds continue to receive high quality services at a cost that is 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. Part of the Board’s review focused on the information presented in the FUSE reports, which provided comparisons of 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 opinion that it found the peer groups compiled by FUSE to be appropriate, but acknowledged the existence of certain key features of the Funds that differentiate them from 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 taken into consideration. With respect to tradability, in particular, the Board considered that non-tradable peer funds incur lower expense ratios than the tradable Funds because the non-tradable peer funds necessarily experience less shareholder activity and lower transaction volumes than the 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. 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 Advisory Agreement for the last calendar year. In its review, the Board considered the direct revenue 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, which the Advisor confirmed was unchanged from the previous year. In its evaluation, the Board also considered the effect of the sale of Guggenheim’s ETF business in April 2018 on the Advisor’s and its affiliates’ profitability for the past year. The Board also considered the challenges currently affecting variable product-dedicated funds, including slowed investment in variable insurance products generally. 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, unanimously concluded that the terms of the Advisory Agreement were reasonable, and that approval of the continuation of the Advisory Agreement for an additional one-year term was in the best interests of each Fund and its shareholders.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 131 |
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 |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee and Member of the Audit Committee (2016-present); and Member of the Governance and Nominating Committee (2017-present). | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm).
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 109 | None. |
Corey A. Colehour (1945) | Trustee (1998-present); Member of the Audit Committee (1998-present); Member of the Governance and Nominating Committee (2017-present). | Retired. | 109 | None. |
J. Kenneth Dalton (1941) | Trustee (1998-present); Chairman and Member of the Audit Committee (1998-present); and Member of the Governance and Nominating Committee (2018-present). | Retired. | 109 | Former: Epiphany Funds (2) (2009-January 2019). |
Thomas F. Lydon, Jr. (1960) | Trustee, Member of the Audit Committee (2005-present); Chairman and Member of the Governance and Nominating Committee (2017-present). | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 109 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trust (3) (2017-present). |
Sandra G. Sponem (1958)
| Trustee and Member of the Audit Committee (2016-present); Member of the Governance and Nominating Committee (2017-present); and Chairwoman (January 2019 - present). | Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 109 | SPDR Series Trust (78) (2018-present); SPDR Index Shares Funds (31) (2018-present); SSGA Active Trust (12) (2018-present); and SSGA Master Trust (1) (2018-present). |
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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 Managing Director, Guggenheim Investments (2010-present); Senior Vice President, Security Investors, LLC (2010-present); Vice President, certain other funds in the Fund Complex (2000-present).
Former: Manager, Guggenheim Specialized Products, LLC (2005-2018); 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, LLC and 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, Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Amy J. Lee (1961)
| President (2017-present). | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); President, certain other funds in the Fund Complex (2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Senior Managing Director, Guggenheim Investments (2012-present); Vice President, certain other funds in the Fund Complex (2007-present).
Former: Interested Trustee, certain other funds in the Fund Complex (2018-February 2019); President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
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 (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary (2018-present). | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present). | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: Chief Compliance Officer, Security Investors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
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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 | ||
Margaux Misantone (1978) | AML Officer (2017-present). | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present).
Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
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). |
William Rehder (1967) | Assistant Vice President (2018-present). | Current: Managing Director, Guggenheim Investments (2002-present). |
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, Mutual Fund Administration for 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: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer 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. |
** | 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.
136 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 137 |
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6.30.2019
Rydex Variable Trust Funds 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 |
Beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports may no longer be sent by mail, unless you specifically request paper copies of the reports from the insurance company that offers your contract or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and other communications from the insurance company electronically by following the instructions provided by the insurance company.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company that you wish to receive paper copies of reports by following the instructions provided by the insurance company. Your election to receive reports in paper will apply to all portfolio companies available under your contract.
GuggenheimInvestments.com | RVATB1-SEMI-0619x1219 |
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 | 27 |
INVERSE NASDAQ-100® STRATEGY FUND | 35 |
S&P 500® 2x STRATEGY FUND | 41 |
NASDAQ-100® 2x STRATEGY FUND | 52 |
MID-CAP 1.5x STRATEGY FUND | 60 |
INVERSE MID-CAP STRATEGY FUND | 70 |
RUSSELL 2000® 2x STRATEGY FUND | 76 |
RUSSELL 2000® 1.5x STRATEGY FUND | 82 |
INVERSE RUSSELL 2000® STRATEGY FUND | 89 |
DOW 2x STRATEGY FUND | 95 |
INVERSE DOW 2x STRATEGY FUND | 102 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | 108 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | 114 |
HIGH YIELD STRATEGY FUND | 121 |
U.S. GOVERNMENT MONEY MARKET FUND | 128 |
NOTES TO FINANCIAL STATEMENTS | 134 |
OTHER INFORMATION | 151 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 154 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 157 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
| June 30, 2019 |
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, 2019.
The Investment Adviser is 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.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
July 31, 2019
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.
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.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| June 30, 2019 |
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) the Fund 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 objectives.
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, 2019 |
U.S. economic growth slowed to an annualized 2.1% in the second quarter from 3.1% in the first quarter. Personal consumption expenditures rebounded sharply, as expected, while government spending contributed an outsized 0.9% to growth, the most since mid-2009. However, negative contributions were seen from housing, business capital expenditures, inventory investment, and net exports. Looking ahead, we expect the economy to grow at a 2.0% pace in the third quarter.
The second quarter gross domestic product release also featured annual revisions to the five prior years of data, which showed that growth peaked in year-over-year terms in the second quarter of 2018, earlier than previously thought. An upwardly revised personal savings rate could give consumption room to run, while downwardly revised and shrinking corporate profits may continue to pressure investment spending and could begin to weigh more heavily on hiring.
With growth in the first half of the year coming in somewhat above potential, the labor market continued to strengthen, albeit at a slower pace than the year before. Net monthly payroll gains averaged 165,000 in the first half of 2019, down from 235,000 in the first half of 2018. This was enough to push the unemployment rate down by 0.2% to 3.7%. While the labor market remains strong, we believe the sharper slowdown in aggregate hours worked—a component of Guggenheim’s U.S. Recession Dashboard—may foreshadow a deterioration in labor market conditions in 2020.
After a weak start to the year, core inflation picked up in the second quarter but remained below the the U.S. Federal Reserve’s (the “Fed”) target at 1.8% annualized. We expect inflation to firm a bit further in the second half of 2019. The Fed is also closely watching inflation expectations, which currently sit below levels the Fed would like to see. After a 14% decline in the fourth quarter of 2018, stocks rebounded as the Fed’s pivot on monetary policy took hold, and the government shutdown was resolved.
Internationally, the European Central Bank kept policy rates constant but modified their forward guidance, noting that rates would remain at or below current levels until mid-2020 at the earliest. They also signaled a high probability of rate cuts and a resumption of asset purchases at the September meeting. In Japan, core inflation weakened in the second quarter to 0.6%, while industrial production and exports remained in contraction from year ago levels.
Although the U.S. economy is in good shape overall, on July 31, 2019, after the period ended, the Fed announced its first rate cut since 2008 amid growing downside risks to policymakers’ baseline growth and inflation forecasts. Key among these are slowing global growth, the threat of additional U.S.-China tariffs and a possible hard Brexit, the odds of which have increased with the ascendance of Boris Johnson as the U.K. Prime Minister. While a possible U.S. fiscal contraction in 2020 was averted by the recently-signed budget deal, we expect two more Fed rate cuts in 2019, as Chair Jerome Powell seeks to sustain the expansion. In our view, this could serve to embolden the White House to impose new tariffs on China and Europe later this year, which could in turn further cloud the outlook for global growth.
For the six months ended June 30, 2019, the Standard & Poor’s 500® (“S&P 500®”) Index* returned 18.54%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 14.03%. The return of the MSCI Emerging Markets Index* was 10.58%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 6.11% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 9.94%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 1.24% 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 U.S. Long Treasury Index is market capitalization weighted and the securities in the index are updated on the last business day of each month.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2019 |
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.
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 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, 2018 and ending June 30, 2019.
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) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
Nova Fund | 1.70% | 26.52% | $ 1,000.00 | $ 1,265.20 | $ 9.55 |
Inverse S&P 500® Strategy Fund | 1.85% | (14.96%) | 1,000.00 | 850.40 | 8.49 |
NASDAQ-100® Fund | 1.74% | 20.79% | 1,000.00 | 1,207.90 | 9.53 |
Inverse NASDAQ-100® Strategy Fund | 1.86% | (17.77%) | 1,000.00 | 822.30 | 8.40 |
S&P 500® 2x Strategy Fund | 1.84% | 36.17% | 1,000.00 | 1,361.70 | 10.77 |
NASDAQ-100® 2x Strategy Fund | 1.89% | 42.68% | 1,000.00 | 1,426.80 | 11.37 |
Mid-Cap 1.5x Strategy Fund | 1.83% | 25.63% | 1,000.00 | 1,256.30 | 10.24 |
Inverse Mid-Cap Strategy Fund | 1.82% | (14.91%) | 1,000.00 | 850.90 | 8.35 |
Russell 2000® 2x Strategy Fund | 1.89% | 32.14% | 1,000.00 | 1,321.40 | 10.88 |
Russell 2000® 1.5x Strategy Fund | 1.88% | 24.02% | 1,000.00 | 1,240.20 | 10.44 |
Inverse Russell 2000® Strategy Fund | 1.87% | (14.60%) | 1,000.00 | 854.00 | 8.60 |
Dow 2x Strategy Fund | 1.88% | 28.88% | 1,000.00 | 1,288.80 | 10.67 |
Inverse Dow 2x Strategy Fund | 1.90% | (24.62%) | 1,000.00 | 753.80 | 8.26 |
Government Long Bond 1.2x Strategy Fund | 1.43% | 13.20% | 1,000.00 | 1,132.00 | 7.56 |
Inverse Government Long Bond Strategy Fund | 3.81% | (9.64%) | 1,000.00 | 903.60 | 17.98 |
High Yield Strategy Fund | 1.67% | 10.19% | 1,000.00 | 1,101.90 | 8.70 |
U.S. Government Money Market Fund | 1.45% | 0.52% | 1,000.00 | 1,005.20 | 7.21 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Nova Fund | 1.70% | 5.00% | $ 1,000.00 | $ 1,016.36 | $ 8.50 |
Inverse S&P 500® Strategy Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
NASDAQ-100® Fund | 1.74% | 5.00% | 1,000.00 | 1,016.17 | 8.70 |
Inverse NASDAQ-100® Strategy Fund | 1.86% | 5.00% | 1,000.00 | 1,015.57 | 9.30 |
S&P 500® 2x Strategy Fund | 1.84% | 5.00% | 1,000.00 | 1,015.67 | 9.20 |
NASDAQ-100® 2x Strategy Fund | 1.89% | 5.00% | 1,000.00 | 1,015.42 | 9.44 |
Mid-Cap 1.5x Strategy Fund | 1.83% | 5.00% | 1,000.00 | 1,015.72 | 9.15 |
Inverse Mid-Cap Strategy Fund | 1.82% | 5.00% | 1,000.00 | 1,015.77 | 9.10 |
Russell 2000® 2x Strategy Fund | 1.89% | 5.00% | 1,000.00 | 1,015.42 | 9.44 |
Russell 2000® 1.5x Strategy Fund | 1.88% | 5.00% | 1,000.00 | 1,015.47 | 9.39 |
Inverse Russell 2000® Strategy Fund | 1.87% | 5.00% | 1,000.00 | 1,015.52 | 9.35 |
Dow 2x Strategy Fund | 1.88% | 5.00% | 1,000.00 | 1,015.47 | 9.39 |
Inverse Dow 2x Strategy Fund | 1.90% | 5.00% | 1,000.00 | 1,015.37 | 9.49 |
Government Long Bond 1.2x Strategy Fund | 1.43% | 5.00% | 1,000.00 | 1,017.70 | 7.15 |
Inverse Government Long Bond Strategy Fund | 3.81% | 5.00% | 1,000.00 | 1,005.90 | 18.95 |
High Yield Strategy Fund | 1.67% | 5.00% | 1,000.00 | 1,016.51 | 8.35 |
U.S. Government Money Market Fund | 1.45% | 5.00% | 1,000.00 | 1,017.60 | 7.25 |
1 | This ratio represents annualized Net Expenses, which includes 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 1.81%. Excludes expenses of the underlying funds in which the Funds invest. |
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, 2018 to June 30, 2019. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 Ultra Short Duration Fund - Institutional Class | 27.5% |
Guggenheim Strategy Fund II | 27.5% |
Microsoft Corp. | 0.6% |
Apple, Inc. | 0.5% |
Amazon.com, Inc. | 0.4% |
Facebook, Inc. — Class A | 0.3% |
Berkshire Hathaway, Inc. — Class B | 0.2% |
Johnson & Johnson | 0.2% |
JPMorgan Chase & Co. | 0.2% |
Alphabet, Inc. — Class C | 0.2% |
Top Ten Total | 57.6% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Nova Fund | 26.52% | 11.13% | 13.18% | 19.39% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
NOVA FUND |
|
| Value | ||||||
COMMON STOCKS† - 13.7% | ||||||||
Consumer, Non-cyclical - 3.0% | ||||||||
Johnson & Johnson | 585 | $ | 81,479 | |||||
Procter & Gamble Co. | 553 | 60,637 | ||||||
Pfizer, Inc. | 1,223 | 52,980 | ||||||
UnitedHealth Group, Inc. | 209 | 50,998 | ||||||
Merck & Company, Inc. | 567 | 47,543 | ||||||
Coca-Cola Co. | 845 | 43,027 | ||||||
PepsiCo, Inc. | 308 | 40,388 | ||||||
Abbott Laboratories | 388 | 32,631 | ||||||
PayPal Holdings, Inc.* | 259 | 29,645 | ||||||
Medtronic plc | 295 | 28,730 | ||||||
Philip Morris International, Inc. | 343 | 26,936 | ||||||
Thermo Fisher Scientific, Inc. | 87 | 25,550 | ||||||
Amgen, Inc. | 134 | 24,694 | ||||||
AbbVie, Inc. | 326 | 23,707 | ||||||
Eli Lilly & Co. | 190 | 21,050 | ||||||
Danaher Corp. | 138 | 19,723 | ||||||
Altria Group, Inc. | 412 | 19,508 | ||||||
Gilead Sciences, Inc. | 280 | 18,917 | ||||||
Mondelez International, Inc. — Class A | 317 | 17,086 | ||||||
Bristol-Myers Squibb Co. | 360 | 16,326 | ||||||
Anthem, Inc. | 57 | 16,086 | ||||||
Automatic Data Processing, Inc. | 96 | 15,872 | ||||||
CVS Health Corp. | 286 | 15,584 | ||||||
Becton Dickinson and Co. | 59 | 14,869 | ||||||
Celgene Corp.* | 155 | 14,328 | ||||||
Stryker Corp. | 68 | 13,979 | ||||||
Colgate-Palmolive Co. | 189 | 13,546 | ||||||
Boston Scientific Corp.* | 306 | 13,152 | ||||||
Intuitive Surgical, Inc.* | 25 | 13,114 | ||||||
Cigna Corp. | 83 | 13,077 | ||||||
S&P Global, Inc. | 54 | 12,301 | ||||||
Zoetis, Inc. | 105 | 11,916 | ||||||
Illumina, Inc.* | 32 | 11,781 | ||||||
Allergan plc | 68 | 11,385 | ||||||
Vertex Pharmaceuticals, Inc.* | 56 | 10,269 | ||||||
Kimberly-Clark Corp. | 75 | 9,996 | ||||||
Biogen, Inc.* | 42 | 9,823 | ||||||
Estee Lauder Companies, Inc. — Class A | 48 | 8,789 | ||||||
Baxter International, Inc. | 105 | 8,599 | ||||||
Edwards Lifesciences Corp.* | 46 | 8,498 | ||||||
HCA Healthcare, Inc. | 59 | 7,975 | ||||||
Humana, Inc. | 29 | 7,694 | ||||||
Sysco Corp. | 104 | 7,355 | ||||||
Constellation Brands, Inc. — Class A | 37 | 7,287 | ||||||
Moody’s Corp. | 36 | 7,031 | ||||||
General Mills, Inc. | 132 | 6,933 | ||||||
Alexion Pharmaceuticals, Inc.* | 49 | 6,418 | ||||||
IQVIA Holdings, Inc.* | 35 | 5,631 | ||||||
Global Payments, Inc. | 35 | 5,604 | ||||||
McKesson Corp. | 41 | 5,510 | ||||||
Monster Beverage Corp.* | 86 | 5,489 | ||||||
Regeneron Pharmaceuticals, Inc.* | 17 | 5,321 | ||||||
Zimmer Biomet Holdings, Inc. | 45 | 5,298 | ||||||
Verisk Analytics, Inc. — Class A | 36 | 5,273 | ||||||
Tyson Foods, Inc. — Class A | 65 | 5,248 | ||||||
IHS Markit Ltd.* | 80 | 5,098 | ||||||
FleetCor Technologies, Inc.* | 18 | 5,055 | ||||||
Archer-Daniels-Midland Co. | 123 | 5,018 | ||||||
IDEXX Laboratories, Inc.* | 18 | 4,956 | ||||||
Corteva, Inc.* | 165 | 4,879 | ||||||
Centene Corp.* | 91 | 4,772 | ||||||
Total System Services, Inc. | 36 | 4,618 | ||||||
Align Technology, Inc.* | 16 | 4,379 | ||||||
Clorox Co. | 28 | 4,287 | ||||||
Cintas Corp. | 18 | 4,271 | ||||||
Kraft Heinz Co. | 137 | 4,253 | ||||||
McCormick & Company, Inc. | 27 | 4,185 | ||||||
Hershey Co. | 31 | 4,155 | ||||||
Church & Dwight Company, Inc. | 54 | 3,945 | ||||||
Kroger Co. | 178 | 3,864 | ||||||
Laboratory Corporation of America Holdings* | 22 | 3,804 | ||||||
ResMed, Inc. | 31 | 3,783 | ||||||
Cooper Companies, Inc. | 11 | 3,706 | ||||||
Equifax, Inc. | 27 | 3,651 | ||||||
Incyte Corp.* | 39 | 3,313 | ||||||
Teleflex, Inc. | 10 | 3,312 | ||||||
Gartner, Inc.* | 20 | 3,219 | ||||||
WellCare Health Plans, Inc.* | 11 | 3,136 | ||||||
Cardinal Health, Inc. | 66 | 3,109 | ||||||
Quest Diagnostics, Inc. | 30 | 3,054 | ||||||
Dentsply Sirona, Inc. | 52 | 3,035 | ||||||
Kellogg Co. | 55 | 2,946 | ||||||
AmerisourceBergen Corp. — Class A | 34 | 2,899 | ||||||
JM Smucker Co. | 25 | 2,880 | ||||||
Conagra Brands, Inc. | 107 | 2,838 | ||||||
Hologic, Inc.* | 59 | 2,833 | ||||||
ABIOMED, Inc.* | 10 | 2,605 | ||||||
Varian Medical Systems, Inc.* | 19 | 2,586 | ||||||
MarketAxess Holdings, Inc. | 8 | 2,571 | ||||||
Hormel Foods Corp. | 60 | 2,432 | ||||||
Universal Health Services, Inc. — Class B | 18 | 2,347 | ||||||
Henry Schein, Inc.* | 33 | 2,307 | ||||||
Molson Coors Brewing Co. — Class B | 41 | 2,296 | ||||||
United Rentals, Inc.* | 17 | 2,255 | ||||||
Avery Dennison Corp. | 19 | 2,198 | ||||||
Mylan N.V.* | 114 | 2,171 | ||||||
Brown-Forman Corp. — Class B | 37 | 2,051 | ||||||
Lamb Weston Holdings, Inc. | 32 | 2,028 | ||||||
Nielsen Holdings plc | 78 | 1,763 | ||||||
Campbell Soup Co. | 42 | 1,683 | ||||||
DaVita, Inc.* | 28 | 1,575 | ||||||
Robert Half International, Inc. | 26 | 1,482 | ||||||
Nektar Therapeutics* | 38 | 1,352 | ||||||
Perrigo Company plc | 28 | 1,333 | ||||||
H&R Block, Inc. | 44 | 1,289 | ||||||
Quanta Services, Inc. | 31 | 1,184 | ||||||
Rollins, Inc. | 32 | 1,148 | ||||||
Coty, Inc. — Class A | 66 | 884 | ||||||
Total Consumer, Non-cyclical | 1,183,379 | |||||||
10| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
NOVA FUND |
|
| Value | ||||||
Financial - 2.5% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 427 | $ | 91,023 | |||||
JPMorgan Chase & Co. | 715 | 79,937 | ||||||
Visa, Inc. — Class A | 383 | 66,470 | ||||||
Bank of America Corp. | 1,948 | 56,492 | ||||||
Mastercard, Inc. — Class A | 198 | 52,377 | ||||||
Wells Fargo & Co. | 891 | 42,162 | ||||||
Citigroup, Inc. | 509 | 35,645 | ||||||
American Tower Corp. — Class A REIT | 97 | 19,832 | ||||||
American Express Co. | 151 | 18,639 | ||||||
U.S. Bancorp | 330 | 17,292 | ||||||
CME Group, Inc. — Class A | 79 | 15,335 | ||||||
Goldman Sachs Group, Inc. | 74 | 15,140 | ||||||
Chubb Ltd. | 100 | 14,729 | ||||||
PNC Financial Services Group, Inc. | 99 | 13,591 | ||||||
Morgan Stanley | 282 | 12,354 | ||||||
BlackRock, Inc. — Class A | 26 | 12,202 | ||||||
Crown Castle International Corp. REIT | 92 | 11,992 | ||||||
Marsh & McLennan Companies, Inc. | 113 | 11,272 | ||||||
Prologis, Inc. REIT | 139 | 11,134 | ||||||
Simon Property Group, Inc. REIT | 68 | 10,864 | ||||||
Intercontinental Exchange, Inc. | 124 | 10,657 | ||||||
Charles Schwab Corp. | 262 | 10,530 | ||||||
MetLife, Inc. | 209 | 10,381 | ||||||
Progressive Corp. | 128 | 10,231 | ||||||
American International Group, Inc. | 192 | 10,230 | ||||||
Aon plc | 53 | 10,228 | ||||||
Capital One Financial Corp. | 102 | 9,255 | ||||||
Equinix, Inc. REIT | 18 | 9,077 | ||||||
Prudential Financial, Inc. | 89 | 8,989 | ||||||
Aflac, Inc. | 164 | 8,989 | ||||||
Travelers Companies, Inc. | 58 | 8,672 | ||||||
Bank of New York Mellon Corp. | 194 | 8,565 | ||||||
BB&T Corp. | 169 | 8,303 | ||||||
Public Storage REIT | 33 | 7,860 | ||||||
Allstate Corp. | 73 | 7,423 | ||||||
Welltower, Inc. REIT | 89 | 7,256 | ||||||
Equity Residential REIT | 82 | 6,226 | ||||||
SunTrust Banks, Inc. | 98 | 6,159 | ||||||
AvalonBay Communities, Inc. REIT | 30 | 6,095 | ||||||
T. Rowe Price Group, Inc. | 52 | 5,705 | ||||||
SBA Communications Corp. REIT* | 25 | 5,621 | ||||||
Ventas, Inc. REIT | 81 | 5,536 | ||||||
Discover Financial Services | 71 | 5,509 | ||||||
Digital Realty Trust, Inc. REIT | 46 | 5,418 | ||||||
Willis Towers Watson plc | 28 | 5,363 | ||||||
M&T Bank Corp. | 30 | 5,102 | ||||||
Synchrony Financial | 139 | 4,819 | ||||||
Realty Income Corp. REIT | 69 | 4,759 | ||||||
State Street Corp. | 82 | 4,597 | ||||||
Fifth Third Bancorp | 160 | 4,464 | ||||||
Hartford Financial Services Group, Inc. | 80 | 4,458 | ||||||
Weyerhaeuser Co. REIT | 164 | 4,320 | ||||||
Boston Properties, Inc. REIT | 33 | 4,257 | ||||||
Northern Trust Corp. | 47 | 4,230 | ||||||
Ameriprise Financial, Inc. | 29 | 4,210 | ||||||
Essex Property Trust, Inc. REIT | 14 | 4,087 | ||||||
KeyCorp | 222 | 3,941 | ||||||
Citizens Financial Group, Inc. | 101 | 3,571 | ||||||
CBRE Group, Inc. — Class A* | 69 | 3,540 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 25 | 3,527 | ||||||
First Republic Bank | 36 | 3,515 | ||||||
Arthur J Gallagher & Co. | 40 | 3,504 | ||||||
Cincinnati Financial Corp. | 33 | 3,421 | ||||||
HCP, Inc. REIT | 105 | 3,358 | ||||||
Regions Financial Corp. | 223 | 3,332 | ||||||
Principal Financial Group, Inc. | 57 | 3,301 | ||||||
Loews Corp. | 59 | 3,225 | ||||||
Huntington Bancshares, Inc. | 231 | 3,193 | ||||||
Extra Space Storage, Inc. REIT | 28 | 2,971 | ||||||
Host Hotels & Resorts, Inc. REIT | 163 | 2,970 | ||||||
Mid-America Apartment Communities, Inc. REIT | 25 | 2,944 | ||||||
Lincoln National Corp. | 44 | 2,836 | ||||||
UDR, Inc. REIT | 61 | 2,738 | ||||||
Cboe Global Markets, Inc. | 25 | 2,591 | ||||||
Nasdaq, Inc. | 26 | 2,500 | ||||||
Duke Realty Corp. REIT | 79 | 2,497 | ||||||
SVB Financial Group* | 11 | 2,471 | ||||||
Comerica, Inc. | 34 | 2,470 | ||||||
Regency Centers Corp. REIT | 37 | 2,469 | ||||||
Vornado Realty Trust REIT | 38 | 2,436 | ||||||
E*TRADE Financial Corp. | 54 | 2,408 | ||||||
Raymond James Financial, Inc. | 28 | 2,367 | ||||||
Franklin Resources, Inc. | 65 | 2,262 | ||||||
Everest Re Group Ltd. | 9 | 2,225 | ||||||
Federal Realty Investment Trust REIT | 16 | 2,060 | ||||||
Iron Mountain, Inc. REIT | 63 | 1,972 | ||||||
Torchmark Corp. | 22 | 1,968 | ||||||
Western Union Co. | 95 | 1,890 | ||||||
Zions Bancorp North America | 40 | 1,839 | ||||||
Invesco Ltd. | 87 | 1,780 | ||||||
Kimco Realty Corp. REIT | 93 | 1,719 | ||||||
Apartment Investment & Management Co. — Class A REIT | 32 | 1,604 | ||||||
Unum Group | 47 | 1,577 | ||||||
Assurant, Inc. | 14 | 1,489 | ||||||
People’s United Financial, Inc. | 87 | 1,460 | ||||||
SL Green Realty Corp. REIT | 18 | 1,447 | ||||||
Alliance Data Systems Corp. | 10 | 1,401 | ||||||
Jefferies Financial Group, Inc. | 56 | 1,077 | ||||||
Affiliated Managers Group, Inc. | 11 | 1,013 | ||||||
Macerich Co. REIT | 23 | 770 | ||||||
Total Financial | 963,712 | |||||||
Technology - 2.3% | ||||||||
Microsoft Corp. | 1,688 | 226,124 | ||||||
Apple, Inc. | 963 | 190,597 | ||||||
Intel Corp. | 986 | 47,200 | ||||||
Adobe, Inc.* | 107 | 31,527 | ||||||
Oracle Corp. | 535 | 30,479 | ||||||
International Business Machines Corp. | 195 | 26,890 | ||||||
Accenture plc — Class A | 141 | 26,053 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
NOVA FUND |
|
| Value | ||||||
salesforce.com, Inc.* | 170 | $ | 25,794 | |||||
Broadcom, Inc. | 87 | 25,044 | ||||||
Texas Instruments, Inc. | 207 | 23,755 | ||||||
NVIDIA Corp. | 134 | 22,007 | ||||||
QUALCOMM, Inc. | 267 | 20,311 | ||||||
Intuit, Inc. | 57 | 14,896 | ||||||
Micron Technology, Inc.* | 244 | 9,416 | ||||||
Applied Materials, Inc. | 206 | 9,251 | ||||||
Analog Devices, Inc. | 81 | 9,143 | ||||||
Fidelity National Information Services, Inc. | 71 | 8,710 | ||||||
Activision Blizzard, Inc. | 168 | 7,930 | ||||||
Cognizant Technology Solutions Corp. — Class A | 125 | 7,924 | ||||||
Fiserv, Inc.* | 86 | 7,840 | ||||||
Autodesk, Inc.* | 48 | 7,819 | ||||||
Red Hat, Inc.* | 39 | 7,323 | ||||||
HP, Inc. | 331 | 6,881 | ||||||
Xilinx, Inc. | 56 | 6,604 | ||||||
Electronic Arts, Inc.* | 65 | 6,582 | ||||||
Lam Research Corp. | 33 | 6,199 | ||||||
Advanced Micro Devices, Inc.* | 195 | 5,922 | ||||||
Paychex, Inc. | 70 | 5,760 | ||||||
Cerner Corp. | 72 | 5,278 | ||||||
Microchip Technology, Inc.1 | 52 | 4,508 | ||||||
Hewlett Packard Enterprise Co. | 295 | 4,410 | ||||||
Cadence Design Systems, Inc.* | 61 | 4,319 | ||||||
MSCI, Inc. — Class A | 18 | 4,298 | ||||||
KLA-Tencor Corp. | 36 | 4,255 | ||||||
Synopsys, Inc.* | 33 | 4,247 | ||||||
ANSYS, Inc.* | 18 | 3,687 | ||||||
Maxim Integrated Products, Inc. | 60 | 3,589 | ||||||
NetApp, Inc. | 54 | 3,332 | ||||||
Broadridge Financial Solutions, Inc. | 26 | 3,320 | ||||||
DXC Technology Co. | 59 | 3,254 | ||||||
Western Digital Corp. | 65 | 3,091 | ||||||
Skyworks Solutions, Inc. | 38 | 2,936 | ||||||
Akamai Technologies, Inc.* | 36 | 2,885 | ||||||
Take-Two Interactive Software, Inc.* | 25 | 2,838 | ||||||
Citrix Systems, Inc. | 27 | 2,650 | ||||||
Seagate Technology plc | 55 | 2,592 | ||||||
Fortinet, Inc.* | 32 | 2,458 | ||||||
Jack Henry & Associates, Inc. | 16 | 2,143 | ||||||
Qorvo, Inc.* | 26 | 1,732 | ||||||
Xerox Corp. | 43 | 1,522 | ||||||
IPG Photonics Corp.* | 8 | 1,234 | ||||||
Total Technology | 898,559 | |||||||
Communications - 2.1% | ||||||||
Amazon.com, Inc.* | 91 | 172,320 | ||||||
Facebook, Inc. — Class A* | 529 | 102,097 | ||||||
Alphabet, Inc. — Class C* | 67 | 72,421 | ||||||
Alphabet, Inc. — Class A* | 66 | 71,465 | ||||||
AT&T, Inc. | 1,607 | 53,851 | ||||||
Walt Disney Co. | 385 | 53,761 | ||||||
Verizon Communications, Inc. | 911 | 52,046 | ||||||
Cisco Systems, Inc. | 943 | 51,610 | ||||||
Comcast Corp. — Class A | 998 | 42,195 | ||||||
Netflix, Inc.* | 96 | 35,263 | ||||||
Booking Holdings, Inc.* | 10 | 18,747 | ||||||
Charter Communications, Inc. — Class A* | 38 | 15,017 | ||||||
eBay, Inc. | 180 | 7,110 | ||||||
Motorola Solutions, Inc. | 36 | 6,002 | ||||||
Corning, Inc. | 173 | 5,749 | ||||||
Twitter, Inc.* | 161 | 5,619 | ||||||
VeriSign, Inc.* | 23 | 4,811 | ||||||
Omnicom Group, Inc. | 48 | 3,934 | ||||||
CBS Corp. — Class B | 78 | 3,892 | ||||||
Expedia Group, Inc. | 26 | 3,459 | ||||||
Symantec Corp. | 136 | 2,959 | ||||||
Fox Corp. — Class A | 78 | 2,858 | ||||||
Arista Networks, Inc.* | 11 | 2,856 | ||||||
CenturyLink, Inc. | 211 | 2,481 | ||||||
Viacom, Inc. — Class B | 78 | 2,330 | ||||||
Discovery, Inc. — Class C* | 79 | 2,248 | ||||||
Juniper Networks, Inc. | 76 | 2,024 | ||||||
DISH Network Corp. — Class A* | 51 | 1,959 | ||||||
Interpublic Group of Companies, Inc. | 85 | 1,920 | ||||||
F5 Networks, Inc.* | 13 | 1,893 | ||||||
Fox Corp. — Class B | 36 | 1,315 | ||||||
News Corp. — Class A | 85 | 1,147 | ||||||
Discovery, Inc. — Class A* | 35 | 1,074 | ||||||
TripAdvisor, Inc.* | 23 | 1,064 | ||||||
News Corp. — Class B | 27 | 377 | ||||||
Total Communications | 809,874 | |||||||
Industrial - 1.3% | ||||||||
Boeing Co. | 115 | 41,861 | ||||||
Honeywell International, Inc. | 160 | 27,934 | ||||||
Union Pacific Corp. | 156 | 26,381 | ||||||
United Technologies Corp. | 179 | 23,306 | ||||||
3M Co. | 127 | 22,014 | ||||||
General Electric Co. | 1,921 | 20,171 | ||||||
Lockheed Martin Corp. | 54 | 19,631 | ||||||
Caterpillar, Inc. | 126 | 17,173 | ||||||
United Parcel Service, Inc. — Class B | 153 | 15,800 | ||||||
CSX Corp. | 169 | 13,076 | ||||||
Northrop Grumman Corp. | 37 | 11,955 | ||||||
Norfolk Southern Corp. | 59 | 11,760 | ||||||
Deere & Co. | 70 | 11,600 | ||||||
General Dynamics Corp. | 59 | 10,727 | ||||||
Raytheon Co. | 61 | 10,607 | ||||||
Illinois Tool Works, Inc. | 66 | 9,953 | ||||||
Waste Management, Inc. | 86 | 9,922 | ||||||
Emerson Electric Co. | 135 | 9,007 | ||||||
FedEx Corp. | 53 | 8,702 | ||||||
Roper Technologies, Inc. | 23 | 8,424 | ||||||
Eaton Corporation plc | 93 | 7,745 | ||||||
Johnson Controls International plc | 175 | 7,229 | ||||||
TE Connectivity Ltd. | 74 | 7,088 | ||||||
Ingersoll-Rand plc | 53 | 6,714 | ||||||
Amphenol Corp. — Class A | 66 | 6,332 | ||||||
TransDigm Group, Inc.* | 11 | 5,322 | ||||||
Cummins, Inc. | 31 | 5,311 | ||||||
Fortive Corp. | 65 | 5,299 |
12| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
NOVA FUND |
|
| Value | ||||||
Agilent Technologies, Inc. | 70 | $ | 5,227 | |||||
Ball Corp. | 73 | 5,109 | ||||||
Harris Corp. | 26 | 4,917 | ||||||
Stanley Black & Decker, Inc. | 33 | 4,772 | ||||||
Parker-Hannifin Corp. | 28 | 4,760 | ||||||
AMETEK, Inc. | 50 | 4,542 | ||||||
Rockwell Automation, Inc. | 26 | 4,260 | ||||||
Mettler-Toledo International, Inc.* | 5 | 4,200 | ||||||
L3 Technologies, Inc. | 17 | 4,168 | ||||||
Amcor plc* | 358 | 4,113 | ||||||
Republic Services, Inc. — Class A | 47 | 4,072 | ||||||
Vulcan Materials Co. | 29 | 3,982 | ||||||
Keysight Technologies, Inc.* | 41 | 3,682 | ||||||
Xylem, Inc. | 40 | 3,346 | ||||||
Waters Corp.* | 15 | 3,229 | ||||||
Dover Corp. | 32 | 3,206 | ||||||
Martin Marietta Materials, Inc. | 13 | 2,991 | ||||||
Expeditors International of Washington, Inc. | 38 | 2,883 | ||||||
Textron, Inc. | 51 | 2,705 | ||||||
Kansas City Southern | 22 | 2,680 | ||||||
Wabtec Corp. | 36 | 2,583 | ||||||
Masco Corp. | 65 | 2,551 | ||||||
CH Robinson Worldwide, Inc. | 30 | 2,531 | ||||||
Allegion plc | 21 | 2,321 | ||||||
PerkinElmer, Inc. | 24 | 2,312 | ||||||
Arconic, Inc. | 88 | 2,272 | ||||||
Garmin Ltd. | 27 | 2,155 | ||||||
Jacobs Engineering Group, Inc. | 25 | 2,110 | ||||||
Westrock Co. | 56 | 2,042 | ||||||
Huntington Ingalls Industries, Inc. | 9 | 2,023 | ||||||
Packaging Corporation of America | 21 | 2,002 | ||||||
Snap-on, Inc. | 12 | 1,988 | ||||||
Fortune Brands Home & Security, Inc. | 31 | 1,771 | ||||||
J.B. Hunt Transport Services, Inc. | 18 | 1,645 | ||||||
FLIR Systems, Inc. | 29 | 1,569 | ||||||
Flowserve Corp. | 28 | 1,475 | ||||||
AO Smith Corp. | 31 | 1,462 | ||||||
Sealed Air Corp. | 34 | 1,455 | ||||||
Pentair plc | 35 | 1,302 | ||||||
Total Industrial | 497,457 | |||||||
Consumer, Cyclical - 1.1% | ||||||||
Home Depot, Inc. | 242 | 50,329 | ||||||
McDonald’s Corp. | 168 | 34,887 | ||||||
Walmart, Inc. | 308 | 34,031 | ||||||
Costco Wholesale Corp. | 96 | 25,369 | ||||||
NIKE, Inc. — Class B | 277 | 23,254 | ||||||
Starbucks Corp. | 267 | 22,383 | ||||||
Lowe’s Companies, Inc. | 172 | 17,356 | ||||||
TJX Companies, Inc. | 267 | 14,119 | ||||||
General Motors Co. | 291 | 11,212 | ||||||
Target Corp. | 113 | 9,787 | ||||||
Walgreens Boots Alliance, Inc. | 171 | 9,349 | ||||||
Ford Motor Co. | 862 | 8,819 | ||||||
Marriott International, Inc. — Class A | 61 | 8,558 | ||||||
Ross Stores, Inc. | 81 | 8,029 | ||||||
Dollar General Corp. | 57 | 7,704 | ||||||
Delta Air Lines, Inc. | 131 | 7,434 | ||||||
Yum! Brands, Inc. | 67 | 7,415 | ||||||
O’Reilly Automotive, Inc.* | 17 | 6,278 | ||||||
Hilton Worldwide Holdings, Inc. | 64 | 6,255 | ||||||
VF Corp. | 71 | 6,202 | ||||||
Dollar Tree, Inc.* | 52 | 5,584 | ||||||
AutoZone, Inc.* | 5 | 5,497 | ||||||
Southwest Airlines Co. | 108 | 5,484 | ||||||
PACCAR, Inc. | 76 | 5,446 | ||||||
Royal Caribbean Cruises Ltd. | 38 | 4,606 | ||||||
Aptiv plc | 56 | 4,526 | ||||||
United Continental Holdings, Inc.* | 49 | 4,290 | ||||||
Ulta Beauty, Inc.* | 12 | 4,163 | ||||||
Fastenal Co. | 126 | 4,106 | ||||||
Carnival Corp. | 88 | 4,096 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 5 | 3,664 | ||||||
Best Buy Company, Inc. | 51 | 3,556 | ||||||
Genuine Parts Co. | 32 | 3,314 | ||||||
Copart, Inc.* | 44 | 3,289 | ||||||
Darden Restaurants, Inc. | 27 | 3,287 | ||||||
CarMax, Inc.* | 37 | 3,213 | ||||||
MGM Resorts International | 112 | 3,200 | ||||||
DR Horton, Inc. | 74 | 3,191 | ||||||
Lennar Corp. — Class A | 63 | 3,053 | ||||||
Tractor Supply Co. | 27 | 2,938 | ||||||
American Airlines Group, Inc. | 87 | 2,837 | ||||||
Hasbro, Inc. | 26 | 2,748 | ||||||
WW Grainger, Inc. | 10 | 2,682 | ||||||
Wynn Resorts Ltd. | 21 | 2,604 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 47 | 2,521 | ||||||
Advance Auto Parts, Inc. | 15 | 2,312 | ||||||
Tiffany & Co. | 24 | 2,247 | ||||||
Tapestry, Inc. | 64 | 2,031 | ||||||
Whirlpool Corp. | 14 | 1,993 | ||||||
Mohawk Industries, Inc.* | 13 | 1,917 | ||||||
BorgWarner, Inc. | 45 | 1,889 | ||||||
LKQ Corp.* | 69 | 1,836 | ||||||
PulteGroup, Inc. | 56 | 1,771 | ||||||
Alaska Air Group, Inc. | 27 | 1,726 | ||||||
Kohl’s Corp. | 36 | 1,712 | ||||||
PVH Corp. | 16 | 1,514 | ||||||
Macy’s, Inc. | 68 | 1,459 | ||||||
Hanesbrands, Inc. | 80 | 1,378 | ||||||
Newell Brands, Inc. | 85 | 1,311 | ||||||
L Brands, Inc. | 50 | 1,305 | ||||||
Harley-Davidson, Inc. | 35 | 1,254 | ||||||
Ralph Lauren Corp. — Class A | 11 | 1,250 | ||||||
Leggett & Platt, Inc. | 29 | 1,113 | ||||||
Capri Holdings Ltd.* | 32 | 1,110 | ||||||
Foot Locker, Inc. | 25 | 1,048 | ||||||
Under Armour, Inc. — Class A* | 41 | 1,039 | ||||||
Under Armour, Inc. — Class C* | 42 | 932 | ||||||
Gap, Inc. | 47 | 845 | ||||||
Nordstrom, Inc.1 | 23 | 733 | ||||||
Total Consumer, Cyclical | 448,390 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
NOVA FUND |
|
| Value | ||||||
Energy - 0.7% | ||||||||
Exxon Mobil Corp. | 932 | $ | 71,419 | |||||
Chevron Corp. | 419 | 52,140 | ||||||
ConocoPhillips | 249 | 15,189 | ||||||
Schlumberger Ltd. | 305 | 12,121 | ||||||
EOG Resources, Inc. | 128 | 11,924 | ||||||
Kinder Morgan, Inc. | 429 | 8,957 | ||||||
Phillips 66 | 92 | 8,606 | ||||||
Occidental Petroleum Corp. | 165 | 8,296 | ||||||
Marathon Petroleum Corp. | 146 | 8,159 | ||||||
Valero Energy Corp. | 92 | 7,876 | ||||||
Anadarko Petroleum Corp. | 111 | 7,832 | ||||||
Williams Companies, Inc. | 266 | 7,459 | ||||||
ONEOK, Inc. | 91 | 6,262 | ||||||
Pioneer Natural Resources Co. | 37 | 5,693 | ||||||
Concho Resources, Inc. | 44 | 4,540 | ||||||
Halliburton Co. | 193 | 4,389 | ||||||
Diamondback Energy, Inc. | 34 | 3,705 | ||||||
Hess Corp. | 56 | 3,560 | ||||||
Baker Hughes a GE Co. | 113 | 2,783 | ||||||
Devon Energy Corp. | 91 | 2,595 | ||||||
Marathon Oil Corp. | 180 | 2,558 | ||||||
TechnipFMC plc | 93 | 2,412 | ||||||
Apache Corp. | 83 | 2,405 | ||||||
Noble Energy, Inc. | 105 | 2,352 | ||||||
Cabot Oil & Gas Corp. — Class A | 93 | 2,135 | ||||||
National Oilwell Varco, Inc. | 85 | 1,890 | ||||||
HollyFrontier Corp. | 35 | 1,620 | ||||||
Cimarex Energy Co. | 22 | 1,305 | ||||||
Helmerich & Payne, Inc. | 24 | 1,215 | ||||||
Total Energy | 271,397 | |||||||
Utilities - 0.4% | ||||||||
NextEra Energy, Inc. | 106 | 21,715 | ||||||
Duke Energy Corp. | 160 | 14,118 | ||||||
Dominion Energy, Inc. | 177 | 13,686 | ||||||
Southern Co. | 229 | 12,659 | ||||||
Exelon Corp. | 213 | 10,211 | ||||||
American Electric Power Company, Inc. | 109 | 9,593 | ||||||
Sempra Energy | 60 | 8,247 | ||||||
Xcel Energy, Inc. | 113 | 6,722 | ||||||
Public Service Enterprise Group, Inc. | 111 | 6,529 | ||||||
Consolidated Edison, Inc. | 72 | 6,313 | ||||||
WEC Energy Group, Inc. | 69 | 5,753 | ||||||
Eversource Energy | 71 | 5,379 | ||||||
DTE Energy Co. | 40 | 5,115 | ||||||
PPL Corp. | 159 | 4,931 | ||||||
Edison International | 72 | 4,854 | ||||||
FirstEnergy Corp. | 111 | 4,752 | ||||||
American Water Works Company, Inc. | 40 | 4,640 | ||||||
Entergy Corp. | 42 | 4,323 | ||||||
Ameren Corp. | 54 | 4,056 | ||||||
CMS Energy Corp. | 63 | 3,648 | ||||||
Evergy, Inc. | 54 | 3,248 | ||||||
CenterPoint Energy, Inc. | 110 | 3,149 | ||||||
Atmos Energy Corp. | 25 | 2,639 | ||||||
Alliant Energy Corp. | 52 | 2,552 | ||||||
AES Corp. | 146 | 2,447 | ||||||
NiSource, Inc. | 82 | 2,362 | ||||||
Pinnacle West Capital Corp. | 24 | 2,258 | ||||||
NRG Energy, Inc. | 59 | 2,072 | ||||||
Total Utilities | 177,971 | |||||||
Basic Materials - 0.3% | ||||||||
Linde plc | 119 | 23,895 | ||||||
DuPont de Nemours, Inc. | 165 | 12,387 | ||||||
Ecolab, Inc. | 56 | 11,057 | ||||||
Air Products & Chemicals, Inc. | 48 | 10,866 | ||||||
Sherwin-Williams Co. | 18 | 8,249 | ||||||
Dow, Inc. | 165 | 8,136 | ||||||
Newmont Goldcorp Corp. | 181 | 6,963 | ||||||
PPG Industries, Inc. | 52 | 6,069 | ||||||
LyondellBasell Industries N.V. — Class A | 67 | 5,771 | ||||||
International Paper Co. | 87 | 3,769 | ||||||
Freeport-McMoRan, Inc. | 319 | 3,703 | ||||||
Nucor Corp. | 67 | 3,692 | ||||||
International Flavors & Fragrances, Inc.1 | 22 | 3,192 | ||||||
Celanese Corp. — Class A | 27 | 2,911 | ||||||
FMC Corp. | 29 | 2,405 | ||||||
Eastman Chemical Co. | 30 | 2,335 | ||||||
CF Industries Holdings, Inc. | 49 | 2,289 | ||||||
Mosaic Co. | 78 | 1,952 | ||||||
Albemarle Corp. | 23 | 1,619 | ||||||
Total Basic Materials | 121,260 | |||||||
Total Common Stocks | ||||||||
(Cost $5,094,011) | 5,371,999 | |||||||
MUTUAL FUNDS† - 55.0% | ||||||||
Guggenheim Ultra Short Duration Fund - Institutional Class2 | 1,081,314 | 10,769,888 | ||||||
Guggenheim Strategy Fund II2 | 433,677 | 10,763,861 | ||||||
Total Mutual Funds | ||||||||
(Cost $21,525,359) | 21,533,749 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 2.5% | ||||||||
U.S. Treasury Bills | ||||||||
2.12% due 08/01/193,4 | $ | 700,000 | 698,788 | |||||
2.11% due 07/16/194,5 | 178,000 | 177,848 | ||||||
1.90% due 08/01/193,4 | 100,000 | 99,827 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $976,324) | 976,463 | |||||||
FEDERAL AGENCY NOTES†† - 1.3% | ||||||||
Federal Home Loan Bank | ||||||||
2.44% (3 Month USD LIBOR - 0.16%, Rate Floor: 0.00%) due 07/05/196 | 500,000 | 500,008 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $500,010) | 500,008 | |||||||
14| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
NOVA FUND |
| Face | Value | ||||||
REPURCHASE AGREEMENTS††,7 - 26.5% | ||||||||
JPMorgan Chase & Co. | $ | 6,931,433 | $ | 6,931,433 | ||||
Bank of America Merrill Lynch | 1,721,886 | 1,721,886 | ||||||
Barclays Capital | 1,721,886 | 1,721,886 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $10,375,205) | 10,375,205 |
|
| |||||||
SECURITIES LENDING COLLATERAL†,8 - 0.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%9 | 5,847 | $ | 5,847 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $5,847) | 5,847 | |||||||
Total Investments - 99.0% | ||||||||
(Cost $38,476,756) | $ | 38,763,271 | ||||||
Other Assets & Liabilities, net - 1.0% | 374,475 | |||||||
Total Net Assets - 100.0% | $ | 39,137,746 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Equity Futures Contracts Purchased† | |||||||||||||
S&P 500 Index Mini Futures Contracts | 27 | Sep 2019 | $ | 3,973,388 | $ | 80,461 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
Goldman Sachs International | S&P 500 Index | 2.82 | % | At Maturity | 07/29/19 | 10,826 | $ | 31,847,668 | $ | 285,014 | |||||||||
Barclays Bank plc | S&P 500 Index | 2.82 | % | At Maturity | 07/31/19 | 2,986 | 8,784,713 | 83,554 | |||||||||||
BNP Paribas | S&P 500 Index | 2.85 | % | At Maturity | 07/29/19 | 2,972 | 8,743,338 | 83,161 | |||||||||||
$ | 49,375,719 | $ | 451,729 |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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, 2019 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
6 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
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, 2019. |
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, 2019 |
NOVA FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 5,371,999 | $ | — | $ | — | $ | 5,371,999 | ||||||||
Mutual Funds | 21,533,749 | — | — | 21,533,749 | ||||||||||||
U.S. Treasury Bills | — | 976,463 | — | 976,463 | ||||||||||||
Federal Agency Notes | — | 500,008 | — | 500,008 | ||||||||||||
Repurchase Agreements | — | 10,375,205 | — | 10,375,205 | ||||||||||||
Securities Lending Collateral | 5,847 | — | — | 5,847 | ||||||||||||
Equity Futures Contracts** | 80,461 | — | — | 80,461 | ||||||||||||
Equity Index Swap Agreements** | — | 451,729 | — | 451,729 | ||||||||||||
Total Assets | $ | 26,992,056 | $ | 12,303,405 | $ | — | $ | 39,295,461 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 10,405,341 | $ | 6,660,402 | $ | (6,300,000 | ) | $ | (20,046 | ) | $ | 18,164 | $ | 10,763,861 | 433,677 | $ | 111,256 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 6,167,022 | 8,606,438 | (4,000,000 | ) | 3,665 | (7,237 | ) | 10,769,888 | 1,081,314 | 107,087 | ||||||||||||||||||||||
$ | 16,572,363 | $ | 15,266,840 | $ | (10,300,000 | ) | $ | (16,381 | ) | $ | 10,927 | $ | 21,533,749 | $ | 218,343 |
16| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NOVA FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $5,735 of securities loaned (cost $6,576,192) | $ | 6,854,317 | ||
Investments in affiliated issuers, at value (cost $21,525,359) | 21,533,749 | |||
Repurchase agreements, at value (cost $10,375,205) | 10,375,205 | |||
Cash | 18 | |||
Segregated cash with broker | 44,179 | |||
Unrealized appreciation on OTC swap agreements | 451,729 | |||
Receivables: | ||||
Dividends | 47,957 | |||
Variation margin on futures contracts | 16,673 | |||
Interest | 5,104 | |||
Fund shares sold | 14 | |||
Total assets | 39,328,945 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 48,266 | |||
Fund shares redeemed | 41,292 | |||
Professional fees | 25,644 | |||
Management fees | 16,810 | |||
Printing fees | 16,403 | |||
Transfer agent and administrative fees | 6,225 | |||
Investor service fees | 6,225 | |||
Return of securities lending collateral | 5,847 | |||
Portfolio accounting fees | 2,490 | |||
Swap settlement | 945 | |||
Trustees’ fees* | 644 | |||
Miscellaneous | 20,408 | |||
Total liabilities | 191,199 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 39,137,746 | ||
Net assets consist of: | ||||
Paid in capital | $ | 34,836,433 | ||
Total distributable earnings (loss) | 4,301,313 | |||
Net assets | $ | 39,137,746 | ||
Capital shares outstanding | 327,175 | |||
Net asset value per share | $ | 119.62 |
STATEMENT OF OPERATIONS (Unaudited) | |||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 126,597 | ||
Dividends from securities of affiliated issuers | 218,343 | |||
Interest | 86,676 | |||
Income from securities lending, net | 484 | |||
Total investment income | 432,100 | |||
Expenses: | ||||
Management fees | 132,175 | |||
Investor service fees | 44,058 | |||
Transfer agent and administrative fees | 44,058 | |||
Professional fees | 22,540 | |||
Portfolio accounting fees | 17,623 | |||
Trustees’ fees* | 4,180 | |||
Custodian fees | 3,938 | |||
Line of credit fees | 96 | |||
Miscellaneous | 40,500 | |||
Total expenses | 309,168 | |||
Less: | ||||
Expenses waived by Adviser | (9,918 | ) | ||
Net expenses | 299,250 | |||
Net investment income | 132,850 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 1,596,866 | |||
Investments in affiliated issuers | (16,381 | ) | ||
Swap agreements | 3,743,614 | |||
Futures contracts | 865,945 | |||
Net realized gain | 6,190,044 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (435,361 | ) | ||
Investments in affiliated issuers | 10,927 | |||
Swap agreements | 212,356 | |||
Futures contracts | 78,419 | |||
Net change in unrealized appreciation (depreciation) | (133,659 | ) | ||
Net realized and unrealized gain | 6,056,385 | |||
Net increase in net assets resulting from operations | $ | 6,189,235 |
* | 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 | $ | 132,850 | $ | 298,103 | ||||
Net realized gain (loss) on investments | 6,190,044 | (2,443,077 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (133,659 | ) | (1,266,035 | ) | ||||
Net increase (decrease) in net assets resulting from operations | 6,189,235 | (3,411,009 | ) | |||||
Distributions to shareholders | — | (2,952,794 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 73,770,411 | 272,253,605 | ||||||
Distributions reinvested | — | 2,952,794 | ||||||
Cost of shares redeemed | (73,131,043 | ) | (288,258,460 | ) | ||||
Net increase (decrease) from capital share transactions | 639,368 | (13,052,061 | ) | |||||
Net increase (decrease) in net assets | 6,828,603 | (19,415,864 | ) | |||||
Net assets: | ||||||||
Beginning of period | 32,309,143 | 51,725,007 | ||||||
End of period | $ | 39,137,746 | $ | 32,309,143 | ||||
Capital share activity: | ||||||||
Shares sold | 662,579 | 2,415,472 | ||||||
Shares issued from reinvestment of distributions | — | 26,030 | ||||||
Shares redeemed | (677,104 | ) | (2,557,565 | ) | ||||
Net decrease in shares | (14,525 | ) | (116,063 | ) |
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 | $ | 94.55 | $ | 113.00 | $ | 89.58 | $ | 77.42 | $ | 77.97 | $ | 65.81 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .42 | .83 | .22 | .06 | (.12 | ) | (.02 | ) | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 24.65 | (11.15 | ) | 27.62 | 12.10 | (.43 | ) | 12.25 | ||||||||||||||||
Total from investment operations | 25.07 | (10.32 | ) | 27.84 | 12.16 | (.55 | ) | 12.23 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.21 | ) | (.05 | ) | — | — | (.07 | ) | |||||||||||||||
Net realized gains | — | (7.92 | ) | (4.37 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (8.13 | ) | (4.42 | ) | — | — | (.07 | ) | |||||||||||||||
Net asset value, end of period | $ | 119.62 | $ | 94.55 | $ | 113.00 | $ | 89.58 | $ | 77.42 | $ | 77.97 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 26.52% | (10.32 | %) | 31.78% | 15.72% | (0.72 | %) | 18.59% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 39,138 | $ | 32,309 | $ | 51,725 | $ | 38,768 | $ | 30,483 | $ | 38,983 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.75 | % | 0.73 | % | 0.22 | % | 0.04 | % | (0.15 | %) | (0.03 | %) | ||||||||||||
Total expensesd | 1.75 | % | 1.62 | % | 1.61 | % | 1.56 | % | 1.51 | % | 1.59 | % | ||||||||||||
Net expensese | 1.70 | % | 1.61 | % | 1.61 | % | 1.56 | % | 1.51 | % | 1.59 | % | ||||||||||||
Portfolio turnover rate | 148 | % | 604 | % | 412 | % | 636 | % | 342 | % | 694 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Share split — Per share amounts for the periods 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| 19 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 29.6% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 27.9% |
Total | 57.5% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse S&P 500® Strategy Fund | (14.96%) | (8.99%) | (10.61%) | (15.14%) |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
INVERSE S&P 500® STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 57.5% | ||||||||
Guggenheim Strategy Fund II1 | 28,384 | $ | 704,479 | |||||
Guggenheim Ultra Short Duration Fund - Institutional Class1 | 66,780 | 665,131 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,366,086) | 1,369,610 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 8.4% | ||||||||
Farmer Mac | ||||||||
2.48% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 09/01/202 | $ | 100,000 | 100,000 | |||||
1.55% due 07/03/19 | 100,000 | 99,996 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $199,994) | 199,996 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 4.2% | ||||||||
Federal Home Loan Bank | ||||||||
2.22% due 07/02/193 | 100,000 | 99,994 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,994) | 99,994 | |||||||
U.S. TREASURY BILLS†† - 2.7% | ||||||||
U.S. Treasury Bills | ||||||||
2.12% due 08/01/193 | 50,000 | 49,913 | ||||||
2.11% due 07/16/193,4 | 13,000 | 12,989 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $62,892) | 62,902 | |||||||
REPURCHASE AGREEMENTS††,5 - 27.3% | ||||||||
JPMorgan Chase & Co. | 433,676 | 433,676 | ||||||
Bank of America Merrill Lynch | 107,733 | 107,733 | ||||||
Barclays Capital | 107,732 | 107,732 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $649,141) | 649,141 | |||||||
Total Investments - 100.1% | ||||||||
(Cost $2,378,107) | $ | 2,381,643 | ||||||
Other Assets & Liabilities, net - (0.1)% | (1,366 | ) | ||||||
Total Net Assets - 100.0% | $ | 2,380,277 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Equity Futures Contracts Sold Short† | |||||||||||||
S&P 500 Index Mini Futures Contracts | 2 | Sep 2019 | $ | 294,325 | $ | (4,858 | ) |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements Sold Short†† | |||||||||||||||||||
BNP Paribas | S&P 500 Index | (2.35 | %) | At Maturity | 07/29/19 | 108 | $ | 318,871 | $ | (3,033 | ) | ||||||||
Barclays Bank plc | S&P 500 Index | (2.67 | %) | At Maturity | 07/31/19 | 203 | 597,720 | (5,685 | ) | ||||||||||
Goldman Sachs International | S&P 500 Index | (2.72 | %) | At Maturity | 07/29/19 | 409 | 1,201,840 | (11,431 | ) | ||||||||||
$ | 2,118,431 | $ | (20,149 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 21 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
INVERSE S&P 500® STRATEGY FUND |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 1,369,610 | $ | — | $ | — | $ | 1,369,610 | ||||||||
Federal Agency Notes | — | 199,996 | — | 199,996 | ||||||||||||
Federal Agency Discount Notes | — | 99,994 | — | 99,994 | ||||||||||||
U.S. Treasury Bills | — | 62,902 | — | 62,902 | ||||||||||||
Repurchase Agreements | — | 649,141 | — | 649,141 | ||||||||||||
Total Assets | $ | 1,369,610 | $ | 1,012,033 | $ | — | $ | 2,381,643 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts** | $ | 4,858 | $ | — | $ | — | $ | 4,858 | ||||||||
Equity Index Swap Agreements** | — | 20,149 | — | 20,149 | ||||||||||||
Total Liabilities | $ | 4,858 | $ | 20,149 | $ | — | $ | 25,007 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
22| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
INVERSE S&P 500® STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,299,238 | $ | 265,739 | $ | (860,000 | ) | $ | (2,735 | ) | $ | 2,237 | $ | 704,479 | 28,384 | $ | 15,887 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 1,185,822 | 428,663 | (950,000 | ) | (1,809 | ) | 2,455 | 665,131 | 66,780 | 13,788 | ||||||||||||||||||||||
$ | 2,485,060 | $ | 694,402 | $ | (1,810,000 | ) | $ | (4,544 | ) | $ | 4,692 | $ | 1,369,610 | $ | 29,675 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 23 |
INVERSE S&P 500® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | |||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $362,880) | $ | 362,892 | ||
Investments in affiliated issuers, at value (cost $1,366,086) | 1,369,610 | |||
Repurchase agreements, at value (cost $649,141) | 649,141 | |||
Segregated cash with broker | 275 | |||
Receivables: | ||||
Fund shares sold | 107,801 | |||
Dividends | 4,541 | |||
Interest | 1,115 | |||
Swap settlement | 33 | |||
Total assets | 2,495,408 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 20,149 | |||
Payable for: | ||||
Fund shares redeemed | 78,697 | |||
Securities purchased | 4,540 | |||
Management fees | 1,758 | |||
Variation margin on futures contracts | 1,235 | |||
Transfer agent and administrative fees | 540 | |||
Investor service fees | 540 | |||
Portfolio accounting fees | 216 | |||
Trustees’ fees* | 77 | |||
Miscellaneous | 7,379 | |||
Total liabilities | 115,131 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 2,380,277 | ||
Net assets consist of: | ||||
Paid in capital | $ | 16,911,189 | ||
Total distributable earnings (loss) | (14,530,912 | ) | ||
Net assets | $ | 2,380,277 | ||
Capital shares outstanding | 38,684 | |||
Net asset value per share | $ | 61.53 |
STATEMENT OF OPERATIONS (Unaudited) | |||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 29,675 | ||
Interest | 25,167 | |||
Total investment income | 54,842 | |||
Expenses: | ||||
Management fees | 18,636 | |||
Investor service fees | 5,177 | |||
Transfer agent and administrative fees | 5,177 | |||
Professional fees | 3,172 | |||
Portfolio accounting fees | 2,071 | |||
Trustees’ fees* | 556 | |||
Custodian fees | 414 | |||
Miscellaneous | 4,328 | |||
Total expenses | 39,531 | |||
Less: | ||||
Expenses waived by Adviser | (1,317 | ) | ||
Net expenses | 38,214 | |||
Net investment income | 16,628 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 7 | |||
Investments in affiliated issuers | (4,544 | ) | ||
Swap agreements | (659,711 | ) | ||
Futures contracts | (28,259 | ) | ||
Net realized loss | (692,507 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 59 | |||
Investments in affiliated issuers | 4,692 | |||
Swap agreements | 23,746 | |||
Futures contracts | (4,104 | ) | ||
Net change in unrealized appreciation (depreciation) | 24,393 | |||
Net realized and unrealized loss | (668,114 | ) | ||
Net decrease in net assets resulting from operations | $ | (651,486 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
24| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 16,628 | $ | 20,030 | ||||
Net realized gain (loss) on investments | (692,507 | ) | 155,669 | |||||
Net change in unrealized appreciation (depreciation) on investments | 24,393 | (68,480 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (651,486 | ) | 107,219 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 44,443,944 | 78,535,789 | ||||||
Cost of shares redeemed | (45,825,243 | ) | (76,802,880 | ) | ||||
Net increase (decrease) from capital share transactions | (1,381,299 | ) | 1,732,909 | |||||
Net increase (decrease) in net assets | (2,032,785 | ) | 1,840,128 | |||||
Net assets: | ||||||||
Beginning of period | 4,413,062 | 2,572,934 | ||||||
End of period | $ | 2,380,277 | $ | 4,413,062 | ||||
Capital share activity: | ||||||||
Shares sold | 675,708 | 1,168,828 | ||||||
Shares redeemed | (698,016 | ) | (1,144,802 | ) | ||||
Net increase (decrease) in shares | (22,308 | ) | 24,026 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 25 |
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 | $ | 72.35 | $ | 69.60 | $ | 84.21 | $ | 95.71 | $ | 100.13 | $ | 117.09 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .26 | .41 | (.11 | ) | (.11 | ) | (1.32 | ) | (1.62 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (11.08 | ) | 2.34 | (14.50 | ) | (11.39 | ) | (3.10 | ) | (15.34 | ) | |||||||||||||
Total from investment operations | (10.82 | ) | 2.75 | (14.61 | ) | (11.50 | ) | (4.42 | ) | (16.96 | ) | |||||||||||||
Net asset value, end of period | $ | 61.53 | $ | 72.35 | $ | 69.60 | $ | 84.21 | $ | 95.71 | $ | 100.13 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (14.96 | %) | 3.95% | (17.35 | %) | (12.01 | %) | (4.43 | %) | (14.45 | %) | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,380 | $ | 4,413 | $ | 2,573 | $ | 4,584 | $ | 9,497 | $ | 4,456 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.80 | % | 0.61 | % | (0.15 | %) | (0.69 | %) | (1.38 | %) | (1.46 | %) | ||||||||||||
Total expensesd | 1.91 | % | 1.77 | % | 1.76 | % | 1.71 | % | 1.66 | % | 1.72 | % | ||||||||||||
Net expensese | 1.85 | % | 1.76 | % | 1.76 | % | 1.71 | % | 1.66 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | 32 | % | 540 | % | 100 | % | 311 | % | 137 | % | 398 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | 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. |
26| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 | 29.6% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 28.5% |
Microsoft Corp. | 3.8% |
Amazon.com, Inc. | 3.4% |
Apple, Inc. | 3.3% |
Facebook, Inc. — Class A | 1.7% |
Alphabet, Inc. — Class C | 1.4% |
Alphabet, Inc. — Class A | 1.2% |
Cisco Systems, Inc. | 1.0% |
Intel Corp. | 0.9% |
Top Ten Total | 74.8% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
NASDAQ-100® Fund | 20.79% | 8.00% | 14.39% | 17.47% |
NASDAQ-100 Index | 21.85% | 10.16% | 16.14% | 19.24% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
NASDAQ-100® FUND |
|
| Value | ||||||
COMMON STOCKS† - 33.6% | ||||||||
Technology - 13.5% | ||||||||
Microsoft Corp. | 21,090 | $ | 2,825,217 | |||||
Apple, Inc. | 12,662 | 2,506,063 | ||||||
Intel Corp. | 13,674 | 654,574 | ||||||
Adobe, Inc.* | 1,491 | 439,323 | ||||||
Broadcom, Inc. | 1,209 | 348,023 | ||||||
Texas Instruments, Inc. | 2,865 | 328,787 | ||||||
NVIDIA Corp. | 1,860 | 305,468 | ||||||
QUALCOMM, Inc. | 3,714 | 282,524 | ||||||
Intuit, Inc. | 792 | 206,973 | ||||||
Micron Technology, Inc.* | 3,380 | 130,434 | ||||||
Applied Materials, Inc. | 2,859 | 128,398 | ||||||
Analog Devices, Inc. | 1,129 | 127,430 | ||||||
Activision Blizzard, Inc. | 2,340 | 110,448 | ||||||
Cognizant Technology Solutions Corp. — Class A | 1,739 | 110,235 | ||||||
Autodesk, Inc.* | 672 | 109,469 | ||||||
Fiserv, Inc.* | 1,199 | 109,301 | ||||||
Workday, Inc. — Class A* | 495 | 101,762 | ||||||
Advanced Micro Devices, Inc.* | 3,304 | 100,343 | ||||||
NXP Semiconductor N.V. | 1,004 | 98,000 | ||||||
Electronic Arts, Inc.* | 908 | 91,944 | ||||||
Xilinx, Inc. | 775 | 91,388 | ||||||
Paychex, Inc. | 1,098 | 90,355 | ||||||
Lam Research Corp. | 458 | 86,031 | ||||||
Cerner Corp. | 994 | 72,860 | ||||||
Microchip Technology, Inc.1 | 727 | 63,031 | ||||||
Cadence Design Systems, Inc.* | 858 | 60,755 | ||||||
Synopsys, Inc.* | 458 | 58,940 | ||||||
KLA-Tencor Corp. | 494 | 58,391 | ||||||
NetEase, Inc. ADR | 223 | 57,037 | ||||||
Check Point Software Technologies Ltd.* | 465 | 53,759 | ||||||
Maxim Integrated Products, Inc. | 832 | 49,770 | ||||||
ASML Holding N.V. — Class G | 224 | 46,576 | ||||||
NetApp, Inc. | 754 | 46,522 | ||||||
Western Digital Corp. | 895 | 42,557 | ||||||
Skyworks Solutions, Inc. | 527 | 40,721 | ||||||
Citrix Systems, Inc. | 402 | 39,452 | ||||||
Take-Two Interactive Software, Inc.* | 344 | 39,054 | ||||||
Total Technology | 10,111,915 | |||||||
Communications - 12.2% | ||||||||
Amazon.com, Inc.* | 1,355 | 2,565,869 | ||||||
Facebook, Inc. — Class A* | 6,674 | 1,288,082 | ||||||
Alphabet, Inc. — Class C* | 966 | 1,044,159 | ||||||
Alphabet, Inc. — Class A* | 847 | 917,132 | ||||||
Cisco Systems, Inc. | 13,075 | 715,595 | ||||||
Comcast Corp. — Class A | 13,834 | 584,901 | ||||||
Netflix, Inc.* | 1,335 | 490,372 | ||||||
Charter Communications, Inc. — Class A* | 682 | 269,513 | ||||||
Booking Holdings, Inc.* | 132 | 247,462 | ||||||
T-Mobile US, Inc.* | 2,610 | 193,505 | ||||||
eBay, Inc. | 2,662 | 105,149 | ||||||
Baidu, Inc. ADR* | 851 | 99,873 | ||||||
MercadoLibre, Inc.* | 151 | 92,377 | ||||||
JD.com, Inc. ADR* | 2,826 | 85,600 | ||||||
Sirius XM Holdings, Inc.1 | 14,072 | 78,522 | ||||||
VeriSign, Inc.* | 364 | 76,134 | ||||||
Expedia Group, Inc. | 415 | 55,207 | ||||||
Ctrip.com International Ltd. ADR* | 1,487 | 54,885 | ||||||
Liberty Global plc — Class C* | 1,591 | 42,209 | ||||||
Symantec Corp. | 1,888 | 41,083 | ||||||
Fox Corp. — Class A | 1,054 | 38,619 | ||||||
Fox Corp. — Class B | 802 | 29,297 | ||||||
Liberty Global plc — Class A* | 627 | 16,923 | ||||||
Total Communications | 9,132,468 | |||||||
Consumer, Non-cyclical - 5.0% | ||||||||
PepsiCo, Inc. | 4,282 | 561,499 | ||||||
PayPal Holdings, Inc.* | 3,588 | 410,682 | ||||||
Amgen, Inc. | 1,863 | 343,314 | ||||||
Gilead Sciences, Inc. | 3,884 | 262,403 | ||||||
Mondelez International, Inc. — Class A | 4,399 | 237,106 | ||||||
Automatic Data Processing, Inc. | 1,329 | 219,724 | ||||||
Celgene Corp.* | 2,155 | 199,208 | ||||||
Intuitive Surgical, Inc.* | 353 | 185,166 | ||||||
Illumina, Inc.* | 450 | 165,667 | ||||||
Vertex Pharmaceuticals, Inc.* | 782 | 143,403 | ||||||
Biogen, Inc.* | 593 | 138,685 | ||||||
Kraft Heinz Co. | 3,725 | 115,624 | ||||||
Monster Beverage Corp.* | 1,660 | 105,958 | ||||||
Regeneron Pharmaceuticals, Inc.* | 329 | 102,977 | ||||||
Alexion Pharmaceuticals, Inc.* | 685 | 89,721 | ||||||
Cintas Corp. | 320 | 75,933 | ||||||
Verisk Analytics, Inc. — Class A | 500 | 73,230 | ||||||
IDEXX Laboratories, Inc.* | 263 | 72,412 | ||||||
Align Technology, Inc.* | 244 | 66,783 | ||||||
Incyte Corp.* | 655 | 55,649 | ||||||
BioMarin Pharmaceutical, Inc.* | 547 | 46,851 | ||||||
Henry Schein, Inc.* | 455 | 31,804 | ||||||
Mylan N.V.* | 1,574 | 29,969 | ||||||
Total Consumer, Non-cyclical | 3,733,768 | |||||||
Consumer, Cyclical - 2.4% | ||||||||
Costco Wholesale Corp. | 1,344 | 355,165 | ||||||
Starbucks Corp. | 3,699 | 310,087 | ||||||
Walgreens Boots Alliance, Inc. | 2,792 | 152,639 | ||||||
Marriott International, Inc. — Class A | 1,017 | 142,675 | ||||||
Tesla, Inc.*,1 | 542 | 121,115 | ||||||
Ross Stores, Inc. | 1,122 | 111,213 | ||||||
O’Reilly Automotive, Inc.* | 239 | 88,267 | ||||||
Dollar Tree, Inc.* | 726 | 77,965 | ||||||
PACCAR, Inc. | 1,058 | 75,816 | ||||||
United Continental Holdings, Inc.* | 805 | 70,478 | ||||||
Lululemon Athletica, Inc.* | 375 | 67,579 | ||||||
Ulta Beauty, Inc.* | 179 | 62,093 | ||||||
Fastenal Co. | 1,749 | 57,000 | ||||||
American Airlines Group, Inc. | 1,359 | 44,317 | ||||||
Wynn Resorts Ltd. | 329 | 40,793 | ||||||
Hasbro, Inc. | 385 | 40,687 | ||||||
Total Consumer, Cyclical | 1,817,889 | |||||||
28| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
NASDAQ-100® FUND |
|
| Value | ||||||
Industrial - 0.3% | ||||||||
CSX Corp. | 2,472 | $ | 191,259 | |||||
J.B. Hunt Transport Services, Inc. | 332 | 30,348 | ||||||
Total Industrial | 221,607 | |||||||
Utilities - 0.1% | ||||||||
Xcel Energy, Inc. | 1,572 | 93,518 | ||||||
Financial - 0.1% | ||||||||
Willis Towers Watson plc | 395 | 75,658 | ||||||
Total Common Stocks | ||||||||
(Cost $9,378,013) | 25,186,823 | |||||||
MUTUAL FUNDS† - 58.1% | ||||||||
Guggenheim Strategy Fund II2 | 895,609 | 22,229,016 | ||||||
Guggenheim Ultra Short Duration Fund - Institutional Class2 | 2,147,933 | 21,393,414 | ||||||
Total Mutual Funds | ||||||||
(Cost $43,775,706) | 43,622,430 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 1.9% | ||||||||
U.S. Treasury Bills | ||||||||
2.11% due 07/16/193,4 | $ | 857,000 | 856,268 | |||||
2.12% due 08/01/194,5 | 575,000 | 574,005 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,430,109) | 1,430,273 | |||||||
REPURCHASE AGREEMENTS††,6 - 7.4% | ||||||||
JPMorgan Chase & Co. | 3,725,574 | 3,725,574 | ||||||
Bank of America Merrill Lynch | 925,497 | 925,497 | ||||||
Barclays Capital | 925,496 | 925,496 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $5,576,567) | 5,576,567 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,7 - 0.3% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%8 | 201,556 | 201,556 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $201,556) | 201,556 | |||||||
Total Investments - 101.3% | ||||||||
(Cost $60,361,951) | $ | 76,017,649 | ||||||
Other Assets & Liabilities, net - (1.3)% | (945,916 | ) | ||||||
Total Net Assets - 100.0% | $ | 75,071,733 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Equity Futures Contracts Purchased† | |||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 117 | Sep 2019 | $ | 18,003,375 | $ | 415,627 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
Goldman Sachs International | NASDAQ-100 Index | 2.92 | % | At Maturity | 07/29/19 | 3,119 | $ | 23,929,836 | $ | 137,332 | |||||||||
Barclays Bank plc | NASDAQ-100 Index | 2.87 | % | At Maturity | 07/31/19 | 827 | 6,340,333 | 36,387 | |||||||||||
BNP Paribas | NASDAQ-100 Index | 2.90 | % | At Maturity | 07/29/19 | 221 | 1,696,079 | 9,735 | |||||||||||
$ | 31,966,248 | $ | 183,454 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
NASDAQ-100® FUND |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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, 2019 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
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, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 25,186,823 | $ | — | $ | — | $ | 25,186,823 | ||||||||
Mutual Funds | 43,622,430 | — | — | 43,622,430 | ||||||||||||
U.S. Treasury Bills | — | 1,430,273 | — | 1,430,273 | ||||||||||||
Repurchase Agreements | — | 5,576,567 | — | 5,576,567 | ||||||||||||
Securities Lending Collateral | 201,556 | — | — | 201,556 | ||||||||||||
Equity Futures Contracts** | 415,627 | — | — | 415,627 | ||||||||||||
Equity Index Swap Agreements** | — | 183,454 | — | 183,454 | ||||||||||||
Total Assets | $ | 69,426,436 | $ | 7,190,294 | $ | — | $ | 76,616,730 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
30| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
NASDAQ-100® FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 20,292,487 | $ | 2,287,529 | $ | (350,000 | ) | $ | (3,023 | ) | $ | 2,023 | $ | 22,229,016 | 895,609 | $ | 290,041 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 11,972,309 | 14,330,665 | (4,900,000 | ) | (22,926 | ) | 13,366 | 21,393,414 | 2,147,933 | 211,925 | ||||||||||||||||||||||
$ | 32,264,796 | $ | 16,618,194 | $ | (5,250,000 | ) | $ | (25,949 | ) | $ | 15,389 | $ | 43,622,430 | $ | 501,966 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 31 |
NASDAQ-100® FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $196,868 of securities loaned (cost $11,009,678) | $ | 26,818,652 | ||
Investments in affiliated issuers, at value (cost $43,775,706) | 43,622,430 | |||
Repurchase agreements, at value (cost $5,576,567) | 5,576,567 | |||
Segregated cash with broker | 37,347 | |||
Unrealized appreciation on OTC swap agreements | 183,454 | |||
Receivables: | ||||
Fund shares sold | 716,937 | |||
Dividends | 107,763 | |||
Variation margin on futures contracts | 7,605 | |||
Swap settlement | 1,533 | |||
Interest | 1,162 | |||
Securities lending income | 21 | |||
Total assets | 77,073,471 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 1,478,008 | |||
Return of securities lending collateral | 201,556 | |||
Securities purchased | 99,958 | |||
Management fees | 39,097 | |||
Transfer agent and administrative fees | 14,451 | |||
Investor service fees | 14,451 | |||
Portfolio accounting fees | 5,781 | |||
Trustees’ fees* | 1,392 | |||
Miscellaneous | 147,044 | |||
Total liabilities | 2,001,738 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 75,071,733 | ||
Net assets consist of: | ||||
Paid in capital | $ | 46,932,537 | ||
Total distributable earnings (loss) | 28,139,196 | |||
Net assets | $ | 75,071,733 | ||
Capital shares outstanding | 1,700,099 | |||
Net asset value per share | $ | 44.16 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $148) | $ | 148,862 | ||
Dividends from securities of affiliated issuers | 501,966 | |||
Interest | 145,920 | |||
Income from securities lending, net | 497 | |||
Total investment income | 797,245 | |||
Expenses: | ||||
Management fees | 282,682 | |||
Investor service fees | 94,228 | |||
Transfer agent and administrative fees | 94,228 | |||
Professional fees | 55,831 | |||
Portfolio accounting fees | 37,691 | |||
Trustees’ fees* | 9,767 | |||
Custodian fees | 8,717 | |||
Line of credit fees | 82 | |||
Miscellaneous | 90,702 | |||
Total expenses | 673,928 | |||
Less: | ||||
Expenses waived by Adviser | (19,597 | ) | ||
Net expenses | 654,331 | |||
Net investment income | 142,914 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 2,478,680 | |||
Investments in affiliated issuers | (25,949 | ) | ||
Swap agreements | 6,257,165 | |||
Futures contracts | 1,257,798 | |||
Net realized gain | 9,967,694 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 1,823,419 | |||
Investments in affiliated issuers | 15,389 | |||
Swap agreements | (49,092 | ) | ||
Futures contracts | 1,097,537 | |||
Net change in unrealized appreciation (depreciation) | 2,887,253 | |||
Net realized and unrealized gain | 12,854,947 | |||
Net increase in net assets resulting from operations | $ | 12,997,861 |
* | 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. |
NASDAQ-100® FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 142,914 | $ | 93,478 | ||||
Net realized gain on investments | 9,967,694 | 8,703,206 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 2,887,253 | (9,641,684 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 12,997,861 | (845,000 | ) | |||||
Distributions to shareholders | — | (3,450,545 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 104,954,038 | 288,921,222 | ||||||
Distributions reinvested | — | 3,450,545 | ||||||
Cost of shares redeemed | (103,495,892 | ) | (304,322,331 | ) | ||||
Net increase (decrease) from capital share transactions | 1,458,146 | (11,950,564 | ) | |||||
Net increase (decrease) in net assets | 14,456,007 | (16,246,109 | ) | |||||
Net assets: | ||||||||
Beginning of period | 60,615,726 | 76,861,835 | ||||||
End of period | $ | 75,071,733 | $ | 60,615,726 | ||||
Capital share activity: | ||||||||
Shares sold | 2,505,393 | 7,067,129 | ||||||
Shares issued from reinvestment of distributions | — | 80,451 | ||||||
Shares redeemed | (2,463,359 | ) | (7,475,603 | ) | ||||
Net increase (decrease) in shares | 42,034 | (328,023 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 33 |
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 | $ | 36.56 | $ | 38.70 | $ | 31.89 | $ | 34.16 | $ | 33.70 | $ | 30.37 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .08 | .04 | (.11 | ) | (.11 | ) | (.16 | ) | (.11 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 7.52 | (.49 | ) | 9.73 | 1.92 | 2.90 | 5.40 | |||||||||||||||||
Total from investment operations | 7.60 | (.45 | ) | 9.62 | 1.81 | 2.74 | 5.29 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (1.69 | ) | (2.81 | ) | (4.08 | ) | (2.28 | ) | (1.96 | ) | |||||||||||||
Total distributions | — | (1.69 | ) | (2.81 | ) | (4.08 | ) | (2.28 | ) | (1.96 | ) | |||||||||||||
Net asset value, end of period | $ | 44.16 | $ | 36.56 | $ | 38.70 | $ | 31.89 | $ | 34.16 | $ | 33.70 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 20.79% | (1.81 | %) | 31.12% | 5.98% | 8.24% | 17.45% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 75,072 | $ | 60,616 | $ | 76,862 | $ | 61,516 | $ | 98,543 | $ | 82,082 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.38 | % | 0.11 | % | (0.30 | %) | (0.34 | %) | (0.47 | %) | (0.33 | %) | ||||||||||||
Total expensesd | 1.79 | % | 1.66 | % | 1.64 | % | 1.60 | % | 1.54 | % | 1.60 | % | ||||||||||||
Net expensese | 1.74 | % | 1.66 | % | 1.64 | % | 1.60 | % | 1.54 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 31 | % | 80 | % | 101 | % | 284 | % | 241 | % | 225 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
34| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 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 | 25.9% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 22.0% |
Total | 47.9% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse NASDAQ-100® Strategy Fund | (17.77%) | (10.50%) | (15.79%) | (18.98%) |
NASDAQ-100 Index | 21.85% | 10.16% | 16.14% | 19.24% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
INVERSE NASDAQ-100® STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 47.9% | ||||||||
Guggenheim Strategy Fund II1 | 16,254 | $ | 403,435 | |||||
Guggenheim Ultra Short Duration Fund - Institutional Class1 | 34,459 | 343,213 | ||||||
Total Mutual Funds | ||||||||
(Cost $745,506) | 746,648 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 6.4% | ||||||||
Federal Home Loan Bank | ||||||||
2.22% due 07/02/192 | $ | 100,000 | 99,994 | |||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,994) | 99,994 | |||||||
FEDERAL AGENCY NOTES†† - 3.2% | ||||||||
Farmer Mac | ||||||||
2.48% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 09/01/203 | 50,000 | 50,000 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $50,000) | 50,000 | |||||||
REPURCHASE AGREEMENTS††,4 - 48.2% | ||||||||
JPMorgan Chase & Co. | 501,392 | 501,392 | ||||||
Bank of America Merrill Lynch | 124,554 | 124,554 | ||||||
Barclays Capital | 124,555 | 124,555 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $750,501) | 750,501 | |||||||
Total Investments - 105.7% | ||||||||
(Cost $1,646,001) | $ | 1,647,143 | ||||||
Other Assets & Liabilities, net - (5.7)% | (88,508 | ) | ||||||
Total Net Assets - 100.0% | $ | 1,558,635 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements Sold Short†† | |||||||||||||||||||
Barclays Bank plc | NASDAQ-100 Index | (2.72 | %) | At Maturity | 07/31/19 | 17 | $ | 127,141 | $ | (730 | ) | ||||||||
BNP Paribas | NASDAQ-100 Index | (2.40 | %) | At Maturity | 07/29/19 | 62 | 476,594 | (2,733 | ) | ||||||||||
Goldman Sachs International | NASDAQ-100 Index | (2.62 | %) | At Maturity | 07/29/19 | 123 | 945,035 | (5,424 | ) | ||||||||||
$ | 1,548,770 | $ | (8,887 | ) |
† | 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 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
See Sector Classification in Other Information section. |
36| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
INVERSE NASDAQ-100® STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 746,648 | $ | — | $ | — | $ | 746,648 | ||||||||
Federal Agency Discount Notes | — | 99,994 | — | 99,994 | ||||||||||||
Federal Agency Notes | — | 50,000 | — | 50,000 | ||||||||||||
Repurchase Agreements | — | 750,501 | — | 750,501 | ||||||||||||
Total Assets | $ | 746,648 | $ | 900,495 | $ | — | $ | 1,647,143 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Index Swap Agreements** | $ | — | $ | 8,887 | $ | — | $ | 8,887 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,919,490 | $ | 1,209,515 | $ | (2,725,000 | ) | $ | (2,423 | ) | $ | 1,853 | $ | 403,435 | 16,254 | $ | 9,789 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 1,924,597 | 1,208,378 | (2,790,000 | ) | (1,191 | ) | 1,429 | 343,213 | 34,459 | 8,619 | ||||||||||||||||||||||
$ | 3,844,087 | $ | 2,417,893 | $ | (5,515,000 | ) | $ | (3,614 | ) | $ | 3,282 | $ | 746,648 | $ | 18,408 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 37 |
INVERSE NASDAQ-100® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $149,994) | $ | 149,994 | ||
Investments in affiliated issuers, at value (cost $745,506) | 746,648 | |||
Repurchase agreements, at value (cost $750,501) | 750,501 | |||
Receivables: | ||||
Dividends | 2,546 | |||
Interest | 263 | |||
Fund shares sold | 11 | |||
Total assets | 1,649,963 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 8,887 | |||
Payable for: | ||||
Fund shares redeemed | 73,399 | |||
Securities purchased | 2,472 | |||
Management fees | 1,128 | |||
Swap settlement | 437 | |||
Transfer agent and administrative fees | 342 | |||
Investor service fees | 342 | |||
Portfolio accounting fees | 137 | |||
Trustees’ fees* | 42 | |||
Miscellaneous | 4,142 | |||
Total liabilities | 91,328 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 1,558,635 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,315,033 | ||
Total distributable earnings (loss) | (6,756,398 | ) | ||
Net assets | $ | 1,558,635 | ||
Capital shares outstanding | 32,880 | |||
Net asset value per share | $ | 47.40 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 18,408 | ||
Interest | 10,356 | |||
Total investment income | 28,764 | |||
Expenses: | ||||
Management fees | 9,632 | |||
Investor service fees | 2,676 | |||
Transfer agent and administrative fees | 2,676 | |||
Professional fees | 2,730 | |||
Printing fees | 1,115 | |||
Portfolio accounting fees | 1,070 | |||
Trustees’ fees* | 344 | |||
Custodian fees | 238 | |||
Line of credit fees | 1 | |||
Miscellaneous | 255 | |||
Total expenses | 20,737 | |||
Less: | ||||
Expenses waived by Adviser | (857 | ) | ||
Net expenses | 19,880 | |||
Net investment income | 8,884 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (3,614 | ) | ||
Swap agreements | (701,736 | ) | ||
Futures contracts | (46,302 | ) | ||
Net realized loss | (751,652 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 9 | |||
Investments in affiliated issuers | 3,282 | |||
Swap agreements | 67,536 | |||
Futures contracts | (3,438 | ) | ||
Net change in unrealized appreciation (depreciation) | 67,389 | |||
Net realized and unrealized loss | (684,263 | ) | ||
Net decrease in net assets resulting from operations | $ | (675,379 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
38| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 8,884 | $ | 7,340 | ||||
Net realized gain (loss) on investments | (751,652 | ) | 182,528 | |||||
Net change in unrealized appreciation (depreciation) on investments | 67,389 | (83,179 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (675,379 | ) | 106,689 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 11,925,851 | 37,155,764 | ||||||
Cost of shares redeemed | (17,507,080 | ) | (30,219,208 | ) | ||||
Net increase (decrease) from capital share transactions | (5,581,229 | ) | 6,936,556 | |||||
Net increase (decrease) in net assets | (6,256,608 | ) | 7,043,245 | |||||
Net assets: | ||||||||
Beginning of period | 7,815,243 | 771,998 | ||||||
End of period | $ | 1,558,635 | $ | 7,815,243 | ||||
Capital share activity: | ||||||||
Shares sold | 233,602 | 687,240 | ||||||
Shares redeemed | (336,309 | ) | (564,676 | ) | ||||
Net increase (decrease) in shares | (102,707 | ) | 122,564 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 39 |
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 | $ | 57.64 | $ | 59.28 | $ | 78.68 | $ | 86.94 | $ | 99.74 | $ | 122.62 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .21 | .32 | (.11 | ) | (.18 | ) | (1.36 | ) | (1.68 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (10.45 | ) | (1.96 | )g | (19.29 | ) | (8.08 | ) | (11.44 | ) | (21.20 | ) | ||||||||||||
Total from investment operations | (10.24 | ) | (1.64 | ) | (19.40 | ) | (8.26 | ) | (12.80 | ) | (22.88 | ) | ||||||||||||
Net asset value, end of period | $ | 47.40 | $ | 57.64 | $ | 59.28 | $ | 78.68 | $ | 86.94 | $ | 99.74 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (17.77 | %) | (2.77 | %) | (24.66 | %) | (9.48 | %) | (12.87 | %) | (18.63 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,559 | $ | 7,815 | $ | 772 | $ | 2,652 | $ | 1,527 | $ | 1,634 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.83 | % | 0.58 | % | (0.17 | %) | (0.78 | %) | (1.47 | %) | (1.47 | %) | ||||||||||||
Total expensesd | 1.94 | % | 1.83 | % | 1.79 | % | 1.74 | % | 1.70 | % | 1.77 | % | ||||||||||||
Net expensese | 1.86 | % | 1.83 | % | 1.79 | % | 1.74 | % | 1.70 | % | 1.77 | % | ||||||||||||
Portfolio turnover rate | 168 | % | 136 | % | 119 | % | 382 | % | 406 | % | 302 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the years presented through December 31, 2016, have been restated to reflect a 1:4 reverse share split effective December 1, 2016. |
g | The amount shown for a share outstanding throughout the period does not accord with the aggregate net gains on investments for the year because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
40| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 |
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 32.7% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 24.0% |
Microsoft Corp. | 0.1% |
Total | 56.8% |
“ Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® 2x Strategy Fund | 36.17% | 13.33% | 16.70% | 25.08% |
S&P 500 Index | 18.54% | 10.42% | 10.71% | 14.70% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
S&P 500® 2x STRATEGY FUND |
|
| Value | ||||||
COMMON STOCKS† - 1.3% | ||||||||
Consumer, Non-cyclical - 0.3% | ||||||||
Johnson & Johnson | 57 | $ | 7,939 | |||||
Procter & Gamble Co. | 54 | 5,921 | ||||||
Pfizer, Inc. | 120 | 5,198 | ||||||
UnitedHealth Group, Inc. | 21 | 5,124 | ||||||
Merck & Company, Inc. | 56 | 4,696 | ||||||
Coca-Cola Co. | 83 | 4,226 | ||||||
PepsiCo, Inc. | 30 | 3,934 | ||||||
Abbott Laboratories | 38 | 3,196 | ||||||
PayPal Holdings, Inc.* | 25 | 2,861 | ||||||
Medtronic plc | 29 | 2,824 | ||||||
Philip Morris International, Inc. | 34 | 2,670 | ||||||
Thermo Fisher Scientific, Inc. | 9 | 2,643 | ||||||
Amgen, Inc. | 13 | 2,396 | ||||||
AbbVie, Inc. | 32 | 2,327 | ||||||
Eli Lilly & Co. | 19 | 2,105 | ||||||
Intuitive Surgical, Inc.* | 4 | 2,098 | ||||||
Danaher Corp. | 14 | 2,001 | ||||||
Altria Group, Inc. | 41 | 1,941 | ||||||
Gilead Sciences, Inc. | 28 | 1,892 | ||||||
Anthem, Inc. | 6 | 1,693 | ||||||
Mondelez International, Inc. — Class A | 31 | 1,671 | ||||||
Bristol-Myers Squibb Co. | 35 | 1,587 | ||||||
CVS Health Corp. | 28 | 1,526 | ||||||
Becton Dickinson and Co. | 6 | 1,512 | ||||||
Automatic Data Processing, Inc. | 9 | 1,488 | ||||||
Stryker Corp. | 7 | 1,439 | ||||||
Celgene Corp.* | 15 | 1,387 | ||||||
Colgate-Palmolive Co. | 19 | 1,362 | ||||||
Boston Scientific Corp.* | 30 | 1,289 | ||||||
Cigna Corp. | 8 | 1,260 | ||||||
Allergan plc | 7 | 1,172 | ||||||
Biogen, Inc.* | 5 | 1,169 | ||||||
S&P Global, Inc. | 5 | 1,139 | ||||||
Zoetis, Inc. | 10 | 1,135 | ||||||
Illumina, Inc.* | 3 | 1,104 | ||||||
Vertex Pharmaceuticals, Inc.* | 6 | 1,100 | ||||||
HCA Healthcare, Inc. | 7 | 946 | ||||||
Kimberly-Clark Corp. | 7 | 933 | ||||||
Edwards Lifesciences Corp.* | 5 | 924 | ||||||
Estee Lauder Companies, Inc. — Class A | 5 | 915 | ||||||
Baxter International, Inc. | 11 | 901 | ||||||
Humana, Inc. | 3 | 796 | ||||||
Constellation Brands, Inc. — Class A | 4 | 788 | ||||||
Moody’s Corp. | 4 | 781 | ||||||
Sysco Corp. | 10 | 707 | ||||||
General Mills, Inc. | 13 | 683 | ||||||
McKesson Corp. | 5 | 672 | ||||||
Teleflex, Inc. | 2 | 662 | ||||||
Alexion Pharmaceuticals, Inc.* | 5 | 655 | ||||||
Global Payments, Inc. | 4 | 640 | ||||||
Regeneron Pharmaceuticals, Inc.* | 2 | 626 | ||||||
Verisk Analytics, Inc. — Class A | 4 | 586 | ||||||
Monster Beverage Corp.* | 9 | 574 | ||||||
FleetCor Technologies, Inc.* | 2 | 562 | ||||||
IDEXX Laboratories, Inc.* | 2 | 551 | ||||||
Align Technology, Inc.* | 2 | 547 | ||||||
Hershey Co. | 4 | 536 | ||||||
Total System Services, Inc. | 4 | 513 | ||||||
IHS Markit Ltd.* | 8 | 510 | ||||||
Archer-Daniels-Midland Co. | 12 | 490 | ||||||
Tyson Foods, Inc. — Class A | 6 | 484 | ||||||
IQVIA Holdings, Inc.* | 3 | 483 | ||||||
Cintas Corp. | 2 | 475 | ||||||
Corteva, Inc.* | 16 | 473 | ||||||
Centene Corp.* | 9 | 472 | ||||||
Zimmer Biomet Holdings, Inc. | 4 | 471 | ||||||
McCormick & Company, Inc. | 3 | 465 | ||||||
Clorox Co. | 3 | 459 | ||||||
Incyte Corp.* | 5 | 425 | ||||||
Equifax, Inc. | 3 | 406 | ||||||
Kraft Heinz Co. | 13 | 404 | ||||||
Kroger Co. | 17 | 369 | ||||||
ResMed, Inc. | 3 | 366 | ||||||
Church & Dwight Company, Inc. | 5 | 365 | ||||||
Laboratory Corporation of America Holdings* | 2 | 346 | ||||||
JM Smucker Co. | 3 | 346 | ||||||
AmerisourceBergen Corp. — Class A | 4 | 341 | ||||||
Cooper Companies, Inc. | 1 | 337 | ||||||
Gartner, Inc.* | 2 | 322 | ||||||
MarketAxess Holdings, Inc. | 1 | 321 | ||||||
Kellogg Co. | 6 | 321 | ||||||
Quest Diagnostics, Inc. | 3 | 305 | ||||||
Dentsply Sirona, Inc. | 5 | 292 | ||||||
Conagra Brands, Inc. | 11 | 292 | ||||||
Hologic, Inc.* | 6 | 288 | ||||||
WellCare Health Plans, Inc.* | 1 | 285 | ||||||
Cardinal Health, Inc. | 6 | 283 | ||||||
Varian Medical Systems, Inc.* | 2 | 272 | ||||||
United Rentals, Inc.* | 2 | 265 | ||||||
Universal Health Services, Inc. — Class B | 2 | 261 | ||||||
ABIOMED, Inc.* | 1 | 261 | ||||||
Hormel Foods Corp. | 6 | 243 | ||||||
Avery Dennison Corp. | 2 | 232 | ||||||
Molson Coors Brewing Co. — Class B | 4 | 224 | ||||||
Brown-Forman Corp. — Class B | 4 | 222 | ||||||
Henry Schein, Inc.* | 3 | 210 | ||||||
Mylan N.V.* | 11 | 210 | ||||||
Lamb Weston Holdings, Inc. | 3 | 190 | ||||||
Nielsen Holdings plc | 8 | 181 | ||||||
Robert Half International, Inc. | 3 | 171 | ||||||
DaVita, Inc.* | 3 | 169 | ||||||
Campbell Soup Co. | 4 | 160 | ||||||
Perrigo Company plc | 3 | 143 | ||||||
Nektar Therapeutics* | 4 | 142 | ||||||
H&R Block, Inc. | 4 | 117 | ||||||
Quanta Services, Inc. | 3 | 115 | ||||||
Rollins, Inc. | 3 | 108 | ||||||
Coty, Inc. — Class A | 7 | 94 | ||||||
Total Consumer, Non-cyclical | 119,709 | |||||||
42| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
S&P 500® 2x STRATEGY FUND |
|
| Value | ||||||
Financial - 0.2% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 42 | $ | 8,953 | |||||
JPMorgan Chase & Co. | 70 | 7,826 | ||||||
Visa, Inc. — Class A | 38 | 6,595 | ||||||
Bank of America Corp. | 200 | 5,800 | ||||||
Mastercard, Inc. — Class A | 19 | 5,026 | ||||||
Wells Fargo & Co. | 88 | 4,164 | ||||||
Citigroup, Inc. | 52 | 3,641 | ||||||
American Tower Corp. — Class A REIT | 10 | 2,044 | ||||||
American Express Co. | 15 | 1,852 | ||||||
U.S. Bancorp | 32 | 1,677 | ||||||
CME Group, Inc. — Class A | 8 | 1,553 | ||||||
Chubb Ltd. | 10 | 1,473 | ||||||
Goldman Sachs Group, Inc. | 7 | 1,432 | ||||||
BlackRock, Inc. — Class A | 3 | 1,408 | ||||||
PNC Financial Services Group, Inc. | 10 | 1,373 | ||||||
Morgan Stanley | 28 | 1,227 | ||||||
Crown Castle International Corp. REIT | 9 | 1,173 | ||||||
Prologis, Inc. REIT | 14 | 1,121 | ||||||
Simon Property Group, Inc. REIT | 7 | 1,118 | ||||||
Marsh & McLennan Companies, Inc. | 11 | 1,097 | ||||||
Travelers Companies, Inc. | 7 | 1,047 | ||||||
Charles Schwab Corp. | 26 | 1,045 | ||||||
MetLife, Inc. | 21 | 1,043 | ||||||
Progressive Corp. | 13 | 1,039 | ||||||
Intercontinental Exchange, Inc. | 12 | 1,031 | ||||||
American International Group, Inc. | 19 | 1,012 | ||||||
Prudential Financial, Inc. | 10 | 1,010 | ||||||
Equinix, Inc. REIT | 2 | 1,009 | ||||||
Aon plc | 5 | 965 | ||||||
Aflac, Inc. | 17 | 932 | ||||||
Capital One Financial Corp. | 10 | 907 | ||||||
Bank of New York Mellon Corp. | 19 | 839 | ||||||
BB&T Corp. | 17 | 835 | ||||||
Welltower, Inc. REIT | 9 | 734 | ||||||
Public Storage REIT | 3 | 715 | ||||||
Allstate Corp. | 7 | 712 | ||||||
SunTrust Banks, Inc. | 10 | 628 | ||||||
AvalonBay Communities, Inc. REIT | 3 | 610 | ||||||
Equity Residential REIT | 8 | 607 | ||||||
Digital Realty Trust, Inc. REIT | 5 | 589 | ||||||
Essex Property Trust, Inc. REIT | 2 | 584 | ||||||
Willis Towers Watson plc | 3 | 575 | ||||||
Synchrony Financial | 16 | 555 | ||||||
T. Rowe Price Group, Inc. | 5 | 549 | ||||||
Ventas, Inc. REIT | 8 | 547 | ||||||
Discover Financial Services | 7 | 543 | ||||||
Fifth Third Bancorp | 19 | 530 | ||||||
Boston Properties, Inc. REIT | 4 | 516 | ||||||
M&T Bank Corp. | 3 | 510 | ||||||
State Street Corp. | 9 | 504 | ||||||
Hartford Financial Services Group, Inc. | 9 | 501 | ||||||
Realty Income Corp. REIT | 7 | 483 | ||||||
Northern Trust Corp. | 5 | 450 | ||||||
SBA Communications Corp. REIT* | 2 | 450 | ||||||
Ameriprise Financial, Inc. | 3 | 435 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 3 | 423 | ||||||
Weyerhaeuser Co. REIT | 16 | 421 | ||||||
First Republic Bank | 4 | 391 | ||||||
KeyCorp | 22 | 390 | ||||||
CBRE Group, Inc. — Class A* | 7 | 359 | ||||||
Citizens Financial Group, Inc. | 10 | 354 | ||||||
Mid-America Apartment Communities, Inc. REIT | 3 | 353 | ||||||
Arthur J Gallagher & Co. | 4 | 350 | ||||||
Principal Financial Group, Inc. | 6 | 348 | ||||||
Regions Financial Corp. | 22 | 329 | ||||||
Loews Corp. | 6 | 328 | ||||||
HCP, Inc. REIT | 10 | 320 | ||||||
Extra Space Storage, Inc. REIT | 3 | 318 | ||||||
Huntington Bancshares, Inc. | 23 | 318 | ||||||
Cincinnati Financial Corp. | 3 | 311 | ||||||
Cboe Global Markets, Inc. | 3 | 311 | ||||||
Host Hotels & Resorts, Inc. REIT | 16 | 292 | ||||||
Nasdaq, Inc. | 3 | 288 | ||||||
UDR, Inc. REIT | 6 | 269 | ||||||
Regency Centers Corp. REIT | 4 | 267 | ||||||
Lincoln National Corp. | 4 | 258 | ||||||
Federal Realty Investment Trust REIT | 2 | 258 | ||||||
Vornado Realty Trust REIT | 4 | 256 | ||||||
Raymond James Financial, Inc. | 3 | 254 | ||||||
Duke Realty Corp. REIT | 8 | 253 | ||||||
Everest Re Group Ltd. | 1 | 247 | ||||||
Franklin Resources, Inc. | 7 | 244 | ||||||
SVB Financial Group* | 1 | 225 | ||||||
E*TRADE Financial Corp. | 5 | 223 | ||||||
Comerica, Inc. | 3 | 218 | ||||||
Western Union Co. | 10 | 199 | ||||||
Iron Mountain, Inc. REIT | 6 | 188 | ||||||
Invesco Ltd. | 9 | 184 | ||||||
Zions Bancorp North America | 4 | 184 | ||||||
Torchmark Corp. | 2 | 179 | ||||||
Unum Group | 5 | 168 | ||||||
Kimco Realty Corp. REIT | 9 | 166 | ||||||
SL Green Realty Corp. REIT | 2 | 161 | ||||||
People’s United Financial, Inc. | 9 | 151 | ||||||
Apartment Investment & Management Co. — Class A REIT | 3 | 150 | ||||||
Alliance Data Systems Corp. | 1 | 140 | ||||||
Jefferies Financial Group, Inc. | 7 | 135 | ||||||
Assurant, Inc. | 1 | 106 | ||||||
Affiliated Managers Group, Inc. | 1 | 92 | ||||||
Macerich Co. REIT | 2 | 67 | ||||||
Total Financial | 97,040 | |||||||
Technology - 0.2% | ||||||||
Microsoft Corp. | 166 | 22,237 | ||||||
Apple, Inc. | 98 | 19,396 | ||||||
Intel Corp. | 97 | 4,643 | ||||||
Oracle Corp. | 63 | 3,589 | ||||||
Adobe, Inc.* | 11 | 3,241 | ||||||
International Business Machines Corp. | 19 | 2,620 | ||||||
Broadcom, Inc. | 9 | 2,591 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 43 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
S&P 500® 2x STRATEGY FUND |
|
| Value | ||||||
Accenture plc — Class A | 14 | $ | 2,587 | |||||
salesforce.com, Inc.* | 17 | 2,579 | ||||||
Texas Instruments, Inc. | 20 | 2,295 | ||||||
NVIDIA Corp. | 13 | 2,135 | ||||||
QUALCOMM, Inc. | 26 | 1,978 | ||||||
Intuit, Inc. | 6 | 1,568 | ||||||
Applied Materials, Inc. | 22 | 988 | ||||||
Micron Technology, Inc.* | 25 | 965 | ||||||
Lam Research Corp. | 5 | 939 | ||||||
Analog Devices, Inc. | 8 | 903 | ||||||
Fidelity National Information Services, Inc. | 7 | 859 | ||||||
Fiserv, Inc.* | 9 | 820 | ||||||
Autodesk, Inc.* | 5 | 815 | ||||||
Activision Blizzard, Inc. | 17 | 802 | ||||||
Cognizant Technology Solutions Corp. — Class A | 12 | 761 | ||||||
Red Hat, Inc.* | 4 | 751 | ||||||
HP, Inc. | 35 | 728 | ||||||
Electronic Arts, Inc.* | 7 | 709 | ||||||
Xilinx, Inc. | 5 | 589 | ||||||
Advanced Micro Devices, Inc.* | 19 | 577 | ||||||
Paychex, Inc. | 7 | 576 | ||||||
Cerner Corp. | 7 | 513 | ||||||
MSCI, Inc. — Class A | 2 | 478 | ||||||
KLA-Tencor Corp. | 4 | 473 | ||||||
Hewlett Packard Enterprise Co. | 31 | 463 | ||||||
IPG Photonics Corp.* | 3 | 463 | ||||||
Microchip Technology, Inc.1 | 5 | 433 | ||||||
Cadence Design Systems, Inc.* | 6 | 425 | ||||||
ANSYS, Inc.* | 2 | 410 | ||||||
Synopsys, Inc.* | 3 | 386 | ||||||
Broadridge Financial Solutions, Inc. | 3 | 383 | ||||||
NetApp, Inc. | 6 | 370 | ||||||
Maxim Integrated Products, Inc. | 6 | 359 | ||||||
Take-Two Interactive Software, Inc.* | 3 | 341 | ||||||
DXC Technology Co. | 6 | 331 | ||||||
Akamai Technologies, Inc.* | 4 | 321 | ||||||
Skyworks Solutions, Inc. | 4 | 309 | ||||||
Citrix Systems, Inc. | 3 | 294 | ||||||
Western Digital Corp. | 6 | 285 | ||||||
Seagate Technology plc | 6 | 283 | ||||||
Jack Henry & Associates, Inc. | 2 | 268 | ||||||
Fortinet, Inc.* | 3 | 230 | ||||||
Qorvo, Inc.* | 3 | 200 | ||||||
Xerox Corp. | 4 | 142 | ||||||
Total Technology | 91,401 | |||||||
Communications - 0.2% | ||||||||
Amazon.com, Inc.* | 9 | 17,043 | ||||||
Facebook, Inc. — Class A* | 52 | 10,036 | ||||||
Alphabet, Inc. — Class C* | 7 | 7,566 | ||||||
Alphabet, Inc. — Class A* | 6 | 6,497 | ||||||
Cisco Systems, Inc. | 97 | 5,309 | ||||||
Walt Disney Co. | 38 | 5,306 | ||||||
AT&T, Inc. | 158 | 5,294 | ||||||
Verizon Communications, Inc. | 90 | 5,142 | ||||||
Comcast Corp. — Class A | 98 | 4,143 | ||||||
Booking Holdings, Inc.* | 2 | 3,749 | ||||||
Netflix, Inc.* | 10 | 3,673 | ||||||
Charter Communications, Inc. — Class A* | 4 | 1,581 | ||||||
eBay, Inc. | 21 | 830 | ||||||
Motorola Solutions, Inc. | 4 | 667 | ||||||
VeriSign, Inc.* | 3 | 627 | ||||||
Corning, Inc. | 17 | 565 | ||||||
Twitter, Inc.* | 16 | 558 | ||||||
Omnicom Group, Inc. | 5 | 410 | ||||||
CBS Corp. — Class B | 8 | 399 | ||||||
Expedia Group, Inc. | 3 | 399 | ||||||
Fox Corp. — Class A | 9 | 330 | ||||||
Symantec Corp. | 14 | 305 | ||||||
Arista Networks, Inc.* | 1 | 260 | ||||||
CenturyLink, Inc. | 21 | 247 | ||||||
Viacom, Inc. — Class B | 8 | 239 | ||||||
Discovery, Inc. — Class C* | 8 | 228 | ||||||
Juniper Networks, Inc. | 8 | 213 | ||||||
DISH Network Corp. — Class A* | 5 | 192 | ||||||
Interpublic Group of Companies, Inc. | 8 | 180 | ||||||
Fox Corp. — Class B | 4 | 146 | ||||||
F5 Networks, Inc.* | 1 | 146 | ||||||
Discovery, Inc. — Class A* | 4 | 123 | ||||||
News Corp. — Class A | 8 | 108 | ||||||
TripAdvisor, Inc.* | 2 | 93 | ||||||
News Corp. — Class B | 3 | 42 | ||||||
Total Communications | 82,646 | |||||||
Industrial - 0.1% | ||||||||
Boeing Co. | 11 | 4,004 | ||||||
Union Pacific Corp. | 17 | 2,875 | ||||||
Honeywell International, Inc. | 16 | 2,793 | ||||||
United Technologies Corp. | 18 | 2,344 | ||||||
3M Co. | 13 | 2,253 | ||||||
General Electric Co. | 189 | 1,984 | ||||||
Lockheed Martin Corp. | 5 | 1,818 | ||||||
Caterpillar, Inc. | 13 | 1,772 | ||||||
United Parcel Service, Inc. — Class B | 15 | 1,549 | ||||||
CSX Corp. | 17 | 1,315 | ||||||
Northrop Grumman Corp. | 4 | 1,293 | ||||||
Raytheon Co. | 7 | 1,217 | ||||||
Norfolk Southern Corp. | 6 | 1,196 | ||||||
Deere & Co. | 7 | 1,160 | ||||||
Johnson Controls International plc | 28 | 1,157 | ||||||
Roper Technologies, Inc. | 3 | 1,099 | ||||||
General Dynamics Corp. | 6 | 1,091 | ||||||
Illinois Tool Works, Inc. | 7 | 1,056 | ||||||
Waste Management, Inc. | 8 | 923 | ||||||
Emerson Electric Co. | 13 | 868 | ||||||
Mettler-Toledo International, Inc.* | 1 | 840 | ||||||
FedEx Corp. | 5 | 821 | ||||||
Eaton Corporation plc | 9 | 750 | ||||||
TE Connectivity Ltd. | 7 | 671 | ||||||
Ingersoll-Rand plc | 5 | 633 | ||||||
Amphenol Corp. — Class A | 6 | 576 | ||||||
Harris Corp. | 3 | 567 | ||||||
Agilent Technologies, Inc. | 7 | 523 |
44| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
S&P 500® 2x STRATEGY FUND |
|
| Value | ||||||
Republic Services, Inc. — Class A | 6 | $ | 520 | |||||
Cummins, Inc. | 3 | 514 | ||||||
Parker-Hannifin Corp. | 3 | 510 | ||||||
Rockwell Automation, Inc. | 3 | 491 | ||||||
L3 Technologies, Inc. | 2 | 490 | ||||||
Ball Corp. | 7 | 490 | ||||||
Fortive Corp. | 6 | 489 | ||||||
TransDigm Group, Inc.* | 1 | 484 | ||||||
AMETEK, Inc. | 5 | 454 | ||||||
Stanley Black & Decker, Inc. | 3 | 434 | ||||||
Waters Corp.* | 2 | 431 | ||||||
Vulcan Materials Co. | 3 | 412 | ||||||
Amcor plc* | 35 | 402 | ||||||
Keysight Technologies, Inc.* | 4 | 359 | ||||||
Xylem, Inc. | 4 | 334 | ||||||
Expeditors International of Washington, Inc. | 4 | 303 | ||||||
Dover Corp. | 3 | 301 | ||||||
Wabtec Corp. | 4 | 287 | ||||||
Textron, Inc. | 5 | 265 | ||||||
Jacobs Engineering Group, Inc. | 3 | 253 | ||||||
CH Robinson Worldwide, Inc. | 3 | 253 | ||||||
Kansas City Southern | 2 | 244 | ||||||
Garmin Ltd. | 3 | 239 | ||||||
Masco Corp. | 6 | 235 | ||||||
Arconic, Inc. | 9 | 232 | ||||||
Martin Marietta Materials, Inc. | 1 | 230 | ||||||
Fortune Brands Home & Security, Inc. | 4 | 229 | ||||||
Huntington Ingalls Industries, Inc. | 1 | 225 | ||||||
Allegion plc | 2 | 221 | ||||||
Westrock Co. | 6 | 219 | ||||||
PerkinElmer, Inc. | 2 | 193 | ||||||
Packaging Corporation of America | 2 | 191 | ||||||
AO Smith Corp. | 4 | 189 | ||||||
J.B. Hunt Transport Services, Inc. | 2 | 183 | ||||||
Sealed Air Corp. | 4 | 171 | ||||||
Snap-on, Inc. | 1 | 165 | ||||||
FLIR Systems, Inc. | 3 | 162 | ||||||
Flowserve Corp. | 3 | 158 | ||||||
Pentair plc | 3 | 111 | ||||||
Total Industrial | 51,221 | |||||||
Consumer, Cyclical - 0.1% | ||||||||
Home Depot, Inc. | 25 | 5,199 | ||||||
McDonald’s Corp. | 17 | 3,530 | ||||||
Walmart, Inc. | 31 | 3,425 | ||||||
Costco Wholesale Corp. | 10 | 2,643 | ||||||
Starbucks Corp. | 29 | 2,431 | ||||||
NIKE, Inc. — Class B | 27 | 2,267 | ||||||
Lowe’s Companies, Inc. | 19 | 1,917 | ||||||
TJX Companies, Inc. | 27 | 1,428 | ||||||
General Motors Co. | 29 | 1,117 | ||||||
O’Reilly Automotive, Inc.* | 3 | 1,108 | ||||||
AutoZone, Inc.* | 1 | 1,099 | ||||||
Target Corp. | 12 | 1,039 | ||||||
Walgreens Boots Alliance, Inc. | 18 | 984 | ||||||
Marriott International, Inc. — Class A | 7 | 982 | ||||||
Ford Motor Co. | 85 | 870 | ||||||
Dollar General Corp. | 6 | 811 | ||||||
Delta Air Lines, Inc. | 14 | 794 | ||||||
Ross Stores, Inc. | 8 | 793 | ||||||
Yum! Brands, Inc. | 7 | 775 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 1 | 733 | ||||||
Hilton Worldwide Holdings, Inc. | 7 | 684 | ||||||
VF Corp. | 7 | 611 | ||||||
PACCAR, Inc. | 8 | 573 | ||||||
Southwest Airlines Co. | 11 | 559 | ||||||
Dollar Tree, Inc.* | 5 | 537 | ||||||
WW Grainger, Inc. | 2 | 536 | ||||||
Darden Restaurants, Inc. | 4 | 487 | ||||||
Aptiv plc | 6 | 485 | ||||||
Royal Caribbean Cruises Ltd. | 4 | 485 | ||||||
United Continental Holdings, Inc.* | 5 | 438 | ||||||
Fastenal Co. | 13 | 424 | ||||||
Carnival Corp. | 9 | 419 | ||||||
Best Buy Company, Inc. | 5 | 349 | ||||||
CarMax, Inc.* | 4 | 347 | ||||||
Ulta Beauty, Inc.* | 1 | 347 | ||||||
Tractor Supply Co. | 3 | 326 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 6 | 322 | ||||||
Hasbro, Inc. | 3 | 317 | ||||||
MGM Resorts International | 11 | 315 | ||||||
Genuine Parts Co. | 3 | 311 | ||||||
Advance Auto Parts, Inc. | 2 | 308 | ||||||
DR Horton, Inc. | 7 | 302 | ||||||
Copart, Inc.* | 4 | 299 | ||||||
American Airlines Group, Inc. | 9 | 293 | ||||||
Lennar Corp. — Class A | 6 | 291 | ||||||
Wynn Resorts Ltd. | 2 | 248 | ||||||
Alaska Air Group, Inc. | 3 | 192 | ||||||
Tapestry, Inc. | 6 | 190 | ||||||
Kohl’s Corp. | 4 | 190 | ||||||
PulteGroup, Inc. | 6 | 189 | ||||||
PVH Corp. | 2 | 189 | ||||||
Tiffany & Co. | 2 | 187 | ||||||
LKQ Corp.* | 7 | 186 | ||||||
BorgWarner, Inc. | 4 | 168 | ||||||
L Brands, Inc. | 6 | 157 | ||||||
Hanesbrands, Inc. | 9 | 155 | ||||||
Macy’s, Inc. | 7 | 150 | ||||||
Mohawk Industries, Inc.* | 1 | 148 | ||||||
Whirlpool Corp. | 1 | 143 | ||||||
Capri Holdings Ltd.* | 4 | 139 | ||||||
Foot Locker, Inc. | 3 | 126 | ||||||
Newell Brands, Inc. | 8 | 123 | ||||||
Leggett & Platt, Inc. | 3 | 115 | ||||||
Ralph Lauren Corp. — Class A | 1 | 114 | ||||||
Harley-Davidson, Inc. | 3 | 107 | ||||||
Under Armour, Inc. — Class A* | 4 | 101 | ||||||
Nordstrom, Inc. | 3 | 96 | ||||||
Gap, Inc. | 5 | 90 | ||||||
Under Armour, Inc. — Class C* | 4 | 89 | ||||||
Total Consumer, Cyclical | 47,902 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 45 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
S&P 500® 2x STRATEGY FUND |
|
| Value | ||||||
Energy - 0.1% | ||||||||
Exxon Mobil Corp. | 92 | $ | 7,050 | |||||
Chevron Corp. | 41 | 5,102 | ||||||
ConocoPhillips | 24 | 1,464 | ||||||
EOG Resources, Inc. | 13 | 1,211 | ||||||
Schlumberger Ltd. | 30 | 1,192 | ||||||
Kinder Morgan, Inc. | 42 | 877 | ||||||
Phillips 66 | 9 | 842 | ||||||
Marathon Petroleum Corp. | 15 | 838 | ||||||
Occidental Petroleum Corp. | 16 | 804 | ||||||
Anadarko Petroleum Corp. | 11 | 776 | ||||||
Valero Energy Corp. | 9 | 771 | ||||||
Pioneer Natural Resources Co. | 5 | 769 | ||||||
Williams Companies, Inc. | 26 | 729 | ||||||
ONEOK, Inc. | 9 | 619 | ||||||
Diamondback Energy, Inc. | 4 | 436 | ||||||
Halliburton Co. | 19 | 432 | ||||||
Concho Resources, Inc. | 4 | 413 | ||||||
Hess Corp. | 6 | 381 | ||||||
Baker Hughes a GE Co. | 12 | 296 | ||||||
Apache Corp. | 9 | 261 | ||||||
Devon Energy Corp. | 9 | 257 | ||||||
Marathon Oil Corp. | 18 | 256 | ||||||
Noble Energy, Inc. | 11 | 246 | ||||||
TechnipFMC plc | 9 | 233 | ||||||
Cabot Oil & Gas Corp. — Class A | 9 | 207 | ||||||
National Oilwell Varco, Inc. | 9 | 200 | ||||||
HollyFrontier Corp. | 3 | 139 | ||||||
Cimarex Energy Co. | 2 | 119 | ||||||
Helmerich & Payne, Inc. | 2 | 101 | ||||||
Total Energy | 27,021 | |||||||
Utilities - 0.1% | ||||||||
NextEra Energy, Inc. | 10 | 2,049 | ||||||
Duke Energy Corp. | 16 | 1,412 | ||||||
Dominion Energy, Inc. | 17 | 1,314 | ||||||
Southern Co. | 23 | 1,271 | ||||||
Exelon Corp. | 21 | 1,007 | ||||||
American Electric Power Company, Inc. | 11 | 968 | ||||||
Sempra Energy | 6 | 825 | ||||||
Xcel Energy, Inc. | 11 | 654 | ||||||
Public Service Enterprise Group, Inc. | 11 | 647 | ||||||
Consolidated Edison, Inc. | 7 | 614 | ||||||
WEC Energy Group, Inc. | 7 | 584 | ||||||
Edison International | 8 | 539 | ||||||
Eversource Energy | 7 | 530 | ||||||
DTE Energy Co. | 4 | 511 | ||||||
PPL Corp. | 16 | 496 | ||||||
FirstEnergy Corp. | 11 | 471 | ||||||
American Water Works Company, Inc. | 4 | 464 | ||||||
Entergy Corp. | 4 | 412 | ||||||
Ameren Corp. | 5 | 376 | ||||||
Evergy, Inc. | 6 | 361 | ||||||
CMS Energy Corp. | 6 | 347 | ||||||
Atmos Energy Corp. | 3 | 317 | ||||||
CenterPoint Energy, Inc. | 11 | 315 | ||||||
NRG Energy, Inc. | 7 | 246 | ||||||
Alliant Energy Corp. | 5 | 245 | ||||||
AES Corp. | 14 | 235 | ||||||
NiSource, Inc. | 8 | 230 | ||||||
Pinnacle West Capital Corp. | 2 | 188 | ||||||
Total Utilities | 17,628 | |||||||
Basic Materials - 0.0% | ||||||||
Linde plc | 13 | 2,610 | ||||||
DuPont de Nemours, Inc. | 16 | 1,201 | ||||||
Air Products & Chemicals, Inc. | 5 | 1,132 | ||||||
Ecolab, Inc. | 5 | 987 | ||||||
Sherwin-Williams Co. | 2 | 917 | ||||||
Dow, Inc. | 16 | 789 | ||||||
Newmont Goldcorp Corp. | 18 | 692 | ||||||
LyondellBasell Industries N.V. — Class A | 7 | 603 | ||||||
PPG Industries, Inc. | 5 | 584 | ||||||
International Paper Co. | 9 | 390 | ||||||
Nucor Corp. | 7 | 386 | ||||||
Freeport-McMoRan, Inc. | 31 | 360 | ||||||
Celanese Corp. — Class A | 3 | 323 | ||||||
International Flavors & Fragrances, Inc.1 | 2 | 290 | ||||||
FMC Corp. | 3 | 249 | ||||||
CF Industries Holdings, Inc. | 5 | 234 | ||||||
Eastman Chemical Co. | 3 | 233 | ||||||
Mosaic Co. | 8 | 200 | ||||||
Albemarle Corp. | 2 | 141 | ||||||
Total Basic Materials | 12,321 | |||||||
Total Common Stocks | ||||||||
(Cost $422,094) | 546,889 | |||||||
MUTUAL FUNDS† - 56.7% | ||||||||
Guggenheim Strategy Fund II2 | 558,153 | 13,853,355 | ||||||
Guggenheim Ultra Short Duration Fund - Institutional Class2 | 1,021,366 | 10,172,801 | ||||||
Total Mutual Funds | ||||||||
(Cost $24,063,758) | 24,026,156 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 10.1% | ||||||||
Federal Home Loan Bank | ||||||||
2.22% due 07/10/193 | $ | 2,300,000 | 2,298,724 | |||||
2.21% due 07/05/193 | 1,000,000 | 999,754 | ||||||
Federal Farm Credit Bank | ||||||||
2.10% due 07/01/193 | 1,000,000 | 1,000,000 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $4,298,478) | 4,298,478 | |||||||
U.S. TREASURY BILLS†† - 4.3% | ||||||||
U.S. Treasury Bills | ||||||||
2.12% due 08/01/193,4 | 1,750,000 | 1,746,971 | ||||||
2.10% due 08/01/193,4 | 50,000 | 49,913 | ||||||
2.11% due 07/16/193,5 | 20,000 | 19,983 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,816,516) | 1,816,867 |
46| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
S&P 500® 2x STRATEGY FUND |
| Face | Value | ||||||
FEDERAL AGENCY NOTES†† - 4.2% | ||||||||
Fannie Mae | ||||||||
1.13% due 07/26/19 | $ | 1,799,000 | $ | 1,797,468 | ||||
Total Federal Agency Notes | ||||||||
(Cost $1,797,634) | 1,797,468 | |||||||
REPURCHASE AGREEMENTS††,6 - 21.1% | ||||||||
JPMorgan Chase & Co. | 5,984,469 | 5,984,469 | ||||||
Bank of America Merrill Lynch | 1,486,645 | 1,486,645 | ||||||
Barclays Capital | 1,486,644 | 1,486,644 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $8,957,758) | 8,957,758 | |||||||
|
| |||||||
SECURITIES LENDING COLLATERAL†,7 - 0.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%8 | 414 | $ | 414 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $414) | 414 | |||||||
Total Investments - 97.7% | ||||||||
(Cost $41,356,652) | $ | 41,444,030 | ||||||
Other Assets & Liabilities, net - 2.3% | 958,506 | |||||||
Total Net Assets - 100.0% | $ | 42,402,536 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Equity Futures Contracts Purchased† | |||||||||||||
S&P 500 Index Mini Futures Contracts | 2 | Sep 2019 | $ | 294,325 | $ | (139 | ) |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
Goldman Sachs International | S&P 500 Index | 2.82 | % | At Maturity | 07/29/19 | 19,241 | $ | 56,601,002 | $ | 525,001 | |||||||||
Barclays Bank plc | S&P 500 Index | 2.82 | % | At Maturity | 07/31/19 | 5,024 | 14,779,092 | 140,569 | |||||||||||
BNP Paribas | S&P 500 Index | 2.85 | % | At Maturity | 07/29/19 | 4,124 | 12,132,476 | 115,394 | |||||||||||
$ | 83,512,570 | $ | 780,964 |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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, 2019 — See Note 7. |
2 | Affiliated issuer. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
5 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
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, 2019. |
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| 47 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
S&P 500® 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 546,889 | $ | — | $ | — | $ | 546,889 | ||||||||
Mutual Funds | 24,026,156 | — | — | 24,026,156 | ||||||||||||
Federal Agency Discount Notes | — | 4,298,478 | — | 4,298,478 | ||||||||||||
U.S. Treasury Bills | — | 1,816,867 | — | 1,816,867 | ||||||||||||
Federal Agency Notes | — | 1,797,468 | — | 1,797,468 | ||||||||||||
Repurchase Agreements | — | 8,957,758 | — | 8,957,758 | ||||||||||||
Securities Lending Collateral | 414 | — | — | 414 | ||||||||||||
Equity Index Swap Agreements** | — | 780,964 | — | 780,964 | ||||||||||||
Total Assets | $ | 24,573,459 | $ | 17,651,535 | $ | — | $ | 42,224,994 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts** | $ | 139 | $ | — | $ | — | $ | 139 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 10,456,955 | $ | 5,398,069 | $ | (2,000,000 | ) | $ | (14,511 | ) | $ | 12,842 | $ | 13,853,355 | 558,153 | $ | 149,238 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 7,299,146 | 9,374,821 | (6,500,000 | ) | (21,851 | ) | 20,685 | 10,172,801 | 1,021,366 | 125,591 | ||||||||||||||||||||||
$ | 17,756,101 | $ | 14,772,890 | $ | (8,500,000 | ) | $ | (36,362 | ) | $ | 33,527 | $ | 24,026,156 | $ | 274,829 |
48| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value - including $405 of securities loaned (cost $8,335,136) | $ | 8,460,116 | ||
Investments in affiliated issuers, at value (cost $24,063,758) | 24,026,156 | |||
Repurchase agreements, at value (cost $8,957,758) | 8,957,758 | |||
Unrealized appreciation on OTC swap agreements | 780,964 | |||
Receivables: | ||||
Fund shares sold | 284,181 | |||
Dividends | 59,675 | |||
Interest | 10,595 | |||
Total assets | 42,579,445 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 55,933 | |||
Professional fees | 27,055 | |||
Management fees | 25,281 | |||
Printing fees | 17,306 | |||
Fund shares redeemed | 8,543 | |||
Transfer agent and administrative fees | 7,620 | |||
Investor service fees | 7,620 | |||
Portfolio accounting fees | 3,048 | |||
Swap settlement | 902 | |||
Trustees’ fees* | 688 | |||
Return of securities lending collateral | 414 | |||
Variation margin on futures contracts | 139 | |||
Miscellaneous | 22,360 | |||
Total liabilities | 176,909 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 42,402,536 | ||
Net assets consist of: | ||||
Paid in capital | $ | 39,427,564 | ||
Total distributable earnings (loss) | 2,974,972 | |||
Net assets | $ | 42,402,536 | ||
Capital shares outstanding | 161,573 | |||
Net asset value per share | $ | 262.44 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 85,217 | ||
Dividends from securities of affiliated issuers | 274,829 | |||
Interest | 100,489 | |||
Income from securities lending, net | 171 | |||
Total investment income | 460,706 | |||
Expenses: | ||||
Management fees | 167,340 | |||
Investor service fees | 46,484 | |||
Transfer agent and administrative fees | 46,484 | |||
Professional fees | 27,016 | |||
Portfolio accounting fees | 18,593 | |||
Trustees’ fees* | 4,897 | |||
Custodian fees | 4,301 | |||
Line of credit fees | 9 | |||
Miscellaneous | 38,610 | |||
Total expenses | 353,734 | |||
Less: | ||||
Expenses waived by Adviser | (11,755 | ) | ||
Net expenses | 341,979 | |||
Net investment income | 118,727 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 682,673 | |||
Investments in affiliated issuers | (36,362 | ) | ||
Swap agreements | 8,534,495 | |||
Futures contracts | 1,057,183 | |||
Net realized gain | 10,237,989 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 69,824 | |||
Investments in affiliated issuers | 33,527 | |||
Swap agreements | 150,606 | |||
Futures contracts | (2,181 | ) | ||
Net change in unrealized appreciation (depreciation) | 251,776 | |||
Net realized and unrealized gain | 10,489,765 | |||
Net increase in net assets resulting from operations | $ | 10,608,492 |
* | 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 |
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 | $ | 118,727 | $ | 263,512 | ||||
Net realized gain (loss) on investments | 10,237,989 | (7,612,368 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 251,776 | (1,016,227 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 10,608,492 | (8,365,083 | ) | |||||
Distributions to shareholders | — | (3,409,316 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 91,759,525 | 399,584,471 | ||||||
Distributions reinvested | — | 3,409,316 | ||||||
Cost of shares redeemed | (91,142,846 | ) | (396,554,714 | ) | ||||
Net increase from capital share transactions | 616,679 | 6,439,073 | ||||||
Net increase (decrease) in net assets | 11,225,171 | (5,335,326 | ) | |||||
Net assets: | ||||||||
Beginning of period | 31,177,365 | 36,512,691 | ||||||
End of period | $ | 42,402,536 | $ | 31,177,365 | ||||
Capital share activity: | ||||||||
Shares sold | 380,247 | 1,618,168 | ||||||
Shares issued from reinvestment of distributions | — | 13,736 | ||||||
Shares redeemed | (380,437 | ) | (1,619,549 | ) | ||||
Net increase (decrease) in shares | (190 | ) | 12,355 |
50| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 192.73 | $ | 244.38 | $ | 176.52 | $ | 165.22 | $ | 227.28 | $ | 235.85 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .76 | 1.48 | .13 | (.53 | ) | (1.11 | ) | (.86 | ) | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 68.95 | (35.10 | ) | 75.18 | 32.62 | 1.42 | 57.67 | |||||||||||||||||
Total from investment operations | 69.71 | (33.62 | ) | 75.31 | 32.09 | .31 | 56.81 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.14 | ) | — | — | — | — | |||||||||||||||||
Net realized gains | — | (17.89 | ) | (7.45 | ) | (20.79 | ) | (62.37 | ) | (65.38 | ) | |||||||||||||
Total distributions | — | (18.03 | ) | (7.45 | ) | (20.79 | ) | (62.37 | ) | (65.38 | ) | |||||||||||||
Net asset value, end of period | $ | 262.44 | $ | 192.73 | $ | 244.38 | $ | 176.52 | $ | 165.22 | $ | 227.28 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 36.17% | (15.41 | %) | 43.49% | 20.40% | (1.66 | %) | 24.66% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 42,403 | $ | 31,177 | $ | 36,513 | $ | 24,895 | $ | 21,167 | $ | 38,795 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.64 | % | 0.60 | % | 0.06 | % | (0.32 | %) | (0.55 | %) | (0.35 | %) | ||||||||||||
Total expensesd | 1.90 | % | 1.77 | % | 1.76 | % | 1.71 | % | 1.66 | % | 1.74 | % | ||||||||||||
Net expensese | 1.84 | % | 1.77 | % | 1.76 | % | 1.71 | % | 1.66 | % | 1.74 | % | ||||||||||||
Portfolio turnover rate | 180 | % | 424 | % | 282 | % | 578 | % | 558 | % | 475 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 51 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 II | 27.0% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 26.2% |
Microsoft Corp. | 2.0% |
Amazon.com, Inc. | 1.8% |
Apple, Inc. | 1.8% |
Facebook, Inc. — Class A | 0.9% |
Alphabet, Inc. — Class C | 0.7% |
Alphabet, Inc. — Class A | 0.7% |
Cisco Systems, Inc. | 0.5% |
Intel Corp. | 0.5% |
Top Ten Total | 62.1% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
NASDAQ-100® 2x Strategy Fund | 42.68% | 10.30% | 26.99% | 34.39% |
NASDAQ-100 Index | 21.85% | 10.16% | 16.14% | 19.24% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
NASDAQ-100® 2x STRATEGY FUND |
|
| Value | ||||||
COMMON STOCKS† - 18.1% | ||||||||
Technology - 7.3% | ||||||||
Microsoft Corp. | 15,269 | $ | 2,045,435 | |||||
Apple, Inc. | 9,168 | 1,814,531 | ||||||
Intel Corp. | 9,900 | 473,913 | ||||||
Adobe, Inc.* | 1,079 | 317,927 | ||||||
Broadcom, Inc. | 875 | 251,877 | ||||||
Texas Instruments, Inc. | 2,075 | 238,127 | ||||||
NVIDIA Corp. | 1,347 | 221,218 | ||||||
QUALCOMM, Inc. | 2,688 | 204,476 | ||||||
Intuit, Inc. | 573 | 149,742 | ||||||
Micron Technology, Inc.* | 2,447 | 94,430 | ||||||
Applied Materials, Inc. | 2,070 | 92,964 | ||||||
Analog Devices, Inc. | 818 | 92,328 | ||||||
Activision Blizzard, Inc. | 1,694 | 79,957 | ||||||
Cognizant Technology Solutions Corp. — Class A | 1,259 | 79,808 | ||||||
Autodesk, Inc.* | 487 | 79,332 | ||||||
Fiserv, Inc.* | 868 | 79,127 | ||||||
Workday, Inc. — Class A* | 358 | 73,598 | ||||||
Advanced Micro Devices, Inc.* | 2,392 | 72,645 | ||||||
NXP Semiconductor N.V. | 727 | 70,962 | ||||||
Electronic Arts, Inc.* | 657 | 66,528 | ||||||
Xilinx, Inc. | 562 | 66,271 | ||||||
Paychex, Inc. | 795 | 65,421 | ||||||
Lam Research Corp. | 332 | 62,363 | ||||||
Cerner Corp. | 720 | 52,776 | ||||||
Microchip Technology, Inc.1 | 526 | 45,604 | ||||||
Cadence Design Systems, Inc.* | 621 | 43,973 | ||||||
Synopsys, Inc.* | 331 | 42,596 | ||||||
KLA-Tencor Corp. | 357 | 42,197 | ||||||
NetEase, Inc. ADR | 161 | 41,179 | ||||||
Check Point Software Technologies Ltd.* | 337 | 38,961 | ||||||
Maxim Integrated Products, Inc. | 602 | 36,012 | ||||||
NetApp, Inc. | 546 | 33,688 | ||||||
ASML Holding N.V. — Class G | 162 | 33,685 | ||||||
Western Digital Corp. | 648 | 30,812 | ||||||
Skyworks Solutions, Inc. | 382 | 29,517 | ||||||
Citrix Systems, Inc. | 291 | 28,559 | ||||||
Take-Two Interactive Software, Inc.* | 249 | 28,269 | ||||||
Total Technology | 7,320,808 | |||||||
Communications - 6.6% | ||||||||
Amazon.com, Inc.* | 981 | 1,857,651 | ||||||
Facebook, Inc. — Class A* | 4,832 | 932,576 | ||||||
Alphabet, Inc. — Class C* | 699 | 755,556 | ||||||
Alphabet, Inc. — Class A* | 613 | 663,756 | ||||||
Cisco Systems, Inc. | 9,466 | 518,074 | ||||||
Comcast Corp. — Class A | 10,016 | 423,477 | ||||||
Netflix, Inc.* | 967 | 355,199 | ||||||
Charter Communications, Inc. — Class A* | 494 | 195,219 | ||||||
Booking Holdings, Inc.* | 96 | 179,972 | ||||||
T-Mobile US, Inc.* | 1,889 | 140,050 | ||||||
eBay, Inc. | 1,927 | 76,117 | ||||||
Baidu, Inc. ADR* | 616 | 72,294 | ||||||
MercadoLibre, Inc.* | 109 | 66,683 | ||||||
JD.com, Inc. ADR* | 2,046 | 61,973 | ||||||
Sirius XM Holdings, Inc.1 | 10,188 | 56,849 | ||||||
VeriSign, Inc.* | 264 | 55,218 | ||||||
Expedia Group, Inc. | 301 | 40,042 | ||||||
Ctrip.com International Ltd. ADR* | 1,077 | 39,752 | ||||||
Liberty Global plc — Class C* | 1,152 | 30,563 | ||||||
Symantec Corp. | 1,367 | 29,746 | ||||||
Fox Corp. — Class A | 763 | 27,956 | ||||||
Fox Corp. — Class B | 581 | 21,224 | ||||||
Liberty Global plc — Class A* | 454 | 12,253 | ||||||
Total Communications | 6,612,200 | |||||||
Consumer, Non-cyclical - 2.7% | ||||||||
PepsiCo, Inc. | 3,100 | 406,503 | ||||||
PayPal Holdings, Inc.* | 2,598 | 297,367 | ||||||
Amgen, Inc. | 1,349 | 248,594 | ||||||
Gilead Sciences, Inc. | 2,812 | 189,979 | ||||||
Mondelez International, Inc. — Class A | 3,185 | 171,671 | ||||||
Automatic Data Processing, Inc. | 962 | 159,047 | ||||||
Celgene Corp.* | 1,560 | 144,206 | ||||||
Intuitive Surgical, Inc.* | 255 | 133,760 | ||||||
Illumina, Inc.* | 325 | 119,649 | ||||||
Vertex Pharmaceuticals, Inc.* | 566 | 103,793 | ||||||
Biogen, Inc.* | 429 | 100,330 | ||||||
Kraft Heinz Co. | 2,697 | 83,715 | ||||||
Monster Beverage Corp.* | 1,202 | 76,724 | ||||||
Regeneron Pharmaceuticals, Inc.* | 238 | 74,494 | ||||||
Alexion Pharmaceuticals, Inc.* | 496 | 64,966 | ||||||
Cintas Corp. | 231 | 54,814 | ||||||
Verisk Analytics, Inc. — Class A | 362 | 53,019 | ||||||
IDEXX Laboratories, Inc.* | 190 | 52,313 | ||||||
Align Technology, Inc.* | 177 | 48,445 | ||||||
Incyte Corp.* | 474 | 40,271 | ||||||
BioMarin Pharmaceutical, Inc.* | 396 | 33,917 | ||||||
Henry Schein, Inc.* | 330 | 23,067 | ||||||
Mylan N.V.* | 1,140 | 21,706 | ||||||
Total Consumer, Non-cyclical | 2,702,350 | |||||||
Consumer, Cyclical - 1.3% | ||||||||
Costco Wholesale Corp. | 973 | 257,125 | ||||||
Starbucks Corp. | 2,678 | 224,497 | ||||||
Walgreens Boots Alliance, Inc. | 2,022 | 110,543 | ||||||
Marriott International, Inc. — Class A | 736 | 103,254 | ||||||
Tesla, Inc.*,1 | 392 | 87,596 | ||||||
Ross Stores, Inc. | 813 | 80,584 | ||||||
O’Reilly Automotive, Inc.* | 173 | 63,892 | ||||||
Dollar Tree, Inc.* | 525 | 56,380 | ||||||
PACCAR, Inc. | 766 | 54,892 | ||||||
United Continental Holdings, Inc.* | 582 | 50,954 | ||||||
Lululemon Athletica, Inc.* | 272 | 49,017 | ||||||
Ulta Beauty, Inc.* | 129 | 44,749 | ||||||
Fastenal Co. | 1,266 | 41,259 | ||||||
American Airlines Group, Inc. | 984 | 32,088 | ||||||
Wynn Resorts Ltd. | 238 | 29,510 | ||||||
Hasbro, Inc. | 278 | 29,379 | ||||||
Total Consumer, Cyclical | 1,315,719 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 53 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
NASDAQ-100® 2x STRATEGY FUND |
|
| Value | ||||||
Industrial - 0.1% | ||||||||
CSX Corp. | 1,789 | $ | 138,415 | |||||
J.B. Hunt Transport Services, Inc. | 240 | 21,938 | ||||||
Total Industrial | 160,353 | |||||||
Utilities - 0.1% | ||||||||
Xcel Energy, Inc. | 1,138 | 67,700 | ||||||
Financial - 0.0% | ||||||||
Willis Towers Watson plc | 286 | 54,780 | ||||||
Total Common Stocks | ||||||||
(Cost $15,015,754) | 18,233,910 | |||||||
MUTUAL FUNDS† - 53.2% | ||||||||
Guggenheim Strategy Fund II2 | 1,097,075 | 27,229,411 | ||||||
Guggenheim Ultra Short Duration Fund - Institutional Class2 | 2,653,719 | 26,431,042 | ||||||
Total Mutual Funds | ||||||||
(Cost $53,798,306) | 53,660,453 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 9.0% | ||||||||
U.S. Treasury Bills | ||||||||
2.12% due 08/01/193,4 | $ | 4,880,000 | 4,871,554 | |||||
1.90% due 08/01/193,4 | 2,300,000 | 2,296,019 | ||||||
2.11% due 07/16/194,5 | 1,232,000 | 1,230,948 | ||||||
2.09% due 08/01/193,4 | 700,000 | 698,788 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $9,096,437) | 9,097,309 | |||||||
REPURCHASE AGREEMENTS††,6 - 17.9% | ||||||||
JPMorgan Chase & Co. | 12,020,243 | 12,020,243 | ||||||
Bank of America Merrill Lynch | 2,986,034 | 2,986,034 | ||||||
Barclays Capital | 2,986,034 | 2,986,034 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $17,992,311) | 17,992,311 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,7 - 0.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%8 | 113,480 | 113,480 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $113,480) | 113,480 | |||||||
Total Investments - 98.3% | ||||||||
(Cost $96,016,288) | $ | 99,097,463 | ||||||
Other Assets & Liabilities, net - 1.7% | 1,682,574 | |||||||
Total Net Assets - 100.0% | $ | 100,780,037 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Equity Futures Contracts Purchased† | |||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 257 | Sep 2019 | $ | 39,545,875 | $ | 478,050 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
Barclays Bank plc | NASDAQ-100 Index | 2.87 | % | At Maturity | 07/31/19 | 10,745 | $ | 82,426,146 | $ | 473,040 | |||||||||
BNP Paribas | NASDAQ-100 Index | 2.90 | % | At Maturity | 07/29/19 | 4,237 | 32,499,892 | 186,514 | |||||||||||
Goldman Sachs International | NASDAQ-100 Index | 2.92 | % | At Maturity | 07/29/19 | 3,674 | 28,180,409 | 159,988 | |||||||||||
$ | 143,106,447 | $ | 819,542 |
54| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
NASDAQ-100® 2x STRATEGY FUND |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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, 2019 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
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, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 18,233,910 | $ | — | $ | — | $ | 18,233,910 | ||||||||
Mutual Funds | 53,660,453 | — | — | 53,660,453 | ||||||||||||
U.S. Treasury Bills | — | 9,097,309 | — | 9,097,309 | ||||||||||||
Repurchase Agreements | — | 17,992,311 | — | 17,992,311 | ||||||||||||
Securities Lending Collateral | 113,480 | — | — | 113,480 | ||||||||||||
Equity Futures Contracts** | 478,050 | — | — | 478,050 | ||||||||||||
Equity Index Swap Agreements** | — | 819,542 | — | 819,542 | ||||||||||||
Total Assets | $ | 72,485,893 | $ | 27,909,162 | $ | — | $ | 100,395,055 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 55 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
NASDAQ-100® 2x STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 17,164,426 | $ | 10,565,597 | $ | (500,000 | ) | $ | (3,829 | ) | $ | 3,217 | $ | 27,229,411 | 1,097,075 | $ | 267,720 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 11,888,529 | 15,706,164 | (1,150,000 | ) | (6,098 | ) | (7,553 | ) | 26,431,042 | 2,653,719 | 207,416 | |||||||||||||||||||||
$ | 29,052,955 | $ | 26,271,761 | $ | (1,650,000 | ) | $ | (9,927 | ) | $ | (4,336 | ) | $ | 53,660,453 | $ | 475,136 |
56| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value - including $111,045 of securities loaned (cost $24,225,671) | $ | 27,444,699 | ||
Investments in affiliated issuers, at value (cost $53,798,306) | 53,660,453 | |||
Repurchase agreements, at value (cost $17,992,311) | 17,992,311 | |||
Segregated cash with broker | 774,725 | |||
Unrealized appreciation on OTC swap agreements | 819,542 | |||
Receivables: | ||||
Fund shares sold | 443,674 | |||
Dividends | 110,597 | |||
Variation margin on futures contracts | 16,705 | |||
Interest | 3,749 | |||
Securities lending income | 13 | |||
Total assets | 101,266,468 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 113,480 | |||
Securities purchased | 105,159 | |||
Professional fees | 54,548 | |||
Management fees | 52,598 | |||
Printing fees | 34,891 | |||
Swap settlement | 28,697 | |||
Transfer agent and administrative fees | 15,806 | |||
Investor service fees | 15,806 | |||
Portfolio accounting fees | 6,322 | |||
Trustees’ fees* | 1,382 | |||
Fund shares redeemed | 1,049 | |||
Miscellaneous | 56,693 | |||
Total liabilities | 486,431 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 100,780,037 | ||
Net assets consist of: | ||||
Paid in capital | $ | 80,697,408 | ||
Total distributable earnings (loss) | 20,082,629 | |||
Net assets | $ | 100,780,037 | ||
Capital shares outstanding | 1,393,720 | |||
Net asset value per share | $ | 72.31 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $115) | $ | 109,568 | ||
Dividends from securities of affiliated issuers | 475,136 | |||
Interest | 224,754 | |||
Income from securities lending, net | 345 | |||
Total investment income | 809,803 | |||
Expenses: | ||||
Management fees | 337,384 | |||
Investor service fees | 93,718 | |||
Transfer agent and administrative fees | 93,718 | |||
Professional fees | 58,840 | |||
Portfolio accounting fees | 37,487 | |||
Trustees’ fees* | 8,490 | |||
Custodian fees | 8,214 | |||
Line of credit fees | 515 | |||
Miscellaneous | 88,380 | |||
Total expenses | 726,746 | |||
Less: | ||||
Expenses waived by Adviser | (19,094 | ) | ||
Net expenses | 707,652 | |||
Net investment income | 102,151 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 532,325 | |||
Investments in affiliated issuers | (9,927 | ) | ||
Swap agreements | 17,680,497 | |||
Futures contracts | 1,002,085 | |||
Net realized gain | 19,204,980 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 2,578,362 | |||
Investments in affiliated issuers | (4,336 | ) | ||
Swap agreements | 179,982 | |||
Futures contracts | 1,099,319 | |||
Net change in unrealized appreciation (depreciation) | 3,853,327 | |||
Net realized and unrealized gain | 23,058,307 | |||
Net increase in net assets resulting from operations | $ | 23,160,458 |
* | 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| 57 |
NASDAQ-100® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 102,151 | $ | 152,253 | ||||
Net realized gain (loss) on investments | 19,204,980 | (2,755,877 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 3,853,327 | (6,360,779 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 23,160,458 | (8,964,403 | ) | |||||
Distributions to shareholders | — | (11,852,712 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 238,150,755 | 401,658,572 | ||||||
Distributions reinvested | — | 11,852,712 | ||||||
Cost of shares redeemed | (219,210,817 | ) | (404,867,151 | ) | ||||
Net increase from capital share transactions | 18,939,938 | 8,644,133 | ||||||
Net increase (decrease) in net assets | 42,100,396 | (12,172,982 | ) | |||||
Net assets: | ||||||||
Beginning of period | 58,679,641 | 70,852,623 | ||||||
End of period | $ | 100,780,037 | $ | 58,679,641 | ||||
Capital share activity: | ||||||||
Shares sold | 3,582,025 | 5,896,035 | ||||||
Shares issued from reinvestment of distributions | — | 164,530 | ||||||
Shares redeemed | (3,346,249 | ) | (5,993,427 | ) | ||||
Net increase in shares | 235,776 | 67,138 |
58| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 50.68 | $ | 64.95 | $ | 38.79 | $ | 38.67 | $ | 41.60 | $ | 45.40 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .09 | .14 | (.17 | ) | (.22 | ) | (.31 | ) | (.34 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 21.54 | (2.70 | ) | 26.97 | 3.57 | 6.26 | 16.78 | |||||||||||||||||
Total from investment operations | 21.63 | (2.56 | ) | 26.80 | 3.35 | 5.95 | 16.44 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (11.71 | ) | (.64 | ) | (3.23 | ) | (8.88 | ) | (20.24 | ) | |||||||||||||
Total distributions | — | (11.71 | ) | (.64 | ) | (3.23 | ) | (8.88 | ) | (20.24 | ) | |||||||||||||
Net asset value, end of period | $ | 72.31 | $ | 50.68 | $ | 64.95 | $ | 38.79 | $ | 38.67 | $ | 41.60 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 42.68% | (9.31 | %) | 69.49% | 9.60% | 14.63% | 36.57% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 100,780 | $ | 58,680 | $ | 70,853 | $ | 41,115 | $ | 49,994 | $ | 58,484 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.27 | % | 0.21 | % | (0.32 | %) | (0.62 | %) | (0.75 | %) | (0.69 | %) | ||||||||||||
Total expensesd | 1.94 | % | 1.81 | % | 1.80 | % | 1.75 | % | 1.68 | % | 1.75 | % | ||||||||||||
Net expensese | 1.89 | % | 1.80 | % | 1.80 | % | 1.75 | % | 1.68 | % | 1.75 | % | ||||||||||||
Portfolio turnover rate | 165 | % | 220 | % | 97 | % | 494 | % | 294 | % | 275 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 59 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 II | 33.0% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 26.5% |
IDEX Corp. | 0.1% |
STERIS plc | 0.1% |
NVR, Inc. | 0.1% |
Leidos Holdings, Inc. | 0.1% |
Trimble, Inc. | 0.1% |
FactSet Research Systems, Inc. | 0.1% |
Zebra Technologies Corp. — Class A | 0.1% |
Domino’s Pizza, Inc. | 0.1% |
Top Ten Total | 60.3% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Mid-Cap 1.5x Strategy Fund | 25.63% | (2.20%) | 9.10% | 18.88% |
S&P MidCap 400 Index | 17.97% | 1.36% | 8.02% | 14.64% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
MID-CAP 1.5x STRATEGY FUND |
|
| Value | ||||||
COMMON STOCKS† - 8.8% | ||||||||
Financial - 2.2% | ||||||||
Camden Property Trust REIT | 27 | $ | 2,819 | |||||
Reinsurance Group of America, Inc. — Class A | 18 | 2,809 | ||||||
Alleghany Corp.* | 4 | 2,724 | ||||||
WR Berkley Corp. | 41 | 2,703 | ||||||
National Retail Properties, Inc. REIT | 45 | 2,385 | ||||||
Brown & Brown, Inc. | 65 | 2,177 | ||||||
Omega Healthcare Investors, Inc. REIT | 59 | 2,168 | ||||||
RenaissanceRe Holdings Ltd. | 12 | 2,136 | ||||||
Kilroy Realty Corp. REIT | 28 | 2,067 | ||||||
Liberty Property Trust REIT | 41 | 2,052 | ||||||
American Financial Group, Inc. | 20 | 2,049 | ||||||
SEI Investments Co. | 36 | 2,020 | ||||||
Lamar Advertising Co. — Class A REIT | 24 | 1,937 | ||||||
Signature Bank | 16 | 1,933 | ||||||
East West Bancorp, Inc. | 40 | 1,871 | ||||||
Medical Properties Trust, Inc. REIT | 106 | 1,849 | ||||||
Jones Lang LaSalle, Inc. | 13 | 1,829 | ||||||
American Campus Communities, Inc. REIT | 39 | 1,800 | ||||||
Douglas Emmett, Inc. REIT | 45 | 1,793 | ||||||
CyrusOne, Inc. REIT | 31 | 1,789 | ||||||
Old Republic International Corp. | 79 | 1,768 | ||||||
Cullen/Frost Bankers, Inc. | 18 | 1,686 | ||||||
First American Financial Corp. | 31 | 1,665 | ||||||
Commerce Bancshares, Inc. | 27 | 1,611 | ||||||
EPR Properties REIT | 21 | 1,566 | ||||||
Synovus Financial Corp. | 44 | 1,540 | ||||||
Brixmor Property Group, Inc. REIT | 83 | 1,484 | ||||||
Cousins Properties, Inc. REIT | 41 | 1,483 | ||||||
Kemper Corp. | 17 | 1,467 | ||||||
Primerica, Inc. | 12 | 1,439 | ||||||
Hanover Insurance Group, Inc. | 11 | 1,411 | ||||||
Eaton Vance Corp. | 32 | 1,380 | ||||||
First Horizon National Corp. | 89 | 1,329 | ||||||
PacWest Bancorp | 34 | 1,320 | ||||||
JBG SMITH Properties REIT | 33 | 1,298 | ||||||
New York Community Bancorp, Inc. | 130 | 1,298 | ||||||
First Industrial Realty Trust, Inc. REIT | 35 | 1,286 | ||||||
Sterling Bancorp | 60 | 1,277 | ||||||
CoreSite Realty Corp. REIT | 11 | 1,267 | ||||||
Webster Financial Corp. | 26 | 1,242 | ||||||
Life Storage, Inc. REIT | 13 | 1,236 | ||||||
Brighthouse Financial, Inc.* | 33 | 1,211 | ||||||
Highwoods Properties, Inc. REIT | 29 | 1,198 | ||||||
Prosperity Bancshares, Inc. | 18 | 1,189 | ||||||
SLM Corp. | 122 | 1,186 | ||||||
Stifel Financial Corp. | 20 | 1,181 | ||||||
Wintrust Financial Corp. | 16 | 1,171 | ||||||
First Financial Bankshares, Inc. | 38 | 1,170 | ||||||
EastGroup Properties, Inc. REIT | 10 | 1,160 | ||||||
Hospitality Properties Trust REIT | 46 | 1,150 | ||||||
Pinnacle Financial Partners, Inc. | 20 | 1,150 | ||||||
Interactive Brokers Group, Inc. — Class A | 21 | 1,138 | ||||||
Healthcare Realty Trust, Inc. REIT | 35 | 1,096 | ||||||
Rayonier, Inc. REIT | 36 | 1,091 | ||||||
United Bankshares, Inc. | 29 | 1,076 | ||||||
FNB Corp. | 91 | 1,071 | ||||||
Bank OZK | 34 | 1,023 | ||||||
Pebblebrook Hotel Trust REIT | 36 | 1,015 | ||||||
Umpqua Holdings Corp. | 61 | 1,012 | ||||||
PS Business Parks, Inc. REIT | 6 | 1,011 | ||||||
Valley National Bancorp | 93 | 1,003 | ||||||
Sabra Health Care REIT, Inc. | 50 | 985 | ||||||
Janus Henderson Group plc | 46 | 984 | ||||||
Evercore, Inc. — Class A | 11 | 974 | ||||||
Associated Banc-Corp. | 46 | 972 | ||||||
Hancock Whitney Corp. | 24 | 961 | ||||||
TCF Financial Corp. | 46 | 956 | ||||||
Weingarten Realty Investors REIT | 34 | 932 | ||||||
Texas Capital Bancshares, Inc.* | 15 | 921 | ||||||
Legg Mason, Inc. | 24 | 919 | ||||||
Bank of Hawaii Corp. | 11 | 912 | ||||||
Federated Investors, Inc. — Class B | 27 | 877 | ||||||
Home BancShares, Inc. | 44 | 847 | ||||||
LendingTree, Inc.* | 2 | 840 | ||||||
Navient Corp. | 61 | 833 | ||||||
Chemical Financial Corp. | 20 | 822 | ||||||
Corporate Office Properties Trust REIT | 31 | 817 | ||||||
Washington Federal, Inc. | 23 | 803 | ||||||
Cathay General Bancorp | 22 | 790 | ||||||
UMB Financial Corp. | 12 | 790 | ||||||
Fulton Financial Corp. | 47 | 769 | ||||||
BancorpSouth Bank | 26 | 755 | ||||||
CNO Financial Group, Inc. | 45 | 751 | ||||||
PotlatchDeltic Corp. REIT | 19 | 741 | ||||||
GEO Group, Inc. REIT | 34 | 714 | ||||||
Taubman Centers, Inc. REIT | 17 | 694 | ||||||
CoreCivic, Inc. REIT | 33 | 685 | ||||||
Trustmark Corp. | 18 | 598 | ||||||
Mack-Cali Realty Corp. REIT | 25 | 582 | ||||||
Urban Edge Properties REIT | 33 | 572 | ||||||
International Bancshares Corp. | 15 | 566 | �� | |||||
Senior Housing Properties Trust REIT | 66 | 546 | ||||||
Genworth Financial, Inc. — Class A* | 139 | 516 | ||||||
Mercury General Corp. | 8 | 500 | ||||||
Deluxe Corp. | 12 | 488 | ||||||
Uniti Group, Inc. REIT | 50 | 475 | ||||||
Alexander & Baldwin, Inc. REIT | 19 | 439 | ||||||
Tanger Factory Outlet Centers, Inc. REIT1 | 26 | 421 | ||||||
Total Financial | 123,012 | |||||||
Industrial - 1.8% | ||||||||
IDEX Corp. | 21 | 3,615 | ||||||
Trimble, Inc.* | 70 | 3,158 | ||||||
Lennox International, Inc. | 10 | 2,750 | ||||||
Teledyne Technologies, Inc.* | 10 | 2,739 | ||||||
Old Dominion Freight Line, Inc. | 18 | 2,687 | ||||||
Graco, Inc. | 47 | 2,359 | ||||||
Cognex Corp. | 48 | 2,303 | ||||||
Universal Display Corp. | 12 | 2,257 | ||||||
Carlisle Companies, Inc. | 16 | 2,246 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 61 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MID-CAP 1.5x STRATEGY FUND |
|
| Value | ||||||
AptarGroup, Inc. | 18 | $ | 2,238 | |||||
Nordson Corp. | 14 | 1,978 | ||||||
Hubbell, Inc. | 15 | 1,956 | ||||||
Donaldson Company, Inc. | 36 | 1,831 | ||||||
Sonoco Products Co. | 28 | 1,829 | ||||||
Woodward, Inc. | 16 | 1,811 | ||||||
Gentex Corp. | 72 | 1,772 | ||||||
Arrow Electronics, Inc.* | 24 | 1,710 | ||||||
Oshkosh Corp. | 20 | 1,670 | ||||||
Acuity Brands, Inc. | 12 | 1,655 | ||||||
AECOM* | 43 | 1,627 | ||||||
Genesee & Wyoming, Inc. — Class A* | 16 | 1,600 | ||||||
ITT, Inc. | 24 | 1,571 | ||||||
Curtiss-Wright Corp. | 12 | 1,526 | ||||||
XPO Logistics, Inc.* | 26 | 1,503 | ||||||
Lincoln Electric Holdings, Inc. | 18 | 1,482 | ||||||
MDU Resources Group, Inc. | 55 | 1,419 | ||||||
Littelfuse, Inc. | 8 | 1,415 | ||||||
EMCOR Group, Inc. | 16 | 1,410 | ||||||
AGCO Corp. | 18 | 1,396 | ||||||
Avnet, Inc. | 30 | 1,358 | ||||||
Fluor Corp. | 39 | 1,314 | ||||||
National Instruments Corp. | 31 | 1,302 | ||||||
Landstar System, Inc. | 12 | 1,296 | ||||||
Jabil, Inc. | 39 | 1,232 | ||||||
Trex Company, Inc.* | 17 | 1,219 | ||||||
Eagle Materials, Inc. | 13 | 1,205 | ||||||
Kirby Corp.* | 15 | 1,185 | ||||||
SYNNEX Corp. | 12 | 1,181 | ||||||
Louisiana-Pacific Corp. | 45 | 1,180 | ||||||
Crane Co. | 14 | 1,168 | ||||||
Knight-Swift Transportation Holdings, Inc. | 35 | 1,149 | ||||||
Stericycle, Inc.* | 24 | 1,146 | ||||||
nVent Electric plc | 45 | 1,115 | ||||||
Axon Enterprise, Inc.* | 17 | 1,092 | ||||||
MSA Safety, Inc. | 10 | 1,054 | ||||||
Tech Data Corp.* | 10 | 1,046 | ||||||
Clean Harbors, Inc.* | 14 | 995 | ||||||
Regal Beloit Corp. | 12 | 980 | ||||||
Timken Co. | 19 | 975 | ||||||
KBR, Inc. | 39 | 973 | ||||||
Coherent, Inc.* | 7 | 955 | ||||||
Kennametal, Inc. | 24 | 888 | ||||||
Valmont Industries, Inc. | 7 | 888 | ||||||
MasTec, Inc.* | 17 | 876 | ||||||
Ryder System, Inc. | 15 | 875 | ||||||
GATX Corp. | 11 | 872 | ||||||
EnerSys | 12 | 822 | ||||||
Trinity Industries, Inc. | 37 | 768 | ||||||
Resideo Technologies, Inc.* | 35 | 767 | ||||||
Owens-Illinois, Inc. | 44 | 760 | ||||||
Colfax Corp.* | 26 | 729 | ||||||
Energizer Holdings, Inc. | 18 | 696 | ||||||
Silgan Holdings, Inc. | 22 | 673 | ||||||
Belden, Inc. | 11 | 655 | ||||||
Granite Construction, Inc. | 13 | 626 | ||||||
Vishay Intertechnology, Inc. | 37 | 611 | ||||||
Terex Corp. | 18 | 565 | ||||||
Dycom Industries, Inc.* | 9 | 530 | ||||||
Worthington Industries, Inc. | 11 | 443 | ||||||
Werner Enterprises, Inc. | 12 | 373 | ||||||
Greif, Inc. — Class A | 7 | 228 | ||||||
Total Industrial | 96,278 | |||||||
Consumer, Non-cyclical - 1.4% | ||||||||
STERIS plc | 24 | 3,573 | ||||||
West Pharmaceutical Services, Inc. | 21 | 2,628 | ||||||
Molina Healthcare, Inc.* | 18 | 2,576 | ||||||
WEX, Inc.* | 12 | 2,497 | ||||||
Service Corporation International | 50 | 2,339 | ||||||
Bio-Techne Corp. | 11 | 2,293 | ||||||
Catalent, Inc.* | 41 | 2,223 | ||||||
Masimo Corp.* | 14 | 2,083 | ||||||
Hill-Rom Holdings, Inc. | 19 | 1,988 | ||||||
Post Holdings, Inc.* | 19 | 1,975 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 6 | 1,875 | ||||||
Charles River Laboratories International, Inc.* | 13 | 1,845 | ||||||
Exelixis, Inc.* | 84 | 1,795 | ||||||
Encompass Health Corp. | 27 | 1,711 | ||||||
Sabre Corp. | 77 | 1,709 | ||||||
PRA Health Sciences, Inc.* | 17 | 1,686 | ||||||
Haemonetics Corp.* | 14 | 1,685 | ||||||
ManpowerGroup, Inc. | 17 | 1,642 | ||||||
Ingredion, Inc. | 19 | 1,567 | ||||||
Chemed Corp. | 4 | 1,443 | ||||||
Graham Holdings Co. — Class B | 2 | 1,380 | ||||||
ICU Medical, Inc.* | 5 | 1,260 | ||||||
Insperity, Inc. | 10 | 1,221 | ||||||
Flowers Foods, Inc. | 51 | 1,187 | ||||||
Aaron’s, Inc. | 19 | 1,167 | ||||||
Brink’s Co. | 14 | 1,137 | ||||||
Integra LifeSciences Holdings Corp.* | 20 | 1,117 | ||||||
LivaNova plc* | 14 | 1,007 | ||||||
HealthEquity, Inc.* | 15 | 981 | ||||||
Amedisys, Inc.* | 8 | 971 | ||||||
United Therapeutics Corp.* | 12 | 937 | ||||||
Globus Medical, Inc. — Class A* | 22 | 931 | ||||||
LiveRamp Holdings, Inc.* | 19 | 921 | ||||||
CoreLogic, Inc.* | 22 | 920 | ||||||
Helen of Troy Ltd.* | 7 | 914 | ||||||
ASGN, Inc.* | 15 | 909 | ||||||
Lancaster Colony Corp. | 6 | 892 | ||||||
Acadia Healthcare Company, Inc.* | 25 | 874 | ||||||
Syneos Health, Inc.* | 17 | 869 | ||||||
TreeHouse Foods, Inc.* | 16 | 866 | ||||||
NuVasive, Inc.* | 14 | 820 | ||||||
Sanderson Farms, Inc. | 6 | 819 | ||||||
Cantel Medical Corp. | 10 | 806 | ||||||
Boston Beer Company, Inc. — Class A* | 2 | 756 | ||||||
Adtalem Global Education, Inc.* | 16 | 721 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 6 | 685 | ||||||
Green Dot Corp. — Class A* | 14 | 685 |
62| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MID-CAP 1.5x STRATEGY FUND |
|
| Value | ||||||
Sprouts Farmers Market, Inc.* | 35 | $ | 661 | |||||
Healthcare Services Group, Inc. | 21 | 637 | ||||||
Avis Budget Group, Inc.* | 18 | 633 | ||||||
MEDNAX, Inc.* | 25 | 631 | ||||||
Avanos Medical, Inc.* | 14 | 610 | ||||||
Hain Celestial Group, Inc.* | 25 | 547 | ||||||
Patterson Companies, Inc. | 23 | 527 | ||||||
Sotheby’s* | 9 | 523 | ||||||
Prestige Consumer Healthcare, Inc.* | 15 | 475 | ||||||
Tenet Healthcare Corp.* | 23 | 475 | ||||||
Edgewell Personal Care Co.* | 15 | 404 | ||||||
Inogen, Inc.* | 5 | 334 | ||||||
Mallinckrodt plc* | 23 | 211 | ||||||
Weight Watchers International, Inc.* | 11 | 210 | ||||||
Tootsie Roll Industries, Inc. | 5 | 185 | ||||||
Total Consumer, Non-cyclical | 73,949 | |||||||
Consumer, Cyclical - 1.2% | ||||||||
NVR, Inc.* | 1 | 3,370 | ||||||
Domino’s Pizza, Inc. | 11 | 3,061 | ||||||
Live Nation Entertainment, Inc.* | 39 | 2,584 | ||||||
Pool Corp. | 11 | 2,101 | ||||||
Toro Co. | 30 | 2,007 | ||||||
Five Below, Inc.* | 16 | 1,920 | ||||||
Caesars Entertainment Corp.* | 162 | 1,915 | ||||||
Dunkin’ Brands Group, Inc. | 23 | 1,832 | ||||||
Casey’s General Stores, Inc. | 11 | 1,716 | ||||||
JetBlue Airways Corp.* | 86 | 1,590 | ||||||
Wyndham Hotels & Resorts, Inc. | 27 | 1,505 | ||||||
Watsco, Inc. | 9 | 1,472 | ||||||
Polaris Industries, Inc. | 16 | 1,460 | ||||||
Williams-Sonoma, Inc. | 22 | 1,430 | ||||||
Deckers Outdoor Corp.* | 8 | 1,408 | ||||||
Toll Brothers, Inc. | 37 | 1,355 | ||||||
Carter’s, Inc. | 13 | 1,268 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 14 | 1,220 | ||||||
Cracker Barrel Old Country Store, Inc. | 7 | 1,195 | ||||||
Wyndham Destinations, Inc. | 27 | 1,185 | ||||||
Skechers U.S.A., Inc. — Class A* | 37 | 1,165 | ||||||
Churchill Downs, Inc. | 10 | 1,151 | ||||||
Brunswick Corp. | 24 | 1,101 | ||||||
Mattel, Inc.*,1 | 97 | 1,087 | ||||||
Scotts Miracle-Gro Co. — Class A | 11 | 1,084 | ||||||
Cinemark Holdings, Inc. | 30 | 1,083 | ||||||
Marriott Vacations Worldwide Corp. | 11 | 1,060 | ||||||
Texas Roadhouse, Inc. — Class A | 19 | 1,020 | ||||||
Wendy’s Co. | 51 | 999 | ||||||
Goodyear Tire & Rubber Co. | 65 | 994 | ||||||
Six Flags Entertainment Corp. | 20 | 994 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 13 | 965 | ||||||
Tempur Sealy International, Inc.* | 13 | 954 | ||||||
Thor Industries, Inc. | 15 | 877 | ||||||
Eldorado Resorts, Inc.*,1 | 18 | 829 | ||||||
Dana, Inc. | 40 | 798 | ||||||
American Eagle Outfitters, Inc. | 47 | 794 | ||||||
Herman Miller, Inc. | 17 | 760 | ||||||
Nu Skin Enterprises, Inc. — Class A | 15 | 740 | ||||||
Dick’s Sporting Goods, Inc. | 21 | 727 | ||||||
World Fuel Services Corp. | 19 | 683 | ||||||
AutoNation, Inc.* | 16 | 671 | ||||||
KB Home | 24 | 617 | ||||||
Boyd Gaming Corp. | 22 | 593 | ||||||
Adient plc | 24 | 582 | ||||||
Penn National Gaming, Inc.* | 30 | 578 | ||||||
Jack in the Box, Inc. | 7 | 570 | ||||||
Cheesecake Factory, Inc. | 12 | 525 | ||||||
Delphi Technologies plc | 25 | 500 | ||||||
Urban Outfitters, Inc.* | 21 | 478 | ||||||
Visteon Corp.* | 8 | 469 | ||||||
TRI Pointe Group, Inc.* | 39 | 467 | ||||||
Sally Beauty Holdings, Inc.* | 34 | 454 | ||||||
Bed Bath & Beyond, Inc. | 38 | 442 | ||||||
HNI Corp. | 12 | 424 | ||||||
Brinker International, Inc. | 10 | 393 | ||||||
International Speedway Corp. — Class A | 7 | 314 | ||||||
Dillard’s, Inc. — Class A1 | 5 | 311 | ||||||
Scientific Games Corp. — Class A* | 15 | 297 | ||||||
Papa John’s International, Inc.1 | 6 | 268 | ||||||
Signet Jewelers Ltd. | 15 | 268 | ||||||
Tupperware Brands Corp. | 14 | 266 | ||||||
Michaels Companies, Inc.* | 25 | 218 | ||||||
Total Consumer, Cyclical | 65,164 | |||||||
Technology - 0.8% | ||||||||
Leidos Holdings, Inc. | 41 | 3,274 | ||||||
Zebra Technologies Corp. — Class A* | 15 | 3,142 | ||||||
PTC, Inc.* | 30 | 2,693 | ||||||
Fair Isaac Corp.* | 8 | 2,512 | ||||||
Tyler Technologies, Inc.* | 11 | 2,376 | ||||||
Teradyne, Inc. | 48 | 2,300 | ||||||
Cypress Semiconductor Corp. | 102 | 2,269 | ||||||
CDK Global, Inc. | 35 | 1,730 | ||||||
CACI International, Inc. — Class A* | 8 | 1,637 | ||||||
Cree, Inc.* | 29 | 1,629 | ||||||
Medidata Solutions, Inc.* | 18 | 1,629 | ||||||
Monolithic Power Systems, Inc. | 11 | 1,494 | ||||||
MAXIMUS, Inc. | 18 | 1,305 | ||||||
Manhattan Associates, Inc.* | 18 | 1,248 | ||||||
Silicon Laboratories, Inc.* | 12 | 1,241 | ||||||
Science Applications International Corp. | 14 | 1,212 | ||||||
Teradata Corp.* | 33 | 1,183 | ||||||
Lumentum Holdings, Inc.* | 22 | 1,175 | ||||||
Blackbaud, Inc. | 14 | 1,169 | ||||||
MKS Instruments, Inc. | 15 | 1,168 | ||||||
j2 Global, Inc. | 13 | 1,156 | ||||||
ACI Worldwide, Inc.* | 32 | 1,099 | ||||||
NCR Corp.* | 33 | 1,026 | ||||||
Perspecta, Inc. | 39 | 913 | ||||||
Semtech Corp.* | 19 | 913 | ||||||
Cirrus Logic, Inc.* | 17 | 743 | ||||||
Covetrus, Inc.* | 27 | 661 | ||||||
Allscripts Healthcare Solutions, Inc.* | 48 | 558 | ||||||
CommVault Systems, Inc.* | 11 | 546 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 63 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MID-CAP 1.5x STRATEGY FUND |
|
| Value | ||||||
NetScout Systems, Inc.* | 20 | $ | 508 | |||||
Synaptics, Inc.* | 10 | 291 | ||||||
Total Technology | 44,800 | |||||||
Basic Materials - 0.4% | ||||||||
RPM International, Inc. | 37 | 2,261 | ||||||
Royal Gold, Inc. | 19 | 1,947 | ||||||
Steel Dynamics, Inc. | 64 | 1,933 | ||||||
Reliance Steel & Aluminum Co. | 19 | 1,798 | ||||||
Versum Materials, Inc. | 30 | 1,547 | ||||||
Ashland Global Holdings, Inc. | 18 | 1,439 | ||||||
Ingevity Corp.* | 12 | 1,262 | ||||||
Chemours Co. | 47 | 1,128 | ||||||
Valvoline, Inc. | 53 | 1,035 | ||||||
Olin Corp. | 46 | 1,008 | ||||||
Allegheny Technologies, Inc.* | 35 | 882 | ||||||
Sensient Technologies Corp. | 12 | 882 | ||||||
Cabot Corp. | 17 | 811 | ||||||
NewMarket Corp. | 2 | 802 | ||||||
Domtar Corp. | 18 | 802 | ||||||
United States Steel Corp. | 48 | 735 | ||||||
PolyOne Corp. | 22 | 691 | ||||||
Carpenter Technology Corp. | 14 | 671 | ||||||
Commercial Metals Co. | 33 | 589 | ||||||
Compass Minerals International, Inc. | 10 | 550 | ||||||
Minerals Technologies, Inc. | 10 | 535 | ||||||
Total Basic Materials | 23,308 | |||||||
Utilities - 0.4% | ||||||||
UGI Corp. | 49 | 2,617 | ||||||
Aqua America, Inc. | 59 | 2,441 | ||||||
OGE Energy Corp. | 56 | 2,383 | ||||||
IDACORP, Inc. | 15 | 1,506 | ||||||
ONE Gas, Inc. | 15 | 1,355 | ||||||
Southwest Gas Holdings, Inc. | 15 | 1,344 | ||||||
Hawaiian Electric Industries, Inc. | 30 | 1,307 | ||||||
National Fuel Gas Co. | 24 | 1,266 | ||||||
New Jersey Resources Corp. | 25 | 1,244 | ||||||
Spire, Inc. | 14 | 1,175 | ||||||
Black Hills Corp. | 15 | 1,173 | ||||||
ALLETE, Inc. | 14 | 1,165 | ||||||
PNM Resources, Inc. | 22 | 1,120 | ||||||
NorthWestern Corp. | 15 | 1,082 | ||||||
Total Utilities | 21,178 | |||||||
Communications - 0.3% | ||||||||
FactSet Research Systems, Inc. | 11 | 3,152 | ||||||
Cable One, Inc. | 2 | 2,342 | ||||||
Ciena Corp.* | 40 | 1,645 | ||||||
New York Times Co. — Class A | 40 | 1,305 | ||||||
ViaSat, Inc.* | 16 | 1,293 | ||||||
LogMeIn, Inc. | 14 | 1,032 | ||||||
TEGNA, Inc. | 60 | 909 | ||||||
World Wrestling Entertainment, Inc. — Class A | 12 | 866 | ||||||
Yelp, Inc. — Class A* | 24 | 821 | ||||||
Telephone & Data Systems, Inc. | 26 | 790 | ||||||
Meredith Corp. | 12 | 661 | ||||||
AMC Networks, Inc. — Class A* | 12 | 654 | ||||||
John Wiley & Sons, Inc. — Class A | 13 | 596 | ||||||
InterDigital, Inc. | 9 | 580 | ||||||
Cars.com, Inc.* | 18 | 355 | ||||||
Plantronics, Inc. | 9 | 333 | ||||||
Total Communications | 17,334 | |||||||
Energy - 0.3% | ||||||||
First Solar, Inc.* | 21 | 1,379 | ||||||
WPX Energy, Inc.* | 110 | 1,266 | ||||||
Murphy Oil Corp. | 46 | 1,134 | ||||||
Equitrans Midstream Corp. | 57 | 1,123 | ||||||
Equities Corp. | 71 | 1,123 | ||||||
PBF Energy, Inc. — Class A | 34 | 1,064 | ||||||
Transocean Ltd.* | 141 | 904 | ||||||
Apergy Corp.* | 22 | 738 | ||||||
Patterson-UTI Energy, Inc. | 59 | 679 | ||||||
Murphy USA, Inc.* | 8 | 672 | ||||||
Core Laboratories N.V. | 12 | 627 | ||||||
Matador Resources Co.* | 29 | 577 | ||||||
Oceaneering International, Inc.* | 28 | 571 | ||||||
Chesapeake Energy Corp.* | 291 | 567 | ||||||
McDermott International, Inc.* | 51 | 493 | ||||||
Southwestern Energy Co.* | 152 | 480 | ||||||
QEP Resources, Inc.* | 66 | 477 | ||||||
Ensco Rowan plc — Class A | 55 | 469 | ||||||
NOW, Inc.* | 30 | 443 | ||||||
Oasis Petroleum, Inc.* | 76 | 432 | ||||||
Callon Petroleum Co.* | 64 | 422 | ||||||
Range Resources Corp. | 58 | 405 | ||||||
CNX Resources Corp.* | 55 | 402 | ||||||
SM Energy Co. | 29 | 363 | ||||||
Total Energy | 16,810 | |||||||
Total Common Stocks | ||||||||
(Cost $389,039) | 481,833 | |||||||
MUTUAL FUNDS† - 59.5% | ||||||||
Guggenheim Strategy Fund II2 | 73,063 | 1,813,413 | ||||||
Guggenheim Ultra Short Duration Fund - Institutional Class2 | 145,842 | 1,452,587 | ||||||
Total Mutual Funds | ||||||||
(Cost $3,264,072) | 3,266,000 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 4.5% | ||||||||
U.S. Treasury Bills | ||||||||
2.09% due 08/01/193 | $ | 175,000 | 174,697 | |||||
2.12% due 08/01/193 | 70,000 | 69,879 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $244,549) | 244,576 |
64| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
MID-CAP 1.5x STRATEGY FUND |
| Face | Value | ||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 3.6% | ||||||||
Federal Home Loan Bank | ||||||||
2.22% due 07/02/193 | $ | 200,000 | $ | 199,988 | ||||
Total Federal Agency Discount Notes | ||||||||
(Cost $199,988) | 199,988 | |||||||
REPURCHASE AGREEMENTS††,4 - 19.0% | ||||||||
JPMorgan Chase & Co. | 697,662 | 697,662 | ||||||
Bank of America Merrill Lynch | 173,311 | 173,311 | ||||||
Barclays Capital | 173,311 | 173,311 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,044,284) | 1,044,284 | |||||||
|
| |||||||
SECURITIES LENDING COLLATERAL†,6 - 0.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%7 | 2,084 | $ | 2,084 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $2,084) | 2,084 | |||||||
Total Investments - 95.4% | ||||||||
(Cost $5,144,016) | $ | 5,238,765 | ||||||
Other Assets & Liabilities, net - 4.6% | 255,308 | |||||||
Total Net Assets - 100.0% | $ | 5,494,073 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
Goldman Sachs International | S&P MidCap 400 Index | 2.77 | % | At Maturity | 07/29/19 | 2,198 | $ | 4,276,836 | $ | 98,840 | |||||||||
Barclays Bank plc | S&P MidCap 400 Index | 2.72 | % | At Maturity | 07/31/19 | 1,302 | 2,533,850 | 61,070 | |||||||||||
BNP Paribas | S&P MidCap 400 Index | 2.75 | % | At Maturity | 07/29/19 | 492 | 957,077 | 23,067 | |||||||||||
$ | 7,767,763 | $ | 182,977 |
* | 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, 2019 — See Note 7. |
2 | Affiliated issuer. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7-day yield as of June 30, 2019. |
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| 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
MID-CAP 1.5x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 481,833 | $ | — | $ | — | $ | 481,833 | ||||||||
Mutual Funds | 3,266,000 | — | — | 3,266,000 | ||||||||||||
U.S. Treasury Bills | — | 244,576 | — | 244,576 | ||||||||||||
Federal Agency Discount Notes | — | 199,988 | — | 199,988 | ||||||||||||
Repurchase Agreements | — | 1,044,284 | — | 1,044,284 | ||||||||||||
Securities Lending Collateral | 2,084 | — | — | 2,084 | ||||||||||||
Equity Index Swap Agreements** | — | 182,977 | — | 182,977 | ||||||||||||
Total Assets | $ | 3,749,917 | $ | 1,671,825 | $ | — | $ | 5,421,742 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,929,681 | $ | 533,131 | $ | (650,000 | ) | $ | (3,157 | ) | $ | 3,758 | $ | 1,813,413 | 73,063 | $ | 28,592 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - Institutional Class | 1,183,579 | 1,173,318 | (905,000 | ) | (1,225 | ) | 1,915 | 1,452,587 | 145,842 | 23,485 | ||||||||||||||||||||||
$ | 3,113,260 | $ | 1,706,449 | $ | (1,555,000 | ) | $ | (4,382 | ) | $ | 5,673 | $ | 3,266,000 | $ | 52,077 |
66| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
MID-CAP 1.5x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value - including $2,080 of securities loaned (cost $835,660) | $ | 928,481 | ||
Investments in affiliated issuers, at value (cost $3,264,072) | 3,266,000 | |||
Repurchase agreements, at value (cost $1,044,284) | 1,044,284 | |||
Cash | 5 | |||
Segregated cash with broker | 28,230 | |||
Unrealized appreciation on OTC swap agreements | 182,977 | |||
Receivables: | ||||
Fund shares sold | 57,800 | |||
Dividends | 8,113 | |||
Securities sold | 3,214 | |||
Swap settlement | 2,348 | |||
Interest | 217 | |||
Securities lending income | 1 | |||
Total assets | 5,521,670 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 8,725 | |||
Professional fees | 4,392 | |||
Management fees | 3,292 | |||
Printing fees | 2,809 | |||
Return of securities lending collateral | 2,084 | |||
Transfer agent and administrative fees | 994 | |||
Investor service fees | 994 | |||
Portfolio accounting fees | 398 | |||
Trustees’ fees* | 112 | |||
Fund shares redeemed | 33 | |||
Miscellaneous | 3,764 | |||
Total liabilities | 27,597 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 5,494,073 | ||
Net assets consist of: | ||||
Paid in capital | $ | 5,963,446 | ||
Total distributable earnings (loss) | (469,373 | ) | ||
Net assets | $ | 5,494,073 | ||
Capital shares outstanding | 303,734 | |||
Net asset value per share | $ | 18.09 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $6) | $ | 8,004 | ||
Dividends from securities of affiliated issuers | 52,077 | |||
Interest | 13,106 | |||
Income from securities lending, net | 14 | |||
Total investment income | 73,201 | |||
Expenses: | ||||
Management fees | 27,166 | |||
Investor service fees | 7,546 | |||
Transfer agent and administrative fees | 7,546 | |||
Portfolio accounting fees | 3,019 | |||
Professional fees | 1,931 | |||
Trustees’ fees* | 639 | |||
Custodian fees | 495 | |||
Line of credit fees | 26 | |||
Miscellaneous | 9,149 | |||
Total expenses | 57,517 | |||
Less: | ||||
Expenses waived by Adviser | (2,220 | ) | ||
Net expenses | 55,297 | |||
Net investment income | 17,904 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 147,911 | |||
Investments in affiliated issuers | (4,382 | ) | ||
Swap agreements | 621,623 | |||
Futures contracts | 248,990 | |||
Net realized gain | 1,014,142 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 44,843 | |||
Investments in affiliated issuers | 5,673 | |||
Swap agreements | 128,910 | |||
Futures contracts | 97,352 | |||
Net change in unrealized appreciation (depreciation) | 276,778 | |||
Net realized and unrealized gain | 1,290,920 | |||
Net increase in net assets resulting from operations | $ | 1,308,824 |
* | 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 |
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 | $ | 17,904 | $ | 58,449 | ||||
Net realized gain (loss) on investments | 1,014,142 | (1,722,253 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 276,778 | (143,616 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,308,824 | (1,807,420 | ) | |||||
Distributions to shareholders | — | (1,545,520 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,435,977 | 32,788,786 | ||||||
Distributions reinvested | — | 1,545,520 | ||||||
Cost of shares redeemed | (4,658,638 | ) | (33,448,918 | ) | ||||
Net increase (decrease) from capital share transactions | (1,222,661 | ) | 885,388 | |||||
Net increase (decrease) in net assets | 86,163 | (2,467,552 | ) | |||||
Net assets: | ||||||||
Beginning of period | 5,407,910 | 7,875,462 | ||||||
End of period | $ | 5,494,073 | $ | 5,407,910 | ||||
Capital share activity: | ||||||||
Shares sold | 197,807 | 1,892,297 | ||||||
Shares issued from reinvestment of distributions | — | 80,538 | ||||||
Shares redeemed | (269,635 | ) | (1,934,256 | ) | ||||
Net increase (decrease) in shares | (71,828 | ) | 38,579 |
68| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 14.40 | $ | 23.37 | $ | 36.19 | $ | 31.14 | $ | 35.05 | $ | 35.47 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .05 | .13 | .02 | (.10 | ) | (.20 | ) | (.25 | ) | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.64 | (3.20 | ) | 5.81 | 8.87 | (1.45 | ) | 4.39 | ||||||||||||||||
Total from investment operations | 3.69 | (3.07 | ) | 5.83 | 8.77 | (1.65 | ) | 4.14 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.06 | ) | — | — | — | — | |||||||||||||||||
Net realized gains | — | (5.84 | ) | (18.65 | ) | (3.72 | ) | (2.26 | ) | (4.56 | ) | |||||||||||||
Total distributions | — | (5.90 | ) | (18.65 | ) | (3.72 | ) | (2.26 | ) | (4.56 | ) | |||||||||||||
Net asset value, end of period | $ | 18.09 | $ | 14.40 | $ | 23.37 | $ | 36.19 | $ | 31.14 | $ | 35.05 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 25.63% | (19.40 | %) | 22.44% | 29.64% | (5.50 | %) | 11.93% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,494 | $ | 5,408 | $ | 7,875 | $ | 19,948 | $ | 15,093 | $ | 10,673 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.59 | % | 0.67 | % | 0.07 | % | (0.30 | %) | (0.58 | %) | (0.69 | %) | ||||||||||||
Total expensesd | 1.91 | % | 1.78 | % | 1.76 | % | 1.72 | % | 1.67 | % | 1.72 | % | ||||||||||||
Net expensese | 1.83 | % | 1.78 | % | 1.76 | % | 1.72 | % | 1.67 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | 37 | % | 368 | % | 403 | % | 368 | % | 477 | % | 255 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 69 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 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 | 29.4% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 27.7% |
Total | 57.1% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse Mid-Cap Strategy Fund | (14.91%) | (2.14%) | (8.82%) | (15.71%) |
S&P MidCap 400 Index | 17.97% | 1.36% | 8.02% | 14.64% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
INVERSE MID-CAP STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 57.1% | ||||||||
Guggenheim Strategy Fund II1 | 3,698 | $ | 91,796 | |||||
Guggenheim Ultra Short Duration Fund - Institutional Class1 | 8,654 | 86,195 | ||||||
Total Mutual Funds | ||||||||
(Cost $177,876) | 177,991 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 9.6% | ||||||||
Federal Home Loan Bank | ||||||||
2.44% (3 Month USD LIBOR - 0.16%, Rate Floor: 0.00%) due 07/05/192 | $ | 30,000 | 30,000 | |||||
Total Federal Agency Notes | ||||||||
(Cost $30,000) | 30,000 | |||||||
REPURCHASE AGREEMENTS††,3 - 36.9% | ||||||||
JPMorgan Chase & Co. | 76,852 | 76,852 | ||||||
Bank of America Merrill Lynch | 19,091 | 19,091 | ||||||
Barclays Capital | 19,091 | 19,091 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $115,034) | 115,034 | |||||||
Total Investments - 103.6% | ||||||||
(Cost $322,910) | $ | 323,025 | ||||||
Other Assets & Liabilities, net - (3.6)% | (11,178 | ) | ||||||
Total Net Assets - 100.0% | $ | 311,847 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements Sold Short†† | |||||||||||||||||||
Barclays Bank plc | S&P MidCap 400 Index | (2.57 | %) | At Maturity | 07/31/19 | 10 | $ | 20,392 | $ | (491 | ) | ||||||||
BNP Paribas | S&P MidCap 400 Index | (2.25 | %) | At Maturity | 07/29/19 | 27 | 53,333 | (1,286 | ) | ||||||||||
Goldman Sachs International | S&P MidCap 400 Index | (2.47 | %) | At Maturity | 07/29/19 | 124 | 240,424 | (5,795 | ) | ||||||||||
$ | 314,149 | $ | (7,572 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | Repurchase Agreements — See Note 6. |
4 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
plc — Public Limited Company | |
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, 2019 |
INVERSE MID-CAP STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 177,991 | $ | — | $ | — | $ | 177,991 | ||||||||
Federal Agency Notes | — | 30,000 | — | 30,000 | ||||||||||||
Repurchase Agreements | — | 115,034 | — | 115,034 | ||||||||||||
Total Assets | $ | 177,991 | $ | 145,034 | $ | — | $ | 323,025 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Index Swap Agreements** | $ | — | $ | 7,572 | $ | — | $ | 7,572 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 129,855 | $ | 111,900 | $ | (150,000 | ) | $ | (297 | ) | $ | 338 | $ | 91,796 | 3,698 | $ | 1,910 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 119,433 | 121,708 | (155,000 | ) | (270 | ) | 324 | 86,195 | 8,654 | 1,715 | ||||||||||||||||||||||
$ | 249,288 | $ | 233,608 | $ | (305,000 | ) | $ | (567 | ) | $ | 662 | $ | 177,991 | $ | 3,625 |
72| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $30,000) | $ | 30,000 | ||
Investments in affiliated issuers, at value (cost $177,876) | 177,991 | |||
Repurchase agreements, at value (cost $115,034) | 115,034 | |||
Receivables: | ||||
Dividends | 574 | |||
Interest | 201 | |||
Total assets | 323,800 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 7,572 | |||
Payable for: | ||||
Fund shares redeemed | 2,091 | |||
Swap settlement | 612 | |||
Securities purchased | 574 | |||
Management fees | 232 | |||
Transfer agent and administrative fees | 71 | |||
Investor service fees | 71 | |||
Portfolio accounting fees | 28 | |||
Trustees’ fees* | 8 | |||
Miscellaneous | 694 | |||
Total liabilities | 11,953 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 311,847 | ||
Net assets consist of: | ||||
Paid in capital | $ | 2,080,216 | ||
Total distributable earnings (loss) | (1,768,369 | ) | ||
Net assets | $ | 311,847 | ||
Capital shares outstanding | 4,843 | |||
Net asset value per share | $ | 64.39 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 3,625 | ||
Interest | 1,917 | |||
Total investment income | 5,542 | |||
Expenses: | ||||
Management fees | 1,861 | |||
Investor service fees | 517 | |||
Transfer agent and administrative fees | 517 | |||
Professional fees | 332 | |||
Portfolio accounting fees | 207 | |||
Trustees’ fees* | 45 | |||
Custodian fees | 38 | |||
Miscellaneous | 419 | |||
Total expenses | 3,936 | |||
Less: | ||||
Expenses waived by Adviser | (162 | ) | ||
Net expenses | 3,774 | |||
Net investment income | 1,768 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (567 | ) | ||
Swap agreements | (43,219 | ) | ||
Futures contracts | (35,574 | ) | ||
Net realized loss | (79,360 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (1 | ) | ||
Investments in affiliated issuers | 662 | |||
Swap agreements | (4,979 | ) | ||
Futures contracts | 661 | |||
Net change in unrealized appreciation (depreciation) | (3,657 | ) | ||
Net realized and unrealized loss | (83,017 | ) | ||
Net decrease in net assets resulting from operations | $ | (81,249 | ) |
* | 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 |
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 | $ | 1,768 | $ | 1,261 | ||||
Net realized loss on investments | (79,360 | ) | (28,926 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (3,657 | ) | (4,997 | ) | ||||
Net decrease in net assets resulting from operations | (81,249 | ) | (32,662 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 1,618,036 | 5,179,494 | ||||||
Cost of shares redeemed | (1,870,008 | ) | (4,679,265 | ) | ||||
Net increase (decrease) from capital share transactions | (251,972 | ) | 500,229 | |||||
Net increase (decrease) in net assets | (333,221 | ) | 467,567 | |||||
Net assets: | ||||||||
Beginning of period | 645,068 | 177,501 | ||||||
End of period | $ | 311,847 | $ | 645,068 | ||||
Capital share activity: | ||||||||
Shares sold | 24,254 | 74,967 | ||||||
Shares redeemed | (27,936 | ) | (69,044 | ) | ||||
Net increase (decrease) in shares | (3,682 | ) | 5,923 |
74| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 75.67 | $ | 68.22 | $ | 78.92 | $ | 97.61 | $ | 98.69 | $ | 111.65 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .29 | .35 | (.16 | ) | (.26 | ) | (1.38 | ) | (1.59 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (11.57 | ) | 7.10 | h | (10.54 | ) | (18.43 | ) | .30 | (11.37 | ) | |||||||||||||
Total from investment operations | (11.28 | ) | 7.45 | (10.70 | ) | (18.69 | ) | (1.08 | ) | (12.96 | ) | |||||||||||||
Net asset value, end of period | $ | 64.39 | $ | 75.67 | $ | 68.22 | $ | 78.92 | $ | 97.61 | $ | 98.69 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (14.91 | %) | 10.90% | (13.55 | %) | (19.13 | %) | (1.12 | %) | (11.56 | %) | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 312 | $ | 645 | $ | 178 | $ | 380 | $ | 611 | $ | 850 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.86 | % | 0.51 | % | (0.22 | %) | (0.82 | %) | (1.46 | %) | (1.51 | %) | ||||||||||||
Total expensesd | 1.90 | % | 1.77 | % | 1.76 | % | 1.71 | % | 1.66 | % | 1.72 | % | ||||||||||||
Net expensese | 1.82 | % | 1.77 | % | 1.76 | % | 1.71 | % | 1.66 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | 95 | % | 404 | % | 111 | % | 565 | % | 220 | % | 323 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | 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. |
g | 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. |
h | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the year because of the sales and repurchase of fund shares in relation to fluctuating market value of the investments in the fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 75 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 27, 2006 |
Largest Holdings (% of Total Net Assets) | |
Guggenheim Ultra Short Duration Fund - Institutional Class | 17.6% |
Guggenheim Strategy Fund II | 17.2% |
Total | 34.8% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Russell 2000® 2x Strategy Fund | 32.14% | (13.38%) | 8.36% | 20.86% |
Russell 2000 Index | 16.98% | (3.31%) | 9.24% | 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 Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
RUSSELL 2000® 2x STRATEGY FUND |
|
| Value | ||||||
WARRANTS††† - 0.0% | ||||||||
Imperial Holdings, Inc. | ||||||||
$10.75, 10/06/19*,1 | 1 | $ | — | |||||
Total Warrants | ||||||||
(Cost $—) | — | |||||||
RIGHTS† - 0.0% | ||||||||
Hertz Global Holdings, Inc.* | 1 | 2 | ||||||
Nexstar Media Group, Inc.†††,*,1 | 207 | — | ||||||
Tobira Therapeutics, Inc.†††,*,1 | 7 | — | ||||||
Omthera Pharmaceuticals, Inc.†††,*,1 | 10 | — | ||||||
A Schulman, Inc.†††,*,1 | 20 | — | ||||||
Total Rights | ||||||||
(Cost $—) | 2 | |||||||
MUTUAL FUNDS† - 34.8% | ||||||||
Guggenheim Ultra Short Duration Fund - Institutional Class2 | 36,149 | 360,044 | ||||||
Guggenheim Strategy Fund II2 | 14,145 | 351,077 | ||||||
Total Mutual Funds | ||||||||
(Cost $710,695) | 711,121 | |||||||
| Face | |||||||
U.S. TREASURY BILLS†† - 0.7% | ||||||||
U.S. Treasury Bills | ||||||||
2.11% due 07/16/193,4 | $ | 15,000 | 14,987 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $14,986) | 14,987 | |||||||
REPURCHASE AGREEMENTS††,5 - 57.7% | ||||||||
JPMorgan Chase & Co. | 787,624 | 787,624 | ||||||
Bank of America Merrill Lynch | 195,659 | 195,659 | ||||||
Barclays Capital | 195,659 | 195,659 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,178,942) | 1,178,942 | |||||||
Total Investments - 93.2% | ||||||||
(Cost $1,904,623) | $ | 1,905,052 | ||||||
Other Assets & Liabilities, net - 6.8% | 139,745 | |||||||
Total Net Assets - 100.0% | $ | 2,044,797 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Equity Futures Contracts Purchased† | |||||||||||||
Russell 2000 Index Mini Futures Contracts | 4 | Sep 2019 | $ | 313,520 | $ | 7,865 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
BNP Paribas | Russell 2000 Index | 2.40 | % | At Maturity | 07/29/19 | 895 | $ | 1,402,748 | $ | 42,133 | |||||||||
Barclays Bank plc | Russell 2000 Index | 2.37 | % | At Maturity | 07/31/19 | 774 | 1,213,224 | 37,791 | |||||||||||
Goldman Sachs International | Russell 2000 Index | 2.62 | % | At Maturity | 07/29/19 | 735 | 1,150,997 | 35,853 | |||||||||||
$ | 3,766,969 | $ | 115,777 |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 77 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
RUSSELL 2000® 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Warrants | $ | — | $ | — | $ | — | * | $ | — | |||||||
Rights | 2 | — | — | * | 2 | |||||||||||
Mutual Funds | 711,121 | — | — | 711,121 | ||||||||||||
U.S. Treasury Bills | — | 14,987 | — | 14,987 | ||||||||||||
Repurchase Agreements | — | 1,178,942 | — | 1,178,942 | ||||||||||||
Equity Futures Contracts** | 7,865 | — | — | 7,865 | ||||||||||||
Equity Index Swap Agreements** | — | 115,777 | — | 115,777 | ||||||||||||
Total Assets | $ | 718,988 | $ | 1,309,706 | $ | — | $ | 2,028,694 |
* | Includes securities with a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 448,611 | $ | 1,900,975 | $ | (2,000,000 | ) | $ | (681 | ) | $ | 2,172 | $ | 351,077 | 14,145 | $ | 11,030 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 459,770 | 2,549,718 | (2,650,000 | ) | 414 | 142 | 360,044 | 36,149 | 9,767 | |||||||||||||||||||||||
$ | 908,381 | $ | 4,450,693 | $ | (4,650,000 | ) | $ | (267 | ) | $ | 2,314 | $ | 711,121 | $ | 20,797 |
78| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $14,986) | $ | 14,989 | ||
Investments in affiliated issuers, at value (cost $710,695) | 711,121 | |||
Repurchase agreements, at value (cost $1,178,942) | 1,178,942 | |||
Unrealized appreciation on OTC swap agreements | 115,777 | |||
Receivables: | ||||
Fund shares sold | 23,745 | |||
Swap settlement | 4,390 | |||
Variation margin on futures contracts | 3,560 | |||
Dividends | 2,269 | |||
Interest | 246 | |||
Total assets | 2,055,039 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 2,251 | |||
Professional fees | 2,177 | |||
Printing fees | 1,392 | |||
Management fees | 1,111 | |||
Licensing fees | 742 | |||
Transfer agent and administrative fees | 335 | |||
Investor service fees | 335 | |||
Portfolio accounting fees | 134 | |||
Trustees’ fees* | 55 | |||
Fund shares redeemed | 51 | |||
Miscellaneous | 1,659 | |||
Total liabilities | 10,242 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 2,044,797 | ||
Net assets consist of: | ||||
Paid in capital | $ | 2,542,576 | ||
Total distributable earnings (loss) | (497,779 | ) | ||
Net assets | $ | 2,044,797 | ||
Capital shares outstanding | 9,644 | |||
Net asset value per share | $ | 212.03 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 49 | ||
Dividends from securities of affiliated issuers | 20,797 | |||
Interest | 17,217 | |||
Income from securities lending, net | 1 | |||
Total investment income | 38,064 | |||
Expenses: | ||||
Management fees | 13,462 | |||
Investor service fees | 3,739 | |||
Transfer agent and administrative fees | 3,739 | |||
Professional fees | 5,129 | |||
Portfolio accounting fees | 1,496 | |||
Trustees’ fees* | 779 | |||
Custodian fees | 648 | |||
Line of credit fees | 6 | |||
Miscellaneous | 226 | |||
Total expenses | 29,224 | |||
Less: | ||||
Expenses waived by Adviser | (917 | ) | ||
Net expenses | 28,307 | |||
Net investment income | 9,757 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 11,735 | |||
Investments in affiliated issuers | (267 | ) | ||
Swap agreements | 125,955 | |||
Futures contracts | 3,168 | |||
Net realized gain | 140,591 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (7,050 | ) | ||
Investments in affiliated issuers | 2,314 | |||
Swap agreements | 76,921 | |||
Futures contracts | 18,875 | |||
Net change in unrealized appreciation (depreciation) | 91,060 | |||
Net realized and unrealized gain | 231,651 | |||
Net increase in net assets resulting from operations | $ | 241,408 |
* | 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| 79 |
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 | $ | 9,757 | $ | 16,911 | ||||
Net realized gain (loss) on investments | 140,591 | (623,839 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 91,060 | (99,825 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 241,408 | (706,753 | ) | |||||
Distributions to shareholders | — | (567,824 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 14,065,151 | 138,484,712 | ||||||
Distributions reinvested | — | 567,824 | ||||||
Cost of shares redeemed | (13,952,241 | ) | (143,127,280 | ) | ||||
Net increase (decrease) from capital share transactions | 112,910 | (4,074,744 | ) | |||||
Net increase (decrease) in net assets | 354,318 | (5,349,321 | ) | |||||
Net assets: | ||||||||
Beginning of period | 1,690,479 | 7,039,800 | ||||||
End of period | $ | 2,044,797 | $ | 1,690,479 | ||||
Capital share activity: | ||||||||
Shares sold | 68,474 | 548,261 | ||||||
Shares issued from reinvestment of distributions | — | 2,192 | ||||||
Shares redeemed | (69,365 | ) | (569,919 | ) | ||||
Net decrease in shares | (891 | ) | (19,466 | ) |
80| 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 | $ | 160.46 | $ | 234.65 | $ | 192.92 | $ | 139.69 | $ | 180.03 | $ | 262.78 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .66 | .70 | (.79 | ) | (1.11 | ) | (1.73 | ) | (2.53 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 50.91 | (54.40 | ) | 50.24 | 54.34 | (17.40 | ) | 11.64 | ||||||||||||||||
Total from investment operations | 51.57 | (53.70 | ) | 49.45 | 53.23 | (19.13 | ) | 9.11 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (20.49 | ) | (7.72 | ) | — | (21.21 | ) | (91.86 | ) | ||||||||||||||
Total distributions | — | (20.49 | ) | (7.72 | ) | — | �� | (21.21 | ) | (91.86 | ) | |||||||||||||
Net asset value, end of period | $ | 212.03 | $ | 160.46 | $ | 234.65 | $ | 192.92 | $ | 139.69 | $ | 180.03 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 32.14% | (26.21 | %) | 26.26% | 38.11% | (13.15 | %) | 5.17% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,045 | $ | 1,690 | $ | 7,040 | $ | 5,747 | $ | 2,770 | $ | 5,528 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.65 | % | 0.28 | % | (0.38 | %) | (0.74 | %) | (1.00 | %) | (1.07 | %) | ||||||||||||
Total expensesd | 1.95 | % | 1.82 | % | 1.80 | % | 1.77 | % | 1.70 | % | 1.77 | % | ||||||||||||
Net expensese | 1.89 | % | 1.82 | % | 1.80 | % | 1.77 | % | 1.70 | % | 1.77 | % | ||||||||||||
Portfolio turnover rate | 417 | % | 625 | % | 525 | % | 1,125 | % | 327 | % | 360 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 81 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 |
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 32.3% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 32.1% |
Total | 64.4% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Russell 2000® 1.5x Strategy Fund | 24.02% | (9.00%) | 7.49% | 16.69% |
Russell 2000 Index | 16.98% | (3.31%) | 9.24% | 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 Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
RUSSELL 2000® 1.5x STRATEGY FUND |
|
| Value | ||||||
WARRANTS††† - 0.0% | ||||||||
Imperial Holdings, Inc.*,1 | ||||||||
$10.75, 10/06/19 | 2 | $ | — | |||||
Total Warrants | ||||||||
(Cost $—) | — | |||||||
RIGHTS† - 0.0% | ||||||||
Hertz Global Holdings, Inc.* | 20 | 39 | ||||||
Omthera Pharmaceuticals, Inc. †††,*,1 | 37 | — | ||||||
A Schulman, Inc. †††,*,1 | 18 | — | ||||||
Tobira Therapeutics, Inc. †††,*,1 | 8 | — | ||||||
Nexstar Media Group, Inc. †††,*,1 | 132 | — | ||||||
Total Rights | ||||||||
(Cost $—) | 39 | |||||||
MUTUAL FUNDS† - 64.4% | ||||||||
Guggenheim Strategy Fund II2 | 81,635 | 2,026,189 | ||||||
Guggenheim Ultra Short Duration Fund - Institutional Class2 | 202,656 | 2,018,453 | ||||||
Total Mutual Funds | ||||||||
(Cost $4,047,725) | 4,044,642 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 5.1% | ||||||||
U.S. Treasury Bills | ||||||||
2.12% due 08/01/193 | $ | 170,000 | 169,706 | |||||
2.09% due 08/01/193 | 150,000 | 149,740 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $319,402) | 319,446 | |||||||
FEDERAL AGENCY NOTES†† - 4.0% | ||||||||
Federal Farm Credit Bank | ||||||||
2.70% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/224 | 250,000 | 250,461 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $250,000) | 250,461 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 1.6% | ||||||||
Federal Home Loan Bank | ||||||||
2.22% due 07/02/193 | 100,000 | 99,994 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,994) | 99,994 | |||||||
REPURCHASE AGREEMENTS††,5 - 19.0% | ||||||||
JPMorgan Chase & Co. | 795,784 | 795,784 | ||||||
Bank of America Merrill Lynch | 197,686 | 197,686 | ||||||
Barclays Capital | 197,686 | 197,686 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,191,156) | 1,191,156 | |||||||
Total Investments - 94.1% | ||||||||
(Cost $5,908,277) | $ | 5,905,738 | ||||||
Other Assets & Liabilities, net - 5.9% | 370,603 | |||||||
Total Net Assets - 100.0% | $ | 6,276,341 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
Barclays Bank plc | Russell 2000 Index | 2.37 | % | At Maturity | 07/31/19 | 3,459 | $ | 5,418,980 | $ | 168,794 | |||||||||
BNP Paribas | Russell 2000 Index | 2.40 | % | At Maturity | 07/29/19 | 1,920 | 3,007,353 | 90,553 | |||||||||||
Goldman Sachs International | Russell 2000 Index | 2.62 | % | At Maturity | 07/29/19 | 624 | 977,225 | 30,439 | |||||||||||
$ | 9,403,558 | $ | 289,786 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 83 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
RUSSELL 2000® 1.5x STRATEGY FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs, unless otherwise noted — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
2 | Affiliated issuer. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Warrants | $ | — | $ | — | $ | — | * | $ | — | |||||||
Rights | 39 | — | — | * | 39 | |||||||||||
Mutual Funds | 4,044,642 | — | — | 4,044,642 | ||||||||||||
U.S. Treasury Bills | — | 319,446 | — | 319,446 | ||||||||||||
Federal Agency Notes | — | 250,461 | — | 250,461 | ||||||||||||
Federal Agency Discount Notes | — | 99,994 | — | 99,994 | ||||||||||||
Repurchase Agreements | — | 1,191,156 | — | 1,191,156 | ||||||||||||
Equity Index Swap Agreements** | — | 289,786 | — | 289,786 | ||||||||||||
Total Assets | $ | 4,044,681 | $ | 2,150,843 | $ | — | $ | 6,195,524 |
* | Includes securities with a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
84| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
RUSSELL 2000® 1.5x STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,998,839 | $ | 527,310 | $ | (500,000 | ) | $ | (3,154 | ) | $ | 3,194 | $ | 2,026,189 | 81,635 | $ | 27,558 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 1,893,534 | 2,224,631 | (2,100,000 | ) | (7,217 | ) | 7,505 | 2,018,453 | 202,656 | 24,830 | ||||||||||||||||||||||
$ | 3,892,373 | $ | 2,751,941 | $ | (2,600,000 | ) | $ | (10,371 | ) | $ | 10,699 | $ | 4,044,642 | $ | 52,388 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 85 |
RUSSELL 2000® 1.5x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $669,396) | $ | 669,940 | ||
Investments in affiliated issuers, at value (cost $4,047,725) | 4,044,642 | |||
Repurchase agreements, at value (cost $1,191,156) | 1,191,156 | |||
Cash | 8 | |||
Segregated cash with broker | 49,787 | |||
Unrealized appreciation on OTC swap agreements | 289,786 | |||
Receivables: | ||||
Fund shares sold | 38,922 | |||
Swap settlement | 11,204 | |||
Dividends | 8,900 | |||
Interest | 567 | |||
Securities lending income | 8 | |||
Total assets | 6,304,920 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 8,605 | |||
Professional fees | 4,819 | |||
Management fees | 3,764 | |||
Printing fees | 3,083 | |||
Licensing fees | 1,688 | |||
Transfer agent and administrative fees | 1,135 | |||
Investor service fees | 1,135 | |||
Portfolio accounting fees | 454 | |||
Trustees’ fees* | 123 | |||
Fund shares redeemed | 17 | |||
Miscellaneous | 3,756 | |||
Total liabilities | 28,579 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 6,276,341 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,593,363 | ||
Total distributable earnings (loss) | (317,022 | ) | ||
Net assets | $ | 6,276,341 | ||
Capital shares outstanding | 87,891 | |||
Net asset value per share | $ | 71.41 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $1) | $ | 3,867 | ||
Dividends from securities of affiliated issuers | 52,388 | |||
Interest | 25,124 | |||
Income from securities lending, net | 79 | |||
Total investment income | 81,458 | |||
Expenses: | ||||
Management fees | 29,806 | |||
Investor service fees | 8,280 | |||
Transfer agent and administrative fees | 8,280 | |||
Professional fees | 8,186 | |||
Portfolio accounting fees | 3,312 | |||
Trustees’ fees* | 1,213 | |||
Custodian fees | 958 | |||
Line of credit fees | 10 | |||
Miscellaneous | 4,513 | |||
Total expenses | 64,558 | |||
Less: | ||||
Expenses waived by Adviser | (2,340 | ) | ||
Net expenses | 62,218 | |||
Net investment income | 19,240 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 109,463 | |||
Investments in affiliated issuers | (10,371 | ) | ||
Swap agreements | 1,040,994 | |||
Futures contracts | 14,323 | |||
Net realized gain | 1,154,409 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (34,618 | ) | ||
Investments in affiliated issuers | 10,699 | |||
Swap agreements | 171,777 | |||
Futures contracts | 44,040 | |||
Net change in unrealized appreciation (depreciation) | 191,898 | |||
Net realized and unrealized gain | 1,346,307 | |||
Net increase in net assets resulting from operations | $ | 1,365,547 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
86| 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 | $ | 19,240 | $ | 43,568 | ||||
Net realized gain (loss) on investments | 1,154,409 | (1,774,980 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 191,898 | (223,242 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,365,547 | (1,954,654 | ) | |||||
Distributions to shareholders | — | (457,521 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 9,543,396 | 44,616,756 | ||||||
Distributions reinvested | — | 457,521 | ||||||
Cost of shares redeemed | (11,105,395 | ) | (45,258,875 | ) | ||||
Net decrease from capital share transactions | (1,561,999 | ) | (184,598 | ) | ||||
Net decrease in net assets | (196,452 | ) | (2,596,773 | ) | ||||
Net assets: | ||||||||
Beginning of period | 6,472,793 | 9,069,566 | ||||||
End of period | $ | 6,276,341 | $ | 6,472,793 | ||||
Capital share activity: | ||||||||
Shares sold | 138,772 | 589,674 | ||||||
Shares issued from reinvestment of distributions | — | 5,585 | ||||||
Shares redeemed | (163,303 | ) | (604,439 | ) | ||||
Net decrease in shares | (24,531 | ) | (9,180 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 87 |
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 | $ | 57.58 | $ | 74.58 | $ | 64.03 | $ | 49.10 | $ | 53.99 | $ | 51.77 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .20 | .34 | (.14 | ) | (.38 | ) | (.46 | ) | (.48 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 13.63 | (13.90 | ) | 12.71 | 15.31 | (4.43 | ) | 2.70 | ||||||||||||||||
Total from investment operations | 13.83 | (13.56 | ) | 12.57 | 14.93 | (4.89 | ) | 2.22 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (3.44 | ) | (2.02 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (3.44 | ) | (2.02 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 71.41 | $ | 57.58 | $ | 74.58 | $ | 64.03 | $ | 49.10 | $ | 53.99 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 24.02% | (19.57 | %) | 20.01% | 30.41% | (9.08 | %) | 4.29% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,276 | $ | 6,473 | $ | 9,070 | $ | 9,759 | $ | 6,342 | $ | 11,085 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.58 | % | 0.45 | % | (0.21 | %) | (0.74 | %) | (0.84 | %) | (0.94 | %) | ||||||||||||
Total expensesd | 1.95 | % | 1.82 | % | 1.80 | % | 1.77 | % | 1.70 | % | 1.76 | % | ||||||||||||
Net expensese | 1.88 | % | 1.81 | % | 1.80 | % | 1.77 | % | 1.70 | % | 1.76 | % | ||||||||||||
Portfolio turnover rate | 75 | % | 268 | % | 234 | % | 1,198 | % | 406 | % | 624 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
88| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 3, 2004 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Ultra Short Duration Fund - Institutional Class | 26.3% |
Guggenheim Strategy Fund II | 25.1% |
Total | 51.4% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse Russell 2000® Strategy Fund | (14.60%) | 2.62% | (8.84%) | (15.97%) |
Russell 2000 Index | 16.98% | (3.31%) | 9.24% | 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 Russell 2000 Index is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
INVERSE RUSSELL 2000® STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 51.4% | ||||||||
Guggenheim Ultra Short Duration Fund - Institutional Class1 | 25,268 | $ | 251,674 | |||||
Guggenheim Strategy Fund II1 | 9,687 | 240,441 | ||||||
Total Mutual Funds | ||||||||
(Cost $491,331) | 492,115 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 10.4% | ||||||||
Federal Home Loan Bank | ||||||||
2.44% (3 Month USD LIBOR - 0.16%, Rate Floor: 0.00%) due 07/05/192 | $ | 100,000 | 100,002 | |||||
Total Federal Agency Notes | ||||||||
(Cost $100,002) | 100,002 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 10.4% | ||||||||
Federal Home Loan Bank | ||||||||
2.22% due 07/02/193 | 100,000 | 99,994 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,994) | 99,994 | |||||||
REPURCHASE AGREEMENTS††,4 - 53.9% | ||||||||
JPMorgan Chase & Co. | 344,672 | 344,672 | ||||||
Bank of America Merrill Lynch | 85,622 | 85,622 | ||||||
Barclays Capital | 85,622 | 85,622 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $515,916) | 515,916 | |||||||
Total Investments - 126.1% | ||||||||
(Cost $1,207,243) | $ | 1,208,027 | ||||||
Other Assets & Liabilities, net - (26.1)% | (250,425 | ) | ||||||
Total Net Assets - 100.0% | $ | 957,602 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements Sold Short†† | |||||||||||||||||||
BNP Paribas | Russell 2000 Index | (1.90 | %) | At Maturity | 07/29/19 | 165 | $ | 259,052 | $ | (8,070 | ) | ||||||||
Goldman Sachs International | Russell 2000 Index | (2.32 | %) | At Maturity | 07/29/19 | 182 | 285,895 | (8,905 | ) | ||||||||||
Barclays Bank plc | Russell 2000 Index | (1.87 | %) | At Maturity | 07/31/19 | 253 | 396,824 | (12,360 | ) | ||||||||||
$ | 941,771 | $ | (29,335 | ) |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
90| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
INVERSE RUSSELL 2000® STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 492,115 | $ | — | $ | — | $ | 492,115 | ||||||||
Federal Agency Notes | — | 100,002 | — | 100,002 | ||||||||||||
Federal Agency Discount Notes | — | 99,994 | — | 99,994 | ||||||||||||
Repurchase Agreements | — | 515,916 | — | 515,916 | ||||||||||||
Total Assets | $ | 492,115 | $ | 715,912 | $ | — | $ | 1,208,027 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Index Swap Agreements** | $ | — | $ | 29,335 | $ | — | $ | 29,335 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,209,164 | $ | 312,016 | $ | (1,280,000 | ) | $ | (4,204 | ) | $ | 3,465 | $ | 240,441 | 9,687 | $ | 7,167 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 1,060,232 | 431,340 | (1,240,000 | ) | (606 | ) | 708 | 251,674 | 25,268 | 6,451 | ||||||||||||||||||||||
$ | 2,269,396 | $ | 743,356 | $ | (2,520,000 | ) | $ | (4,810 | ) | $ | 4,173 | $ | 492,115 | $ | 13,618 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 91 |
INVERSE RUSSELL 2000® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $199,996) | $ | 199,996 | ||
Investments in affiliated issuers, at value (cost $491,331) | 492,115 | |||
Repurchase agreements, at value (cost $515,916) | 515,916 | |||
Receivables: | ||||
Securities sold | 250,000 | |||
Dividends | 2,316 | |||
Interest | 696 | |||
Total assets | 1,461,039 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 29,335 | |||
Payable for: | ||||
Fund shares redeemed | 447,741 | |||
Swap settlement | 19,096 | |||
Securities purchased | 2,317 | |||
Management fees | 964 | |||
Transfer agent and administrative fees | 294 | |||
Investor service fees | 294 | |||
Portfolio accounting fees | 118 | |||
Trustees’ fees* | 30 | |||
Miscellaneous | 3,248 | |||
Total liabilities | 503,437 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 957,602 | ||
Net assets consist of: | ||||
Paid in capital | $ | 7,775,087 | ||
Total distributable earnings (loss) | (6,817,485 | ) | ||
Net assets | $ | 957,602 | ||
Capital shares outstanding | 16,422 | |||
Net asset value per share | $ | 58.31 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 13,618 | ||
Interest | 7,729 | |||
Total investment income | 21,347 | |||
Expenses: | ||||
Management fees | 7,133 | |||
Investor service fees | 1,981 | |||
Transfer agent and administrative fees | 1,981 | |||
Portfolio accounting fees | 793 | |||
Professional fees | 383 | |||
Trustees’ fees* | 170 | |||
Custodian fees | 125 | |||
Miscellaneous | 2,870 | |||
Total expenses | 15,436 | |||
Less: | ||||
Expenses waived by Adviser | (632 | ) | ||
Net expenses | 14,804 | |||
Net investment income | 6,543 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (4,810 | ) | ||
Swap agreements | (445,964 | ) | ||
Futures contracts | (6,181 | ) | ||
Net realized loss | (456,955 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 13 | |||
Investments in affiliated issuers | 4,173 | |||
Swap agreements | 22,353 | |||
Futures contracts | (5,496 | ) | ||
Net change in unrealized appreciation (depreciation) | 21,043 | |||
Net realized and unrealized loss | (435,912 | ) | ||
Net decrease in net assets resulting from operations | $ | (429,369 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
92| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 6,543 | $ | 7,165 | ||||
Net realized gain (loss) on investments | (456,955 | ) | 261,341 | |||||
Net change in unrealized appreciation (depreciation) on investments | 21,043 | (59,370 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (429,369 | ) | 209,136 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 8,974,873 | 22,485,357 | ||||||
Cost of shares redeemed | (11,369,933 | ) | (19,835,857 | ) | ||||
Net increase (decrease) from capital share transactions | (2,395,060 | ) | 2,649,500 | |||||
Net increase (decrease) in net assets | (2,824,429 | ) | 2,858,636 | |||||
Net assets: | ||||||||
Beginning of period | 3,782,031 | 923,395 | ||||||
End of period | $ | 957,602 | $ | 3,782,031 | ||||
Capital share activity: | ||||||||
Shares sold | 149,026 | 376,275 | ||||||
Shares redeemed | (187,991 | ) | (335,916 | ) | ||||
Net increase (decrease) in shares | (38,965 | ) | 40,359 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 93 |
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 | $ | 68.28 | $ | 61.44 | $ | 71.04 | $ | 89.12 | $ | 89.01 | $ | 97.61 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .25 | .31 | (.51 | ) | (.35 | ) | (1.20 | ) | (1.44 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (10.22 | ) | 6.53 | (9.09 | ) | (17.73 | ) | 1.31 | (7.16 | ) | ||||||||||||||
Total from investment operations | (9.97 | ) | 6.84 | (9.60 | ) | (18.08 | ) | .11 | (8.60 | ) | ||||||||||||||
Net asset value, end of period | $ | 58.31 | $ | 68.28 | $ | 61.44 | $ | 71.04 | $ | 89.12 | $ | 89.01 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (14.60 | %) | 11.13% | (13.49 | %) | (20.28 | %) | 0.10% | (8.85 | %) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 958 | $ | 3,782 | $ | 923 | $ | 12,310 | $ | 6,949 | $ | 1,592 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.83 | % | 0.51 | % | (0.74 | %) | (1.14 | %) | (1.39 | %) | (1.50 | %) | ||||||||||||
Total expensesd | 1.95 | % | 1.83 | % | 1.80 | % | 1.75 | % | 1.71 | % | 1.76 | % | ||||||||||||
Net expensese | 1.87 | % | 1.82 | % | 1.80 | % | 1.75 | % | 1.71 | % | 1.76 | % | ||||||||||||
Portfolio turnover rate | 74 | % | 287 | % | 445 | % | 1,160 | % | 452 | % | 415 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | 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. |
g | Reverse share split — Per share amounts for December 31, 2014, have been restated to reflect a 1:3 reverse share split effective January 24, 2014. |
94| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
DOW 2x STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that match the performance, before fees and expenses, 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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 3, 2004 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 31.4% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 27.7% |
Boeing Co. | 1.2% |
UnitedHealth Group, Inc. | 0.8% |
Home Depot, Inc. | 0.7% |
McDonald’s Corp. | 0.7% |
Goldman Sachs Group, Inc. | 0.7% |
Apple, Inc. | 0.6% |
Visa, Inc. — Class A | 0.6% |
3M Co. | 0.6% |
Top Ten Total | 65.0% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Dow 2x Strategy Fund | 28.88% | 16.33% | 19.84% | 26.10% |
Dow Jones Industrial Average Index | 15.40% | 12.20% | 12.29% | 15.03% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
DOW 2x STRATEGY FUND |
|
| Value | ||||||
COMMON STOCKS† - 12.7% | ||||||||
Industrial - 2.6% | ||||||||
Boeing Co. | 517 | $ | 188,193 | |||||
3M Co. | 517 | 89,617 | ||||||
Caterpillar, Inc. | 518 | 70,598 | ||||||
United Technologies Corp. | 517 | 67,314 | ||||||
Total Industrial | 415,722 | |||||||
Financial - 2.5% | ||||||||
Goldman Sachs Group, Inc. | 517 | 105,778 | ||||||
Visa, Inc. — Class A | 517 | 89,725 | ||||||
Travelers Companies, Inc. | 517 | 77,302 | ||||||
American Express Co. | 517 | 63,819 | ||||||
JPMorgan Chase & Co. | 517 | 57,800 | ||||||
Total Financial | 394,424 | |||||||
Consumer, Non-cyclical - 2.2% | ||||||||
UnitedHealth Group, Inc. | 517 | 126,153 | ||||||
Johnson & Johnson | 517 | 72,008 | ||||||
Procter & Gamble Co. | 517 | 56,689 | ||||||
Merck & Company, Inc. | 517 | 43,351 | ||||||
Coca-Cola Co. | 517 | 26,326 | ||||||
Pfizer, Inc. | 517 | 22,396 | ||||||
Total Consumer, Non-cyclical | 346,923 | |||||||
Consumer, Cyclical - 2.1% | ||||||||
Home Depot, Inc. | 519 | 107,937 | ||||||
McDonald’s Corp. | 517 | 107,360 | ||||||
Walmart, Inc. | 518 | 57,234 | ||||||
NIKE, Inc. — Class B | 517 | 43,402 | ||||||
Walgreens Boots Alliance, Inc. | 518 | 28,319 | ||||||
Total Consumer, Cyclical | 344,252 | |||||||
Technology - 1.7% | ||||||||
Apple, Inc. | 520 | 102,919 | ||||||
International Business Machines Corp. | 517 | 71,294 | ||||||
Microsoft Corp. | 517 | 69,257 | ||||||
Intel Corp. | 517 | 24,749 | ||||||
Total Technology | 268,219 | |||||||
Communications - 0.8% | ||||||||
Walt Disney Co. | 517 | 72,194 | ||||||
Verizon Communications, Inc. | 517 | 29,536 | ||||||
Cisco Systems, Inc. | 521 | 28,514 | ||||||
Total Communications | 130,244 | |||||||
Energy - 0.6% | ||||||||
Chevron Corp. | 517 | 64,335 | ||||||
Exxon Mobil Corp. | 517 | 39,618 | ||||||
Total Energy | 103,953 | |||||||
Basic Materials - 0.2% | ||||||||
Dow, Inc. | 517 | 25,493 | ||||||
Total Common Stocks | ||||||||
(Cost $1,499,584) | 2,029,230 | |||||||
MUTUAL FUNDS† - 59.1% | ||||||||
Guggenheim Strategy Fund II1 | 201,881 | 5,010,676 | ||||||
Guggenheim Ultra Short Duration Fund - Institutional Class1 | 443,832 | 4,420,570 | ||||||
Total Mutual Funds | ||||||||
(Cost $9,439,825) | 9,431,246 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 7.3% | ||||||||
U.S. Treasury Bills | ||||||||
2.12% due 08/01/192 | $ | 560,000 | 559,030 | |||||
1.90% due 08/01/192 | 450,000 | 449,221 | ||||||
2.09% due 08/01/192 | 100,000 | 99,827 | ||||||
2.11% due 07/16/192,3 | 61,000 | 60,948 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,168,948) | 1,169,026 | |||||||
REPURCHASE AGREEMENTS††,4 - 15.2% | ||||||||
JPMorgan Chase & Co. | 1,617,076 | 1,617,076 | ||||||
Bank of America Merrill Lynch | 401,710 | 401,710 | ||||||
Barclays Capital | 401,709 | 401,709 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $2,420,495) | 2,420,495 | |||||||
Total Investments - 94.3% | ||||||||
(Cost $14,528,852) | $ | 15,049,997 | ||||||
Other Assets & Liabilities, net - 5.7% | 907,117 | |||||||
Total Net Assets - 100.0% | $ | 15,957,114 |
96| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
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 | 5 | Sep 2019 | $ | 664,700 | $ | 11,442 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
BNP Paribas | Dow Jones Industrial Average Index | 2.90 | % | At Maturity | 07/29/19 | 639 | $ | 16,985,420 | $ | 37,421 | |||||||||
Barclays Bank plc | Dow Jones Industrial Average Index | 2.87 | % | At Maturity | 07/31/19 | 435 | 11,578,665 | 27,480 | |||||||||||
$ | 28,564,085 | $ | 64,901 |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
4 | Repurchase Agreements — See Note 6. |
5 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 2,029,230 | $ | — | $ | — | $ | 2,029,230 | ||||||||
Mutual Funds | 9,431,246 | — | — | 9,431,246 | ||||||||||||
U.S. Treasury Bills | — | 1,169,026 | — | 1,169,026 | ||||||||||||
Repurchase Agreements | — | 2,420,495 | — | 2,420,495 | ||||||||||||
Equity Futures Contracts** | 11,442 | — | — | 11,442 | ||||||||||||
Equity Index Swap Agreements** | — | 64,901 | — | 64,901 | ||||||||||||
Total Assets | $ | 11,471,918 | $ | 3,654,422 | $ | — | $ | 15,126,340 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 97 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
DOW 2x STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 4,151,762 | $ | 2,061,166 | $ | (1,200,000 | ) | $ | (7,817 | ) | $ | 5,565 | $ | 5,010,676 | 201,881 | $ | 61,680 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - Institutional Class | 2,275,396 | 6,147,303 | (4,000,000 | ) | (6,489 | ) | 4,360 | 4,420,570 | 443,832 | 47,544 | ||||||||||||||||||||||
$ | 6,427,158 | $ | 8,208,469 | $ | (5,200,000 | ) | $ | (14,306 | ) | $ | 9,925 | $ | 9,431,246 | $ | 109,224 |
98| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DOW 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $2,668,532) | $ | 3,198,256 | ||
Investments in affiliated issuers, at value (cost $9,439,825) | 9,431,246 | |||
Repurchase agreements, at value (cost $2,420,495) | 2,420,495 | |||
Segregated cash with broker | 58,400 | |||
Unrealized appreciation on OTC swap agreements | 64,901 | |||
Receivables: | ||||
Fund shares sold | 841,588 | |||
Dividends | 26,471 | |||
Variation margin on futures contracts | 1,050 | |||
Interest | 504 | |||
Total assets | 16,042,911 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 25,385 | |||
Professional fees | 11,298 | |||
Swap settlement | 10,813 | |||
Management fees | 10,655 | |||
Printing fees | 7,227 | |||
Transfer agent and administrative fees | 3,251 | |||
Investor service fees | 3,251 | |||
Portfolio accounting fees | 1,301 | |||
Trustees’ fees* | 290 | |||
Fund shares redeemed | 71 | |||
Miscellaneous | 12,255 | |||
Total liabilities | 85,797 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 15,957,114 | ||
Net assets consist of: | ||||
Paid in capital | $ | 14,444,717 | ||
Total distributable earnings (loss) | 1,512,397 | |||
Net assets | $ | 15,957,114 | ||
Capital shares outstanding | 111,046 | |||
Net asset value per share | $ | 143.70 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 49,203 | ||
Dividends from securities of affiliated issuers | 109,224 | |||
Interest | 39,180 | |||
Total investment income | 197,607 | |||
Expenses: | ||||
Management fees | 69,880 | |||
Investor service fees | 19,411 | |||
Transfer agent and administrative fees | 19,411 | |||
Professional fees | 11,627 | |||
Portfolio accounting fees | 7,764 | |||
Trustees’ fees* | 2,078 | |||
Custodian fees | 1,761 | |||
Line of credit fees | 1 | |||
Miscellaneous | 18,522 | |||
Total expenses | 150,455 | |||
Less: | ||||
Expenses waived by Adviser | (4,340 | ) | ||
Net expenses | 146,115 | |||
Net investment income | 51,492 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 201,088 | |||
Investments in affiliated issuers | (14,306 | ) | ||
Swap agreements | 2,963,605 | |||
Futures contracts | 388,146 | |||
Net realized gain | 3,538,533 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 382,769 | |||
Investments in affiliated issuers | 9,925 | |||
Swap agreements | (119,079 | ) | ||
Futures contracts | 89,396 | |||
Net change in unrealized appreciation (depreciation) | 363,011 | |||
Net realized and unrealized gain | 3,901,544 | |||
Net increase in net assets resulting from operations | $ | 3,953,036 |
* | 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| 99 |
DOW 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 51,492 | $ | 111,188 | ||||
Net realized gain (loss) on investments | 3,538,533 | (2,619,591 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 363,011 | (289,075 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 3,953,036 | (2,797,478 | ) | |||||
Distributions to shareholders | — | (3,676,566 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 36,219,183 | 97,491,839 | ||||||
Distributions reinvested | — | 3,676,566 | ||||||
Cost of shares redeemed | (38,424,555 | ) | (103,803,896 | ) | ||||
Net decrease from capital share transactions | (2,205,372 | ) | (2,635,491 | ) | ||||
Net increase (decrease) in net assets | 1,747,664 | (9,109,535 | ) | |||||
Net assets: | ||||||||
Beginning of period | 14,209,450 | 23,318,985 | ||||||
End of period | $ | 15,957,114 | $ | 14,209,450 | ||||
Capital share activity: | ||||||||
Shares sold | 272,490 | 642,512 | ||||||
Shares issued from reinvestment of distributions | — | 27,641 | ||||||
Shares redeemed | (288,884 | ) | (678,730 | ) | ||||
Net decrease in shares | (16,394 | ) | (8,577 | ) |
100| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 111.50 | $ | 171.44 | $ | 110.08 | $ | 84.22 | $ | 112.60 | $ | 169.97 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .44 | 1.01 | .25 | .06 | (.06 | ) | (.40 | ) | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 31.76 | (18.55 | ) | 63.43 | 25.80 | (2.89 | ) | 27.20 | ||||||||||||||||
Total from investment operations | 32.20 | (17.54 | ) | 63.68 | 25.86 | (2.95 | ) | 26.80 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.36 | ) | (.06 | ) | — | — | — | ||||||||||||||||
Net realized gains | — | (42.04 | ) | (2.26 | ) | — | (25.43 | ) | (84.17 | ) | ||||||||||||||
Total distributions | — | (42.40 | ) | (2.32 | ) | — | (25.43 | ) | (84.17 | ) | ||||||||||||||
Net asset value, end of period | $ | 143.70 | $ | 111.50 | $ | 171.44 | $ | 110.08 | $ | 84.22 | $ | 112.60 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 28.88% | (14.23 | %) | 58.51% | 30.72% | (4.22 | %) | 16.80% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 15,957 | $ | 14,209 | $ | 23,319 | $ | 16,510 | $ | 21,905 | $ | 19,978 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.66 | % | 0.65 | % | 0.18 | % | 0.07 | % | (0.06 | %) | (0.25 | %) | ||||||||||||
Total expensesd | 1.94 | % | 1.80 | % | 1.81 | % | 1.77 | % | 1.72 | % | 1.76 | % | ||||||||||||
Net expensese | 1.88 | % | 1.80 | % | 1.81 | % | 1.77 | % | 1.72 | % | 1.76 | % | ||||||||||||
Portfolio turnover rate | 121 | % | 362 | % | 256 | % | 361 | % | 212 | % | 227 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 101 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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 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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 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 | 32.8% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 24.2% |
Total | 57.0% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse Dow 2x Strategy Fund | (24.62%) | (22.61%) | (23.87%) | (29.15%) |
Dow Jones Industrial Average Index | 15.40% | 12.20% | 12.29% | 15.03% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
INVERSE DOW 2x STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 57.0% | ||||||||
Guggenheim Strategy Fund II1 | 46,417 | $ | 1,152,068 | |||||
Guggenheim Ultra Short Duration Fund - Institutional Class1 | 85,599 | 852,566 | ||||||
Total Mutual Funds | ||||||||
(Cost $2,004,874) | 2,004,634 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 8.5% | ||||||||
Federal Home Loan Bank | ||||||||
2.22% due 07/02/192 | $ | 300,000 | 299,982 | |||||
Total Federal Agency Discount Notes | ||||||||
(Cost $299,982) | 299,982 | |||||||
FEDERAL AGENCY NOTES†† - 2.8% | ||||||||
Farmer Mac | ||||||||
1.55% due 07/03/19 | 100,000 | 99,996 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $99,994) | 99,996 | |||||||
REPURCHASE AGREEMENTS††,3 - 33.7% | ||||||||
JPMorgan Chase & Co. | 791,672 | 791,672 | ||||||
Bank of America Merrill Lynch | 196,665 | 196,665 | ||||||
Barclays Capital | 196,665 | 196,665 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,185,002) | 1,185,002 | |||||||
Total Investments - 102.0% | ||||||||
(Cost $3,589,852) | $ | 3,589,614 | ||||||
Other Assets & Liabilities, net - (2.0)% | (70,198 | ) | ||||||
Total Net Assets - 100.0% | $ | 3,519,416 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Equity Futures Contracts Sold Short† | |||||||||||||
Dow Jones Industrial Average Index Mini Futures Contracts | 3 | Sep 2019 | $ | 398,820 | $ | 1,140 |
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 | (2.62 | %) | At Maturity | 07/31/19 | 42 | $ | 1,117,935 | $ | (2,656 | ) | ||||||||
BNP Paribas | Dow Jones Industrial Average Index | (2.40 | %) | At Maturity | 07/29/19 | 209 | 5,547,166 | (13,160 | ) | ||||||||||
$ | 6,665,101 | $ | (15,816 | ) |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 | Repurchase Agreements — See Note 6. |
4 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2019. |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 103 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
INVERSE DOW 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 2,004,634 | $ | — | $ | — | $ | 2,004,634 | ||||||||
Federal Agency Discount Notes | — | 299,982 | — | 299,982 | ||||||||||||
Federal Agency Notes | — | 99,996 | — | 99,996 | ||||||||||||
Repurchase Agreements | — | 1,185,002 | — | 1,185,002 | ||||||||||||
Equity Futures Contracts** | 1,140 | — | — | 1,140 | ||||||||||||
Total Assets | $ | 2,005,774 | $ | 1,584,980 | $ | — | $ | 3,590,754 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Index Swap Agreements** | $ | — | $ | 15,816 | $ | — | $ | 15,816 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 649,397 | $ | 2,111,936 | $ | (1,610,000 | ) | $ | (2,910 | ) | $ | 3,645 | $ | 1,152,068 | 46,417 | $ | 12,029 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 447,159 | 2,460,018 | (2,055,000 | ) | (622 | ) | 1,011 | 852,566 | 85,599 | 10,065 | ||||||||||||||||||||||
$ | 1,096,556 | $ | 4,571,954 | $ | (3,665,000 | ) | $ | (3,532 | ) | $ | 4,656 | $ | 2,004,634 | $ | 22,094 |
104| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE DOW 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $399,976) | $ | 399,978 | ||
Investments in affiliated issuers, at value (cost $2,004,874) | 2,004,634 | |||
Repurchase agreements, at value (cost $1,185,002) | 1,185,002 | |||
Segregated cash with broker | 16,500 | |||
Receivables: | ||||
Dividends | 3,145 | |||
Fund shares sold | 2,745 | |||
Swap settlement | 1,715 | |||
Interest | 1,013 | |||
Total assets | 3,614,732 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 15,816 | |||
Payable for: | ||||
Fund shares redeemed | 65,506 | |||
Securities purchased | 3,145 | |||
Management fees | 1,482 | |||
Variation margin on futures contracts | 630 | |||
Transfer agent and administrative fees | 446 | |||
Investor service fees | 446 | |||
Portfolio accounting fees | 179 | |||
Trustees’ fees* | 72 | |||
Miscellaneous | 7,594 | |||
Total liabilities | 95,316 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 3,519,416 | ||
Net assets consist of: | ||||
Paid in capital | $ | 22,037,360 | ||
Total distributable earnings (loss) | (18,517,944 | ) | ||
Net assets | $ | 3,519,416 | ||
Capital shares outstanding | 113,894 | |||
Net asset value per share | $ | 30.90 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 22,094 | ||
Interest | 27,628 | |||
Total investment income | 49,722 | |||
Expenses: | ||||
Management fees | 17,769 | |||
Investor service fees | 4,936 | |||
Transfer agent and administrative fees | 4,936 | |||
Professional fees | 2,793 | |||
Portfolio accounting fees | 1,974 | |||
Trustees’ fees* | 503 | |||
Custodian fees | 395 | |||
Line of credit fees | 4 | |||
Miscellaneous | 5,093 | |||
Total expenses | 38,403 | |||
Less: | ||||
Expenses waived by Adviser | (971 | ) | ||
Net expenses | 37,432 | |||
Net investment income | 12,290 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 17 | |||
Investments in affiliated issuers | (3,532 | ) | ||
Swap agreements | (982,398 | ) | ||
Futures contracts | (27,502 | ) | ||
Net realized loss | (1,013,415 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 36 | |||
Investments in affiliated issuers | 4,656 | |||
Swap agreements | 15,174 | |||
Futures contracts | 1,140 | |||
Net change in unrealized appreciation (depreciation) | 21,006 | |||
Net realized and unrealized loss | (992,409 | ) | ||
Net decrease in net assets resulting from operations | $ | (980,119 | ) |
* | 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| 105 |
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 | $ | 12,290 | $ | 22,977 | ||||
Net realized gain (loss) on investments | (1,013,415 | ) | 1,044,324 | |||||
Net change in unrealized appreciation (depreciation) on investments | 21,006 | (53,383 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (980,119 | ) | 1,013,918 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 40,455,059 | 56,638,059 | ||||||
Cost of shares redeemed | (38,077,322 | ) | (59,229,156 | ) | ||||
Net increase (decrease) from capital share transactions | 2,377,737 | (2,591,097 | ) | |||||
Net increase (decrease) in net assets | 1,397,618 | (1,577,179 | ) | |||||
Net assets: | ||||||||
Beginning of period | 2,121,798 | 3,698,977 | ||||||
End of period | $ | 3,519,416 | $ | 2,121,798 | ||||
Capital share activity: | ||||||||
Shares sold | 1,103,416 | 1,570,062 | ||||||
Shares redeemed | (1,041,281 | ) | (1,609,825 | ) | ||||
Net increase (decrease) in shares | 62,135 | (39,763 | ) |
106| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 40.99 | $ | 40.42 | $ | 66.22 | $ | 94.11 | $ | 102.38 | $ | 130.67 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .10 | .25 | (.32 | ) | (.25 | ) | (1.50 | ) | (1.80 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (10.19 | ) | .32 | (25.48 | ) | (27.64 | ) | (6.77 | ) | (26.49 | ) | |||||||||||||
Total from investment operations | (10.09 | ) | .57 | (25.80 | ) | (27.89 | ) | (8.27 | ) | (28.29 | ) | |||||||||||||
Net asset value, end of period | $ | 30.90 | $ | 40.99 | $ | 40.42 | $ | 66.22 | $ | 94.11 | $ | 102.38 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (24.62 | %) | 1.43% | (38.95 | %) | (29.65 | %) | (8.03 | %) | (21.77 | %) | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,519 | $ | 2,122 | $ | 3,699 | $ | 3,403 | $ | 5,057 | $ | 2,305 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.62 | % | 0.67 | % | (0.58 | %) | (0.84 | %) | (1.52 | %) | (1.51 | %) | ||||||||||||
Total expensesd | 1.95 | % | 1.81 | % | 1.81 | % | 1.77 | % | 1.72 | % | 1.77 | % | ||||||||||||
Net expensese | 1.90 | % | 1.80 | % | 1.81 | % | 1.77 | % | 1.72 | % | 1.77 | % | ||||||||||||
Portfolio turnover rate | 225 | % | 524 | % | 915 | % | 642 | % | 270 | % | 247 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | 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. |
g | 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| 107 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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: 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 | 39.3% |
Guggenheim Strategy Fund II | 13.5% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 8.6% |
Total | 61.4% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Government Long Bond 1.2x Strategy Fund | 13.20% | 13.09% | 5.26% | 6.53% |
Price Movement of Long Treasury Bond** | 10.23% | 9.41% | 2.91% | 2.88% |
Bloomberg Barclays U.S. Long Treasury Index | 10.98% | 12.30% | 5.71% | 6.53% |
* | 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 Index and the 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 22.1% | ||||||||
Guggenheim Strategy Fund II1 | 86,381 | $ | 2,143,980 | |||||
Guggenheim Ultra Short Duration Fund - Institutional Class1 | 136,199 | 1,356,545 | ||||||
Total Mutual Funds | ||||||||
(Cost $3,502,425) | 3,500,525 | |||||||
Face | ||||||||
U.S. GOVERNMENT SECURITIES†† - 39.3% | ||||||||
U.S. Treasury Bonds | ||||||||
2.88% due 05/15/49 | $ | 5,800,000 | 6,211,437 | |||||
Total U.S. Government Securities | ||||||||
(Cost $5,894,145) | 6,211,437 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 14.5% | ||||||||
Federal Home Loan Bank | ||||||||
1.90% due 07/01/192 | 2,300,000 | 2,300,000 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $2,300,000) | 2,300,000 | |||||||
U.S. TREASURY BILLS†† - 1.3% | ||||||||
U.S. Treasury Bills | ||||||||
2.11% due 07/16/192,3 | 205,000 | 204,825 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $204,813) | 204,825 | |||||||
REPURCHASE AGREEMENTS††,4 - 27.6% | ||||||||
JPMorgan Chase & Co. | 2,910,760 | 2,910,760 | ||||||
Bank of America Merrill Lynch | 723,083 | 723,083 | ||||||
Barclays Capital | 723,082 | 723,082 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $4,356,925) | 4,356,925 | |||||||
Total Investments - 104.8% | ||||||||
(Cost $16,258,308) | $ | 16,573,712 | ||||||
Other Assets & Liabilities, net - (4.8)% | (760,428 | ) | ||||||
Total Net Assets - 100.0% | $ | 15,813,284 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Interest Rate Futures Contracts Purchased† | |||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 82 | Sep 2019 | $ | 14,547,313 | $ | 314,436 |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
4 | Repurchase Agreements — See Note 6. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 109 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 3,500,525 | $ | — | $ | — | $ | 3,500,525 | ||||||||
U.S. Government Securities | — | 6,211,437 | — | 6,211,437 | ||||||||||||
Federal Agency Discount Notes | — | 2,300,000 | — | 2,300,000 | ||||||||||||
U.S. Treasury Bills | — | 204,825 | — | 204,825 | ||||||||||||
Repurchase Agreements | — | 4,356,925 | — | 4,356,925 | ||||||||||||
Interest Rate Futures Contracts** | 314,436 | — | — | 314,436 | ||||||||||||
Total Assets | $ | 3,814,961 | $ | 13,073,187 | $ | — | $ | 16,888,148 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 3,111,413 | $ | 1,384,037 | $ | (2,350,000 | ) | $ | (14,835 | ) | $ | 13,365 | $ | 2,143,980 | 86,381 | $ | 34,422 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 1,590,738 | 4,616,366 | (4,850,000 | ) | (6,989 | ) | 6,430 | 1,356,545 | 136,199 | 16,533 | ||||||||||||||||||||||
$ | 4,702,151 | $ | 6,000,403 | $ | (7,200,000 | ) | $ | (21,824 | ) | $ | 19,795 | $ | 3,500,525 | $ | 50,955 |
110| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $8,398,958) | $ | 8,716,262 | ||
Investments in affiliated issuers, at value (cost $3,502,425) | 3,500,525 | |||
Repurchase agreements, at value (cost $4,356,925) | 4,356,925 | |||
Segregated cash with broker | 96,381 | |||
Receivables: | ||||
Interest | 22,206 | |||
Dividends | 11,560 | |||
Total assets | 16,703,859 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 804,033 | |||
Variation margin on futures contracts | 29,710 | |||
Securities purchased | 11,560 | |||
Management fees | 7,743 | |||
Investor service fees | 4,065 | |||
Transfer agent and administrative fees | 3,252 | |||
Portfolio accounting fees | 1,626 | |||
Trustees’ fees* | 298 | |||
Miscellaneous | 28,288 | |||
Total liabilities | 890,575 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 15,813,284 | ||
Net assets consist of: | ||||
Paid in capital | $ | 25,359,695 | ||
Total distributable earnings (loss) | (9,546,411 | ) | ||
Net assets | $ | 15,813,284 | ||
Capital shares outstanding | 475,235 | |||
Net asset value per share | $ | 33.27 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 50,955 | ||
Interest | 175,928 | |||
Total investment income | 226,883 | |||
Expenses: | ||||
Management fees | 39,853 | |||
Investor service fees | 19,926 | |||
Transfer agent and administrative fees | 15,941 | |||
Professional fees | 11,213 | |||
Portfolio accounting fees | 7,971 | |||
Trustees’ fees* | 1,660 | |||
Custodian fees | 1,549 | |||
Line of credit fees | 334 | |||
Miscellaneous | 16,826 | |||
Total expenses | 115,273 | |||
Less: | ||||
Expenses waived by Adviser | (1,552 | ) | ||
Net expenses | 113,721 | |||
Net investment income | 113,162 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 1,415,833 | |||
Investments in affiliated issuers | (21,824 | ) | ||
Futures contracts | 875,203 | |||
Net realized gain | 2,269,212 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (29,607 | ) | ||
Investments in affiliated issuers | 19,795 | |||
Futures contracts | (187,710 | ) | ||
Net change in unrealized appreciation (depreciation) | (197,522 | ) | ||
Net realized and unrealized gain | 2,071,690 | |||
Net increase in net assets resulting from operations | $ | 2,184,852 |
* | 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| 111 |
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 | $ | 113,162 | $ | 199,261 | ||||
Net realized gain (loss) on investments | 2,269,212 | (1,208,479 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (197,522 | ) | 657,189 | |||||
Net increase (decrease) in net assets resulting from operations | 2,184,852 | (352,029 | ) | |||||
Distributions to shareholders | (112,665 | ) | (219,788 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 123,830,132 | 246,354,128 | ||||||
Distributions reinvested | 112,665 | 219,788 | ||||||
Cost of shares redeemed | (123,638,130 | ) | (244,183,035 | ) | ||||
Net increase from capital share transactions | 304,667 | 2,390,881 | ||||||
Net increase in net assets | 2,376,854 | 1,819,064 | ||||||
Net assets: | ||||||||
Beginning of period | 13,436,430 | 11,617,366 | ||||||
End of period | $ | 15,813,284 | $ | 13,436,430 | ||||
Capital share activity: | ||||||||
Shares sold | 4,013,359 | 8,395,631 | ||||||
Shares issued from reinvestment of distributions | 3,668 | 7,557 | ||||||
Shares redeemed | (3,995,706 | ) | (8,314,762 | ) | ||||
Net increase in shares | 21,321 | 88,426 |
112| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 | $ | 29.60 | $ | 31.79 | $ | 29.36 | $ | 29.73 | $ | 45.27 | $ | 33.88 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .22 | .46 | .38 | .31 | .32 | .29 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.67 | (2.16 | ) | 2.43 | (.38 | ) | (3.29 | ) | 11.38 | |||||||||||||||
Total from investment operations | 3.89 | (1.70 | ) | 2.81 | (.07 | ) | (2.97 | ) | 11.67 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (.22 | ) | (.46 | ) | (.38 | ) | (.30 | ) | (.31 | ) | (.28 | ) | ||||||||||||
Net realized gains | — | (.03 | ) | — | — | (12.26 | ) | — | ||||||||||||||||
Total distributions | (.22 | ) | (.49 | ) | (.38 | ) | (.30 | ) | (12.57 | ) | (.28 | ) | ||||||||||||
Net asset value, end of period | $ | 33.27 | $ | 29.60 | $ | 31.79 | $ | 29.36 | $ | 29.73 | $ | 45.27 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 13.20% | (5.32 | %) | 9.64% | (0.33 | %) | (5.09 | %) | 34.67% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 15,813 | $ | 13,436 | $ | 11,617 | $ | 17,124 | $ | 17,372 | $ | 28,003 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.42 | % | 1.58 | % | 1.24 | % | 0.93 | % | 0.86 | % | 0.72 | % | ||||||||||||
Total expensesd | 1.45 | % | 1.32 | % | 1.30 | % | 1.25 | % | 1.21 | % | 1.26 | % | ||||||||||||
Net expensese | 1.43 | % | 1.32 | % | 1.30 | % | 1.25 | % | 1.21 | % | 1.26 | % | ||||||||||||
Portfolio turnover rate | 748 | % | 2,292 | % | 2,055 | % | 1,386 | % | 1,800 | % | 1,763 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | 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| 113 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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 most recently issued 30 year U.S. Treasury Bond. 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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 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 | 37.1% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 37.1% |
Total | 74.2% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse Government Long Bond Strategy Fund | (9.64%) | (9.73%) | (6.71%) | (8.78%) |
Price Movement of Long Treasury Bond** | 10.23% | 9.41% | 2.91% | 2.88% |
Bloomberg Barclays U.S. Long Treasury Index | 10.98% | 12.30% | 5.71% | 6.53% |
* | 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 Index and the 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
114 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
|
| Value | ||||||
MUTUAL FUNDS† - 74.2% | ||||||||
Guggenheim Strategy Fund II1 | 35,452 | $ | 879,928 | |||||
Guggenheim Ultra Short Duration Fund - Institutional Class1 | 88,151 | 877,980 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,755,380) | 1,757,908 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 9.5% | ||||||||
Farmer Mac | ||||||||
2.48% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 09/01/202 | $ | 125,000 | 124,999 | |||||
1.55% due 07/03/19 | 100,000 | 99,997 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $224,994) | 224,996 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 4.2% | ||||||||
Federal Home Loan Bank | ||||||||
2.22% due 07/02/193 | 100,000 | 99,994 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,994) | 99,994 | |||||||
U.S. TREASURY BILLS†† - 1.2% | ||||||||
U.S. Treasury Bills | ||||||||
2.11% due 07/16/193,4 | 28,000 | 27,976 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $27,974) | 27,976 | |||||||
REPURCHASE AGREEMENTS†† - 55.6% | ||||||||
Individual Repurchase Agreements5 | ||||||||
Mizuho Financial Group, Inc. | 527,114 | 527,114 | ||||||
Barclays Capital | 526,250 | 526,250 | ||||||
Joint Repurchase Agreements6 | ||||||||
JPMorgan Chase & Co. | 175,819 | 175,819 | ||||||
Bank of America Merrill Lynch | 43,677 | 43,677 | ||||||
Barclays Capital | 43,677 | 43,677 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,316,537) | 1,316,537 | |||||||
Total Investments - 144.7% | ||||||||
(Cost $3,424,879) | $ | 3,427,411 | ||||||
U.S. Government Securities Sold Short†† - (45.2%) | ||||||||
U.S. Treasury Bond | ||||||||
2.88% due 05/15/49 | 1,000,000 | (1,070,938 | ) | |||||
Total U.S. Government Securities Sold Short | ||||||||
(Proceeds $1,026,339) | (1,070,938 | ) | ||||||
Other Assets & Liabilities, net - 0.5% | 11,388 | |||||||
Total Net Assets - 100.0% | $ | 2,367,861 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Interest Rate Futures Contracts Sold Short† | |||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 8 | Sep 2019 | $ | 1,419,250 | $ | (42,888 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 115 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
5 | All or a portion of this security is pledged as short security collateral at June 30, 2019. |
6 | 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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 1,757,908 | $ | — | $ | — | $ | 1,757,908 | ||||||||
Federal Agency Notes | — | 224,996 | — | 224,996 | ||||||||||||
Federal Agency Discount Notes | — | 99,994 | — | 99,994 | ||||||||||||
U.S. Treasury Bills | — | 27,976 | — | 27,976 | ||||||||||||
Repurchase Agreements | — | 1,316,537 | — | 1,316,537 | ||||||||||||
Total Assets | $ | 1,757,908 | $ | 1,669,503 | $ | — | $ | 3,427,411 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Government Securities | $ | — | $ | 1,070,938 | $ | — | $ | 1,070,938 | ||||||||
Interest Rate Futures Contracts** | 42,888 | — | — | 42,888 | ||||||||||||
Total Liabilities | $ | 42,888 | $ | 1,070,938 | $ | — | $ | 1,113,826 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
116| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,467,994 | $ | 976,611 | $ | (1,565,000 | ) | $ | (3,152 | ) | $ | 3,475 | $ | 879,928 | 35,452 | $ | 16,793 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - | 1,452,530 | 975,177 | (1,550,000 | ) | (6,104 | ) | 6,377 | 877,980 | 88,151 | 15,330 | ||||||||||||||||||||||
$ | 2,920,524 | $ | 1,951,788 | $ | (3,115,000 | ) | $ | (9,256 | ) | $ | 9,852 | $ | 1,757,908 | $ | 32,123 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 117 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $352,962) | $ | 352,966 | ||
Investments in affiliated issuers, at value (cost $1,755,380) | 1,757,908 | |||
Repurchase agreements, at value (cost $1,316,537) | 1,316,537 | |||
Receivables: | ||||
Fund shares sold | 20,322 | |||
Dividends | 4,383 | |||
Variation margin on futures contracts | 2,750 | |||
Interest | 1,279 | |||
Total assets | 3,456,145 | |||
Liabilities: | ||||
Securities sold short, at value (proceeds $1,026,339) | 1,070,938 | |||
Payable for: | ||||
Securities purchased | 4,383 | |||
Interest payable on short sales | 3,672 | |||
Management fees | 1,566 | |||
Transfer agent and administrative fees | 486 | |||
Investor service fees | 486 | |||
Fund shares redeemed | 419 | |||
Portfolio accounting fees | 194 | |||
Trustees’ fees* | 64 | |||
Miscellaneous | 6,076 | |||
Total liabilities | 1,088,284 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 2,367,861 | ||
Net assets consist of: | ||||
Paid in capital | $ | 9,687,594 | ||
Total distributable earnings (loss) | (7,319,733 | ) | ||
Net assets | $ | 2,367,861 | ||
Capital shares outstanding | 26,650 | |||
Net asset value per share | $ | 88.85 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 32,123 | ||
Interest | 35,853 | |||
Total investment income | 67,976 | |||
Expenses: | ||||
Management fees | 15,180 | |||
Investor service fees | 4,217 | |||
Transfer agent and administrative fees | 4,217 | |||
Short interest expense | 33,611 | |||
Portfolio accounting fees | 1,687 | |||
Trustees’ fees* | 529 | |||
Custodian fees | 416 | |||
Miscellaneous | 5,819 | |||
Total expenses | 65,676 | |||
Less: | ||||
Expenses waived by Adviser | (1,467 | ) | ||
Net expenses | 64,209 | |||
Net investment income | 3,767 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (9,256 | ) | ||
Futures contracts | (86,604 | ) | ||
Securities sold short | (248,991 | ) | ||
Net realized loss | (344,851 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 52 | |||
Investments in affiliated issuers | 9,852 | |||
Futures contracts | 15,820 | |||
Securities sold short | 108,698 | |||
Net change in unrealized appreciation (depreciation) | 134,422 | |||
Net realized and unrealized loss | (210,429 | ) | ||
Net decrease in net assets resulting from operations | $ | (206,662 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
118| 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 income (loss) | $ | 3,767 | $ | (29,356 | ) | |||
Net realized gain (loss) on investments | (344,851 | ) | 374,856 | |||||
Net change in unrealized appreciation (depreciation) on investments | 134,422 | (213,288 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (206,662 | ) | 132,212 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 27,180,711 | 42,664,602 | ||||||
Cost of shares redeemed | (29,032,113 | ) | (43,047,030 | ) | ||||
Net decrease from capital share transactions | (1,851,402 | ) | (382,428 | ) | ||||
Net decrease in net assets | (2,058,064 | ) | (250,216 | ) | ||||
Net assets: | ||||||||
Beginning of period | 4,425,925 | 4,676,141 | ||||||
End of period | $ | 2,367,861 | $ | 4,425,925 | ||||
Capital share activity: | ||||||||
Shares sold | 281,358 | 424,953 | ||||||
Shares redeemed | (299,718 | ) | (429,298 | ) | ||||
Net decrease in shares | (18,360 | ) | (4,345 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 119 |
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 | $ | 98.33 | $ | 94.75 | $ | 104.00 | $ | 107.17 | $ | 108.46 | $ | 159.80 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .11 | (.64 | ) | (1.88 | ) | (.87 | ) | (3.63 | ) | (5.40 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (9.59 | ) | 4.22 | (7.37 | ) | (2.30 | ) | 2.34 | (33.58 | ) | ||||||||||||||
Total from investment operations | (9.48 | ) | 3.58 | (9.25 | ) | (3.17 | ) | (1.29 | ) | (38.98 | ) | |||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | — | — | — | (12.36 | ) | |||||||||||||||||
Total distributions | — | — | — | — | — | (12.36 | ) | |||||||||||||||||
Net asset value, end of period | $ | 88.85 | $ | 98.33 | $ | 94.75 | $ | 104.00 | $ | 107.17 | $ | 108.46 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (9.64 | %) | 3.79% | (8.89 | %) | (2.94 | %) | (1.22 | %) | (24.91 | %) | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,368 | $ | 4,426 | $ | 4,676 | $ | 3,821 | $ | 4,740 | $ | 6,595 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.22 | % | (0.63 | %) | (1.89 | %) | (2.59 | %) | (3.39 | %) | (3.90 | %) | ||||||||||||
Total expensesd | 3.89 | % | 4.31 | % | 4.00 | % | 3.65 | % | 3.66 | % | 4.10 | % | ||||||||||||
Net expensese,f | 3.81 | % | 4.30 | % | 4.00 | % | 3.65 | % | 3.66 | % | 4.10 | % | ||||||||||||
Portfolio turnover rate | 582 | % | 907 | % | 2,300 | % | 1,384 | % | 1,305 | % | 2,537 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Total expenses may include interest expense related to short sales. Excluding interest expense, the net expense ratios for the periods presented would be: |
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
1.81% | 1.75% | 1.75% | 1.72% | 1.65% | 1.71% |
g | Reverse share split — Per share amounts for the period presented through December 31, 2014, have been restated to reflect a 1:5 reverse share split effective January 24, 2014. |
h | 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. |
120| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 15, 2014 |
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 20.1% |
Guggenheim Ultra Short Duration Fund - Institutional Class | 20.1% |
Total | 40.2% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | Since |
High Yield Strategy Fund | 10.19% | 10.46% | 5.95% |
Bloomberg Barclays U.S. Corporate High Yield Index | 9.94% | 7.48% | 5.66% |
* | 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 is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
HIGH YIELD STRATEGY FUND |
|
| Value | ||||||
EXCHANGE-TRADED FUNDS† - 0.0% | ||||||||
iShares iBoxx High Yield Corporate Bond ETF | 20 | $ | 1,743 | |||||
SPDR Bloomberg Barclays High Yield Bond ETF1 | 15 | 1,634 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $2,949) | 3,377 | |||||||
MUTUAL FUNDS† - 40.2% | ||||||||
Guggenheim Strategy Fund II2 | 71,885 | 1,784,180 | ||||||
Guggenheim Ultra Short Duration Fund - Institutional Class2 | 178,848 | 1,781,326 | ||||||
Total Mutual Funds | ||||||||
(Cost $3,555,526) | 3,565,506 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 13.8% | ||||||||
Federal Home Loan Bank | ||||||||
2.44% (3 Month USD LIBOR - 0.16%, Rate Floor: 0.00%) due 07/05/193 | $ | 635,000 | 635,010 | |||||
2.34% (1 Month USD LIBOR - 0.07%, Rate Floor: 0.00%) due 10/01/193 | 290,000 | 289,955 | ||||||
Farmer Mac | ||||||||
1.55% due 07/03/19 | 200,000 | 199,993 | ||||||
Federal Farm Credit Bank | ||||||||
2.70% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/223 | 100,000 | 100,184 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $1,225,012) | 1,225,142 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 3.4% | ||||||||
Federal Home Loan Bank | ||||||||
2.22% due 07/02/194 | 300,000 | 299,982 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $299,982) | 299,982 | |||||||
U.S. TREASURY BILLS†† - 0.5% | ||||||||
U.S. Treasury Bills | ||||||||
2.11% due 07/16/194,5 | 42,000 | 41,964 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $41,961) | 41,964 | |||||||
REPURCHASE AGREEMENTS††,6 - 36.0% | ||||||||
JPMorgan Chase & Co. | 2,133,512 | 2,133,512 | ||||||
Bank of America Merrill Lynch | 530,001 | 530,001 | ||||||
Barclays Capital | 530,001 | 530,001 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $3,193,514) | 3,193,514 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,8 - 0.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%9 | 1,224 | 1,224 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $1,224) | 1,224 | |||||||
Total Investments - 93.9% | ||||||||
(Cost $8,320,168) | $ | 8,330,709 | ||||||
Other Assets & Liabilities, net - 6.1% | 543,272 | |||||||
Total Net Assets - 100.0% | $ | 8,873,981 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Interest Rate Futures Contracts Purchased† | |||||||||||||
U.S. Treasury 5 Year Note Futures Contracts | 63 | Sep 2019 | $ | 7,441,875 | $ | 59,684 |
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.32 | 5.00 | % | Quarterly | 06/20/24 | $ | 7,400,000 | $ | 559,181 | $ | 428,323 | $ | 130,858 |
122| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
HIGH YIELD STRATEGY FUND |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Reference | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Credit Index Swap Agreements††,10 | |||||||||||||||||||
Goldman Sachs International | iShares iBoxx High Yield Corporate Bond | 2.60 | % | At Maturity | 07/26/19 | 11,203 | $ | 976,678 | $ | (1,568 | ) |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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, 2019 — See Note 7. |
2 | Affiliated issuer. |
3 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
6 | Repurchase Agreements — See Note 6. |
7 | All or a portion of this security is pledged as credit index swap collateral at June 30, 2019. |
8 | Securities lending collateral — See Note 7. |
9 | Rate indicated is the 7-day yield as of June 30, 2019. |
10 | Total return based on iShares iBoxx $ High Yield Corporate Bond ETF +/- financing at variable rate. Rate indicated is the rate effective June 30, 2019. |
CDX.NA.HY.32 Index — Credit Default Swap North American High Yield Series 32 Index | |
ICE — Intercontinental Exchange | |
LIBOR — London Interbank Offered Rate | |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange-Traded Funds | $ | 3,377 | $ | — | $ | — | $ | 3,377 | ||||||||
Mutual Funds | 3,565,506 | — | — | 3,565,506 | ||||||||||||
Federal Agency Notes | — | 1,225,142 | — | 1,225,142 | ||||||||||||
Federal Agency Discount Notes | — | 299,982 | — | 299,982 | ||||||||||||
U.S. Treasury Bills | — | 41,964 | — | 41,964 | ||||||||||||
Repurchase Agreements | — | 3,193,514 | — | 3,193,514 | ||||||||||||
Securities Lending Collateral | 1,224 | — | — | 1,224 | ||||||||||||
Interest Rate Futures Contracts** | 59,684 | — | — | 59,684 | ||||||||||||
Credit Default Swap Agreements** | — | 130,858 | — | 130,858 | ||||||||||||
Total Assets | $ | 3,629,791 | $ | 4,891,460 | $ | — | $ | 8,521,251 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Credit Index Swap Agreements** | $ | — | $ | 1,568 | $ | — | $ | 1,568 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 123 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
HIGH YIELD STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,349,675 | $ | 3,331,284 | $ | (2,900,000 | ) | $ | 2,847 | $ | 374 | $ | 1,784,180 | 71,885 | $ | 31,451 | ||||||||||||||||
Guggenheim Ultra Short Duration Fund - | 1,002,262 | 3,728,679 | (2,950,000 | ) | 602 | (217 | ) | 1,781,326 | 178,848 | 28,785 | ||||||||||||||||||||||
$ | 2,351,937 | $ | 7,059,963 | $ | (5,850,000 | ) | $ | 3,449 | $ | 157 | $ | 3,565,506 | $ | 60,236 |
124| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2019 |
|
Assets: | ||||
Investments in unaffiliated issuers, at value - including $1,198 of securities loaned (cost $1,571,128) | $ | 1,571,689 | ||
Investments in affiliated issuers, at value (cost $3,555,526) | 3,565,506 | |||
Repurchase agreements, at value (cost $3,193,514) | 3,193,514 | |||
Cash | 48 | |||
Unamortized upfront premiums paid on credit default swap agreements | 428,323 | |||
Receivables: | ||||
Fund shares sold | 144,266 | |||
Protection fees on credit default swaps | 11,306 | |||
Dividends | 8,230 | |||
Interest | 6,636 | |||
Variation margin on credit default swap agreements | 6,305 | |||
Total assets | 8,935,823 | |||
Liabilities: | ||||
Segregated cash due to broker | 27,451 | |||
Unrealized depreciation on OTC swap agreements | 1,568 | |||
Payable for: | ||||
Securities purchased | 8,230 | |||
Professional fees | 5,328 | |||
Management fees | 4,150 | |||
Printing fees | 3,408 | |||
Variation margin on futures contracts | 1,969 | |||
Transfer agent and administrative fees | 1,496 | |||
Investor service fees | 1,496 | |||
Return of securities lending collateral | 1,224 | |||
Portfolio accounting fees | 598 | |||
Fund shares redeemed | 286 | |||
Swap settlement | 212 | |||
Trustees’ fees* | 137 | |||
Miscellaneous | 4,289 | |||
Total liabilities | 61,842 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 8,873,981 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,313,330 | ||
Total distributable earnings (loss) | 560,651 | |||
Net assets | $ | 8,873,981 | ||
Capital shares outstanding | 103,321 | |||
Net asset value per share | $ | 85.89 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 78 | ||
Dividends from securities of affiliated issuers | 60,236 | |||
Interest | 30,116 | |||
Income from securities lending, net | 5 | |||
Total investment income | 90,435 | |||
Expenses: | ||||
Management fees | 27,464 | |||
Investor service fees | 9,155 | |||
Transfer agent and administrative fees | 9,155 | |||
Professional fees | 7,447 | |||
Portfolio accounting fees | 3,662 | |||
Trustees’ fees* | 844 | |||
Custodian fees | 774 | |||
Miscellaneous | 5,505 | |||
Total expenses | 64,006 | |||
Less: | ||||
Expenses waived by Adviser | (2,707 | ) | ||
Net expenses | 61,299 | |||
Net investment income | 29,136 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 15 | |||
Investments in affiliated issuers | 3,449 | |||
Swap agreements | 205,456 | |||
Futures contracts | 145,578 | |||
Net realized gain | 354,498 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 586 | |||
Investments in affiliated issuers | 157 | |||
Swap agreements | 213,281 | |||
Futures contracts | 10,125 | |||
Net change in unrealized appreciation (depreciation) | 224,149 | |||
Net realized and unrealized gain | 578,647 | |||
Net increase in net assets resulting from operations | $ | 607,783 |
* | 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| 125 |
HIGH YIELD STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Period Ended | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 29,136 | $ | 44,868 | ||||
Net realized gain (loss) on investments | 354,498 | (19,735 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 224,149 | (107,745 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 607,783 | (82,612 | ) | |||||
Distributions to shareholders | — | (294,767 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 35,514,806 | 26,422,176 | ||||||
Distributions reinvested | — | 294,767 | ||||||
Cost of shares redeemed | (31,361,173 | ) | (28,750,779 | ) | ||||
Net increase (decrease) from capital share transactions | 4,153,633 | (2,033,836 | ) | |||||
Net increase (decrease) in net assets | 4,761,416 | (2,411,215 | ) | |||||
Net assets: | ||||||||
Beginning of period | 4,112,565 | 6,523,780 | ||||||
End of period | $ | 8,873,981 | $ | 4,112,565 | ||||
Capital share activity: | ||||||||
Shares sold | 431,685 | 327,338 | ||||||
Shares issued from reinvestment of distributions | — | 3,747 | ||||||
Shares redeemed | (381,121 | ) | (356,416 | ) | ||||
Net increase (decrease) in shares | 50,564 | (25,331 | ) |
126| 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 | Year Ended | Period Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 77.95 | $ | 83.54 | $ | 81.50 | $ | 75.17 | $ | 76.12 | $ | 75.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)c | .32 | .71 | .29 | .14 | (.30 | ) | (.09 | ) | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 7.62 | (1.39 | ) | 5.23 | 6.99 | (.29 | ) | 1.21 | ||||||||||||||||
Total from investment operations | 7.94 | (.68 | ) | 5.52 | 7.13 | (.59 | ) | 1.12 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (4.91 | ) | (3.48 | ) | (.80 | ) | — | — | |||||||||||||||
Net realized gains | — | — | — | — | (.36 | ) | — | |||||||||||||||||
Total distributions | — | (4.91 | ) | (3.48 | ) | (.80 | ) | (.36 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 85.89 | $ | 77.95 | $ | 83.54 | $ | 81.50 | $ | 75.17 | $ | 76.12 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | 10.19% | (0.87 | %) | 6.87% | 11.62% | (0.71 | %) | 1.48% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,874 | $ | 4,113 | $ | 6,524 | $ | 7,390 | $ | 6,751 | $ | 4,060 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.80 | % | 0.88 | % | 0.35 | % | 0.51 | % | (0.39 | %) | (0.51 | %) | ||||||||||||
Total expensese | 1.75 | % | 1.62 | % | 1.60 | % | 1.56 | % | 1.49 | % | 1.57 | % | ||||||||||||
Net expensesf | 1.67 | % | 1.61 | % | 1.60 | % | 1.56 | % | 1.49 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 154 | % | 116 | % | 124 | % | 255 | % | 258 | % | — |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 and reimbursements, as applicable. |
g | 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| 127 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
U.S. Government Money Market Fund | 0.52% | 0.93% | 0.22% | 0.12% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month return is not annualized. |
128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
U.S. GOVERNMENT MONEY MARKET FUND |
| Face | Value | ||||||
FEDERAL AGENCY NOTES†† - 51.5% | ||||||||
Federal Home Loan Bank | ||||||||
2.39% (3 Month USD LIBOR - 0.18%, Rate Floor: 0.00%) due 05/08/201 | $ | 6,315,000 | $ | 6,311,587 | ||||
2.13% (3 Month USD LIBOR - 0.18%, Rate Floor: 0.00%) due 09/27/191 | 3,000,000 | 3,000,414 | ||||||
2.32% (3 Month USD LIBOR - 0.26%, Rate Floor: 0.00%) due 10/11/191 | 2,000,000 | 1,999,295 | ||||||
2.20% (3 Month U.S. Treasury Bill Rate + 0.07%, Rate Floor: 0.00%) due 01/30/201 | 1,000,000 | 999,825 | ||||||
2.49% (U.S. Secured Overnight Financing Rate + 0.07%, Rate Floor: 0.00%) due 11/15/191 | 615,000 | 614,986 | ||||||
2.32% (1 Month USD LIBOR - 0.13%, Rate Floor: 0.00%) due 08/02/191 | 100,000 | 99,990 | ||||||
Federal Farm Credit Bank | ||||||||
2.55% (U.S. Prime Rate - 2.95%, Rate Floor: 0.00%) due 09/25/191 | 4,000,000 | 4,000,184 | ||||||
2.45% (3 Month USD LIBOR - 0.13%, Rate Floor: 0.00%) due 02/03/201 | 2,000,000 | 2,000,024 | ||||||
2.32% (1 Month USD LIBOR - 0.08%, Rate Floor: 0.00%) due 09/23/191 | 1,450,000 | 1,449,843 | ||||||
2.52% (3 Month USD LIBOR - 0.06%, Rate Floor: 0.00%) due 10/25/191 | 1,000,000 | 1,000,299 | ||||||
2.42% (U.S. Prime Rate - 3.08%, Rate Floor: 0.00%) due 10/10/191 | 660,000 | 659,816 | ||||||
2.55% (U.S. Prime Rate - 2.95%, Rate Floor: 0.00%) due 04/30/201 | 100,000 | 99,958 | ||||||
Farmer Mac | ||||||||
2.48% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 07/01/201 | 2,700,000 | 2,700,000 | ||||||
2.54% (U.S. Prime Rate - 2.96%, Rate Floor: 0.00%) due 12/23/191 | 2,000,000 | 2,000,000 | ||||||
1.55% due 07/03/19 | 1,000,000 | 999,941 | ||||||
Fannie Mae | ||||||||
2.30% (3 Month USD LIBOR - 0.15%, Rate Floor: 0.00%) due 03/13/201 | 2,500,000 | 2,499,287 | ||||||
2.19% (3 Month USD LIBOR - 0.16%, Rate Floor: 0.00%) due 03/25/201 | 1,000,000 | 999,685 | ||||||
2.58% (U.S. Secured Overnight Financing Rate + 0.16%, Rate Floor: 0.00%) due 01/30/201 | 500,000 | 500,375 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $31,935,509) | 31,935,509 | |||||||
U.S. TREASURY BILLS†† - 9.7% | ||||||||
U.S. Treasury Bills | ||||||||
1.80% due 07/30/192 | 3,000,000 | 2,995,024 | ||||||
1.82% due 07/30/192 | 3,000,000 | 2,995,024 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $5,990,048) | 5,990,048 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 2.2% | ||||||||
Federal Home Loan Bank | ||||||||
2.30% due 07/10/192 | 810,000 | 809,521 | ||||||
2.29% due 07/19/192 | 350,000 | 349,590 | ||||||
2.33% due 08/01/192 | 220,000 | 219,551 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $1,378,662) | 1,378,662 | |||||||
REPURCHASE AGREEMENTS††,3 - 47.8% | ||||||||
JPMorgan Chase & Co. | 19,789,973 | 19,789,973 | ||||||
Bank of America Merrill Lynch | 4,916,168 | 4,916,168 | ||||||
Barclays Capital | 4,916,168 | 4,916,168 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $29,622,309) | 29,622,309 | |||||||
Total Investments - 111.2% | ||||||||
(Cost $68,926,528) | $ | 68,926,528 | ||||||
Other Assets & Liabilities, net - (11.2)% | (6,971,953 | ) | ||||||
Total Net Assets - 100.0% | $ | 61,954,575 |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
2 | Rate indicated is the effective yield at the time of purchase. |
3 | 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| 129 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
U.S. GOVERNMENT MONEY MARKET FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Federal Agency Notes | $ | — | $ | 31,935,509 | $ | — | $ | 31,935,509 | ||||||||
U.S. Treasury Bills | — | 5,990,048 | — | 5,990,048 | ||||||||||||
Federal Agency Discount Notes | — | 1,378,662 | — | 1,378,662 | ||||||||||||
Repurchase Agreements | — | 29,622,309 | — | 29,622,309 | ||||||||||||
Total Assets | $ | — | $ | 68,926,528 | $ | — | $ | 68,926,528 |
130| 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, 2019 |
|
Assets: | ||||
Investments, at value (cost $39,304,219) | $ | 39,304,219 | ||
Repurchase agreements, at value (cost $29,622,309) | 29,622,309 | |||
Receivables: | ||||
Interest | 83,625 | |||
Total assets | 69,010,153 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 5,990,048 | |||
Fund shares redeemed | 899,665 | |||
Management fees | 26,423 | |||
Investor service fees | 13,212 | |||
Transfer agent and administrative fees | 10,569 | |||
Portfolio accounting fees | 5,285 | |||
Trustees’ fees* | 1,154 | |||
Miscellaneous | 109,222 | |||
Total liabilities | 7,055,578 | |||
Commitments and contingent liabilities (Note 13) | — | |||
Net assets | $ | 61,954,575 | ||
Net assets consist of: | ||||
Paid in capital | $ | 61,949,332 | ||
Total distributable earnings (loss) | 5,243 | |||
Net assets | $ | 61,954,575 | ||
Capital shares outstanding | 61,936,675 | |||
Net asset value per share | $ | 1.00 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Period Ended June 30, 2019 |
|
Investment Income: | ||||
Interest | $ | 757,150 | ||
Total investment income | 757,150 | |||
Expenses: | ||||
Management fees | 151,955 | |||
Investor service fees | 75,977 | |||
Transfer agent and administrative fees | 60,782 | |||
Professional fees | 51,181 | |||
Portfolio accounting fees | 30,391 | |||
Trustees’ fees* | 8,622 | |||
Custodian fees | 7,024 | |||
Miscellaneous | 53,400 | |||
Total expenses | 439,332 | |||
Net investment income | 317,818 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 2,167 | |||
Net realized gain | 2,167 | |||
Net increase in net assets resulting from operations | $ | 319,985 |
* | 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| 131 |
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 | $ | 317,818 | $ | 373,137 | ||||
Net realized gain on investments | 2,167 | 2,123 | ||||||
Net increase in net assets resulting from operations | 319,985 | 375,260 | ||||||
Distributions to shareholders | (314,742 | ) | (377,479 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 96,283,151 | 224,930,817 | ||||||
Distributions reinvested | 314,742 | 377,479 | ||||||
Cost of shares redeemed | (119,656,879 | ) | (218,566,974 | ) | ||||
Net increase (decrease) from capital share transactions | (23,058,986 | ) | 6,741,322 | |||||
Net increase (decrease) in net assets | (23,053,743 | ) | 6,739,103 | |||||
Net assets: | ||||||||
Beginning of period | 85,008,318 | 78,269,215 | ||||||
End of period | $ | 61,954,575 | $ | 85,008,318 | ||||
Capital share activity: | ||||||||
Shares sold | 96,283,151 | 224,930,817 | ||||||
Shares issued from reinvestment of distributions | 314,742 | 377,638 | ||||||
Shares redeemed | (119,656,879 | ) | (218,566,974 | ) | ||||
Net increase (decrease) in shares | (23,058,986 | ) | 6,741,481 |
132| 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 | .01 | .01 | — | c | — | c | — | c | — | c | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | — | — | — | c | — | c | — | c | — | c | ||||||||||||||
Total from investment operations | .01 | .01 | — | — | — | — | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (.01 | ) | (.01 | ) | (— | )c | (— | )c | (— | )c | (— | )c | ||||||||||||
Net realized gains | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | ||||||||||||
Total distributions | (.01 | ) | (.01 | ) | (— | )c | (— | )c | (— | )c | (— | )c | ||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | 0.52% | 0.58% | 0.01% | 0.00% | 0.00% | 0.00% | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 61,955 | $ | 85,008 | $ | 78,269 | $ | 61,704 | $ | 99,178 | $ | 98,358 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.05 | % | 0.57 | % | — | f | — | f | — | f | — | f | ||||||||||||
Total expenses | 1.45 | % | 1.32 | % | 1.31 | % | 1.25 | % | 1.20 | % | 1.26 | % | ||||||||||||
Net expensese | 1.45 | % | 1.32 | % | 0.96 | % | 0.40 | % | 0.13 | % | 0.05 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
e | Net expense information reflects the expense ratio after expense waivers, as applicable. |
f | Less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 133 |
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 (collectively the “Funds”). The Trust is authorized to issue an unlimited number of no par value shares. At June 30, 2019, 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 following Funds:
Fund Name | Investment |
Nova Fund | Non-diversified |
Inverse S&P 500® Strategy Fund | Non-diversified |
NASDAQ-100® Fund | Non-diversified |
Inverse NASDAQ-100® Strategy Fund | Non-diversified |
S&P 500® 2x Strategy Fund | Non-diversified |
NASDAQ-100® 2x Strategy Fund | Non-diversified |
Mid-Cap 1.5x Strategy Fund | Non-diversified |
Inverse Mid-Cap Strategy Fund | Non-diversified |
Russell 2000® 2x Strategy Fund | Non-diversified |
Russell 2000® 1.5x Strategy Fund | Non-diversified |
Inverse Russell 2000® Strategy Fund | Non-diversified |
Dow 2x Strategy Fund | Non-diversified |
Inverse Dow 2x Strategy Fund | Non-diversified |
Government Long Bond 1.2x Strategy Fund | Non-diversified |
Inverse Government Long Bond Strategy Fund | Non-diversified |
High Yield Strategy Fund | Non-diversified |
U.S. Government Money Market Fund | Diversified |
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 sale price as of the close of business on the NYSE, usually at 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 are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds are valued at the last quoted sale price.
134 | 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.
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.
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 their NAV.
The value of futures contracts is accounted for using the unrealized appreciation or depreciation 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 appreciation or depreciation 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 U.S. Treasury securities, 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 appreciation or depreciation. 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 135 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
(e) Swap Agreements
Swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
OTC and centrally-cleared credit default swap agreements are marked-to-market daily and the change, if any, is recorded as unrealized appreciation or depreciation. 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 Statements 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, 2019, 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 a reduction to cost if the securities are still held and as realized gains if no longer held 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 realized gains. The actual amounts of income, return of capital, and realized 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. 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. Normally, all distributions of a Fund will automatically be reinvested without charge in additional shares of the same Fund. Distributions recorded on the ex-dividend date and are determined in accordance with U.S. federal 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 2.40% at June 30, 2019.
(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.
136 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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:
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 Contracts
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 | $ | 8,655,994 | $ | — | ||||
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | — | 572,863 | ||||||
NASDAQ-100® Fund | Index exposure, Liquidity | 14,849,465 | — | ||||||
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | — | 74,023 | ||||||
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 4,829,863 | — | ||||||
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 23,548,085 | — | ||||||
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 570,510 | — | ||||||
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 156,760 | — | ||||||
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | — | * | — | |||||
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | — | 38,610 | ||||||
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | 656,538 | — | ||||||
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 199,410 | ||||||
Government Long Bond 1.2x Strategy Fund | Duration, Index exposure, Leverage, Liquidity | 13,250,969 | — | ||||||
Inverse Government Long Bond Strategy Fund | Duration, Index exposure, Liquidity | — | 1,467,313 | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | 6,270,703 | — |
* | Futures contracts were outstanding for 31 days during the period ended June 30, 2019. The daily average outstanding notional amount of equity futures contracts during the period was $136,542. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 137 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Swap Agreements
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. When utilizing OTC swaps, 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 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 exchange-traded futures contracts. Upon entering into certain centrally-cleared swap transactions, the 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 a fund utilizing centrally cleared swaps, the exchange bears the risk of loss. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
Total return swaps involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset (such as an index) for a fixed or variable interest rate. Total return swaps will usually be computed based on the current value of the reference asset 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 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 reference asset 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 | $ | 39,748,595 | $ | — | ||||
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | — | 2,179,462 | ||||||
NASDAQ-100® Fund | Index exposure, Liquidity | 32,572,316 | — | ||||||
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | — | 1,469,648 | ||||||
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 68,464,682 | — | ||||||
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 131,041,369 | — | ||||||
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 7,262,687 | — | ||||||
Inverse Mid-Cap Strategy Fund | Index exposure, Liquidity | — | 345,326 | ||||||
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 3,743,182 | — | ||||||
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 9,153,445 | — | ||||||
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | — | 1,216,572 | ||||||
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | 25,498,672 | — | ||||||
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 6,934,564 | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | 874,600 | — |
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. A fund enters into credit default swaps as a “seller” or “buyer” of protection primarily to gain or reduce exposure 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. The buyer in a credit default swap is obligated to pay the seller a periodic stream of payments over the term of the contract provided that no event of default on an underlying reference obligation has occurred. If a credit event occurs, as defined under the terms of the swap agreement, the seller 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 Amount reflects the maximum potential amount the seller of credit protection could be required to pay to the buyer if a credit event occurs. The seller of protection receives periodic premium payments from the buyer and may also receive or pay an upfront premium adjustment to the stated periodic payments. In the event a credit default occurs, an adjustment will be made to any upfront premiums that were received by a reduction of 1.00% per event. If no default occurs, the counterparty will pay the stream of payments and have no further obligations to the fund selling the credit protection. For a fund utilizing centrally cleared credit default swaps, the exchange
138 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
bears the risk of loss. For OTC credit default swaps, 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 a fund is selling credit protection, the default of a third party issuer.
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.
The following table represents the Funds’ use and volume of credit default swaps on a quarterly basis:
Average Notional Amount | |||||||||
Fund | Use | Protection Purchased | Protection Sold | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | $ | — | $ | 6,200,000 |
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, 2019:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Interest Rate contracts | Variation margin on futures contracts | Variation margin on futures contracts |
Equity/Credit contracts | Unrealized appreciation on swap agreements | Unrealized depreciation on swap agreements |
Credit contracts | Variation margin on credit default swap agreements | |
| Unamortized upfront premiums paid 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, 2019:
Asset Derivative Investments Value | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total Value at | |||||||||||||||
Nova Fund | $ | 80,461 | $ | 451,729 | $ | — | $ | — | $ | 532,190 | ||||||||||
NASDAQ-100® Fund | 415,627 | 183,454 | — | — | 599,081 | |||||||||||||||
S&P 500® 2x Strategy Fund | — | 780,964 | — | — | 780,964 | |||||||||||||||
NASDAQ-100® 2x Strategy Fund | 478,050 | 819,542 | — | — | 1,297,592 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | — | 182,977 | — | — | 182,977 | |||||||||||||||
Russell 2000® 2x Strategy Fund | 7,865 | 115,777 | — | — | 123,642 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | — | 289,786 | — | — | 289,786 | |||||||||||||||
Dow 2x Strategy Fund | 11,442 | 64,901 | — | — | 76,343 | |||||||||||||||
Inverse Dow 2x Strategy Fund | 1,140 | — | — | — | 1,140 | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | 314,436 | — | 314,436 | |||||||||||||||
High Yield Strategy Fund | — | — | 59,684 | 130,858 | 190,542 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Liability Derivative Investments Value | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total Value at | |||||||||||||||
Inverse S&P 500® Strategy Fund | $ | 4,858 | $ | 20,149 | $ | — | $ | — | $ | 25,007 | ||||||||||
Inverse NASDAQ-100® Strategy Fund | — | 8,887 | — | — | 8,887 | |||||||||||||||
S&P 500® 2x Strategy Fund | 139 | — | — | — | 139 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | — | 7,572 | — | — | 7,572 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | — | 29,335 | — | — | 29,335 | |||||||||||||||
Inverse Dow 2x Strategy Fund | — | 15,816 | — | — | 15,816 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | 42,888 | — | 42,888 | |||||||||||||||
High Yield Strategy Fund | — | — | — | 1,568 | 1,568 |
* | Includes cumulative appreciation (depreciation) of futures contracts and credit default swaps as reported on the Schedules of Investments. 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, 2019:
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, 2019:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total | |||||||||||||||
Nova Fund | $ | 865,945 | $ | 3,743,614 | $ | — | $ | — | $ | 4,609,559 | ||||||||||
Inverse S&P 500® Strategy Fund | (28,259 | ) | (659,711 | ) | — | — | (687,970 | ) | ||||||||||||
NASDAQ-100® Fund | 1,257,798 | 6,257,165 | — | — | 7,514,963 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | (46,302 | ) | (701,736 | ) | — | — | (748,038 | ) | ||||||||||||
S&P 500® 2x Strategy Fund | 1,057,183 | 8,534,495 | — | — | 9,591,678 | |||||||||||||||
NASDAQ-100® 2x Strategy Fund | 1,002,085 | 17,680,497 | — | — | 18,682,582 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | 248,990 | 621,623 | — | — | 870,613 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | (35,574 | ) | (43,219 | ) | — | — | (78,793 | ) | ||||||||||||
Russell 2000® 2x Strategy Fund | 3,168 | 125,955 | — | — | 129,123 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | 14,323 | 1,040,994 | — | — | 1,055,317 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | (6,181 | ) | (445,964 | ) | — | — | (452,145 | ) | ||||||||||||
Dow 2x Strategy Fund | 388,146 | 2,963,605 | — | — | 3,351,751 | |||||||||||||||
Inverse Dow 2x Strategy Fund | (27,502 | ) | (982,398 | ) | — | — | (1,009,900 | ) | ||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | 875,203 | — | 875,203 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | (86,604 | ) | — | (86,604 | ) | |||||||||||||
High Yield Strategy Fund | — | — | 145,578 | 205,456 | 351,034 |
140 | 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 | $ | 78,419 | $ | 212,356 | $ | — | $ | — | $ | 290,775 | ||||||||||
Inverse S&P 500® Strategy Fund | (4,104 | ) | 23,746 | — | — | 19,642 | ||||||||||||||
NASDAQ-100® Fund | 1,097,537 | (49,092 | ) | — | — | 1,048,445 | ||||||||||||||
Inverse NASDAQ-100® Strategy Fund | (3,438 | ) | 67,536 | — | — | 64,098 | ||||||||||||||
S&P 500® 2x Strategy Fund | (2,181 | ) | 150,606 | — | — | 148,425 | ||||||||||||||
NASDAQ-100® 2x Strategy Fund | 1,099,319 | 179,982 | — | — | 1,279,301 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | 97,352 | 128,910 | — | — | 226,262 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | 661 | (4,979 | ) | — | — | (4,318 | ) | |||||||||||||
Russell 2000® 2x Strategy Fund | 18,875 | 76,921 | — | — | 95,796 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | 44,040 | 171,777 | — | — | 215,817 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | (5,496 | ) | 22,353 | — | — | 16,857 | ||||||||||||||
Dow 2x Strategy Fund | 89,396 | (119,079 | ) | — | — | (29,683 | ) | |||||||||||||
Inverse Dow 2x Strategy Fund | 1,140 | 15,174 | — | — | 16,314 | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | (187,710 | ) | — | (187,710 | ) | |||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | 15,820 | — | 15,820 | |||||||||||||||
High Yield Strategy Fund | — | — | 10,125 | 213,281 | 223,406 |
In conjunction with short sales and the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
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 | 141 |
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:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Nova Fund | Swap equity contracts | $ | 451,729 | $ | — | $ | 451,729 | $ | — | $ | — | $ | 451,729 | ||||||||||||
NASDAQ-100® Fund | Swap equity contracts | 183,454 | — | 183,454 | — | — | 183,454 | ||||||||||||||||||
S&P 500® 2x Strategy Fund | Swap equity contracts | 780,964 | — | 780,964 | — | — | 780,964 | ||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | Swap equity contracts | 819,542 | — | 819,542 | — | — | 819,542 | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | Swap equity contracts | 182,977 | — | 182,977 | — | — | 182,977 | ||||||||||||||||||
Russell 2000® 2x Strategy Fund | Swap equity contracts | 115,777 | — | 115,777 | — | — | 115,777 | ||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | Swap equity contracts | 289,786 | — | 289,786 | — | — | 289,786 | ||||||||||||||||||
Dow 2x Strategy Fund | Swap equity contracts | 64,901 | — | 64,901 | — | — | 64,901 |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Inverse S&P 500® Strategy Fund | Swap equity contracts | $ | 20,149 | $ | — | $ | 20,149 | $ | (11,431 | ) | $ | (275 | ) | $ | 8,443 | ||||||||||
Inverse NASDAQ-100® Strategy Fund | Swap equity contracts | 8,887 | — | 8,887 | (5,424 | ) | — | 3,463 | |||||||||||||||||
Inverse Mid-Cap Strategy Fund | Swap equity contracts | 7,572 | — | 7,572 | (5,795 | ) | — | 1,777 | |||||||||||||||||
Inverse Russell 2000® Strategy Fund | Swap equity contracts | 29,335 | — | 29,335 | (8,905 | ) | — | 20,430 | |||||||||||||||||
Inverse Dow 2x Strategy Fund | Swap equity contracts | 15,816 | — | 15,816 | (13,160 | ) | — | 2,656 | |||||||||||||||||
High Yield Strategy Fund | Swap credit contracts | 1,568 | — | 1,568 | (1,568 | ) | — | — |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
142 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of June 30, 2019.
Fund | Counterparty/Clearing Agent | Asset Type | Cash Pledged | Cash Received | ||||||
Nova Fund | Barclays Bank plc | Total return swap agreements | $ | 44,179 | $ | — | ||||
Inverse S&P 500® Strategy Fund | Barclays Bank plc | Total return swap agreements | 275 | — | ||||||
NASDAQ-100® Fund | Goldman Sachs Group | Futures contracts | 37,347 | — | ||||||
NASDAQ-100® 2x Strategy Fund | Barclays Bank plc | Total return swap agreements | 46,127 | — | ||||||
| Goldman Sachs Group | Futures contracts | 728,598 | — | ||||||
NASDAQ-100® 2x Strategy Fund Total |
|
| 774,725 | — | ||||||
Mid-Cap 1.5x Strategy Fund | Barclays Bank plc | Total return swap agreements | 28,230 | — | ||||||
Russell 2000® 1.5x Strategy Fund | Barclays Bank plc | Total return swap agreements | 49,787 | — | ||||||
Dow 2x Strategy Fund | Barclays Bank plc | Total return swap agreements | 58,400 | — | ||||||
Inverse Dow 2x Strategy Fund | Goldman Sachs Group | Futures contracts | 16,500 | — | ||||||
Government Long Bond 1.2x Strategy Fund | Goldman Sachs Group | Futures contracts | 96,381 | — | ||||||
High Yield Strategy Fund | Barclays Bank plc | Credit default swap agreements | — | 27,451 |
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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 143 |
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 a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. 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, 2019, the following Funds waived fees related to investments in affiliated funds:
Fund | Amount Waived | |||
Nova Fund | $ | 9,918 | ||
Inverse S&P 500® Strategy Fund | 1,317 | |||
NASDAQ-100® Fund | 19,597 | |||
Inverse NASDAQ-100® Strategy Fund | 857 | |||
S&P 500® 2x Strategy Fund | 11,755 | |||
NASDAQ-100® 2x Strategy Fund | 19,094 | |||
Mid-Cap 1.5x Strategy Fund | 2,220 | |||
Inverse Mid-Cap Strategy Fund | 162 | |||
Russell 2000® 2x Strategy Fund | 917 | |||
Russell 2000® 1.5x Strategy Fund | 2,340 | |||
Inverse Russell 2000® Strategy Fund | 632 | |||
Dow 2x Strategy Fund | 4,340 | |||
Inverse Dow 2x Strategy Fund | 971 | |||
Government Long Bond 1.2x Strategy Fund | 1,552 | |||
Inverse Government Long Bond Strategy Fund | 1,467 | |||
High Yield Strategy Fund | 2,707 |
144 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Certain 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 or GFD.
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Funds’ 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 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, 2019, 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 Note | |||||||||||||||||
2.53% | 3.13% | |||||||||||||||||
Due 07/01/19 | $ | 65,103,744 | $ | 65,117,470 | 11/15/28 | $ | 55,552,000 | $ | 61,111,889 | |||||||||
U.S. Treasury Bills | ||||||||||||||||||
0.00% | ||||||||||||||||||
09/12/19 - 11/07/19 | 5,327,500 | 5,293,935 | ||||||||||||||||
60,879,500 | 66,405,824 | |||||||||||||||||
Barclays Capital | U.S. Treasury Bond | |||||||||||||||||
2.40% | 3.63% | |||||||||||||||||
Due 07/01/19 | 16,172,884 | 16,176,118 | 02/15/44 | 13,502,400 | 16,496,400 | |||||||||||||
Bank of America Merrill Lynch | U.S. Treasury Strip | |||||||||||||||||
2.48% | 0.00% | |||||||||||||||||
Due 07/01/19 | 16,172,884 | 16,176,226 | 02/15/40 | 27,668,676 | 16,496,341 |
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 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
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 145 |
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, 2019, 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 | $ | 5,735 | $ | (5,735 | ) | $ | — | $ | 5,847 | $ | — | $ | 5,847 | ||||||||||||
NASDAQ-100® Fund | 196,868 | (196,868 | ) | — | 201,556 | — | 201,556 | ||||||||||||||||||
S&P 500® 2x Strategy Fund | 405 | (405 | ) | — | 414 | — | 414 | ||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | 111,045 | (111,045 | ) | — | 113,480 | — | 113,480 | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | 2,080 | (2,080 | ) | — | 2,084 | — | 2,084 | ||||||||||||||||||
High Yield Strategy Fund | 1,198 | (1,198 | ) | — | 1,224 | — | 1,224 |
(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 U.S. 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’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
146 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2019, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments for which there was an excess of tax cost over value were as follows:
Fund | Tax | Tax | Tax | Net | ||||||||||||
Nova Fund | $ | 39,135,031 | $ | 165,256 | $ | (4,826 | ) | $ | 160,430 | |||||||
Inverse S&P 500® Strategy Fund | 2,379,087 | 2,556 | (25,007 | ) | (22,451 | ) | ||||||||||
NASDAQ-100® Fund | 61,127,649 | 15,717,601 | (228,520 | ) | 15,489,081 | |||||||||||
Inverse NASDAQ-100® Strategy Fund | 1,647,416 | — | (9,160 | ) | (9,160 | ) | ||||||||||
S&P 500® 2x Strategy Fund | 41,425,775 | 857,942 | (58,862 | ) | 799,080 | |||||||||||
NASDAQ-100® 2x Strategy Fund | 97,417,045 | 3,173,386 | (195,376 | ) | 2,978,010 | |||||||||||
Mid-Cap 1.5x Strategy Fund | 5,173,725 | 256,241 | (8,224 | ) | 248,017 | |||||||||||
Inverse Mid-Cap Strategy Fund | 323,207 | — | (7,754 | ) | (7,754 | ) | ||||||||||
Russell 2000® 2x Strategy Fund | 1,905,809 | 123,061 | (176 | ) | 122,885 | |||||||||||
Russell 2000® 1.5x Strategy Fund | 5,919,431 | 288,320 | (12,227 | ) | 276,093 | |||||||||||
Inverse Russell 2000® Strategy Fund | 1,208,544 | — | (29,852 | ) | (29,852 | ) | ||||||||||
Dow 2x Strategy Fund | 14,681,336 | 458,425 | (13,421 | ) | 445,004 | |||||||||||
Inverse Dow 2x Strategy Fund | 3,592,421 | 519 | (18,002 | ) | (17,483 | ) | ||||||||||
Government Long Bond 1.2x Strategy Fund | 16,281,872 | 608,626 | (2,350 | ) | 606,276 | |||||||||||
Inverse Government Long Bond Strategy Fund | 2,449,397 | — | (135,812 | ) | (135,812 | ) | ||||||||||
High Yield Strategy Fund | 8,328,043 | 193,312 | (1,672 | ) | 191,640 | |||||||||||
U.S. Government Money Market Fund | 68,926,528 | — | — | — |
Note 9 – Securities Transactions
For the period ended June 30, 2019, 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 | $ | 47,359,421 | $ | 43,125,080 | ||||
Inverse S&P 500® Strategy Fund | 694,402 | 1,810,000 | ||||||
NASDAQ-100® Fund | 30,928,520 | 19,858,592 | ||||||
Inverse NASDAQ-100® Strategy Fund | 2,417,893 | 5,515,000 | ||||||
S&P 500® 2x Strategy Fund | 51,733,267 | 47,279,564 | ||||||
NASDAQ-100® 2x Strategy Fund | 124,033,363 | 89,125,452 | ||||||
Mid-Cap 1.5x Strategy Fund | 1,762,208 | 2,713,568 | ||||||
Inverse Mid-Cap Strategy Fund | 233,608 | 305,000 | ||||||
Russell 2000® 2x Strategy Fund | 4,450,848 | 4,687,519 | ||||||
Russell 2000® 1.5x Strategy Fund | 3,222,750 | 3,282,539 | ||||||
Inverse Russell 2000® Strategy Fund | 743,357 | 2,520,000 | ||||||
Dow 2x Strategy Fund | 15,801,424 | 14,255,332 | ||||||
Inverse Dow 2x Strategy Fund | 4,571,954 | 3,665,000 | ||||||
Government Long Bond 1.2x Strategy Fund | 6,000,403 | 7,200,000 | ||||||
Inverse Government Long Bond Strategy Fund | 1,951,788 | 3,115,00 | ||||||
High Yield Strategy Fund | 7,059,964 | 5,850,070 | ||||||
U.S. Government Money Market Fund | — | — |
For the period ended June 30, 2019, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | Purchases | Sales | ||||||
Government Long Bond 1.2x Strategy Fund | $ | 133,200,141 | $ | 133,721,578 | ||||
Inverse Government Long Bond Strategy Fund | 25,581,922 | 23,089,891 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 147 |
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. The procedures have been designed to ensure that any purchase or sale of securities by the 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, 2019, 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 | $ | 18,964,956 | $ | 16,363,538 | $ | 73,749 | ||||||
NASDAQ-100® Fund | 2,613,692 | 13,999,126 | 2,274,301 | |||||||||
S&P 500® 2x Strategy Fund | 16,565,927 | 38,718,397 | 681,084 | |||||||||
NASDAQ-100® 2x Strategy Fund | 22,318,284 | 50,210,977 | 209,587 | |||||||||
Mid-Cap 1.5x Strategy Fund | — | 1,084,287 | 137,743 | |||||||||
Russell 2000® 2x Strategy Fund | — | 36,561 | 10,987 | |||||||||
Russell 2000® 1.5x Strategy Fund | 456,683 | 655,286 | 103,241 | |||||||||
Dow 2x Strategy Fund | 3,517,994 | 7,305,361 | 72,723 |
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 8, 2020. 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 3.50% for the period ended June 30, 2019. The Funds did not have any borrowings outstanding under this agreement at June 30, 2019.
The average daily balances borrowed for the period ended June 30, 2019, were as follows:
Fund | Average Daily Balance | |||
Nova Fund | $ | 5,436 | ||
NASDAQ-100® Fund | 4,680 | |||
Inverse NASDAQ-100® Strategy Fund | 39 | |||
S&P 500® 2x Strategy Fund | 525 | |||
NASDAQ-100® 2x Strategy Fund | 29,282 | |||
Mid-Cap 1.5x Strategy Fund | 1,486 | |||
Russell 2000® 2x Strategy Fund | 348 | |||
Russell 2000® 1.5x Strategy Fund | 564 | |||
Dow 2x Strategy Fund | 72 | |||
Inverse Dow 2x Strategy Fund | 227 | |||
Government Long Bond 1.2x Strategy Fund | 18,983 |
Note 11 – Recent Regulatory Reporting Updates
In August 2018, the U.S. Securities and Exchange Commission adopted amendments to certain disclosure requirements under Regulation S-X to conform to U.S. GAAP, including: (i) an amendment to require presentation of the total, rather than the components, of distributable earnings on the Statements of Assets and Liabilities; and (ii) an amendment to require presentation of the total, rather than the components, of distributions to shareholders, except for tax return of capital distributions, on the Statements of Changes in Net Assets. As of June 30, 2019, management has implemented the amendments to Regulation S-X, which did not have a material impact on the Funds’ financial statements and related disclosures or impact the Funds’ net assets or results of operations.
Note 12 – Recent Accounting Pronouncements
In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “2017 ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The 2017
148 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The 2017 ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.
Note 13 – 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-2296 (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 would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
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.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. The plaintiff has not yet filed any such motion. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend.
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.
Note 14 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
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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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. The Funds’ Forms N-PORT and 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”), each of whom is not an “interested person,” as defined by the Investment Company Act of 1940 (the “1940 Act”), of the Trust (the “Independent Trustees”), attended an in-person meeting held on May 20, 2019 (the “May Meeting”), called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the Advisory Agreement dated March 1, 2012, as amended, between the Trust and Security Investors, LLC (the “Advisor”), pursuant to which the Advisor serves as investment adviser to each series of the Trust (each, a “Fund” and collectively, the “Funds”)(the “Advisory Agreement”). Consistent with its practice, the Board considered information pertaining to the renewal of the Advisory Agreement at an in-person meeting held on April 24, 2019 (the “April Meeting” and, together with the May Meeting, the “Meetings”). After careful consideration, the Board unanimously approved, at the May Meeting, the continuance of the Advisory Agreement for an additional one-year term based on the Board’s review of qualitative and quantitative information provided by the Advisor. In the course of its consideration, the Board deemed the materials provided by the Advisor at, and prior to, the Meetings to be instrumental in the Trustees’ deliberations and their process in considering the continuation of the Advisory Agreement. The Board also considered the review it conducted at each Meeting, as augmented by additional teleconference meetings prior to each Meeting, to be integral to its consideration of the continuation of the Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as they deemed reasonably necessary to evaluate the Advisory Agreement. In addition, the Board received a memorandum from 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 continuation of the Advisory Agreement, 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 comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). In addition, at the April Meeting, the Board met with representatives of FUSE Research Network (“FUSE”), the independent third-party service provider engaged to prepare the FUSE reports, to review FUSE’s process and methodology for preparing the FUSE reports presented to the Board for its consideration, including in particular, the process for the selection of peer funds. The Independent Trustees carefully evaluated all of the information provided, met in executive session outside the presence of Fund management, and were advised by independent legal counsel with respect to their deliberations.
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OTHER INFORMATION (Unaudited)(continued) |
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; (d) each Fund’s overall fees and operating expenses compared with those of similar funds, and the existence of or potential for the realization of economies of scale; (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 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 and relationships with third-party service providers, 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 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 the continuation of the Advisory Agreement for an additional one-year term 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), enterprise and Fund risk management infrastructure and processes, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity program. The Board reviewed the scope of services provided by the Advisor under the Advisory Agreement and noted that there would be no significant differences between the scope of services provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. 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 continuation of the Advisory Agreement would ensure shareholders of the Funds continue to receive high quality services at a cost that is 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. Part of the Board’s review focused on the information presented in the FUSE reports, which provided comparisons of 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 opinion that it found the peer groups compiled by FUSE to be appropriate, but acknowledged the existence of certain key features of the Funds that differentiate them from 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 taken into consideration. With respect to tradability, in particular, the Board considered that non-tradable peer funds incur lower expense ratios than the tradable Funds because the non-tradable peer funds necessarily experience less shareholder activity and lower transaction volumes than the 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. 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 Advisory Agreement for the last calendar year. In its review, the Board considered the direct revenue 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, which the Advisor confirmed was unchanged from the previous year. In its evaluation, the Board also considered the effect of the sale of Guggenheim’s ETF business in April 2018 on the Advisor’s and its affiliates’ profitability for the past year. The Board also considered the challenges currently affecting variable product-dedicated funds, including slowed investment in variable insurance products generally. 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, unanimously concluded that the terms of the Advisory Agreement were reasonable, and that approval of the continuation of the Advisory Agreement for an additional one-year term 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 |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee and Member of the Audit Committee (2016-present); and Member of the Governance and Nominating Committee (2017-present). | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm).
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 109 | None. |
Corey A. Colehour (1945) | Trustee (1998-present); Member of the Audit Committee (1998-present); Member of the Governance and Nominating Committee (2017-present). | Retired. | 109 | None. |
J. Kenneth Dalton (1941) | Trustee (1998-present); Chairman and Member of the Audit Committee (1998-present); and Member of the Governance and Nominating Committee (2018-present). | Retired. | 109 | Former: Epiphany Funds (2) (2009-January 2019). |
Thomas F. Lydon, Jr. (1960) | Trustee, Member of the Audit Committee (2005-present); Chairman and Member of the Governance and Nominating Committee (2017-present). | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 109 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trust (3) (2017-present). |
Sandra G. Sponem (1958) | Trustee and Member of the Audit Committee (2016-present); Member of the Governance and Nominating Committee (2017-present); and Chairwoman (January 2019-present). | Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 109 | SPDR Series Trust (78) (2018-present); SPDR Index Shares Funds (31) (2018-present); SSGA Active Trust (12) (2018-present); and SSGA Master Trust (1) (2018-present). |
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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 Managing Director, Guggenheim Investments (2010-present); Senior Vice President, Security Investors, LLC (2010-present); Vice President, certain other funds in the Fund Complex (2000-present).
Former: Manager, Guggenheim Specialized Products, LLC (2005-2018); 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, LLC and 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, Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004). |
Amy J. Lee (1961) | President (2017-present). | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); President, certain other funds in the Fund Complex (2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Senior Managing Director, Guggenheim Investments (2012-present); Vice President, certain other funds in the Fund Complex (2007-present).
Former: Interested Trustee, certain other funds in the Fund Complex (2018-February 2019); President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
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 (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary (2018-present). | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present). | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: Chief Compliance Officer, Security Investors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
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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 | ||
Margaux Misantone (1978) | AML Officer (2017-present). | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present).
Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
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). |
William Rehder (1967) | Assistant Vice President (2018-present). | Current: Managing Director, Guggenheim Investments (2002-present). |
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, Mutual Fund Administration for 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: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer 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. |
** | 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 electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to
158 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 159 |
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6.30.2019
Rydex Variable Trust Funds 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 |
Beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports may no longer be sent by mail, unless you specifically request paper copies of the reports from the insurance company that offers your contract or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and other communications from the insurance company electronically by following the instructions provided by the insurance company.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company that you wish to receive paper copies of reports by following the instructions provided by the insurance company. Your election to receive reports in paper will apply to all portfolio companies available under your contract.
GuggenheimInvestments.com | RVATB2-SEMI-0619x1219 |
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 | 21 |
S&P MIDCAP 400® PURE VALUE FUND | 27 |
S&P SMALLCAP 600® PURE GROWTH FUND | 33 |
S&P SMALLCAP 600® PURE VALUE FUND | 40 |
EUROPE 1.25x STRATEGY FUND | 47 |
JAPAN 2x STRATEGY FUND | 55 |
STRENGTHENING DOLLAR 2x STRATEGY FUND | 61 |
WEAKENING DOLLAR 2x STRATEGY FUND | 68 |
NOTES TO FINANCIAL STATEMENTS | 74 |
OTHER INFORMATION | 87 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 90 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 93 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
| June 30, 2019 |
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, 2019.
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.
We are committed to providing innovative investment solutions and appreciate the trust you place in us.
Sincerely,
Security Investors, LLC
July 31, 2019
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.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| June 30, 2019 |
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 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. ● 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.
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, 2019 |
U.S. economic growth slowed to an annualized 2.1% in the second quarter from 3.1% in the first quarter. Personal consumption expenditures rebounded sharply, as expected, while government spending contributed an outsized 0.9% to growth, the most since mid-2009. However, negative contributions were seen from housing, business capital expenditures, inventory investment, and net exports. Looking ahead, we expect the economy to grow at a 2.0% pace in the third quarter.
The second quarter gross domestic product (“GDP”) release also featured annual revisions to the five prior years of data, which showed that growth peaked in year-over-year terms in the second quarter of 2018, earlier than previously thought. An upwardly revised personal savings rate could give consumption room to run, while downwardly revised and shrinking corporate profits may continue to pressure investment spending and could begin to weigh more heavily on hiring.
With growth in the first half of the year coming in somewhat above potential, the labor market continued to strengthen, albeit at a slower pace than the year before. Net monthly payroll gains averaged 165,000 in the first half of 2019, down from 235,000 in the first half of 2018. This was enough to push the unemployment rate down by 0.2% to 3.7%. While the labor market remains strong, we believe the sharper slowdown in aggregate hours worked—a component of Guggenheim’s U.S. Recession Dashboard—may foreshadow a deterioration in labor market conditions in 2020.
After a weak start to the year, core inflation picked up in the second quarter but remained below the U.S. Federal Reserve’s (the “Fed”) target at 1.8% annualized. We expect inflation to firm a bit further in the second half of 2019. The Fed is also closely watching inflation expectations, which currently sit below levels the Fed would like to see. After a 14% decline in the fourth quarter of 2018, stocks rebounded as the Fed’s pivot on monetary policy took hold, and the government shutdown was resolved.
Internationally, the European Central Bank kept policy rates constant but modified their forward guidance, noting that rates would remain at or below current levels until mid-2020 at the earliest. They also signaled a high probability of rate cuts and a resumption of asset purchases at the September meeting. In Japan, core inflation weakened in the second quarter to 0.6%, while industrial production and exports remained in contraction from year ago levels.
Although the U.S. economy is in good shape overall, on July 31, 2019, after the period ended, the Fed announced its first rate cut since 2008 amid growing downside risks to policymakers’ baseline growth and inflation forecasts. Key among these are slowing global growth, the threat of additional U.S.-China tariffs and a possible hard Brexit, the odds of which have increased with the ascendance of Boris Johnson as the U.K. Prime Minister. While a possible U.S. fiscal contraction in 2020 was averted by the recently-signed budget deal, we expect two more Fed rate cuts in 2019, as Chair Jerome Powell seeks to sustain the expansion. In our view, this could serve to embolden the White House to impose new tariffs on China and Europe later this year, which could in turn further cloud the outlook for global growth.
For the six months ended June 30, 2019, the Standard & Poor’s 500® (“S&P 500”) Index* returned 18.54%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned 14.03%. The return of the MSCI Emerging Markets Index* was 10.58%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 6.11% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned 9.94%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 1.24% 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.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2019 |
*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.
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 Europe 50® Index provides a blue-chip representation of super-sector leaders in Europe. The index covers 50 stocks from developed European countries such as Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and the United Kingdom.
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)
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
A BRIEF NOTE ON THE COMPOUNDING OF RETURNS (Unaudited) |
|
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) |
|
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, 2018 and ending June 30, 2019.
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) |
|
| Expense | Fund | Beginning | Ending | Expenses |
Table 1. Based on actual Fund return3 | |||||
S&P 500® Pure Growth Fund | 1.75% | 19.45% | $ 1,000.00 | $ 1,194.50 | $ 9.52 |
S&P 500® Pure Value Fund | 1.75% | 15.01% | 1,000.00 | 1,150.10 | 9.33 |
S&P MidCap 400® Pure Growth Fund | 1.75% | 12.06% | 1,000.00 | 1,120.60 | 9.20 |
S&P MidCap 400® Pure Value Fund | 1.75% | 18.33% | 1,000.00 | 1,183.30 | 9.47 |
S&P SmallCap 600® Pure Growth Fund | 1.76% | 6.26% | 1,000.00 | 1,062.60 | 9.00 |
S&P SmallCap 600® Pure Value Fund | 1.76% | 8.07% | 1,000.00 | 1,080.70 | 9.08 |
Europe 1.25x Strategy Fund | 1.85% | 20.24% | 1,000.00 | 1,202.40 | 10.10 |
Japan 2x Strategy Fund | 1.66% | 17.17% | 1,000.00 | 1,171.70 | 8.94 |
Strengthening Dollar 2x Strategy Fund | 2.05% | 2.27% | 1,000.00 | 1,022.70 | 10.28 |
Weakening Dollar 2x Strategy Fund | 2.04% | (2.17%) | 1,000.00 | 978.30 | 10.01 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
S&P 500® Pure Growth Fund | 1.75% | 5.00% | $ 1,000.00 | $ 1,016.12 | $ 8.75 |
S&P 500® Pure Value Fund | 1.75% | 5.00% | 1,000.00 | 1,016.12 | 8.75 |
S&P MidCap 400® Pure Growth Fund | 1.75% | 5.00% | 1,000.00 | 1,016.12 | 8.75 |
S&P MidCap 400® Pure Value Fund | 1.75% | 5.00% | 1,000.00 | 1,016.12 | 8.75 |
S&P SmallCap 600® Pure Growth Fund | 1.76% | 5.00% | 1,000.00 | 1,016.07 | 8.80 |
S&P SmallCap 600® Pure Value Fund | 1.76% | 5.00% | 1,000.00 | 1,016.07 | 8.80 |
Europe 1.25x Strategy Fund | 1.85% | 5.00% | 1,000.00 | 1,015.62 | 9.25 |
Japan 2x Strategy Fund | 1.66% | 5.00% | 1,000.00 | 1,016.56 | 8.30 |
Strengthening Dollar 2x Strategy Fund | 2.05% | 5.00% | 1,000.00 | 1,014.63 | 10.24 |
Weakening Dollar 2x Strategy Fund | 2.04% | 5.00% | 1,000.00 | 1,014.68 | 10.19 |
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, 2018 to June 30, 2019. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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) | |
Keysight Technologies, Inc. | 2.3% |
Ulta Beauty, Inc. | 2.2% |
CSX Corp. | 1.9% |
Netflix, Inc. | 1.9% |
Devon Energy Corp. | 1.9% |
Thermo Fisher Scientific, Inc. | 1.8% |
Autodesk, Inc. | 1.8% |
salesforce.com, Inc. | 1.7% |
Vertex Pharmaceuticals, Inc. | 1.6% |
Waste Management, Inc. | 1.5% |
Top Ten Total | 18.6% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® Pure Growth Fund | 19.45% | 3.47% | 8.31% | 15.35% |
S&P 500 Pure Growth Index | 20.54% | 5.27% | 10.12% | 17.42% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
S&P 500® PURE GROWTH FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Consumer, Non-cyclical - 27.9% | ||||||||
Thermo Fisher Scientific, Inc. | 2,577 | $ | 756,813 | |||||
Vertex Pharmaceuticals, Inc.* | 3,587 | 657,784 | ||||||
Church & Dwight Company, Inc. | 7,180 | 524,571 | ||||||
Cintas Corp. | 2,080 | 493,563 | ||||||
WellCare Health Plans, Inc.* | 1,646 | 469,225 | ||||||
DaVita, Inc.* | 7,794 | 438,490 | ||||||
Constellation Brands, Inc. — Class A | 2,178 | 428,936 | ||||||
Edwards Lifesciences Corp.* | 2,306 | 426,011 | ||||||
Boston Scientific Corp.* | 9,730 | 418,195 | ||||||
Kellogg Co. | 7,660 | 410,346 | ||||||
Monster Beverage Corp.* | 6,387 | 407,682 | ||||||
IHS Markit Ltd.* | 6,361 | 405,323 | ||||||
Gartner, Inc.* | 2,515 | 404,764 | ||||||
McCormick & Company, Inc. | 2,608 | 404,266 | ||||||
Hormel Foods Corp. | 9,431 | 382,333 | ||||||
PayPal Holdings, Inc.* | 3,337 | 381,953 | ||||||
Abbott Laboratories | 4,360 | 366,676 | ||||||
Global Payments, Inc. | 2,278 | 364,776 | ||||||
Eli Lilly & Co. | 3,148 | 348,767 | ||||||
Intuitive Surgical, Inc.* | 630 | 330,467 | ||||||
Zimmer Biomet Holdings, Inc. | 2,806 | 330,379 | ||||||
Humana, Inc. | 1,146 | 304,034 | ||||||
Lamb Weston Holdings, Inc. | 4,588 | 290,696 | ||||||
HCA Healthcare, Inc. | 2,069 | 279,667 | ||||||
Pfizer, Inc. | 6,110 | 264,685 | ||||||
Merck & Company, Inc. | 2,840 | 238,134 | ||||||
Automatic Data Processing, Inc. | 1,400 | 231,462 | ||||||
Medtronic plc | 2,360 | 229,840 | ||||||
S&P Global, Inc. | 990 | 225,512 | ||||||
Illumina, Inc.* | 570 | 209,846 | ||||||
Clorox Co. | 1,370 | 209,760 | ||||||
Total Consumer, Non-cyclical | 11,634,956 | |||||||
Technology - 15.6% | ||||||||
Autodesk, Inc.* | 4,554 | 741,847 | ||||||
salesforce.com, Inc.* | 4,563 | 692,344 | ||||||
Advanced Micro Devices, Inc.* | 19,257 | 584,835 | ||||||
Take-Two Interactive Software, Inc.* | 4,223 | 479,437 | ||||||
Intuit, Inc. | 1,826 | 477,188 | ||||||
ANSYS, Inc.* | 1,899 | 388,953 | ||||||
Adobe, Inc.* | 1,320 | 388,938 | ||||||
Red Hat, Inc.* | 1,943 | 364,818 | ||||||
Fortinet, Inc.* | 4,699 | 361,024 | ||||||
Cerner Corp. | 4,864 | 356,531 | ||||||
Xilinx, Inc. | 3,018 | 355,883 | ||||||
Fidelity National Information Services, Inc. | 2,657 | 325,961 | ||||||
Akamai Technologies, Inc.* | 3,786 | 303,410 | ||||||
Broadcom, Inc. | 932 | 268,285 | ||||||
Broadridge Financial Solutions, Inc. | 1,965 | 250,891 | ||||||
NetApp, Inc. | 2,798 | 172,637 | ||||||
Total Technology | 6,512,982 | |||||||
Consumer, Cyclical - 12.1% | ||||||||
Ulta Beauty, Inc.* | 2,682 | 930,359 | ||||||
O’Reilly Automotive, Inc.* | 1,388 | 512,616 | ||||||
WW Grainger, Inc. | 1,762 | 472,621 | ||||||
Tractor Supply Co. | 4,051 | 440,749 | ||||||
Yum! Brands, Inc. | 3,540 | 391,772 | ||||||
Dollar General Corp. | 2,840 | 383,854 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 486 | 356,180 | ||||||
VF Corp. | 3,928 | 343,111 | ||||||
Fastenal Co. | 9,892 | 322,380 | ||||||
TJX Companies, Inc. | 6,078 | 321,404 | ||||||
Hilton Worldwide Holdings, Inc. | 3,140 | 306,904 | ||||||
AutoZone, Inc.* | 230 | 252,878 | ||||||
Total Consumer, Cyclical | 5,034,828 | |||||||
Industrial - 11.5% | ||||||||
Keysight Technologies, Inc.* | 10,754 | 965,817 | ||||||
CSX Corp. | 10,467 | 809,832 | ||||||
Waste Management, Inc. | 5,353 | 617,576 | ||||||
TransDigm Group, Inc.* | 1,135 | 549,113 | ||||||
Ingersoll-Rand plc | 2,857 | 361,896 | ||||||
Union Pacific Corp. | 1,650 | 279,031 | ||||||
Xylem, Inc. | 3,305 | 276,430 | ||||||
Expeditors International of Washington, Inc. | 3,513 | 266,496 | ||||||
Roper Technologies, Inc. | 619 | 226,715 | ||||||
AMETEK, Inc. | 2,370 | 215,291 | ||||||
Boeing Co. | 570 | 207,486 | ||||||
Total Industrial | 4,775,683 | |||||||
Energy - 9.3% | ||||||||
Devon Energy Corp. | 27,565 | 786,154 | ||||||
Diamondback Energy, Inc. | 5,646 | 615,245 | ||||||
ConocoPhillips | 9,409 | 573,949 | ||||||
Anadarko Petroleum Corp. | 6,549 | 462,097 | ||||||
HollyFrontier Corp. | 9,130 | 422,536 | ||||||
Marathon Oil Corp. | 26,139 | 371,435 | ||||||
Apache Corp. | 12,647 | 366,384 | ||||||
Occidental Petroleum Corp. | 5,740 | 288,607 | ||||||
Total Energy | 3,886,407 | |||||||
Communications - 8.9% | ||||||||
Netflix, Inc.* | 2,203 | 809,206 | ||||||
Motorola Solutions, Inc. | 3,229 | 538,371 | ||||||
Verizon Communications, Inc. | 6,540 | 373,630 | ||||||
Cisco Systems, Inc. | 6,590 | 360,671 | ||||||
Facebook, Inc. — Class A* | 1,701 | 328,293 | ||||||
Twitter, Inc.* | 9,312 | 324,989 | ||||||
VeriSign, Inc.* | 1,321 | 276,300 | ||||||
Amazon.com, Inc.* | 140 | 265,108 | ||||||
Alphabet, Inc. — Class C* | 200 | 216,182 | ||||||
Alphabet, Inc. — Class A* | 198 | 214,394 | ||||||
LogMeIn, Inc. | 1 | 74 | ||||||
Total Communications | 3,707,218 | |||||||
10| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
S&P 500® PURE GROWTH FUND |
| Shares | Value | ||||||
Financial - 8.5% | ||||||||
SVB Financial Group* | 2,402 | $ | 539,465 | |||||
Intercontinental Exchange, Inc. | 5,799 | 498,366 | ||||||
Welltower, Inc. REIT | 5,788 | 471,896 | ||||||
U.S. Bancorp | 7,067 | 370,311 | ||||||
Mastercard, Inc. — Class A | 1,230 | 325,372 | ||||||
Apartment Investment & Management Co. — Class A REIT | 6,471 | 324,327 | ||||||
Cboe Global Markets, Inc. | 3,079 | 319,077 | ||||||
First Republic Bank | 2,785 | 271,955 | ||||||
HCP, Inc. REIT | 6,987 | 223,444 | ||||||
Alliance Data Systems Corp. | 1,556 | 218,042 | ||||||
Total Financial | 3,562,255 | |||||||
Utilities - 3.6% | ||||||||
Ameren Corp. | 5,976 | 448,857 | ||||||
NRG Energy, Inc. | 10,631 | 373,361 | ||||||
Pinnacle West Capital Corp. | 3,797 | 357,260 | ||||||
NextEra Energy, Inc. | 1,500 | 307,290 | ||||||
Total Utilities | 1,486,768 | |||||||
Basic Materials - 2.1% | ||||||||
Air Products & Chemicals, Inc. | 2,200 | 498,014 | ||||||
Ecolab, Inc. | 2,020 | 398,829 | ||||||
Total Basic Materials | 896,843 | |||||||
Total Common Stocks | ||||||||
(Cost $30,385,129) | 41,497,940 |
Face | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.8% | ||||||||
JPMorgan Chase & Co. | $ | 235,732 | 235,732 | |||||
Bank of America Merrill Lynch | 58,560 | 58,560 | ||||||
Barclays Capital | 58,560 | 58,560 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $352,852) | 352,852 | |||||||
Total Investments - 100.3% | ||||||||
(Cost $30,737,981) | $ | 41,850,792 | ||||||
Other Assets & Liabilities, net - (0.3)% | (142,654 | ) | ||||||
Total Net Assets - 100.0% | $ | 41,708,138 |
* | 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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 41,497,940 | $ | — | $ | — | $ | 41,497,940 | ||||||||
Repurchase Agreements | — | 352,852 | — | 352,852 | ||||||||||||
Total Assets | $ | 41,497,940 | $ | 352,852 | $ | — | $ | 41,850,792 |
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, 2019 |
Assets: | ||||
Investments, at value (cost $30,385,129) | $ | 41,497,940 | ||
Repurchase agreements, at value (cost $352,852) | 352,852 | |||
Receivables: | ||||
Fund shares sold | 43,664 | |||
Dividends | 20,889 | |||
Interest | 73 | |||
Securities lending income | 2 | |||
Total assets | 41,915,420 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 88,962 | |||
Professional fees | 30,330 | |||
Management fees | 23,294 | |||
Printing fees | 19,400 | |||
Transfer agent and administrative fees | 7,765 | |||
Investor service fees | 7,765 | |||
Portfolio accounting fees | 3,106 | |||
Trustees’ fees* | 779 | |||
Miscellaneous | 25,881 | |||
Total liabilities | 207,282 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 41,708,138 | ||
Net assets consist of: | ||||
Paid in capital | $ | 29,279,417 | ||
Total distributable earnings (loss) | 12,428,721 | |||
Net assets | $ | 41,708,138 | ||
Capital shares outstanding | 794,201 | |||
Net asset value per share | $ | 52.52 |
STATEMENT OF OPERATIONS (Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends | $ | 242,636 | ||
Interest | 3,428 | |||
Income from securities lending, net | 1,921 | |||
Total investment income | 247,985 | |||
Expenses: | ||||
Management fees | 156,327 | |||
Investor service fees | 52,109 | |||
Transfer agent and administrative fees | 52,109 | |||
Professional fees | 28,463 | |||
Portfolio accounting fees | 20,844 | |||
Trustees’ fees* | 6,006 | |||
Custodian fees | 5,012 | |||
Line of credit fees | 61 | |||
Miscellaneous | 44,563 | |||
Total expenses | 365,494 | |||
Net investment loss | (117,509 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,519,116 | |||
Net realized gain | 1,519,116 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 6,106,057 | |||
Net change in unrealized appreciation (depreciation) | 6,106,057 | |||
Net realized and unrealized gain | 7,625,173 | |||
Net increase in net assets resulting from operations | $ | 7,507,664 |
* | 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 | $ | (117,509 | ) | $ | (473,030 | ) | ||
Net realized gain on investments | 1,519,116 | 1,832,113 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 6,106,057 | (4,989,546 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 7,507,664 | (3,630,463 | ) | |||||
Distributions to shareholders | — | (4,208,400 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 37,787,166 | 95,984,550 | ||||||
Distributions reinvested | — | 4,208,400 | ||||||
Cost of shares redeemed | (45,411,624 | ) | (105,551,660 | ) | ||||
Net decrease from capital share transactions | (7,624,458 | ) | (5,358,710 | ) | ||||
Net decrease in net assets | (116,794 | ) | (13,197,573 | ) | ||||
Net assets: | ||||||||
Beginning of period | 41,824,932 | 55,022,505 | ||||||
End of period | $ | 41,708,138 | $ | 41,824,932 | ||||
Capital share activity: | ||||||||
Shares sold | 771,586 | 1,846,716 | ||||||
Shares issued from reinvestment of distributions | — | 79,434 | ||||||
Shares redeemed | (928,497 | ) | (2,069,476 | ) | ||||
Net decrease in shares | (156,911 | ) | (143,326 | ) |
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 | $ | 43.97 | $ | 50.27 | $ | 42.31 | $ | 43.72 | $ | 47.51 | $ | 47.61 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.14 | ) | (.44 | ) | (.38 | ) | (.23 | ) | (.25 | ) | (.33 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.69 | (1.68 | ) | 10.51 | 1.38 | .91 | 6.19 | |||||||||||||||||
Total from investment operations | 8.55 | (2.12 | ) | 10.13 | 1.15 | .66 | 5.86 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (4.18 | ) | (2.17 | ) | (2.56 | ) | (4.45 | ) | (5.96 | ) | |||||||||||||
Total distributions | — | (4.18 | ) | (2.17 | ) | (2.56 | ) | (4.45 | ) | (5.96 | ) | |||||||||||||
Net asset value, end of period | $ | 52.52 | $ | 43.97 | $ | 50.27 | $ | 42.31 | $ | 43.72 | $ | 47.51 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 19.45% | (5.63 | %) | 24.39% | 2.58% | 1.08% | 12.42% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 41,708 | $ | 41,825 | $ | 55,023 | $ | 43,908 | $ | 77,644 | $ | 87,942 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.56 | %) | (0.85 | %) | (0.80 | %) | (0.54 | %) | (0.54 | %) | (0.67 | %) | ||||||||||||
Total expenses | 1.75 | % | 1.62 | % | 1.67 | % | 1.56 | % | 1.51 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 71 | % | 203 | % | 303 | % | 265 | % | 174 | % | 251 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
14| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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) | |
Ford Motor Co. | 2.4% |
Coty, Inc. — Class A | 2.1% |
MetLife, Inc. | 2.0% |
Prudential Financial, Inc. | 2.0% |
Baker Hughes a GE Co. | 2.0% |
Valero Energy Corp. | 1.9% |
Lennar Corp. — Class A | 1.6% |
Lincoln National Corp. | 1.6% |
Tyson Foods, Inc. — Class A | 1.6% |
Loews Corp. | 1.6% |
Top Ten Total | 18.8% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® Pure Value Fund | 15.01% | 0.09% | 4.49% | 14.83% |
S&P 500 Pure Value Index | 16.00% | 1.74% | 6.16% | 17.10% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
S&P 500® PURE VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.8% | ||||||||
Financial - 35.0% | ||||||||
MetLife, Inc. | 13,048 | $ | 648,094 | |||||
Prudential Financial, Inc. | 6,400 | 646,400 | ||||||
Lincoln National Corp. | 8,016 | 516,631 | ||||||
Loews Corp. | 9,078 | 496,294 | ||||||
Unum Group | 14,762 | 495,265 | ||||||
Jefferies Financial Group, Inc. | 24,596 | 472,981 | ||||||
Assurant, Inc. | 4,060 | 431,903 | ||||||
Principal Financial Group, Inc. | 7,241 | 419,399 | ||||||
Invesco Ltd. | 19,982 | 408,832 | ||||||
Hartford Financial Services Group, Inc. | 6,689 | 372,711 | ||||||
Citizens Financial Group, Inc. | 10,452 | 369,583 | ||||||
Allstate Corp. | 3,630 | 369,135 | ||||||
Everest Re Group Ltd. | 1,457 | 360,141 | ||||||
Capital One Financial Corp. | 3,839 | 348,351 | ||||||
American International Group, Inc. | 6,301 | 335,717 | ||||||
Goldman Sachs Group, Inc. | 1,608 | 328,997 | ||||||
Morgan Stanley | 6,550 | 286,955 | ||||||
Synchrony Financial | 7,620 | 264,185 | ||||||
Citigroup, Inc. | 3,631 | 254,279 | ||||||
Chubb Ltd. | 1,712 | 252,161 | ||||||
People’s United Financial, Inc. | 14,916 | 250,291 | ||||||
Aflac, Inc. | 4,469 | 244,946 | ||||||
Travelers Companies, Inc. | 1,550 | 231,756 | ||||||
Bank of America Corp. | 7,698 | 223,242 | ||||||
Fifth Third Bancorp | 7,784 | 217,174 | ||||||
SunTrust Banks, Inc. | 3,144 | 197,600 | ||||||
Regions Financial Corp. | 12,259 | 183,149 | ||||||
State Street Corp. | 2,870 | 160,892 | ||||||
KeyCorp | 9,054 | 160,708 | ||||||
Zions Bancorp North America | 3,407 | 156,654 | ||||||
PNC Financial Services Group, Inc. | 1,076 | 147,713 | ||||||
Kimco Realty Corp. REIT | 7,965 | 147,193 | ||||||
Bank of New York Mellon Corp. | 3,285 | 145,033 | ||||||
Raymond James Financial, Inc. | 1,650 | 139,507 | ||||||
Wells Fargo & Co. | 2,788 | 131,928 | ||||||
Affiliated Managers Group, Inc. | 1,370 | 126,232 | ||||||
BB&T Corp. | 2,505 | 123,071 | ||||||
Huntington Bancshares, Inc. | 8,625 | 119,198 | ||||||
Total Financial | 11,184,301 | |||||||
Consumer, Cyclical - 19.4% | ||||||||
Ford Motor Co. | 76,192 | 779,444 | ||||||
Lennar Corp. — Class A | 10,718 | 519,394 | ||||||
General Motors Co. | 12,797 | 493,069 | ||||||
Mohawk Industries, Inc.* | 2,458 | 362,481 | ||||||
PulteGroup, Inc. | 10,850 | 343,077 | ||||||
DR Horton, Inc. | 7,282 | 314,073 | ||||||
Target Corp. | 3,517 | 304,607 | ||||||
Best Buy Company, Inc. | 3,916 | 273,063 | ||||||
PVH Corp. | 2,579 | 244,077 | ||||||
BorgWarner, Inc. | 5,441 | 228,413 | ||||||
LKQ Corp.* | 8,309 | 221,102 | ||||||
Kohl’s Corp. | 4,465 | 212,311 | ||||||
Whirlpool Corp. | 1,374 | 195,603 | ||||||
PACCAR, Inc. | 2,700 | 193,482 | ||||||
United Continental Holdings, Inc.* | 2,067 | 180,966 | ||||||
Dollar Tree, Inc.* | 1,670 | 179,341 | ||||||
American Airlines Group, Inc. | 5,320 | 173,485 | ||||||
Walmart, Inc. | 1,396 | 154,244 | ||||||
MGM Resorts International | 4,950 | 141,421 | ||||||
Alaska Air Group, Inc. | 2,043 | 130,568 | ||||||
Gap, Inc. | 7,084 | 127,300 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 2,190 | 117,450 | ||||||
Walgreens Boots Alliance, Inc. | 1,982 | 108,356 | ||||||
Delta Air Lines, Inc. | 1,904 | 108,052 | ||||||
Carnival Corp. | 1,850 | 86,117 | ||||||
Total Consumer, Cyclical | 6,191,496 | |||||||
Consumer, Non-cyclical - 16.5% | ||||||||
Coty, Inc. — Class A | 50,829 | 681,109 | ||||||
Tyson Foods, Inc. — Class A | 6,336 | 511,569 | ||||||
Quanta Services, Inc. | 12,147 | 463,894 | ||||||
Archer-Daniels-Midland Co. | 10,807 | 440,926 | ||||||
McKesson Corp. | 2,747 | 369,169 | ||||||
AmerisourceBergen Corp. — Class A | 3,898 | 332,344 | ||||||
Cardinal Health, Inc. | 6,788 | 319,715 | ||||||
Allergan plc | 1,875 | 313,931 | ||||||
Molson Coors Brewing Co. — Class B | 5,291 | 296,296 | ||||||
Kroger Co. | 13,633 | 295,972 | ||||||
JM Smucker Co. | 1,950 | 224,620 | ||||||
CVS Health Corp. | 4,076 | 222,101 | ||||||
Kraft Heinz Co. | 6,400 | 198,656 | ||||||
Laboratory Corporation of America Holdings* | 991 | 171,344 | ||||||
Centene Corp.* | 3,240 | 169,906 | ||||||
Anthem, Inc. | 488 | 137,718 | ||||||
Mylan N.V.* | 4,607 | 87,717 | ||||||
Corteva, Inc. | 877 | 25,933 | ||||||
Total Consumer, Non-cyclical | 5,262,920 | |||||||
Energy - 10.9% | ||||||||
Baker Hughes a GE Co. | 26,202 | 645,355 | ||||||
Valero Energy Corp. | 7,204 | 616,734 | ||||||
TechnipFMC plc | 18,566 | 481,602 | ||||||
Phillips 66 | 4,666 | 436,458 | ||||||
Marathon Petroleum Corp. | 6,886 | 384,790 | ||||||
Noble Energy, Inc. | 11,045 | 247,408 | ||||||
National Oilwell Varco, Inc. | 9,757 | 216,898 | ||||||
Kinder Morgan, Inc. | 8,799 | 183,723 | ||||||
Chevron Corp. | 1,439 | 179,069 | ||||||
Helmerich & Payne, Inc. | 2,040 | 103,265 | ||||||
Total Energy | 3,495,302 | |||||||
Technology - 5.7% | ||||||||
Hewlett Packard Enterprise Co. | 28,280 | 422,786 | ||||||
Western Digital Corp. | 8,439 | 401,274 | ||||||
Xerox Corp. | 10,875 | 385,084 | ||||||
DXC Technology Co. | 5,080 | 280,162 | ||||||
Micron Technology, Inc.* | 6,170 | 238,100 |
16| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
S&P 500® PURE VALUE FUND |
| Shares | Value | ||||||
HP, Inc. | 4,730 | $ | 98,337 | |||||
Total Technology | 1,825,743 | |||||||
Communications - 4.0% | ||||||||
AT&T, Inc. | 9,135 | 306,114 | ||||||
CenturyLink, Inc. | 25,744 | 302,749 | ||||||
Viacom, Inc. — Class B | 7,729 | 230,865 | ||||||
DISH Network Corp. — Class A* | 5,746 | 220,704 | ||||||
News Corp. — Class A | 12,122 | 163,526 | ||||||
News Corp. — Class B | 3,887 | 54,263 | ||||||
Total Communications | 1,278,221 | |||||||
Industrial - 3.8% | ||||||||
Jacobs Engineering Group, Inc. | 4,204 | 354,776 | ||||||
Westrock Co. | 9,488 | 346,027 | ||||||
Johnson Controls International plc | 6,404 | 264,549 | ||||||
Arconic, Inc. | 5,820 | 150,273 | ||||||
Textron, Inc. | 2,123 | 112,604 | ||||||
Total Industrial | 1,228,229 | |||||||
Utilities - 2.6% | ||||||||
Exelon Corp. | 4,448 | 213,237 | ||||||
Edison International | 2,280 | 153,695 | ||||||
Consolidated Edison, Inc. | 1,490 | 130,643 | ||||||
CenterPoint Energy, Inc. | 4,120 | 117,956 | ||||||
Duke Energy Corp. | 1,210 | 106,770 | ||||||
Evergy, Inc. | 1,743 | 104,842 | ||||||
Total Utilities | 827,143 | |||||||
Basic Materials - 1.9% | ||||||||
Nucor Corp. | 4,058 | 223,596 | ||||||
International Paper Co. | 3,840 | 166,349 | ||||||
LyondellBasell Industries N.V. — Class A | 1,430 | 123,166 | ||||||
DuPont de Nemours, Inc. | 877 | 65,836 | ||||||
Dow, Inc. | 871 | 42,949 | ||||||
Total Basic Materials | 621,896 | |||||||
Total Common Stocks | ||||||||
(Cost $25,058,468) | 31,915,251 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.4% | ||||||||
JPMorgan Chase & Co. | $ | 88,525 | 88,525 | |||||
Bank of America Merrill Lynch | 21,991 | 21,991 | ||||||
Barclays Capital | 21,991 | 21,991 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $132,507) | 132,507 | |||||||
Total Investments - 100.2% | ||||||||
(Cost $25,190,975) | $ | 32,047,758 | ||||||
Other Assets & Liabilities, net - (0.2)% | (53,770 | ) | ||||||
Total Net Assets - 100.0% | $ | 31,993,988 |
* | 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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 31,915,251 | $ | — | $ | — | $ | 31,915,251 | ||||||||
Repurchase Agreements | — | 132,507 | — | 132,507 | ||||||||||||
Total Assets | $ | 31,915,251 | $ | 132,507 | $ | — | $ | 32,047,758 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 17 |
S&P 500® PURE VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES(Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value (cost $25,058,468) | $ | 31,915,251 | ||
Repurchase agreements, at value (cost $132,507) | 132,507 | |||
Cash | 6,249 | |||
Receivables: | ||||
Dividends | 39,729 | |||
Interest | 27 | |||
Total assets | 32,093,763 | |||
Liabilities: | ||||
Payable for: | ||||
Professional fees | 24,155 | |||
Management fees | 18,247 | |||
Printing fees | 15,450 | |||
Transfer agent and administrative fees | 6,082 | |||
Investor service fees | 6,082 | |||
Fund shares redeemed | 5,961 | |||
Portfolio accounting fees | 2,433 | |||
Trustees’ fees* | 623 | |||
Miscellaneous | 20,742 | |||
Total liabilities | 99,775 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 31,993,988 | ||
Net assets consist of: | ||||
Paid in capital | $ | 29,033,063 | ||
Total distributable earnings (loss) | 2,960,925 | |||
Net assets | $ | 31,993,988 | ||
Capital shares outstanding | 579,333 | |||
Net asset value per share | $ | 55.23 |
STATEMENT OF OPERATIONS(Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends | $ | 461,431 | ||
Interest | 2,199 | |||
Income from securities lending, net | 7,927 | |||
Total investment income | 471,557 | |||
Expenses: | ||||
Management fees | 124,499 | |||
Investor service fees | 41,500 | |||
Transfer agent and administrative fees | 41,500 | |||
Professional fees | 33,715 | |||
Portfolio accounting fees | 16,600 | |||
Trustees’ fees* | 5,094 | |||
Custodian fees | 4,142 | |||
Line of credit fees | 20 | |||
Miscellaneous | 24,029 | |||
Total expenses | 291,099 | |||
Net investment income | 180,458 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (501,507 | ) | ||
Net realized loss | (501,507 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 5,302,224 | |||
Net change in unrealized appreciation (depreciation) | 5,302,224 | |||
Net realized and unrealized gain | 4,800,717 | |||
Net increase in net assets resulting from operations | $ | 4,981,175 |
* | 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. |
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 | $ | 180,458 | $ | 346,389 | ||||
Net realized loss on investments | (501,507 | ) | (641,649 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 5,302,224 | (5,863,849 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 4,981,175 | (6,159,109 | ) | |||||
Distributions to shareholders | — | (3,121,849 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 21,341,830 | 70,588,571 | ||||||
Distributions reinvested | — | 3,121,849 | ||||||
Cost of shares redeemed | (27,440,091 | ) | (75,813,932 | ) | ||||
Net decrease from capital share transactions | (6,098,261 | ) | (2,103,512 | ) | ||||
Net decrease in net assets | (1,117,086 | ) | (11,384,470 | ) | ||||
Net assets: | ||||||||
Beginning of period | 33,111,074 | 44,495,544 | ||||||
End of period | $ | 31,993,988 | $ | 33,111,074 | ||||
Capital share activity: | ||||||||
Shares sold | 408,788 | 1,202,731 | ||||||
Shares issued from reinvestment of distributions | — | 55,490 | ||||||
Shares redeemed | (518,984 | ) | (1,288,384 | ) | ||||
Net decrease in shares | (110,196 | ) | (30,163 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 19 |
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 | $ | 48.02 | $ | 61.83 | $ | 56.45 | $ | 50.08 | $ | 71.22 | $ | 69.60 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .29 | .53 | .35 | .83 | .63 | .42 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.92 | (7.82 | ) | 8.28 | 9.87 | (5.87 | ) | 7.10 | ||||||||||||||||
Total from investment operations | 7.21 | (7.29 | ) | 8.63 | 10.70 | (5.24 | ) | 7.52 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.53 | ) | (.46 | ) | (1.23 | ) | (.82 | ) | (.34 | ) | |||||||||||||
Net realized gains | — | (5.99 | ) | (2.79 | ) | (3.10 | ) | (15.08 | ) | (5.56 | ) | |||||||||||||
Total distributions | — | (6.52 | ) | (3.25 | ) | (4.33 | ) | (15.90 | ) | (5.90 | ) | |||||||||||||
Net asset value, end of period | $ | 55.23 | $ | 48.02 | $ | 61.83 | $ | 56.45 | $ | 50.08 | $ | 71.22 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 15.01% | (13.32 | %) | 15.86% | 17.40% | (9.38 | %) | 10.94% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 31,994 | $ | 33,111 | $ | 44,496 | $ | 44,849 | $ | 32,326 | $ | 63,165 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.09 | % | 0.91 | % | 0.61 | % | 0.88 | % | 1.02 | % | 0.58 | % | ||||||||||||
Total expenses | 1.75 | % | 1.63 | % | 1.61 | % | 1.56 | % | 1.51 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 51 | % | 197 | % | 127 | % | 207 | % | 162 | % | 209 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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. |
20| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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) | |
Eldorado Resorts, Inc. | 2.9% |
Churchill Downs, Inc. | 2.3% |
Amedisys, Inc. | 2.1% |
Allegheny Technologies, Inc. | 2.0% |
Primerica, Inc. | 2.0% |
Deckers Outdoor Corp. | 2.0% |
PRA Health Sciences, Inc. | 1.8% |
Globus Medical, Inc. — Class A | 1.7% |
LendingTree, Inc. | 1.7% |
Murphy Oil Corp. | 1.6% |
Top Ten Total | 20.1% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P MidCap 400® Pure Growth Fund | 12.06% | (8.51%) | 2.73% | 11.84% |
S&P MidCap 400 Pure Growth Index | 12.90% | (6.98%) | 4.40% | 13.59% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
S&P MIDCAP 400® PURE GROWTH FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Consumer, Non-cyclical - 28.4% | ||||||||
Amedisys, Inc.* | 2,570 | $ | 312,024 | |||||
PRA Health Sciences, Inc.* | 2,660 | 263,739 | ||||||
Globus Medical, Inc. — Class A* | 5,980 | 252,954 | ||||||
Molina Healthcare, Inc.* | 1,560 | 223,298 | ||||||
Avanos Medical, Inc.* | 5,109 | 222,803 | ||||||
LiveRamp Holdings, Inc.* | 4,451 | 215,785 | ||||||
Insperity, Inc. | 1,430 | 174,660 | ||||||
ASGN, Inc.* | 2,860 | 173,316 | ||||||
STERIS plc | 1,140 | 169,723 | ||||||
Service Corporation International | 3,612 | 168,969 | ||||||
Helen of Troy Ltd.* | 1,290 | 168,461 | ||||||
Post Holdings, Inc.* | 1,441 | 149,821 | ||||||
Mallinckrodt plc* | 16,170 | 148,441 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 450 | 140,665 | ||||||
Encompass Health Corp. | 2,210 | 140,026 | ||||||
Boston Beer Company, Inc. — Class A*,1 | 370 | 139,771 | ||||||
Sabre Corp. | 6,050 | 134,310 | ||||||
Integra LifeSciences Holdings Corp.* | 2,370 | 132,365 | ||||||
LivaNova plc* | 1,642 | 118,158 | ||||||
WEX, Inc.* | 550 | 114,455 | ||||||
Chemed Corp. | 300 | 108,252 | ||||||
Masimo Corp.* | 700 | 104,174 | ||||||
Green Dot Corp. — Class A* | 1,980 | 96,822 | ||||||
Haemonetics Corp.* | 740 | 89,052 | ||||||
Adtalem Global Education, Inc.* | 1,940 | 87,397 | ||||||
Ligand Pharmaceuticals, Inc. — Class B* | 690 | 78,764 | ||||||
Lancaster Colony Corp. | 437 | 64,938 | ||||||
Weight Watchers International, Inc.* | 1,580 | 30,178 | ||||||
Total Consumer, Non-cyclical | 4,223,321 | |||||||
Consumer, Cyclical - 15.5% | ||||||||
Eldorado Resorts, Inc.*,1 | 9,298 | 428,359 | ||||||
Churchill Downs, Inc. | 2,995 | 344,635 | ||||||
Deckers Outdoor Corp.* | 1,660 | 292,110 | ||||||
Scientific Games Corp. — Class A* | 9,381 | 185,931 | ||||||
Domino’s Pizza, Inc. | 639 | 177,821 | ||||||
Live Nation Entertainment, Inc.* | 2,643 | 175,099 | ||||||
Wendy’s Co. | 8,670 | 169,759 | ||||||
Urban Outfitters, Inc.* | 7,235 | 164,596 | ||||||
Brinker International, Inc. | 3,160 | 124,346 | ||||||
Wyndham Hotels & Resorts, Inc. | 2,207 | 123,018 | ||||||
Pool Corp. | 568 | 108,488 | ||||||
Total Consumer, Cyclical | 2,294,162 | |||||||
Financial - 14.5% | ||||||||
Primerica, Inc. | 2,480 | 297,476 | ||||||
LendingTree, Inc.*,1 | 600 | 252,018 | ||||||
Medical Properties Trust, Inc. REIT | 13,310 | 232,126 | ||||||
American Campus Communities, Inc. REIT | 4,250 | 196,180 | ||||||
CyrusOne, Inc. REIT | 2,960 | 170,851 | ||||||
SLM Corp. | 17,480 | 169,906 | ||||||
UMB Financial Corp. | 2,581 | 169,881 | ||||||
Omega Healthcare Investors, Inc. REIT | 4,320 | 158,760 | ||||||
Brown & Brown, Inc. | 4,252 | 142,442 | ||||||
National Retail Properties, Inc. REIT | 2,667 | 141,378 | ||||||
First Financial Bankshares, Inc. | 4,320 | 133,013 | ||||||
Life Storage, Inc. REIT | 940 | 89,375 | ||||||
Total Financial | 2,153,406 | |||||||
Technology - 12.3% | ||||||||
Fair Isaac Corp.* | 735 | 230,805 | ||||||
MAXIMUS, Inc. | 2,792 | 202,532 | ||||||
Cypress Semiconductor Corp. | 9,028 | 200,783 | ||||||
Semtech Corp.* | 4,170 | 200,368 | ||||||
j2 Global, Inc. | 2,169 | 192,803 | ||||||
CommVault Systems, Inc.* | 3,290 | 163,250 | ||||||
Zebra Technologies Corp. — Class A* | 746 | 156,279 | ||||||
Leidos Holdings, Inc. | 1,900 | 151,715 | ||||||
PTC, Inc.* | 1,590 | 142,718 | ||||||
Silicon Laboratories, Inc.* | 922 | 95,335 | ||||||
ACI Worldwide, Inc.* | 2,704 | 92,855 | ||||||
Total Technology | 1,829,443 | |||||||
Industrial - 8.1% | ||||||||
ITT, Inc. | 3,406 | 223,025 | ||||||
Axon Enterprise, Inc.* | 2,740 | 175,935 | ||||||
Lennox International, Inc. | 520 | 143,000 | ||||||
Woodward, Inc. | 1,190 | 134,661 | ||||||
Curtiss-Wright Corp. | 930 | 118,231 | ||||||
Kennametal, Inc. | 3,110 | 115,039 | ||||||
Trimble, Inc.* | 2,337 | 105,422 | ||||||
IDEX Corp. | 590 | 101,563 | ||||||
MSA Safety, Inc. | 760 | 80,096 | ||||||
Total Industrial | 1,196,972 | |||||||
Energy - 7.9% | ||||||||
Murphy Oil Corp. | 9,800 | 241,570 | ||||||
QEP Resources, Inc.* | 32,640 | 235,987 | ||||||
Equitrans Midstream Corp. | 10,910 | 215,036 | ||||||
Callon Petroleum Co.* | 29,115 | 191,868 | ||||||
CNX Resources Corp.* | 24,600 | 179,826 | ||||||
Ensco Rowan plc — Class A1 | 13,570 | 115,752 | ||||||
Total Energy | 1,180,039 | |||||||
Communications - 6.4% | ||||||||
Ciena Corp.* | 5,780 | 237,731 | ||||||
New York Times Co. — Class A | 7,006 | 228,536 | ||||||
World Wrestling Entertainment, Inc. — Class A | 3,123 | 225,512 | ||||||
FactSet Research Systems, Inc. | 475 | 136,116 | ||||||
Yelp, Inc. — Class A* | 3,630 | 124,073 | ||||||
Total Communications | 951,968 | |||||||
Basic Materials - 3.9% | ||||||||
Allegheny Technologies, Inc.* | 12,019 | 302,879 | ||||||
Chemours Co. | 6,282 | 150,768 | ||||||
RPM International, Inc. | 2,040 | 124,664 | ||||||
Total Basic Materials | 578,311 | |||||||
22| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
S&P MIDCAP 400® PURE GROWTH FUND |
| Shares | Value | ||||||
Utilities - 2.5% | ||||||||
Black Hills Corp. | 2,107 | $ | 164,704 | |||||
National Fuel Gas Co. | 2,102 | 110,880 | ||||||
UGI Corp. | 1,748 | 93,361 | ||||||
Total Utilities | 368,945 | |||||||
Total Common Stocks | ||||||||
(Cost $12,591,019) | 14,776,567 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
JPMorgan Chase & Co. | $ | 68,516 | 68,516 | |||||
Bank of America Merrill Lynch | 17,020 | 17,020 | ||||||
Barclays Capital | 17,020 | 17,020 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $102,556) | 102,556 | |||||||
SECURITIES LENDING COLLATERAL†,3 - 4.3% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 636,598 | 636,598 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $636,598) | 636,598 | |||||||
Total Investments - 104.5% | ||||||||
(Cost $13,330,173) | $ | 15,515,721 | ||||||
Other Assets & Liabilities, net - (4.5)% | (663,637 | ) | ||||||
Total Net Assets - 100.0% | $ | 14,852,084 |
* | 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, 2019 — 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, 2019. |
plc — Public Limited Company | |
REIT — Real Estate Investment Fund | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 14,776,567 | $ | — | $ | — | $ | 14,776,567 | ||||||||
Repurchase Agreements | — | 102,556 | — | 102,556 | ||||||||||||
Securities Lending Collateral | 636,598 | — | — | 636,598 | ||||||||||||
Total Assets | $ | 15,413,165 | $ | 102,556 | $ | — | $ | 15,515,721 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 23 |
S&P MIDCAP 400® PURE GROWTH FUND |
STATEMENT OF ASSETS AND LIABILITIES(Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $634,100 of securities loaned (cost $13,227,617) | $ | 15,413,165 | ||
Repurchase agreements, at value (cost $102,556) | 102,556 | |||
Receivables: | ||||
Fund shares sold | 104,481 | |||
Securities sold | 76,444 | |||
Dividends | 9,851 | |||
Securities lending income | 21 | |||
Interest | 21 | |||
Total assets | 15,706,539 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 636,598 | |||
Securities purchased | 175,935 | |||
Management fees | 7,972 | |||
Transfer agent and administrative fees | 2,657 | |||
Investor service fees | 2,657 | |||
Portfolio accounting fees | 1,063 | |||
Fund shares redeemed | 355 | |||
Trustees’ fees* | 278 | |||
Miscellaneous | 26,940 | |||
Total liabilities | 854,455 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 14,852,084 | ||
Net assets consist of: | ||||
Paid in capital | $ | 13,765,726 | ||
Total distributable earnings (loss) | 1,086,358 | |||
Net assets | $ | 14,852,084 | ||
Capital shares outstanding | 422,868 | |||
Net asset value per share | $ | 35.12 |
STATEMENT OF OPERATIONS(Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends | $ | 69,178 | ||
Interest | 1,307 | |||
Income from securities lending, net | 127 | |||
Total investment income | 70,612 | |||
Expenses: | ||||
Management fees | 56,372 | |||
Investor service fees | 18,791 | |||
Transfer agent and administrative fees | 18,791 | |||
Professional fees | 9,730 | |||
Portfolio accounting fees | 7,516 | |||
Trustees’ fees* | 2,194 | |||
Custodian fees | 1,859 | |||
Line of credit fees | 20 | |||
Miscellaneous | 16,603 | |||
Total expenses | 131,876 | |||
Net investment loss | (61,264 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 210,996 | |||
Net realized gain | 210,996 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,512,863 | |||
Net change in unrealized appreciation (depreciation) | 1,512,863 | |||
Net realized and unrealized gain | 1,723,859 | |||
Net increase in net assets resulting from operations | $ | 1,662,595 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
24| 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 | $ | (61,264 | ) | $ | (152,436 | ) | ||
Net realized gain (loss) on investments | 210,996 | (611,299 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,512,863 | (1,883,907 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,662,595 | (2,647,642 | ) | |||||
Distributions to shareholders | — | (1,549,049 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 8,864,401 | 25,614,538 | ||||||
Distributions reinvested | — | 1,549,049 | ||||||
Cost of shares redeemed | (9,885,230 | ) | (29,150,899 | ) | ||||
Net decrease from capital share transactions | (1,020,829 | ) | (1,987,312 | ) | ||||
Net increase (decrease) in net assets | 641,766 | (6,184,003 | ) | |||||
Net assets: | ||||||||
Beginning of period | 14,210,318 | 20,394,321 | ||||||
End of period | $ | 14,852,084 | $ | 14,210,318 | ||||
Capital share activity: | ||||||||
Shares sold | 253,187 | 642,331 | ||||||
Shares issued from reinvestment of distributions | — | 38,862 | ||||||
Shares redeemed | (283,713 | ) | (746,632 | ) | ||||
Net decrease in shares | (30,526 | ) | (65,439 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 25 |
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 | $ | 31.34 | $ | 39.31 | $ | 33.11 | $ | 32.23 | $ | 34.05 | $ | 43.02 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.14 | ) | (.28 | ) | (.25 | ) | (.22 | ) | (.22 | ) | (.28 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.92 | (4.97 | ) | 6.45 | 1.10 | .88 | (.31 | ) | ||||||||||||||||
Total from investment operations | 3.78 | (5.25 | ) | 6.20 | .88 | .66 | (.59 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (2.72 | ) | — | — | (2.48 | ) | (8.38 | ) | |||||||||||||||
Total distributions | — | (2.72 | ) | — | — | (2.48 | ) | (8.38 | ) | |||||||||||||||
Net asset value, end of period | $ | 35.12 | $ | 31.34 | $ | 39.31 | $ | 33.11 | $ | 32.23 | $ | 34.05 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 12.06% | (14.83 | %) | 18.73% | 2.70% | 1.32% | (1.55 | %) | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,852 | $ | 14,210 | $ | 20,394 | $ | 19,061 | $ | 34,144 | $ | 29,927 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.82 | %) | (0.72 | %) | (0.70 | %) | (0.71 | %) | (0.64 | %) | (0.67 | %) | ||||||||||||
Total expenses | 1.75 | % | 1.62 | % | 1.61 | % | 1.56 | % | 1.50 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 183 | % | 233 | % | 296 | % | 269 | % | 380 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
26| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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) | |
McDermott International, Inc. | 2.7% |
World Fuel Services Corp. | 2.4% |
KB Home | 2.4% |
Ryder System, Inc. | 2.2% |
Dana, Inc. | 2.2% |
AutoNation, Inc. | 2.1% |
Bed Bath & Beyond, Inc. | 2.1% |
Tech Data Corp. | 2.1% |
AECOM | 2.0% |
Legg Mason, Inc. | 2.0% |
Top Ten Total | 22.2% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P MidCap 400® Pure Value Fund | 18.33% | (4.81%) | 4.46% | 12.90% |
S&P MidCap 400 Pure Value Index | 19.52% | (3.20%) | 6.28% | 15.17% |
* | 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 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
S&P MIDCAP 400® PURE VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.0% | ||||||||
Industrial - 27.4% | ||||||||
Ryder System, Inc. | 3,731 | $ | 217,517 | |||||
Tech Data Corp.* | 1,972 | 206,271 | ||||||
AECOM* | 5,377 | 203,519 | ||||||
SYNNEX Corp. | 1,967 | 193,553 | ||||||
Fluor Corp. | 5,220 | 175,862 | ||||||
Avnet, Inc. | 3,821 | 172,977 | ||||||
Arrow Electronics, Inc.* | 2,314 | 164,919 | ||||||
Jabil, Inc. | 4,710 | 148,836 | ||||||
AGCO Corp. | 1,572 | 121,940 | ||||||
Resideo Technologies, Inc.* | 5,510 | 120,779 | ||||||
Trinity Industries, Inc. | 5,790 | 120,143 | ||||||
Colfax Corp.* | 3,930 | 110,158 | ||||||
Knight-Swift Transportation Holdings, Inc.1 | 2,910 | 95,564 | ||||||
MasTec, Inc.* | 1,790 | 92,239 | ||||||
EMCOR Group, Inc. | 911 | 80,259 | ||||||
Oshkosh Corp. | 890 | 74,306 | ||||||
Owens-Illinois, Inc. | 3,960 | 68,389 | ||||||
Terex Corp. | 1,940 | 60,916 | ||||||
Granite Construction, Inc. | 1,260 | 60,707 | ||||||
Belden, Inc. | 950 | 56,591 | ||||||
Timken Co. | 1,070 | 54,934 | ||||||
Silgan Holdings, Inc. | 1,746 | 53,428 | ||||||
Worthington Industries, Inc. | 1,150 | 46,299 | ||||||
Werner Enterprises, Inc. | 1,260 | 39,161 | ||||||
Total Industrial | 2,739,267 | |||||||
Consumer, Cyclical - 25.3% | ||||||||
World Fuel Services Corp. | 6,719 | 241,615 | ||||||
KB Home | 9,290 | 239,031 | ||||||
Dana, Inc. | 10,890 | 217,147 | ||||||
AutoNation, Inc.* | 5,119 | 214,691 | ||||||
Bed Bath & Beyond, Inc.1 | 18,155 | 210,961 | ||||||
Goodyear Tire & Rubber Co. | 11,930 | 182,529 | ||||||
Dillard’s, Inc. — Class A1 | 2,910 | 181,235 | ||||||
TRI Pointe Group, Inc.* | 13,340 | 159,680 | ||||||
Toll Brothers, Inc. | 3,750 | 137,325 | ||||||
Delphi Technologies plc | 5,840 | 116,800 | ||||||
Dick’s Sporting Goods, Inc. | 3,191 | 110,504 | ||||||
Thor Industries, Inc. | 1,820 | 106,379 | ||||||
Caesars Entertainment Corp.* | 8,590 | 101,534 | ||||||
JetBlue Airways Corp.* | 4,627 | 85,553 | ||||||
Adient plc | 3,260 | 79,120 | ||||||
Marriott Vacations Worldwide Corp. | 790 | 76,156 | ||||||
Casey’s General Stores, Inc. | 290 | 45,237 | ||||||
Signet Jewelers Ltd. | 1,310 | 23,423 | ||||||
Total Consumer, Cyclical | 2,528,920 | |||||||
Financial - 18.6% | ||||||||
Legg Mason, Inc. | 5,209 | 199,400 | ||||||
Brighthouse Financial, Inc.* | 4,270 | 156,666 | ||||||
Navient Corp. | 9,418 | 128,556 | ||||||
Reinsurance Group of America, Inc. — Class A | 795 | 124,044 | ||||||
Bank OZK | 3,184 | 95,807 | ||||||
Stifel Financial Corp. | 1,580 | 93,315 | ||||||
Janus Henderson Group plc | 4,350 | 93,090 | ||||||
Alleghany Corp.* | 135 | 91,950 | ||||||
CNO Financial Group, Inc. | 4,890 | 81,565 | ||||||
New York Community Bancorp, Inc. | 7,973 | 79,571 | ||||||
Old Republic International Corp. | 3,507 | 78,487 | ||||||
First American Financial Corp. | 1,450 | 77,865 | ||||||
Alexander & Baldwin, Inc. REIT | 3,053 | 70,524 | ||||||
Sabra Health Care REIT, Inc. | 3,183 | 62,673 | ||||||
PacWest Bancorp | 1,563 | 60,691 | ||||||
Associated Banc-Corp. | 2,316 | 48,960 | ||||||
Jones Lang LaSalle, Inc. | 348 | 48,960 | ||||||
Umpqua Holdings Corp. | 2,858 | 47,414 | ||||||
Washington Federal, Inc. | 1,340 | 46,806 | ||||||
Hancock Whitney Corp. | 1,165 | 46,670 | ||||||
Senior Housing Properties Trust REIT | 5,235 | 43,294 | ||||||
First Horizon National Corp. | 2,745 | 40,983 | ||||||
Pinnacle Financial Partners, Inc. | 706 | 40,581 | ||||||
Total Financial | 1,857,872 | |||||||
Consumer, Non-cyclical - 8.6% | ||||||||
ManpowerGroup, Inc. | 1,967 | 190,012 | ||||||
Avis Budget Group, Inc.* | 3,962 | 139,304 | ||||||
Patterson Companies, Inc. | 4,861 | 111,317 | ||||||
Acadia Healthcare Company, Inc.* | 2,702 | 94,435 | ||||||
Graham Holdings Co. — Class B | 116 | 80,044 | ||||||
Sanderson Farms, Inc. | 570 | 77,839 | ||||||
Hain Celestial Group, Inc.* | 2,960 | 64,824 | ||||||
TreeHouse Foods, Inc.* | 1,010 | 54,641 | ||||||
MEDNAX, Inc.* | 2,010 | 50,712 | ||||||
Total Consumer, Non-cyclical | 863,128 | |||||||
Basic Materials - 8.5% | ||||||||
Reliance Steel & Aluminum Co. | 1,791 | 169,464 | ||||||
United States Steel Corp. | 9,560 | 146,364 | ||||||
Olin Corp. | 6,120 | 134,089 | ||||||
Domtar Corp. | 2,313 | 102,998 | ||||||
Commercial Metals Co. | 5,681 | 101,406 | ||||||
Carpenter Technology Corp. | 1,842 | 88,379 | ||||||
Minerals Technologies, Inc. | 1,070 | 57,256 | ||||||
Steel Dynamics, Inc. | 1,767 | 53,363 | ||||||
Total Basic Materials | 853,319 | |||||||
Energy - 8.1% | ||||||||
McDermott International, Inc.* | 28,287 | 273,252 | ||||||
Murphy USA, Inc.* | 1,391 | 116,885 | ||||||
Oceaneering International, Inc.* | 4,758 | 97,016 | ||||||
Patterson-UTI Energy, Inc. | 8,041 | 92,552 | ||||||
SM Energy Co. | 5,090 | 63,727 | ||||||
Oasis Petroleum, Inc.* | 10,410 | 59,129 | ||||||
Range Resources Corp. | 8,160 | 56,957 | ||||||
Equities Corp. | 3,550 | 56,125 | ||||||
Total Energy | 815,643 | |||||||
Technology - 1.4% | ||||||||
CACI International, Inc. — Class A* | 270 | 55,239 | ||||||
Perspecta, Inc. | 1,940 | 45,416 |
28| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
S&P MIDCAP 400® PURE VALUE FUND |
| Shares | Value | ||||||
NetScout Systems, Inc.* | 1,565 | $ | 39,735 | |||||
Total Technology | 140,390 | |||||||
Communications - 1.1% | ||||||||
Telephone & Data Systems, Inc. | 3,787 | 115,125 | ||||||
Total Common Stocks | ||||||||
(Cost $7,704,749) | 9,913,664 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 1.0% | ||||||||
JPMorgan Chase & Co. | $ | 66,986 | 66,986 | |||||
Bank of America Merrill Lynch | 16,640 | 16,640 | ||||||
Barclays Capital | 16,641 | 16,641 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $100,267) | 100,267 | |||||||
SECURITIES LENDING COLLATERAL†,3 - 3.7% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 366,479 | 366,479 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $366,479) | 366,479 | |||||||
Total Investments - 103.7% | ||||||||
(Cost $8,171,495) | $ | 10,380,410 | ||||||
Other Assets & Liabilities, net - (3.7)% | (365,701 | ) | ||||||
Total Net Assets - 100.0% | $ | 10,014,709 |
* | 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, 2019 — 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, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 9,913,664 | $ | — | $ | — | $ | 9,913,664 | ||||||||
Repurchase Agreements | — | 100,267 | — | 100,267 | ||||||||||||
Securities Lending Collateral | 366,479 | — | — | 366,479 | ||||||||||||
Total Assets | $ | 10,280,143 | $ | 100,267 | $ | — | $ | 10,380,410 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 29 |
S&P MIDCAP 400® PURE VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES(Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $364,980 of securities loaned (cost $8,071,228) | $ | 10,280,143 | ||
Repurchase agreements, at value (cost $100,267) | 100,267 | |||
Receivables: | ||||
Fund shares sold | 24,083 | |||
Dividends | 6,627 | |||
Securities lending income | 129 | |||
Interest | 21 | |||
Total assets | 10,411,270 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 366,479 | |||
Management fees | 5,568 | |||
Transfer agent and administrative fees | 1,856 | |||
Investor service fees | 1,856 | |||
Portfolio accounting fees | 743 | |||
Fund shares redeemed | 474 | |||
Trustees’ fees* | 200 | |||
Miscellaneous | 19,385 | |||
Total liabilities | 396,561 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 10,014,709 | ||
Net assets consist of: | ||||
Paid in capital | $ | 9,360,183 | ||
Total distributable earnings (loss) | 654,526 | |||
Net assets | $ | 10,014,709 | ||
Capital shares outstanding | 245,889 | |||
Net asset value per share | $ | 40.73 |
STATEMENT OF OPERATIONS(Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends | $ | 95,533 | ||
Interest | 849 | |||
Income from securities lending, net | 398 | |||
Total investment income | 96,780 | |||
Expenses: | ||||
Management fees | 40,331 | |||
Investor service fees | 13,444 | |||
Transfer agent and administrative fees | 13,444 | |||
Professional fees | 11,175 | |||
Portfolio accounting fees | 5,377 | |||
Trustees’ fees* | 1,646 | |||
Custodian fees | 1,396 | |||
Line of credit fees | 4 | |||
Miscellaneous | 7,535 | |||
Total expenses | 94,352 | |||
Net investment income | 2,428 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (398,263 | ) | ||
Net realized loss | (398,263 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 2,015,456 | |||
Net change in unrealized appreciation (depreciation) | 2,015,456 | |||
Net realized and unrealized gain | 1,617,193 | |||
Net increase in net assets resulting from operations | $ | 1,619,621 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
30| 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) | $ | 2,428 | $ | (3,727 | ) | |||
Net realized loss on investments | (398,263 | ) | (300,173 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 2,015,456 | (2,067,546 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,619,621 | (2,371,446 | ) | |||||
Distributions to shareholders | — | (1,912,944 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 8,657,249 | 15,203,247 | ||||||
Distributions reinvested | — | 1,912,944 | ||||||
Cost of shares redeemed | (9,247,346 | ) | (21,262,053 | ) | ||||
Net decrease from capital share transactions | (590,097 | ) | (4,145,862 | ) | ||||
Net increase (decrease) in net assets | 1,029,524 | (8,430,252 | ) | |||||
Net assets: | ||||||||
Beginning of period | 8,985,185 | 17,415,437 | ||||||
End of period | $ | 10,014,709 | $ | 8,985,185 | ||||
Capital share activity: | ||||||||
Shares sold | 214,145 | 323,982 | ||||||
Shares issued from reinvestment of distributions | — | 44,363 | ||||||
Shares redeemed | (229,273 | ) | (457,135 | ) | ||||
Net decrease in shares | (15,128 | ) | (88,790 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 31 |
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 | $ | 34.42 | $ | 49.79 | $ | 54.35 | $ | 42.30 | $ | 53.78 | $ | 58.55 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .01 | (.01 | ) | (.05 | ) | (.06 | ) | .26 | .05 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 6.30 | (7.95 | ) | 6.13 | 12.41 | (5.93 | ) | 3.68 | ||||||||||||||||
Total from investment operations | 6.31 | (7.96 | ) | 6.08 | 12.35 | (5.67 | ) | 3.73 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | (.30 | ) | (.08 | ) | (.05 | ) | |||||||||||||||
Net realized gains | — | (7.41 | ) | (10.64 | ) | — | (5.73 | ) | (8.45 | ) | ||||||||||||||
Total distributions | — | (7.41 | ) | (10.64 | ) | (.30 | ) | (5.81 | ) | (8.50 | ) | |||||||||||||
Net asset value, end of period | $ | 40.73 | $ | 34.42 | $ | 49.79 | $ | 54.35 | $ | 42.30 | $ | 53.78 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 18.33% | (18.98 | %) | 13.15% | 28.89% | (11.86 | %) | 6.72% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 10,015 | $ | 8,985 | $ | 17,415 | $ | 30,207 | $ | 12,007 | $ | 17,460 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.05 | % | (0.03 | %) | (0.10 | %) | (0.07 | %) | 0.52 | % | 0.08 | % | ||||||||||||
Total expenses | 1.75 | % | 1.62 | % | 1.61 | % | 1.56 | % | 1.50 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 76 | % | 145 | % | 144 | % | 282 | % | 280 | % | 353 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
d | Share split — Per share amounts for the years presented through December 31, 2016 have been restated to reflect a 2:1 share split effective December 1, 2016. |
32| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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) | |
Avon Products, Inc. | 2.5% |
Innovative Industrial Properties, Inc. | 2.0% |
NeoGenomics, Inc. | 1.8% |
Shake Shack, Inc. — Class A | 1.8% |
Perficient, Inc. | 1.5% |
Medpace Holdings, Inc. | 1.5% |
KEMET Corp. | 1.4% |
Nanometrics, Inc. | 1.4% |
Wingstop, Inc. | 1.4% |
CONMED Corp. | 1.3% |
Top Ten Total | 16.6% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P SmallCap 600® Pure Growth Fund | 6.26% | (12.95%) | 5.53% | 12.68% |
S&P SmallCap 600 Pure Growth Index | 7.39% | (11.28%) | 7.38% | 14.91% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
S&P SMALLCAP 600® PURE GROWTH FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Consumer, Non-cyclical - 30.4% | ||||||||
Avon Products, Inc.* | 74,950 | $ | 290,806 | |||||
NeoGenomics, Inc.* | 9,660 | 211,940 | ||||||
Medpace Holdings, Inc.* | 2,580 | 168,784 | ||||||
CONMED Corp. | 1,790 | 153,170 | ||||||
Tactile Systems Technology, Inc.* | 2,619 | 149,073 | ||||||
Cardiovascular Systems, Inc.* | 3,260 | 139,952 | ||||||
Medifast, Inc. | 1,041 | 133,560 | ||||||
Career Education Corp.* | 6,220 | 118,616 | ||||||
Supernus Pharmaceuticals, Inc.* | 3,321 | 109,892 | ||||||
Repligen Corp.* | 1,211 | 104,085 | ||||||
Luminex Corp. | 4,620 | 95,357 | ||||||
Innoviva, Inc.* | 6,426 | 93,563 | ||||||
Arrowhead Pharmaceuticals, Inc.* | 3,520 | 93,280 | ||||||
AngioDynamics, Inc.* | 4,695 | 92,445 | ||||||
Harsco Corp.* | 3,349 | 91,897 | ||||||
Inter Parfums, Inc. | 1,372 | 91,224 | ||||||
Eagle Pharmaceuticals, Inc.* | 1,546 | 86,081 | ||||||
WD-40 Co. | 520 | 82,701 | ||||||
Neogen Corp.* | 1,289 | 80,060 | ||||||
Integer Holdings Corp.* | 892 | 74,857 | ||||||
Ensign Group, Inc. | 1,230 | 70,011 | ||||||
Cardtronics plc — Class A* | 2,370 | 64,748 | ||||||
Heska Corp.* | 750 | 63,877 | ||||||
Monro, Inc. | 730 | 62,269 | ||||||
HMS Holdings Corp.* | 1,880 | 60,893 | ||||||
CorVel Corp.* | 671 | 58,384 | ||||||
Strategic Education, Inc. | 310 | 55,180 | ||||||
Care.com, Inc.* | 4,940 | 54,241 | ||||||
American Public Education, Inc.* | 1,785 | 52,800 | ||||||
Corcept Therapeutics, Inc.* | 4,097 | 45,682 | ||||||
REGENXBIO, Inc.* | 880 | 45,206 | ||||||
Merit Medical Systems, Inc.* | 739 | 44,015 | ||||||
Amphastar Pharmaceuticals, Inc.* | 2,030 | 42,853 | ||||||
Addus HomeCare Corp.* | 540 | 40,473 | ||||||
AMN Healthcare Services, Inc.* | 731 | 39,657 | ||||||
CryoLife, Inc.* | 1,210 | 36,215 | ||||||
Forrester Research, Inc. | 760 | 35,743 | ||||||
Surmodics, Inc.* | 807 | 34,838 | ||||||
Endo International plc* | 6,830 | 28,140 | ||||||
BioTelemetry, Inc.* | 522 | 25,134 | ||||||
Spectrum Pharmaceuticals, Inc.* | 2,720 | 23,419 | ||||||
Meridian Bioscience, Inc. | 1,920 | 22,810 | ||||||
Vanda Pharmaceuticals, Inc.* | 1,610 | 22,685 | ||||||
Tivity Health, Inc.* | 1,370 | 22,523 | ||||||
Total Consumer, Non-cyclical | 3,513,139 | |||||||
Financial - 16.4% | ||||||||
Innovative Industrial Properties, Inc. REIT1 | 1,900 | 234,764 | ||||||
Agree Realty Corp. REIT | 1,730 | 110,806 | ||||||
eHealth, Inc.* | 1,270 | 109,347 | ||||||
Blucora, Inc.* | 3,385 | 102,802 | ||||||
Four Corners Property Trust, Inc. REIT | 3,626 | 99,098 | ||||||
RLI Corp. | 1,140 | 97,709 | ||||||
Redwood Trust, Inc. REIT | 5,390 | 89,097 | ||||||
United Fire Group, Inc. | 1,684 | 81,607 | ||||||
Armada Hoffler Properties, Inc. REIT | 4,560 | 75,468 | ||||||
Old National Bancorp | 4,546 | 75,418 | ||||||
Triumph Bancorp, Inc.* | 2,440 | 70,882 | ||||||
Independent Bank Corp. | 918 | 69,906 | ||||||
HCI Group, Inc. | 1,640 | 66,371 | ||||||
LegacyTexas Financial Group, Inc. | 1,585 | 64,525 | ||||||
Community Bank System, Inc. | 930 | 61,231 | ||||||
Easterly Government Properties, Inc. REIT | 3,152 | 57,083 | ||||||
Universal Insurance Holdings, Inc. | 1,870 | 52,173 | ||||||
Urstadt Biddle Properties, Inc. — Class A REIT | 2,480 | 52,080 | ||||||
City Holding Co. | 660 | 50,332 | ||||||
Marcus & Millichap, Inc.* | 1,480 | 45,658 | ||||||
Washington Prime Group, Inc. REIT1 | 11,624 | 44,404 | ||||||
Seacoast Banking Corporation of Florida* | 1,700 | 43,248 | ||||||
Community Healthcare Trust, Inc. REIT | 1,040 | 40,986 | ||||||
Glacier Bancorp, Inc. | 920 | 37,306 | ||||||
National Storage Affiliates Trust REIT | 1,219 | 35,278 | ||||||
Westamerica Bancorporation | 560 | 34,502 | ||||||
Total Financial | 1,902,081 | |||||||
Consumer, Cyclical - 16.0% | ||||||||
Shake Shack, Inc. — Class A* | 2,853 | 205,987 | ||||||
Wingstop, Inc. | 1,684 | 159,559 | ||||||
iRobot Corp.*,1 | 1,351 | 123,805 | ||||||
Sleep Number Corp.* | 2,443 | 98,673 | ||||||
BJ’s Restaurants, Inc. | 2,130 | 93,592 | ||||||
Guess?, Inc.1 | 5,640 | 91,086 | ||||||
Shoe Carnival, Inc.1 | 3,172 | 87,547 | ||||||
Regis Corp.* | 5,190 | 86,154 | ||||||
Allegiant Travel Co. — Class A | 525 | 75,338 | ||||||
FirstCash, Inc. | 738 | 73,815 | ||||||
Children’s Place, Inc. | 770 | 73,443 | ||||||
Marcus Corp. | 2,130 | 70,205 | ||||||
Cavco Industries, Inc.* | 444 | 69,948 | ||||||
Dorman Products, Inc.* | 760 | 66,226 | ||||||
Ruth’s Hospitality Group, Inc. | 2,752 | 62,498 | ||||||
UniFirst Corp. | 320 | 60,342 | ||||||
Mobile Mini, Inc. | 1,693 | 51,518 | ||||||
Dine Brands Global, Inc. | 520 | 49,644 | ||||||
Tailored Brands, Inc.1 | 7,740 | 44,660 | ||||||
Crocs, Inc.* | 2,180 | 43,055 | ||||||
El Pollo Loco Holdings, Inc.* | 4,006 | 42,704 | ||||||
Dave & Buster’s Entertainment, Inc. | 1,045 | 42,291 | ||||||
Ascena Retail Group, Inc.* | 65,250 | 39,802 | ||||||
Kontoor Brands, Inc.* | 1,330 | 37,267 | ||||||
Total Consumer, Cyclical | 1,849,159 | |||||||
Industrial - 10.3% | ||||||||
KEMET Corp. | 8,674 | 163,158 | ||||||
DXP Enterprises, Inc.* | 2,940 | 111,397 | ||||||
SPX Corp.* | 3,090 | 102,032 | ||||||
Matson, Inc. | 2,600 | 101,010 | ||||||
Vicor Corp.* | 3,234 | 100,416 | ||||||
Franklin Electric Company, Inc. | 1,690 | 80,275 | ||||||
Proto Labs, Inc.* | 613 | 71,120 |
34| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
S&P SMALLCAP 600® PURE GROWTH FUND |
| Shares | Value | ||||||
AeroVironment, Inc.* | 1,178 | $ | 66,875 | |||||
Mesa Laboratories, Inc. | 260 | 63,528 | ||||||
ESCO Technologies, Inc. | 760 | 62,791 | ||||||
Exponent, Inc. | 1,000 | 58,540 | ||||||
Albany International Corp. — Class A | 668 | 55,384 | ||||||
Aerojet Rocketdyne Holdings, Inc.* | 942 | 42,173 | ||||||
Raven Industries, Inc. | 1,105 | 39,648 | ||||||
National Presto Industries, Inc. | 420 | 39,182 | ||||||
US Ecology, Inc. | 610 | 36,319 | ||||||
Total Industrial | 1,193,848 | |||||||
Technology - 9.3% | ||||||||
Nanometrics, Inc.* | 4,632 | 160,777 | ||||||
SPS Commerce, Inc.* | 1,250 | 127,762 | ||||||
Tabula Rasa HealthCare, Inc.* | 2,046 | 102,157 | ||||||
Unisys Corp.*,1 | 10,440 | 101,477 | ||||||
Bottomline Technologies DE, Inc.* | 2,220 | 98,213 | ||||||
Cabot Microelectronics Corp. | 726 | 79,918 | ||||||
Omnicell, Inc.* | 865 | 74,416 | ||||||
Brooks Automation, Inc. | 1,700 | 65,875 | ||||||
Virtusa Corp.* | 1,407 | 62,513 | ||||||
CTS Corp. | 2,120 | 58,470 | ||||||
Agilysys, Inc.* | 2,650 | 56,895 | ||||||
3D Systems Corp.*,1 | 5,430 | 49,413 | ||||||
NextGen Healthcare, Inc.* | 2,112 | 42,029 | ||||||
Total Technology | 1,079,915 | |||||||
Energy - 8.3% | ||||||||
ProPetro Holding Corp.* | 6,970 | 144,279 | ||||||
Renewable Energy Group, Inc.* | 8,090 | 128,307 | ||||||
DMC Global, Inc. | 1,960 | 124,166 | ||||||
SunCoke Energy, Inc.* | 12,480 | 110,822 | ||||||
KLX Energy Services Holdings, Inc.* | 4,548 | 92,916 | ||||||
Archrock, Inc. | 7,620 | 80,772 | ||||||
HighPoint Resources Corp.* | 42,830 | 77,951 | ||||||
Denbury Resources, Inc.* | 61,480 | 76,235 | ||||||
Penn Virginia Corp.* | 2,410 | 73,939 | ||||||
Carrizo Oil & Gas, Inc.* | 4,770 | 47,795 | ||||||
Total Energy | 957,182 | |||||||
Communications - 6.0% | ||||||||
Perficient, Inc.* | 5,100 | 175,032 | ||||||
Iridium Communications, Inc.* | 5,298 | 123,231 | ||||||
Liquidity Services, Inc.* | 10,338 | 62,958 | ||||||
QuinStreet, Inc.* | 3,540 | 56,109 | ||||||
8x8, Inc.* | 2,320 | 55,912 | ||||||
EW Scripps Co. — Class A | 3,610 | 55,197 | ||||||
Harmonic, Inc.* | 9,121 | 50,622 | ||||||
Viavi Solutions, Inc.* | 3,310 | 43,990 | ||||||
ATN International, Inc. | 730 | 42,143 | ||||||
Stamps.com, Inc.* | 579 | 26,211 | ||||||
Total Communications | 691,405 | |||||||
Basic Materials - 2.8% | ||||||||
Kaiser Aluminum Corp. | 1,190 | 116,156 | ||||||
Innospec, Inc. | 1,050 | 95,802 | ||||||
Hawkins, Inc. | 1,680 | 72,929 | ||||||
Quaker Chemical Corp. | 170 | 34,489 | ||||||
Total Basic Materials | 319,376 | |||||||
Total Common Stocks | ||||||||
(Cost $9,666,860) | 11,506,105 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
JPMorgan Chase & Co. | $ | 39,145 | 39,145 | |||||
Bank of America Merrill Lynch | 9,724 | 9,724 | ||||||
Barclays Capital | 9,725 | 9,725 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $58,594) | 58,594 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 3.9% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%4 | 447,977 | 447,977 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $447,977) | 447,977 | |||||||
Total Investments - 103.9% | ||||||||
(Cost $10,173,431) | $ | 12,012,676 | ||||||
Other Assets & Liabilities, net - (3.9)% | (452,834 | ) | ||||||
Total Net Assets - 100.0% | $ | 11,559,842 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 35 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
S&P SMALLCAP 600® PURE GROWTH 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, 2019 — 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, 2019. |
plc — Public Limited Company | |
REIT — Real Estate Investment Fund | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 11,506,105 | $ | — | $ | — | $ | 11,506,105 | ||||||||
Repurchase Agreements | — | 58,594 | — | 58,594 | ||||||||||||
Securities Lending Collateral | 447,977 | — | — | 447,977 | ||||||||||||
Total Assets | $ | 11,954,082 | $ | 58,594 | $ | — | $ | 12,012,676 |
36| 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, 2019 |
Assets: | ||||
Investments, at value - including $446,374 of securities loaned (cost $10,114,837) | $ | 11,954,082 | ||
Repurchase agreements, at value (cost $58,594) | 58,594 | |||
Receivables: | ||||
Fund shares sold | 502,294 | |||
Securities sold | 113,521 | |||
Dividends | 8,136 | |||
Securities lending income | 487 | |||
Interest | 12 | |||
Total assets | 12,637,126 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 594,730 | |||
Return of securities lending collateral | 447,977 | |||
Management fees | 6,137 | |||
Transfer agent and administrative fees | 2,045 | |||
Investor service fees | 2,045 | |||
Portfolio accounting fees | 818 | |||
Trustees’ fees* | 238 | |||
Fund shares redeemed | 56 | |||
Miscellaneous | 23,238 | |||
Total liabilities | 1,077,284 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 11,559,842 | ||
Net assets consist of: | ||||
Paid in capital | $ | 10,928,794 | ||
Total distributable earnings (loss) | 631,048 | |||
Net assets | $ | 11,559,842 | ||
Capital shares outstanding | 221,697 | |||
Net asset value per share | $ | 52.14 |
STATEMENT OF OPERATIONS(Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends | $ | 59,403 | ||
Interest | 1,198 | |||
Income from securities lending, net | 2,267 | |||
Total investment income | 62,868 | |||
Expenses: | ||||
Management fees | 47,587 | |||
Investor service fees | 15,862 | |||
Transfer agent and administrative fees | 15,862 | |||
Professional fees | 13,566 | |||
Portfolio accounting fees | 6,345 | |||
Trustees’ fees* | 2,641 | |||
Custodian fees | 2,019 | |||
Line of credit fees | 11 | |||
Miscellaneous | 7,473 | |||
Total expenses | 111,366 | |||
Net investment loss | (48,498 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 942,010 | |||
Net realized gain | 942,010 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 155,320 | |||
Net change in unrealized appreciation (depreciation) | 155,320 | |||
Net realized and unrealized gain | 1,097,330 | |||
Net increase in net assets resulting from operations | $ | 1,048,832 |
* | 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 |
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 | $ | (48,498 | ) | $ | (241,095 | ) | ||
Net realized gain (loss) on investments | 942,010 | (1,539,254 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 155,320 | (1,822,907 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,048,832 | (3,603,256 | ) | |||||
Distributions to shareholders | — | (549,379 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 6,953,491 | 68,349,093 | ||||||
Distributions reinvested | — | 549,379 | ||||||
Cost of shares redeemed | (13,448,023 | ) | (68,178,483 | ) | ||||
Net increase (decrease) from capital share transactions | (6,494,532 | ) | 719,989 | |||||
Net decrease in net assets | (5,445,700 | ) | (3,432,646 | ) | ||||
Net assets: | ||||||||
Beginning of period | 17,005,542 | 20,438,188 | ||||||
End of period | $ | 11,559,842 | $ | 17,005,542 | ||||
Capital share activity: | ||||||||
Shares sold | 131,593 | 1,133,425 | ||||||
Shares issued from reinvestment of distributions | — | 8,745 | ||||||
Shares redeemed | (256,456 | ) | (1,167,579 | ) | ||||
Net decrease in shares | (124,863 | ) | (25,409 | ) |
38| 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 | $ | 49.07 | $ | 54.95 | $ | 49.86 | $ | 42.01 | $ | 45.67 | $ | 45.67 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.20 | ) | (.60 | ) | (.47 | ) | (.14 | ) | (.30 | ) | (.38 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 3.27 | (4.12 | ) | 8.25 | 7.99 | .62 | .38 | |||||||||||||||||
Total from investment operations | 3.07 | (4.72 | ) | 7.78 | 7.85 | .32 | — | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (1.16 | ) | (2.69 | ) | — | (3.98 | ) | — | |||||||||||||||
Total distributions | — | (1.16 | ) | (2.69 | ) | — | (3.98 | ) | — | |||||||||||||||
Net asset value, end of period | $ | 52.14 | $ | 49.07 | $ | 54.95 | $ | 49.86 | $ | 42.01 | $ | 45.67 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 6.26% | (9.03 | %) | 16.08% | 18.69% | (0.37 | %) | 0.00% | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,560 | $ | 17,006 | $ | 20,438 | $ | 20,844 | $ | 22,156 | $ | 25,379 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.76 | %) | (1.01 | %) | (0.90 | %) | (0.32 | %) | (0.64 | %) | (0.85 | %) | ||||||||||||
Total expenses | 1.76 | % | 1.63 | % | 1.61 | % | 1.56 | % | 1.50 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 53 | % | 313 | % | 280 | % | 475 | % | 282 | % | 268 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 39 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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) | |
Sonic Automotive, Inc. — Class A | 2.0% |
Ultra Clean Holdings, Inc. | 1.9% |
Group 1 Automotive, Inc. | 1.8% |
William Lyon Homes — Class A | 1.8% |
Griffon Corp. | 1.6% |
Century Communities, Inc. | 1.5% |
Hibbett Sports, Inc. | 1.5% |
M/I Homes, Inc. | 1.4% |
PH Glatfelter Co. | 1.4% |
Kelly Services, Inc. — Class A | 1.4% |
Top Ten Total | 16.3% |
“Ten Largest Holdings” excludes any temporary cash investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P SmallCap 600® Pure Value Fund | 8.07% | (18.96%) | (0.67%) | 9.19% |
S&P SmallCap 600 Pure Value Index | 9.05% | (17.53%) | 0.98% | 10.96% |
* | 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 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
S&P SMALLCAP 600® PURE VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 98.8% | ||||||||
Consumer, Cyclical - 37.7% | ||||||||
Sonic Automotive, Inc. — Class A | 5,725 | $ | 133,679 | |||||
Group 1 Automotive, Inc. | 1,506 | 123,326 | ||||||
William Lyon Homes — Class A* | 6,760 | 123,235 | ||||||
Century Communities, Inc.* | 3,980 | 105,788 | ||||||
Hibbett Sports, Inc.* | 5,466 | 99,481 | ||||||
M/I Homes, Inc.* | 3,475 | 99,176 | ||||||
GMS, Inc.* | 4,170 | 91,740 | ||||||
Meritage Homes Corp.* | 1,740 | 89,332 | ||||||
Winnebago Industries, Inc. | 2,310 | 89,281 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 6,959 | 88,797 | ||||||
Lithia Motors, Inc. — Class A | 745 | 88,491 | ||||||
Genesco, Inc.* | 1,611 | 68,129 | ||||||
Core-Mark Holding Company, Inc. | 1,431 | 56,839 | ||||||
MDC Holdings, Inc. | 1,733 | 56,808 | ||||||
EZCORP, Inc. — Class A* | 5,679 | 53,780 | ||||||
Anixter International, Inc.* | 882 | 52,664 | ||||||
Red Robin Gourmet Burgers, Inc.* | 1,720 | 52,580 | ||||||
ScanSource, Inc.* | 1,596 | 51,966 | ||||||
Zumiez, Inc.* | 1,965 | 51,287 | ||||||
Office Depot, Inc. | 24,510 | 50,491 | ||||||
Vista Outdoor, Inc.* | 5,556 | 49,337 | ||||||
Wabash National Corp. | 3,010 | 48,973 | ||||||
Lumber Liquidators Holdings, Inc.*,1 | 3,840 | 44,352 | ||||||
Veritiv Corp.* | 2,213 | 42,976 | ||||||
Cato Corp. — Class A | 3,455 | 42,566 | ||||||
Chico’s FAS, Inc. | 12,034 | 40,555 | ||||||
Abercrombie & Fitch Co. — Class A | 2,486 | 39,875 | ||||||
MarineMax, Inc.* | 2,416 | 39,719 | ||||||
Titan International, Inc. | 7,803 | 38,157 | ||||||
LGI Homes, Inc.* | 530 | 37,858 | ||||||
Cooper-Standard Holdings, Inc.* | 821 | 37,618 | ||||||
J.C. Penney Company, Inc.*,1 | 32,496 | 37,046 | ||||||
Express, Inc.* | 13,331 | 36,394 | ||||||
Vitamin Shoppe, Inc.* | 9,151 | 36,055 | ||||||
Big Lots, Inc. | 1,240 | 35,476 | ||||||
Conn’s, Inc.* | 1,990 | 35,462 | ||||||
Superior Industries International, Inc. | 9,155 | 31,676 | ||||||
Haverty Furniture Companies, Inc. | 1,602 | 27,282 | ||||||
Ethan Allen Interiors, Inc. | 1,150 | 24,219 | ||||||
Caleres, Inc. | 1,152 | 22,948 | ||||||
Vera Bradley, Inc.* | 1,893 | 22,716 | ||||||
SkyWest, Inc. | 370 | 22,448 | ||||||
Motorcar Parts of America, Inc.* | 1,024 | 21,924 | ||||||
Cooper Tire & Rubber Co. | 656 | 20,697 | ||||||
G-III Apparel Group Ltd.* | 630 | 18,535 | ||||||
Barnes & Noble, Inc. | 2,770 | 18,531 | ||||||
Bloomin’ Brands, Inc. | 940 | 17,775 | ||||||
Unifi, Inc.* | 969 | 17,607 | ||||||
Barnes & Noble Education, Inc.* | 4,690 | 15,758 | ||||||
Fossil Group, Inc.* | 1,132 | 13,018 | ||||||
Kirkland’s, Inc.* | 4,527 | 10,231 | ||||||
GameStop Corp. — Class A1 | 1,466 | 8,019 | ||||||
Total Consumer, Cyclical | 2,582,673 | |||||||
Industrial - 20.1% | ||||||||
Griffon Corp. | 6,360 | 107,611 | ||||||
Boise Cascade Co. | 2,415 | 67,886 | ||||||
Universal Forest Products, Inc. | 1,760 | 66,985 | ||||||
Olympic Steel, Inc. | 4,451 | 60,756 | ||||||
MYR Group, Inc.* | 1,600 | 59,760 | ||||||
TTM Technologies, Inc.* | 5,760 | 58,752 | ||||||
Atlas Air Worldwide Holdings, Inc.* | 1,236 | 55,175 | ||||||
Multi-Color Corp. | 1,060 | 52,968 | ||||||
Lydall, Inc.* | 2,571 | 51,934 | ||||||
Sanmina Corp.* | 1,703 | 51,567 | ||||||
Arcosa, Inc. | 1,330 | 50,048 | ||||||
Benchmark Electronics, Inc. | 1,976 | 49,637 | ||||||
TimkenSteel Corp.* | 6,024 | 48,975 | ||||||
Patrick Industries, Inc.* | 970 | 47,714 | ||||||
Echo Global Logistics, Inc.* | 1,983 | 41,385 | ||||||
ArcBest Corp. | 1,472 | 41,378 | ||||||
CIRCOR International, Inc.* | 870 | 40,020 | ||||||
Ichor Holdings Ltd.* | 1,643 | 38,840 | ||||||
SEACOR Holdings, Inc.* | 770 | 36,583 | ||||||
US Concrete, Inc.* | 720 | 35,777 | ||||||
TopBuild Corp.* | 420 | 34,759 | ||||||
Briggs & Stratton Corp. | 3,219 | 32,963 | ||||||
Aegion Corp. — Class A* | 1,784 | 32,826 | ||||||
Powell Industries, Inc. | 684 | 25,992 | ||||||
Greenbrier Companies, Inc. | 852 | 25,901 | ||||||
Encore Wire Corp. | 389 | 22,787 | ||||||
Comtech Telecommunications Corp. | 767 | 21,560 | ||||||
SPX FLOW, Inc.* | 510 | 21,349 | ||||||
Astec Industries, Inc. | 620 | 20,187 | ||||||
Mueller Industries, Inc. | 670 | 19,611 | ||||||
Apogee Enterprises, Inc. | 450 | 19,548 | ||||||
Bel Fuse, Inc. — Class B | 1,021 | 17,531 | ||||||
Tredegar Corp. | 919 | 15,274 | ||||||
Total Industrial | 1,374,039 | |||||||
Consumer, Non-cyclical - 12.8% | ||||||||
Kelly Services, Inc. — Class A | 3,662 | 95,908 | ||||||
Magellan Health, Inc.* | 1,199 | 89,002 | ||||||
ABM Industries, Inc. | 1,800 | 72,000 | ||||||
Rent-A-Center, Inc.* | 2,320 | 61,782 | ||||||
Cross Country Healthcare, Inc.* | 6,367 | 59,722 | ||||||
United Natural Foods, Inc.* | 6,270 | 56,242 | ||||||
Andersons, Inc. | 2,039 | 55,543 | ||||||
Seneca Foods Corp. — Class A* | 1,815 | 50,512 | ||||||
SpartanNash Co. | 4,205 | 49,072 | ||||||
Quanex Building Products Corp. | 1,900 | 35,891 | ||||||
TrueBlue, Inc.* | 1,570 | 34,634 | ||||||
Universal Corp. | 473 | 28,744 | ||||||
Invacare Corp. | 5,355 | 27,793 | ||||||
Team, Inc.* | 1,739 | 26,641 | ||||||
Lannett Company, Inc.* | 4,090 | 24,785 | ||||||
Assertio Therapeutics, Inc.* | 5,435 | 18,751 | ||||||
Diplomat Pharmacy, Inc.* | 2,867 | 17,460 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 41 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
S&P SMALLCAP 600® PURE VALUE FUND |
| Shares | Value | ||||||
Matthews International Corp. — Class A | 420 | $ | 14,637 | |||||
Select Medical Holdings Corp.* | 820 | 13,013 | ||||||
Owens & Minor, Inc. | 4,050 | 12,960 | ||||||
Dean Foods Co. | 13,397 | 12,376 | ||||||
Central Garden & Pet Co. — Class A* | 380 | 9,363 | ||||||
LSC Communications, Inc. | 2,373 | 8,709 | ||||||
Central Garden & Pet Co.* | 100 | 2,695 | ||||||
Total Consumer, Non-cyclical | 878,235 | |||||||
Financial - 9.1% | ||||||||
Realogy Holdings Corp. | 9,880 | 71,531 | ||||||
Encore Capital Group, Inc.* | 1,904 | 64,489 | ||||||
International. FCStone, Inc.* | 1,347 | 53,328 | ||||||
iStar, Inc. REIT | 3,770 | 46,823 | ||||||
Ambac Financial Group, Inc.* | 2,380 | 40,103 | ||||||
Customers Bancorp, Inc.* | 1,750 | 36,750 | ||||||
Stewart Information Services Corp. | 757 | 30,651 | ||||||
Third Point Reinsurance Ltd.* | 2,530 | 26,109 | ||||||
Summit Hotel Properties, Inc. REIT | 2,020 | 23,169 | ||||||
Opus Bank | 1,095 | 23,116 | ||||||
Invesco Mortgage Capital, Inc. REIT | 1,405 | 22,649 | ||||||
Capstead Mortgage Corp. REIT | 2,649 | 22,119 | ||||||
PennyMac Mortgage Investment Trust REIT | 902 | 19,691 | ||||||
Horace Mann Educators Corp. | 465 | 18,735 | ||||||
PRA Group, Inc.* | 630 | 17,728 | ||||||
Hersha Hospitality Trust REIT | 1,030 | 17,036 | ||||||
CBL & Associates Properties, Inc. REIT | 16,297 | 16,949 | ||||||
Pacific Premier Bancorp, Inc. | 530 | 16,366 | ||||||
Xenia Hotels & Resorts, Inc. REIT | 770 | 16,055 | ||||||
Hope Bancorp, Inc. | 1,136 | 15,654 | ||||||
Apollo Commercial Real Estate Finance, Inc. REIT | 732 | 13,461 | ||||||
Cedar Realty Trust, Inc. REIT | 4,646 | 12,312 | ||||||
Total Financial | 624,824 | |||||||
Basic Materials - 6.7% | ||||||||
PH Glatfelter Co. | 5,741 | 96,908 | ||||||
Kraton Corp.* | 2,310 | 71,772 | ||||||
Mercer International, Inc. | 3,860 | 59,714 | ||||||
Clearwater Paper Corp.* | 2,866 | 52,993 | ||||||
Century Aluminum Co.* | 6,640 | 45,882 | ||||||
Rayonier Advanced Materials, Inc. | 5,805 | 37,674 | ||||||
Koppers Holdings, Inc.* | 1,200 | 35,232 | ||||||
AdvanSix, Inc.* | 849 | 20,741 | ||||||
Innophos Holdings, Inc. | 690 | 20,086 | ||||||
Schweitzer-Mauduit International, Inc. | 600 | 19,908 | ||||||
Total Basic Materials | 460,910 | |||||||
Energy - 6.6% | ||||||||
Par Pacific Holdings, Inc.* | 2,896 | 59,426 | ||||||
US Silica Holdings, Inc. | 4,213 | 53,884 | ||||||
Green Plains, Inc. | 4,395 | 47,378 | ||||||
Helix Energy Solutions Group, Inc.* | 4,476 | 38,628 | ||||||
REX American Resources Corp.* | 454 | 33,097 | ||||||
SRC Energy, Inc.* | 5,152 | 25,554 | ||||||
Laredo Petroleum, Inc.* | 8,662 | 25,120 | ||||||
Newpark Resources, Inc.* | 3,380 | 25,080 | ||||||
C&J Energy Services, Inc.* | 1,944 | 22,900 | ||||||
Gulfport Energy Corp.* | 4,250 | 20,867 | ||||||
Matrix Service Co.* | 1,019 | 20,645 | ||||||
Diamond Offshore Drilling, Inc.*,1 | 2,299 | 20,392 | ||||||
Oil States International, Inc.* | 982 | 17,971 | ||||||
Superior Energy Services, Inc.* | 11,720 | 15,236 | ||||||
Exterran Corp.* | 1,010 | 14,362 | ||||||
Ring Energy, Inc.* | 2,388 | 7,761 | ||||||
Total Energy | 448,301 | |||||||
Technology - 4.2% | ||||||||
Ultra Clean Holdings, Inc.* | 9,440 | 131,405 | ||||||
Insight Enterprises, Inc.* | 1,138 | 66,232 | ||||||
Photronics, Inc.* | 3,294 | 27,011 | ||||||
Pitney Bowes, Inc. | 4,500 | 19,260 | ||||||
Sykes Enterprises, Inc.* | 616 | 16,915 | ||||||
Donnelley Financial Solutions, Inc.* | 1,130 | 15,074 | ||||||
TiVo Corp. | 1,690 | 12,455 | ||||||
Total Technology | 288,352 | |||||||
Communications - 1.6% | ||||||||
Gannett Company, Inc. | 5,210 | 42,514 | ||||||
New Media Investment Group, Inc. | 3,435 | 32,426 | ||||||
Digi International, Inc.* | 1,500 | 19,020 | ||||||
Frontier Communications Corp.*,1 | 7,675 | 13,431 | ||||||
Total Communications | 107,391 | |||||||
Total Common Stocks | ||||||||
(Cost $5,723,185) | 6,764,725 | |||||||
RIGHTS††† - 0.0% | ||||||||
A Schulman, Inc. | ||||||||
Expires 09/30/19*,2 | 1,164 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,3 - 1.1% | ||||||||
JPMorgan Chase & Co. | $ | 51,105 | 51,105 | |||||
Bank of America Merrill Lynch | 12,695 | 12,695 | ||||||
Barclays Capital | 12,696 | 12,696 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $76,496) | 76,496 | |||||||
42| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
S&P SMALLCAP 600® PURE VALUE FUND |
| Shares | Value | ||||||
SECURITIES LENDING COLLATERAL†,4 - 1.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 2.26%5 | 77,041 | $ | 77,041 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $77,041) | 77,041 | |||||||
Total Investments - 101.0% | ||||||||
(Cost $5,876,722) | $ | 6,918,262 | ||||||
Other Assets & Liabilities, net - (1.0)% | (69,354 | ) | ||||||
Total Net Assets - 100.0% | $ | 6,848,908 |
* | 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, 2019 — See Note 7. |
2 | Security was fair valued by the Valuation Committee at June 30, 2019. The total market value of fair valued securities amounts to $0, (cost $0) or 0.0% of total net assets. |
3 | Repurchase Agreements — See Note 6. |
4 | Securities lending collateral — See Note 7. |
5 | Rate indicated is the 7-day yield as of June 30, 2019. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 6,764,725 | $ | — | $ | — | $ | 6,764,725 | ||||||||
Rights | — | — | — | * | — | |||||||||||
Repurchase Agreements | — | 76,496 | — | 76,496 | ||||||||||||
Securities Lending Collateral | 77,041 | — | — | 77,041 | ||||||||||||
Total Assets | $ | 6,841,766 | $ | 76,496 | $ | — | $ | 6,918,262 |
* | Security has a market value of $0. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 43 |
S&P SMALLCAP 600® PURE VALUE FUND |
STATEMENT OF ASSETS AND LIABILITIES(Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments, at value - including $73,986 of securities loaned (cost $5,800,226) | $ | 6,841,766 | ||
Repurchase agreements, at value (cost $76,496) | 76,496 | |||
Receivables: | ||||
Fund shares sold | 23,992 | |||
Dividends | 5,834 | |||
Securities lending income | 570 | |||
Interest | 16 | |||
Total assets | 6,948,674 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 77,041 | |||
Management fees | 3,756 | |||
Transfer agent and administrative fees | 1,252 | |||
Investor service fees | 1,252 | |||
Fund shares redeemed | 568 | |||
Portfolio accounting fees | 501 | |||
Trustees’ fees* | 157 | |||
Miscellaneous | 15,239 | |||
Total liabilities | 99,766 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 6,848,908 | ||
Net assets consist of: | ||||
Paid in capital | $ | 9,756,209 | ||
Total distributable earnings (loss) | (2,907,301 | ) | ||
Net assets | $ | 6,848,908 | ||
Capital shares outstanding | 120,005 | |||
Net asset value per share | $ | 57.07 |
STATEMENT OF OPERATIONS(Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends | $ | 57,679 | ||
Interest | 693 | |||
Income from securities lending, net | 2,979 | |||
Total investment income | 61,351 | |||
Expenses: | ||||
Management fees | 31,600 | |||
Investor service fees | 10,533 | |||
Transfer agent and administrative fees | 10,533 | |||
Professional fees | 9,036 | |||
Portfolio accounting fees | 4,213 | |||
Trustees’ fees* | 1,761 | |||
Custodian fees | 1,372 | |||
Line of credit fees | 2 | |||
Miscellaneous | 4,954 | |||
Total expenses | 74,004 | |||
Net investment loss | (12,653 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (347,680 | ) | ||
Net realized loss | (347,680 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,161,240 | |||
Net change in unrealized appreciation (depreciation) | 1,161,240 | |||
Net realized and unrealized gain | 813,560 | |||
Net increase in net assets resulting from operations | $ | 800,907 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
44| 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) | $ | (12,653 | ) | $ | 18,260 | |||
Net realized loss on investments | (347,680 | ) | (768,745 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | 1,161,240 | (2,189,576 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 800,907 | (2,940,061 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 5,745,897 | 29,766,017 | ||||||
Cost of shares redeemed | (8,112,245 | ) | (36,159,635 | ) | ||||
Net decrease from capital share transactions | (2,366,348 | ) | (6,393,618 | ) | ||||
Net decrease in net assets | (1,565,441 | ) | (9,333,679 | ) | ||||
Net assets: | ||||||||
Beginning of period | 8,414,349 | 17,748,028 | ||||||
End of period | $ | 6,848,908 | $ | 8,414,349 | ||||
Capital share activity: | ||||||||
Shares sold | 95,865 | 430,933 | ||||||
Shares redeemed | (135,204 | ) | (538,553 | ) | ||||
Net decrease in shares | (39,339 | ) | (107,620 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 45 |
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 | $ | 52.81 | $ | 66.48 | $ | 69.13 | $ | 52.48 | $ | 65.72 | $ | 79.11 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.09 | ) | .08 | (.23 | ) | (.45 | ) | (.06 | ) | (.39 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 4.35 | (13.75 | ) | (.20 | ) | 17.10 | (8.15 | ) | 1.28 | |||||||||||||||
Total from investment operations | 4.26 | (13.67 | ) | (.43 | ) | 16.65 | (8.21 | ) | .89 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (2.22 | ) | — | (5.03 | ) | (14.28 | ) | |||||||||||||||
Total distributions | — | — | (2.22 | ) | — | (5.03 | ) | (14.28 | ) | |||||||||||||||
Net asset value, end of period | $ | 57.07 | $ | 52.81 | $ | 66.48 | $ | 69.13 | $ | 52.48 | $ | 65.72 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 8.07% | (20.58 | %) | (0.28 | %) | 31.74% | (13.54 | %) | 1.31% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,849 | $ | 8,414 | $ | 17,748 | $ | 28,408 | $ | 11,747 | $ | 14,318 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.30 | %) | 0.12 | % | (0.35 | %) | (0.44 | %) | (0.09 | %) | (0.50 | %) | ||||||||||||
Total expenses | 1.76 | % | 1.62 | % | 1.61 | % | 1.56 | % | 1.50 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 55 | % | 194 | % | 204 | % | 303 | % | 245 | % | 144 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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. |
46| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 II | 13.3% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 13.2% |
Nestle S.A. ADR | 2.4% |
Novartis AG ADR | 1.9% |
Roche Holding AG ADR | 1.7% |
Royal Dutch Shell plc — Class A ADR | 1.3% |
BP plc ADR | 1.3% |
HSBC Holdings plc ADR | 1.2% |
Linde plc | 1.1% |
AstraZeneca plc ADR | 1.1% |
Top Ten Total | 38.5% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Country Diversification
Country | % of Long-Term |
United Kingdom | 38.8% |
Switzerland | 25.6% |
Germany | 13.7% |
France | 7.7% |
Netherlands | 6.4% |
Belgium | 3.2% |
Denmark | 2.1% |
Other | 2.5% |
Total Long-Term Investments | 100.0% |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2019 |
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Europe 1.25x Strategy Fund | 20.24% | 4.35% | (1.63%) | 3.99% |
STOXX Europe 50 Index | 17.49% | 5.32% | 0.71% | 5.57% |
* | 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 is an unmanaged index and, unlike the Fund, has no management fees or operating expenses to reduce its reported return. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
EUROPE 1.25x STRATEGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 27.2% | ||||||||
Consumer, Non-cyclical - 11.9% | ||||||||
Nestle S.A. ADR | 1,681 | $ | 173,815 | |||||
Novartis AG ADR | 1,468 | 134,043 | ||||||
Roche Holding AG ADR | 3,375 | 118,462 | ||||||
AstraZeneca plc ADR | 1,867 | 77,070 | ||||||
Diageo plc ADR | 443 | 76,338 | ||||||
Anheuser-Busch InBev S.A. ADR | 700 | 61,957 | ||||||
Novo Nordisk A/S ADR | 804 | 41,036 | ||||||
British American Tobacco plc ADR | 1,105 | 38,531 | ||||||
Unilever N.V. — Class Y | 564 | 34,246 | ||||||
Unilever plc ADR | 518 | 32,101 | ||||||
GlaxoSmithKline plc ADR | 380 | 15,208 | ||||||
Sanofi ADR | 338 | 14,625 | ||||||
L’Oreal S.A. ADR | 189 | 10,752 | ||||||
Bayer AG ADR | 615 | 10,732 | ||||||
Reckitt Benckiser Group plc ADR | 593 | 9,417 | ||||||
Total Consumer, Non-cyclical | 848,333 | |||||||
Financial - 4.8% | ||||||||
HSBC Holdings plc ADR | 2,109 | 88,030 | ||||||
Allianz SE ADR | 3,156 | 75,996 | ||||||
Prudential plc ADR | 1,273 | 55,783 | ||||||
Zurich Insurance Group AG ADR | 1,204 | 41,959 | ||||||
ING Groep N.V. ADR | 1,668 | 19,299 | ||||||
Banco Santander S.A. ADR | 2,426 | 11,111 | ||||||
AXA S.A. ADR | 353 | 9,242 | ||||||
BNP Paribas S.A. ADR | 388 | 9,188 | ||||||
Lloyds Banking Group plc ADR | 3,063 | 8,699 | ||||||
UBS Group AG* | 703 | 8,330 | ||||||
Banco Bilbao Vizcaya Argentaria S.A. ADR | 1,325 | 7,367 | ||||||
Intesa Sanpaolo SpA ADR | 564 | 7,214 | ||||||
Total Financial | 342,218 | |||||||
Energy - 3.3% | ||||||||
Royal Dutch Shell plc — Class A ADR | 1,445 | 94,026 | ||||||
BP plc ADR | 2,242 | 93,492 | ||||||
Total S.A. ADR | 644 | 35,929 | ||||||
Eni SpA ADR | 243 | 8,026 | ||||||
Total Energy | 231,473 | |||||||
Basic Materials - 2.6% | ||||||||
Linde plc | 401 | 80,521 | ||||||
Rio Tinto plc ADR | 808 | 50,371 | ||||||
BASF SE ADR | 2,132 | 38,909 | ||||||
Air Liquide S.A. ADR | 356 | 9,943 | ||||||
Glencore plc ADR* | 1,141 | 7,861 | ||||||
Total Basic Materials | 187,605 | |||||||
Industrial - 1.8% | ||||||||
Siemens AG ADR | 1,218 | 72,666 | ||||||
ABB Ltd. ADR | 906 | 18,147 | ||||||
Airbus SE ADR | 338 | 11,952 | ||||||
Vinci S.A. ADR | 369 | 9,413 | ||||||
Safran S.A. ADR | 248 | 9,057 | ||||||
Schneider Electric SE ADR | 494 | 8,936 | ||||||
Total Industrial | 130,171 | |||||||
Technology - 1.5% | ||||||||
ASML Holding N.V. — Class G | 341 | 70,904 | ||||||
SAP SE ADR | 266 | 36,389 | ||||||
Total Technology | 107,293 | |||||||
Consumer, Cyclical - 0.6% | ||||||||
LVMH Moet Hennessy Louis Vuitton SE ADR | 242 | 20,597 | ||||||
Daimler AG ADR | 1,439 | 20,002 | ||||||
Total Consumer, Cyclical | 40,599 | |||||||
Communications - 0.4% | ||||||||
Vodafone Group plc ADR | 680 | 11,104 | ||||||
Deutsche Telekom AG ADR | 542 | 9,398 | ||||||
Telefonica S.A. ADR | 920 | 7,627 | ||||||
Total Communications | 28,129 | |||||||
Utilities - 0.3% | ||||||||
National Grid plc ADR | 368 | 19,570 | ||||||
Total Common Stocks | ||||||||
(Cost $1,878,054) | 1,935,391 | |||||||
MUTUAL FUNDS† - 26.5% | ||||||||
Guggenheim Strategy Fund II1 | 37,915 | 941,047 | ||||||
Guggenheim Ultra Short Duration Fund - Institutional Class1 | 94,211 | 938,346 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,879,960) | 1,879,393 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 4.2% | ||||||||
U.S. Treasury Bills | ||||||||
2.11% due 07/16/192,3 | $ | 298,000 | 297,746 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $297,728) | 297,746 | |||||||
REPURCHASE AGREEMENTS††,4 - 18.1% | ||||||||
JPMorgan Chase & Co. | 858,522 | 858,522 | ||||||
Bank of America Merrill Lynch | 213,272 | 213,272 | ||||||
Barclays Capital | 213,272 | 213,272 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,285,066) | 1,285,066 | |||||||
Total Investments - 76.0% | ||||||||
(Cost $5,340,808) | $ | 5,397,596 | ||||||
Other Assets & Liabilities, net - 24.0% | 1,703,384 | |||||||
Total Net Assets - 100.0% | $ | 7,100,980 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 49 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
EUROPE 1.25x STRATEGY FUND |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Currency Futures Contracts Purchased† | |||||||||||||
Euro FX Futures Contracts | 49 | Sep 2019 | $ | 7,007,919 | $ | 33,187 | |||||||
Equity Futures Contracts Purchased† | |||||||||||||
STOXX Europe 50 Index Futures Contracts | 191 | Sep 2019 | 6,875,739 | (217 | ) |
* | Non-income producing security. |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | 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 futures collateral at June 30, 2019. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
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, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 1,935,391 | $ | — | $ | — | $ | 1,935,391 | ||||||||
Mutual Funds | 1,879,393 | — | — | 1,879,393 | ||||||||||||
U.S. Treasury Bills | — | 297,746 | — | 297,746 | ||||||||||||
Repurchase Agreements | — | 1,285,066 | — | 1,285,066 | ||||||||||||
Currency Futures Contracts* | 33,187 | — | — | 33,187 | ||||||||||||
Total Assets | $ | 3,847,971 | $ | 1,582,812 | $ | — | $ | 5,430,783 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts* | $ | 217 | $ | — | $ | — | $ | 217 |
* | This derivative is reported as unrealized appreciation/depreciation at period end. |
50| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
EUROPE 1.25x STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 876,931 | $ | 813,734 | $ | (750,000 | ) | $ | (3,651 | ) | $ | 4,033 | $ | 941,047 | 37,915 | $ | 13,839 | |||||||||||||||
Guggenheim Ultra Short Duration Fund - Institutional Class | 696,060 | 1,022,394 | (780,000 | ) | (2,650 | ) | 2,542 | 938,346 | 94,211 | 12,467 | ||||||||||||||||||||||
$ | 1,572,991 | $ | 1,836,128 | $ | (1,530,000 | ) | $ | (6,301 | ) | $ | 6,575 | $ | 1,879,393 | $ | 26,306 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 51 |
EUROPE 1.25x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES(Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $2,175,782) | $ | 2,233,137 | ||
Investments in affiliated issuers, at value (cost $1,879,960) | 1,879,393 | |||
Repurchase agreements, at value (cost $1,285,066) | 1,285,066 | |||
Cash | 54,505 | |||
Segregated cash with broker | 39,941 | |||
Receivables: | ||||
Fund shares sold | 3,135,692 | |||
Variation margin on futures contracts | 30,053 | |||
Foreign tax reclaims | 9,248 | |||
Dividends | 5,211 | |||
Interest | 269 | |||
Swap settlement | 258 | |||
Total assets | 8,672,773 | |||
Liabilities: | ||||
Foreign currency, at value (cost $54,512) | 54,532 | |||
Payable for: | ||||
Securities purchased | 1,506,109 | |||
Management fees | 2,284 | |||
Transfer agent and administrative fees | 684 | |||
Investor service fees | 684 | |||
Portfolio accounting fees | 274 | |||
Fund shares redeemed | 251 | |||
Trustees’ fees | 59 | |||
Miscellaneous | 6,916 | |||
Total liabilities | 1,571,793 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 7,100,980 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,146,594 | ||
Total distributable earnings (loss) | (1,045,614 | ) | ||
Net assets | $ | 7,100,980 | ||
Capital shares outstanding | 69,898 | |||
Net asset value per share | $ | 101.59 |
STATEMENT OF OPERATIONS(Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $1,313) | $ | 10,295 | ||
Dividends from securities of affiliated issuers | 26,306 | |||
Interest | 9,597 | |||
Income from securities lending, net | 144 | |||
Total investment income | 46,342 | |||
Expenses: | ||||
Management fees | 14,424 | |||
Investor service fees | 4,007 | |||
Transfer agent and administrative fees | 4,007 | |||
Professional fees | 1,613 | |||
Portfolio accounting fees | 1,603 | |||
Custodian fees | 497 | |||
Trustees’ fees* | 407 | |||
Line of credit fees | 10 | |||
Miscellaneous | 4,192 | |||
Total expenses | 30,760 | |||
Less: | ||||
Expenses waived by Adviser | (1,169 | ) | ||
Net expenses | 29,591 | |||
Net investment income | 16,751 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 85,351 | |||
Investments in affiliated issuers | (6,301 | ) | ||
Futures contracts | 357,287 | |||
Foreign currency transactions | (1,003 | ) | ||
Net realized gain | 435,334 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 17,979 | |||
Investments in affiliated issuers | 6,575 | |||
Futures contracts | 39,100 | |||
Foreign currency translations | 11 | |||
Net change in unrealized appreciation (depreciation) | 63,665 | |||
Net realized and unrealized gain | 498,999 | |||
Net increase in net assets resulting from operations | $ | 515,750 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
52| 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 | $ | 16,751 | $ | 73,856 | ||||
Net realized gain (loss) on investments | 435,334 | (799,572 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 63,665 | (251,541 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 515,750 | (977,257 | ) | |||||
Distributions to shareholders | — | (15,264 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 12,294,396 | 14,938,345 | ||||||
Distributions reinvested | — | 15,264 | ||||||
Cost of shares redeemed | (8,396,323 | ) | (16,999,276 | ) | ||||
Net increase (decrease) from capital share transactions | 3,898,073 | (2,045,667 | ) | |||||
Net increase (decrease) in net assets | 4,413,823 | (3,038,188 | ) | |||||
Net assets: | ||||||||
Beginning of period | 2,687,157 | 5,725,345 | ||||||
End of period | $ | 7,100,980 | $ | 2,687,157 | ||||
Capital share activity: | ||||||||
Shares sold | 126,471 | 149,773 | ||||||
Shares issued from reinvestment of distributions | — | 153 | ||||||
Shares redeemed | (88,378 | ) | (172,823 | ) | ||||
Net increase (decrease) in shares | 38,093 | (22,897 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 53 |
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 | $ | 84.49 | $ | 104.66 | $ | 82.06 | $ | 88.28 | $ | 96.17 | $ | 112.32 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .49 | 1.66 | .25 | .25 | .66 | 1.26 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 16.61 | (21.46 | ) | 23.17 | (6.25 | ) | (7.35 | ) | (15.19 | ) | ||||||||||||||
Total from investment operations | 17.10 | (19.80 | ) | 23.42 | (6.00 | ) | (6.69 | ) | (13.93 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.37 | ) | (.82 | ) | (.22 | ) | (1.20 | ) | (2.22 | ) | |||||||||||||
Total distributions | — | (.37 | ) | (.82 | ) | (.22 | ) | (1.20 | ) | (2.22 | ) | |||||||||||||
Net asset value, end of period | $ | 101.59 | $ | 84.49 | $ | 104.66 | $ | 82.06 | $ | 88.28 | $ | 96.17 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 20.24% | (18.97 | %) | 28.60% | (5.58 | %) | (7.19 | %) | (12.49 | %) | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,101 | $ | 2,687 | $ | 5,725 | $ | 2,553 | $ | 3,083 | $ | 3,304 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.05 | % | 1.67 | % | 0.26 | % | 1.70 | % | 0.63 | % | 1.14 | % | ||||||||||||
Total expensesd | 1.92 | % | 1.78 | % | 1.80 | % | 1.73 | % | 1.66 | % | 1.75 | % | ||||||||||||
Net expensese | 1.85 | % | 1.77 | % | 1.80 | % | 1.73 | % | 1.66 | % | 1.75 | % | ||||||||||||
Portfolio turnover rate | 112 | % | 187 | % | 121 | % | 441 | % | 620 | % | 401 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | 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. |
54| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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 |
The Fund invests principally in derivative investments such as swap agreements and futures contracts.
Largest Holdings (% of Total Net Assets) | |
Guggenheim Strategy Fund II | 28.3% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 27.8% |
Total | 56.1% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Japan 2x Strategy Fund | 17.17% | (7.19%) | 8.76% | 9.77% |
Nikkei-225 Stock Average Index | 8.79% | (2.05%) | 5.67% | 6.67% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
JAPAN 2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 56.1% | ||||||||
Guggenheim Strategy Fund II1 | 19,016 | $ | 471,971 | |||||
Guggenheim Ultra Short Duration Fund - Institutional Class1 | 46,639 | 464,528 | ||||||
Total Mutual Funds | ||||||||
(Cost $934,181) | 936,499 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 10.5% | ||||||||
Farmer Mac | ||||||||
1.55% due 07/03/19 | $ | 100,000 | 99,996 | |||||
2.48% (U.S. Prime Rate -3.02%, Rate Floor: 0.00%) due 09/01/202 | 75,000 | 75,000 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $174,994) | 174,996 | |||||||
U.S. TREASURY BILLS†† - 8.6% | ||||||||
U.S. Treasury Bills | ||||||||
2.11% due 07/16/193,4 | 145,000 | 144,876 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $144,867) | 144,876 |
FEDERAL AGENCY DISCOUNT NOTES†† - 6.0% | ||||||||
Federal Home Loan Bank | ||||||||
2.22% due 07/02/194 | 100,000 | 99,994 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,994) | 99,994 | |||||||
REPURCHASE AGREEMENTS††,5 - 18.4% | ||||||||
JPMorgan Chase & Co. | 205,302 | 205,302 | ||||||
Bank of America Merrill Lynch | 51,000 | 51,000 | ||||||
Barclays Capital | 51,001 | 51,001 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $307,303) | 307,303 | |||||||
Total Investments - 99.6% | ||||||||
(Cost $1,661,339) | $ | 1,663,668 | ||||||
Other Assets & Liabilities, net - 0.4% | 5,904 | |||||||
Total Net Assets - 100.0% | $ | 1,669,572 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Equity Futures Contracts Purchased† | |||||||||||||
Nikkei-225 (CME) Index Equity Futures Contracts | 31 | Sep 2019 | $ | 3,299,950 | $ | 21,499 | |||||||
Currency Futures Contracts Purchased† | |||||||||||||
Japanese Yen Futures Contracts | 29 | Sep 2019 | 3,381,400 | 16,414 |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
CME — Chicago Mercantile Exchange | |
See Sector Classification in Other Information section. |
56| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
JAPAN 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 936,499 | $ | — | $ | — | $ | 936,499 | ||||||||
Federal Agency Notes | — | 174,996 | — | 174,996 | ||||||||||||
U.S. Treasury Bills | — | 144,876 | — | 144,876 | ||||||||||||
Federal Agency Discount Notes | — | 99,994 | — | 99,994 | ||||||||||||
Repurchase Agreements | — | 307,303 | — | 307,303 | ||||||||||||
Equity Futures Contracts* | 21,499 | — | — | 21,499 | ||||||||||||
Currency Futures Contracts* | 16,414 | — | — | 16,414 | ||||||||||||
Total Assets | $ | 974,412 | $ | 727,169 | $ | — | $ | 1,701,581 |
* | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 683,491 | $ | 308,500 | $ | (520,000 | ) | $ | (23 | ) | $ | 3 | $ | 471,971 | 19,016 | $ | 8,559 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 456,957 | 407,424 | (400,000 | ) | 147 | — | 464,528 | 46,639 | 7,473 | |||||||||||||||||||||||
$ | 1,140,448 | $ | 715,924 | $ | (920,000 | ) | $ | 124 | $ | 3 | $ | 936,499 | $ | 16,032 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 57 |
JAPAN 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES(Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $419,855) | $ | 419,866 | ||
Investments in affiliated issuers, at value (cost $934,181) | 936,499 | |||
Repurchase agreements, at value (cost $307,303) | 307,303 | |||
Receivables: | ||||
Variation margin on futures contracts | 8,725 | |||
Dividends | 2,600 | |||
Swap settlement | 1,839 | |||
Interest | 991 | |||
Total assets | 1,677,823 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 2,600 | |||
Professional fees | 1,371 | |||
Printing fees | 877 | |||
Management fees | 850 | |||
Fund shares redeemed | 670 | |||
Transfer agent and administrative fees | 319 | |||
Investor service fees | 319 | |||
Portfolio accounting fees | 128 | |||
Trustees’ fees* | 35 | |||
Miscellaneous | 1,082 | |||
Total liabilities | 8,251 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 1,669,572 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,553,636 | ||
Total distributable earnings (loss) | (1,884,064 | ) | ||
Net assets | $ | 1,669,572 | ||
Capital shares outstanding | 22,870 | |||
Net asset value per share | $ | 73.00 |
STATEMENT OF OPERATIONS(Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 16,032 | ||
Interest | 8,722 | |||
Total investment income | 24,754 | |||
Expenses: | ||||
Management fees | 7,068 | |||
Investor service fees | 2,356 | |||
Transfer agent and administrative fees | 2,356 | |||
Professional fees | 1,599 | |||
Portfolio accounting fees | 942 | |||
Trustees’ fees* | 268 | |||
Custodian fees | 203 | |||
Miscellaneous | 1,519 | |||
Total expenses | 16,311 | |||
Less: | ||||
Expenses waived by Adviser | (704 | ) | ||
Net expenses | 15,607 | |||
Net investment income | 9,147 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 124 | |||
Futures contracts | 124,596 | |||
Net realized gain | 124,720 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 59 | |||
Investments in affiliated issuers | 3 | |||
Futures contracts | 108,442 | |||
Net change in unrealized appreciation (depreciation) | 108,504 | |||
Net realized and unrealized gain | 233,224 | |||
Net increase in net assets resulting from operations | $ | 242,371 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
58| 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 | $ | 9,147 | $ | 25,936 | ||||
Net realized gain (loss) on investments | 124,720 | (441,002 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 108,504 | (253,910 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 242,371 | (668,976 | ) | |||||
Distributions to shareholders | — | (556,668 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 6,781,738 | 31,061,412 | ||||||
Distributions reinvested | — | 556,668 | ||||||
Cost of shares redeemed | (7,367,582 | ) | (33,993,486 | ) | ||||
Net decrease from capital share transactions | (585,844 | ) | (2,375,406 | ) | ||||
Net decrease in net assets | (343,473 | ) | (3,601,050 | ) | ||||
Net assets: | ||||||||
Beginning of period | 2,013,045 | 5,614,095 | ||||||
End of period | $ | 1,669,572 | $ | 2,013,045 | ||||
Capital share activity: | ||||||||
Shares sold | 97,610 | 341,586 | ||||||
Shares issued from reinvestment of distributions | — | 6,993 | ||||||
Shares redeemed | (107,051 | ) | (371,950 | ) | ||||
Net decrease in shares | (9,441 | ) | (23,371 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 59 |
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 | $ | 62.30 | $ | 100.82 | $ | 67.08 | $ | 61.65 | $ | 55.02 | $ | 171.68 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .34 | .70 | (.13 | ) | (.06 | ) | (.78 | ) | (1.68 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 10.36 | (19.56 | ) | 33.87 | 5.49 | 7.41 | (16.58 | ) | ||||||||||||||||
Total from investment operations | 10.70 | (18.86 | ) | 33.74 | 5.43 | 6.63 | (18.26 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (19.66 | ) | — | — | — | (98.40 | ) | ||||||||||||||||
Total distributions | — | (19.66 | ) | — | — | — | (98.40 | ) | ||||||||||||||||
Net asset value, end of period | $ | 73.00 | $ | 62.30 | $ | 100.82 | $ | 67.08 | $ | 61.65 | $ | 55.02 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 17.17% | (22.95 | %) | 50.30% | 8.86% | 12.00% | (15.41 | %) | ||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,670 | $ | 2,013 | $ | 5,614 | $ | 2,499 | $ | 3,577 | $ | 2,608 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.97 | % | 0.76 | % | (0.15 | %) | (0.50 | %) | (1.22 | %) | (1.39 | %) | ||||||||||||
Total expensesd | 1.73 | % | 1.58 | % | 1.83 | % | 1.56 | % | 1.50 | % | 1.59 | % | ||||||||||||
Net expensese | 1.66 | % | 1.58 | % | 1.83 | % | 1.56 | % | 1.50 | % | 1.59 | % | ||||||||||||
Portfolio turnover rate | 62 | % | 180 | % | 73 | % | 183 | % | 87 | % | 146 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | 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. |
60| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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: 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 | 29.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 29.7% |
Total | 59.5% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Strengthening Dollar 2x Strategy Fund | 2.27% | 7.34% | 7.59% | 0.70% |
U.S. Dollar Index | (0.04%) | 1.76% | 3.80% | 1.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 59.5% | ||||||||
Guggenheim Strategy Fund II1 | 29,583 | $ | 734,250 | |||||
Guggenheim Ultra Short Duration Fund – Institutional Class1 | 73,585 | 732,908 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,463,885) | 1,467,158 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 8.1% | ||||||||
Farmer Mac | ||||||||
2.48% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 09/01/202 | $ | 100,000 | 100,000 | |||||
1.55% due 07/03/19 | 100,000 | 99,996 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $199,994) | 199,996 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 4.1% | ||||||||
Federal Home Loan Bank | ||||||||
2.22% due 07/02/193 | 100,000 | 99,994 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,994) | 99,994 |
U.S. TREASURY BILLS†† - 3.2% | ||||||||
U.S. Treasury Bills | ||||||||
2.11% due 07/16/193,4 | 80,000 | 79,932 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $79,927) | 79,932 | |||||||
REPURCHASE AGREEMENTS††,5 - 25.7% | ||||||||
JPMorgan Chase & Co. | 423,133 | 423,133 | ||||||
Bank of America Merrill Lynch | 105,114 | 105,114 | ||||||
Barclays Capital | 105,113 | 105,113 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $633,360) | 633,360 | |||||||
Total Investments - 100.6% | ||||||||
(Cost $2,477,160) | $ | 2,480,440 | ||||||
Other Assets & Liabilities, net - (0.6)% | (15,334 | ) | ||||||
Total Net Assets - 100.0% | $ | 2,465,106 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Currency Futures Contracts Purchased† | |||||||||||||
U.S. Dollar Index Futures Contracts | |||||||||||||
49 | Sep 2019 | $ | 4,689,790 | $ | (36,483 | ) |
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 | N/A | At Maturity | 09/19/19 | 2,311 | $ | 221,235 | $ | (1,809 | ) |
62| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2019 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as currency index swap collateral at June 30, 2019. |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 1,467,158 | $ | — | $ | — | $ | 1,467,158 | ||||||||
Federal Agency Notes | — | 199,996 | — | 199,996 | ||||||||||||
Federal Agency Discount Notes | — | 99,994 | — | 99,994 | ||||||||||||
U.S. Treasury Bills | — | 79,932 | — | 79,932 | ||||||||||||
Repurchase Agreements | — | 633,360 | — | 633,360 | ||||||||||||
Total Assets | $ | 1,467,158 | $ | 1,013,282 | $ | — | $ | 2,480,440 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Currency Futures Contracts* | $ | 36,483 | $ | — | $ | — | $ | 36,483 | ||||||||
Currency Index Swap Agreements* | — | 1,809 | — | 1,809 | ||||||||||||
Total Liabilities | $ | 36,483 | $ | 1,809 | $ | — | $ | 38,292 |
* | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 63 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 1,112,218 | $ | 222,294 | $ | (600,000 | ) | $ | (3,433 | ) | $ | 3,171 | $ | 734,250 | 29,583 | $ | 12,426 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 941,620 | 441,215 | (650,000 | ) | (1,999 | ) | 2,072 | 732,908 | 73,585 | 11,313 | ||||||||||||||||||||||
$ | 2,053,838 | $ | 663,509 | $ | (1,250,000 | ) | $ | (5,432 | ) | $ | 5,243 | $ | 1,467,158 | $ | 23,739 |
64| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES(Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $379,915) | $ | 379,922 | ||
Investments in affiliated issuers, at value (cost $1,463,885) | 1,467,158 | |||
Repurchase agreements, at value (cost $633,360) | 633,360 | |||
Segregated cash with broker | 1,330 | |||
Receivables: | ||||
Dividends | 4,143 | |||
Interest | 1,112 | |||
Total assets | 2,487,025 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 1,809 | |||
Payable for: | ||||
Securities purchased | 4,143 | |||
Licensing fees | 3,008 | |||
Professional fees | 2,026 | |||
Swap settlement | 1,897 | |||
Fund shares redeemed | 1,703 | |||
Management fees | 1,627 | |||
Variation margin on futures contracts | 1,568 | |||
Printing fees | 1,296 | |||
Transfer agent and administrative fees | 500 | |||
Investor service fees | 500 | |||
Portfolio accounting fees | 200 | |||
Trustees’ fees* | 52 | |||
Miscellaneous | 1,590 | |||
Total liabilities | 21,919 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 2,465,106 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,439,896 | ||
Total distributable earnings (loss) | (974,790 | ) | ||
Net assets | $ | 2,465,106 | ||
Capital shares outstanding | 60,678 | |||
Net asset value per share | $ | 40.63 |
STATEMENT OF OPERATIONS(Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 23,739 | ||
Interest | 12,956 | |||
Total investment income | 36,695 | |||
Expenses: | ||||
Management fees | 12,528 | |||
Investor service fees | 3,480 | |||
Transfer agent and administrative fees | 3,480 | |||
Licensing fees | 3,235 | |||
Professional fees | 1,881 | |||
Portfolio accounting fees | 1,392 | |||
Trustees’ fees* | 343 | |||
Custodian fees | 297 | |||
Miscellaneous | 2,952 | |||
Total expenses | 29,588 | |||
Less: | ||||
Expenses waived by Adviser | (1,070 | ) | ||
Net expenses | 28,518 | |||
Net investment income | 8,177 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (5,432 | ) | ||
Swap agreements | 4,634 | |||
Futures contracts | 2,575 | |||
Net realized gain | 1,777 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 40 | |||
Investments in affiliated issuers | 5,243 | |||
Swap agreements | 7,867 | |||
Futures contracts | 5,815 | |||
Net change in unrealized appreciation (depreciation) | 18,965 | |||
Net realized and unrealized gain | 20,742 | |||
Net increase in net assets resulting from operations | $ | 28,919 |
* | 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| 65 |
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 | $ | 8,177 | $ | 21,820 | ||||
Net realized gain on investments | 1,777 | 290,467 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 18,965 | (25,591 | ) | |||||
Net increase in net assets resulting from operations | 28,919 | 286,696 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 6,147,682 | 22,522,330 | ||||||
Cost of shares redeemed | (7,131,776 | ) | (21,125,360 | ) | ||||
Net increase (decrease) from capital share transactions | (984,094 | ) | 1,396,970 | |||||
Net increase (decrease) in net assets | (955,175 | ) | 1,683,666 | |||||
Net assets: | ||||||||
Beginning of period | 3,420,281 | 1,736,615 | ||||||
End of period | $ | 2,465,106 | $ | 3,420,281 | ||||
Capital share activity: | ||||||||
Shares sold | 150,154 | 599,981 | ||||||
Shares redeemed | (175,565 | ) | (562,774 | ) | ||||
Net increase (decrease) in shares | (25,411 | ) | 37,207 |
66| 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 | $ | 39.73 | $ | 35.53 | $ | 43.90 | $ | 43.45 | $ | 42.19 | $ | 34.32 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .12 | .27 | (.04 | ) | (.23 | ) | (.55 | ) | (.47 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .78 | 3.93 | (7.67 | ) | 2.96 | 6.09 | 8.34 | |||||||||||||||||
Total from investment operations | .90 | 4.20 | (7.71 | ) | 2.73 | 5.54 | 7.87 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (.66 | ) | (2.28 | ) | (4.28 | ) | — | |||||||||||||||
Total distributions | — | — | (.66 | ) | (2.28 | ) | (4.28 | ) | — | |||||||||||||||
Net asset value, end of period | $ | 40.63 | $ | 39.73 | $ | 35.53 | $ | 43.90 | $ | 43.45 | $ | 42.19 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 2.27% | 11.82% | (17.65 | %) | 7.00% | 13.35% | 22.93% | |||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,465 | $ | 3,420 | $ | 1,737 | $ | 5,644 | $ | 3,303 | $ | 6,980 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.59 | % | 0.73 | % | (0.10 | %) | (0.57 | %) | (1.21 | %) | (1.24 | %) | ||||||||||||
Total expensesd | 2.13 | % | 1.83 | % | 1.80 | % | 1.76 | % | 1.70 | % | 1.76 | % | ||||||||||||
Net expensese | 2.05 | % | 1.82 | % | 1.80 | % | 1.76 | % | 1.70 | % | 1.76 | % | ||||||||||||
Portfolio turnover rate | 39 | % | 241 | % | 88 | % | 190 | % | 177 | % | 189 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | Reverse share split — Per share amounts for the period presented through January 24, 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| 67 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2019 |
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, investments in Guggenheim Strategy Funds Trust mutual funds, or investments in Guggenheim Ultra Short Duration Fund. 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: 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 | 27.9% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 17.6% |
Top Ten Total | 45.5% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2019
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Weakening Dollar 2x Strategy Fund | (2.17%) | (7.12%) | (9.48%) | (5.45%) |
U.S. Dollar Index | (0.04%) | 1.76% | 3.80% | 1.84% |
* | 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. |
† | Performance figures do not reflect fees and expenses associated with an investment in variable insurance products. If returns had taken into account these fees and expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
‡ | 6 month returns are not annualized. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2019 |
WEAKENING DOLLAR 2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 45.5% | ||||||||
Guggenheim Strategy Fund II1 | 6,066 | $ | 150,562 | |||||
Guggenheim Ultra Short Duration Fund – Institutional Class1 | 9,570 | 95,318 | ||||||
Total Mutual Funds | ||||||||
(Cost $244,561) | 245,880 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 9.2% | ||||||||
Farmer Mac | ||||||||
2.48% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 09/01/202 | $ | 50,000 | 50,000 | |||||
Total Federal Agency Notes | ||||||||
(Cost $50,000) | 50,000 |
U.S. TREASURY BILLS†† - 2.8% | ||||||||
U.S. Treasury Bills | ||||||||
2.11% due 07/16/193,4 | 15,000 | 14,987 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $14,986) | 14,987 | |||||||
REPURCHASE AGREEMENTS††,5 - 43.2% | ||||||||
JPMorgan Chase & Co. | 156,053 | 156,053 | ||||||
Bank of America Merrill Lynch | 38,766 | 38,766 | ||||||
Barclays Capital | 38,766 | 38,766 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $233,585) | 233,585 | |||||||
Total Investments - 100.7% | ||||||||
(Cost $543,132) | $ | 544,452 | ||||||
Other Assets & Liabilities, net - (0.7)% | (3,845 | ) | ||||||
Total Net Assets - 100.0% | $ | 540,607 |
Futures Contracts | |||||||||||||
Description | Number of | Expiration | Notional | Value and | |||||||||
Currency Futures Contracts Sold Short† | |||||||||||||
U.S. Dollar Index Futures Contracts | 9 | Sep 2019 | $ | 861,390 | $ | 7,028 |
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 | N/A | At Maturity | 09/19/19 | 2,461 | $ | 235,641 | $ | 1,936 |
** | Includes cumulative appreciation (depreciation). Variation margin is reported within the Statement of Assets and Liabilities. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | Variable rate security. Rate indicated is the rate effective at June 30, 2019. In some instances, the effective rate is limited by a minimum rate floor or a maximum rate cap established by the issuer. The settlement status of a position may also impact the effective rate indicated. In some cases, a position may be unsettled at period end and may not have a stated effective rate. In instances where multiple underlying reference rates and spread amounts are shown, the effective rate is based on a weighted average. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2019. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as currency index swap collateral at June 30, 2019. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT| 69 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2019 |
WEAKENING DOLLAR 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2019 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 245,880 | $ | — | $ | — | $ | 245,880 | ||||||||
Federal Agency Notes | — | 50,000 | — | 50,000 | ||||||||||||
U.S. Treasury Bills | — | 14,987 | — | 14,987 | ||||||||||||
Repurchase Agreements | — | 233,585 | — | 233,585 | ||||||||||||
Currency Futures Contracts* | 7,028 | — | — | 7,028 | ||||||||||||
Currency Index Swap Agreements* | — | 1,936 | — | 1,936 | ||||||||||||
Total Assets | $ | 252,908 | $ | 300,508 | $ | — | $ | 553,416 |
* | This derivative is reported as unrealized appreciation/depreciation at period end. |
Affiliated Transactions
Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, 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 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, 2018, 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/1601445/000089180418000513/gug75569-ncsr.htm.
Transactions during the period ended June 30, 2019, in which the company is an affiliated issuer, were as follows:
Security Name | Value | Additions | Reductions | Realized | Change in | Value | Shares | Investment | ||||||||||||||||||||||||
Mutual Funds | ||||||||||||||||||||||||||||||||
Guggenheim Strategy Fund II | $ | 212,172 | $ | 163,288 | $ | (225,000 | ) | $ | 280 | $ | (178 | ) | $ | 150,562 | 6,066 | $ | 2,814 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 132,622 | 152,592 | (190,000 | ) | 170 | (66 | ) | 95,318 | 9,570 | 2,606 | ||||||||||||||||||||||
$ | 344,794 | $ | 315,880 | $ | (415,000 | ) | $ | 450 | $ | (244 | ) | $ | 245,880 | $ | 5,420 |
70| THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WEAKENING DOLLAR 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES(Unaudited) |
June 30, 2019 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $64,986) | $ | 64,987 | ||
Investments in affiliated issuers, at value (cost $244,561) | 245,880 | |||
Repurchase agreements, at value (cost $233,585) | 233,585 | |||
Unrealized appreciation on OTC swap agreements | 1,936 | |||
Receivables: | ||||
Dividends | 842 | |||
Swap settlement | 404 | |||
Variation margin on futures contracts | 288 | |||
Interest | 155 | |||
Total assets | 548,077 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 4,465 | |||
Securities purchased | 842 | |||
Licensing fees | 488 | |||
Management fees | 367 | |||
Transfer agent and administrative fees | 111 | |||
Investor service fees | 111 | |||
Portfolio accounting fees | 45 | |||
Trustees’ fees* | 11 | |||
Miscellaneous | 1,030 | |||
Total liabilities | 7,470 | |||
Commitments and contingent liabilities (Note 12) | — | |||
Net assets | $ | 540,607 | ||
Net assets consist of: | ||||
Paid in capital | $ | 1,961,400 | ||
Total distributable earnings (loss) | (1,420,793 | ) | ||
Net assets | $ | 540,607 | ||
Capital shares outstanding | 9,277 | |||
Net asset value per share | $ | 58.27 |
STATEMENT OF OPERATIONS(Unaudited) |
Period Ended June 30, 2019 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 5,420 | ||
Interest | 2,303 | |||
Total investment income | 7,723 | |||
Expenses: | ||||
Management fees | 2,620 | |||
Investor service fees | 728 | |||
Transfer agent and administrative fees | 728 | |||
Licensing fees | 660 | |||
Professional fees | 390 | |||
Portfolio accounting fees | 291 | |||
Trustees’ fees* | 84 | |||
Custodian fees | 70 | |||
Miscellaneous | 614 | |||
Total expenses | 6,185 | |||
Less: | ||||
Expenses waived by Adviser | (246 | ) | ||
Net expenses | 5,939 | |||
Net investment income | 1,784 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | 450 | |||
Swap agreements | (2,700 | ) | ||
Futures contracts | (17,118 | ) | ||
Net realized loss | (19,368 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 11 | |||
Investments in affiliated issuers | (244 | ) | ||
Swap agreements | (2,102 | ) | ||
Futures contracts | 1,482 | |||
Net change in unrealized appreciation (depreciation) | (853 | ) | ||
Net realized and unrealized loss | (20,221 | ) | ||
Net decrease in net assets resulting from operations | $ | (18,437 | ) |
* | 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| 71 |
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 | $ | 1,784 | $ | 4,772 | ||||
Net realized loss on investments | (19,368 | ) | (120,142 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (853 | ) | (10,579 | ) | ||||
Net decrease in net assets resulting from operations | (18,437 | ) | (125,949 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,018,328 | 5,364,653 | ||||||
Cost of shares redeemed | (2,041,155 | ) | (5,435,766 | ) | ||||
Net decrease from capital share transactions | (22,827 | ) | (71,113 | ) | ||||
Net decrease in net assets | (41,264 | ) | (197,062 | ) | ||||
Net assets: | ||||||||
Beginning of period | 581,871 | 778,933 | ||||||
End of period | $ | 540,607 | $ | 581,871 | ||||
Capital share activity: | ||||||||
Shares sold | 34,634 | 83,147 | ||||||
Shares redeemed | (35,126 | ) | (84,935 | ) | ||||
Net decrease in shares | (492 | ) | (1,788 | ) |
72| 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 | $ | 59.56 | $ | 67.40 | $ | 56.49 | $ | 61.90 | $ | 74.41 | $ | 95.30 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .18 | .40 | (.14 | ) | (.11 | ) | (.80 | ) | (1.28 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.47 | ) | (8.24 | ) | 11.05 | (5.30 | ) | (11.71 | ) | (19.61 | ) | |||||||||||||
Total from investment operations | (1.29 | ) | (7.84 | ) | 10.91 | (5.41 | ) | (12.51 | ) | (20.89 | ) | |||||||||||||
Net asset value, end of period | $ | 58.27 | $ | 59.56 | $ | 67.40 | $ | 56.49 | $ | 61.90 | $ | 74.41 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (2.17 | %) | (11.63 | %) | 19.31% | (8.71 | %) | (16.83 | %) | (21.91 | %) | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 541 | $ | 582 | $ | 779 | $ | 687 | $ | 1,297 | $ | 1,209 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.61 | % | 0.61 | % | (0.22 | %) | (0.63 | %) | (1.22 | %) | (1.44 | %) | ||||||||||||
Total expensesd | 2.12 | % | 1.82 | % | 1.80 | % | 1.76 | % | 1.71 | % | 1.76 | % | ||||||||||||
Net expensese | 2.04 | % | 1.81 | % | 1.80 | % | 1.76 | % | 1.71 | % | 1.76 | % | ||||||||||||
Portfolio turnover rate | 87 | % | 213 | % | 367 | % | 250 | % | 232 | % | 108 | % |
a | Unaudited figures for the period ended June 30, 2019. 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 take into account any of the expenses associated with an investment in variable insurance products. If total return had taken into account these expenses, performance would have been lower. Shares of a series of Rydex Variable Trust are available only through the purchase of such products. |
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 reimbursements, as applicable. |
f | 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| 73 |
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 (collectively the “Funds”). The Trust is authorized to issue an unlimited number of no par value shares. At June 30, 2019, 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 following Funds:
Fund Name | Investment |
S&P 500® Pure Growth Fund | Non-diversified |
S&P 500® Pure Value Fund | Non-diversified |
S&P MidCap 400® Pure Growth Fund | Non-diversified |
S&P MidCap 400® Pure Value Fund | Non-diversified |
S&P SmallCap 600® Pure Growth Fund | Non-diversified |
S&P SmallCap 600® Pure Value Fund | Non-diversified |
Europe 1.25x Strategy Fund | Non-diversified |
Japan 2x Strategy Fund | Non-diversified |
Strengthening Dollar 2x Strategy Fund | Non-diversified |
Weakening Dollar 2x Strategy Fund | Non-diversified |
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 sale price as of the close of business on the NYSE, usually at 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 are valued at their NAV as of the close of business, on the valuation date. Exchange-traded funds and closed-end investment companies are valued at the last quoted sale price.
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 appreciation or depreciation 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 appreciation or depreciation 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 U.S. Treasury securities, 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 appreciation or depreciation. 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 appreciation or depreciation. Payments received or made as a result of an agreement or termination of an agreement are recognized as realized gains or losses.
(e) 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
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
market prices of securities held. Such fluctuations are included with the net realized gain or loss and unrealized appreciation or depreciation 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 appreciation and depreciation 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.
(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 Statements 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, 2019, 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 a reduction to cost if the securities are still held and as realized gains if no longer held 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 realized gains. The actual amounts of income, return of capital, and realized 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 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 2.40% at June 30, 2019.
(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 – 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 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 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.
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 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 Contracts
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 | $ | 12,671,102 | $ | — | ||||
Japan 2x Strategy Fund | Index Exposure, Leverage, Liquidity | 6,636,903 | — | ||||||
Strengthening Dollar 2x Strategy Fund | Index Exposure, Leverage, Liquidity | 4,184,570 | — | ||||||
Weakening Dollar 2x Strategy Fund | Index Exposure, Leverage, Liquidity | — | 866,408 |
Swap Agreements
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. When utilizing over-the-counter (“OTC”) swaps, 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 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 exchange-traded futures contracts. Upon entering into certain centrally-cleared swap transactions, the 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 a fund utilizing centrally cleared swaps, the exchange bears the risk of loss. There is no guarantee that a fund or an underlying fund could eliminate its exposure under an outstanding swap agreement by entering into an offsetting swap agreement with the same or another party.
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 RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 | $ | 477,073 | $ | — | ||||
Weakening Dollar 2x Strategy Fund | Index Exposure, Leverage, Liquidity | — | 185,986 |
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, 2019:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency contracts | Variation margin on futures contracts | Variation margin on futures 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, 2019:
Asset Derivative Investments Value | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total Value at | ||||||||||||
Europe 1.25x Strategy Fund | $ | — | $ | 33,187 | $ | — | $ | 33,187 | ||||||||
Japan 2x Strategy Fund | 21,499 | 16,414 | — | 37,913 | ||||||||||||
Weakening Dollar 2x Strategy Fund | — | 7,028 | 1,936 | 8,964 |
Liability Derivative Investments Value | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total Value at | ||||||||||||
Europe 1.25x Strategy Fund | $ | 217 | $ | — | $ | — | $ | 217 | ||||||||
Strengthening Dollar 2x Strategy Fund | — | 36,483 | 1,809 | 38,292 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. 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, 2019:
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 |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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, 2019:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total | ||||||||||||
Europe 1.25x Strategy Fund | $ | 433,633 | $ | (76,346 | ) | $ | — | $ | 357,287 | |||||||
Japan 2x Strategy Fund | 29,707 | 94,889 | — | 124,596 | ||||||||||||
Strengthening Dollar 2x Strategy Fund | — | 2,575 | 4,634 | 7,209 | ||||||||||||
Weakening Dollar 2x Strategy Fund | — | (17,118 | ) | (2,700 | ) | (19,818 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total | ||||||||||||
Europe 1.25x Strategy Fund | $ | 18,684 | $ | 20,416 | $ | — | $ | 39,100 | ||||||||
Japan 2x Strategy Fund | 182,255 | (73,813 | ) | — | 108,442 | |||||||||||
Strengthening Dollar 2x Strategy Fund | — | 5,815 | 7,867 | 13,682 | ||||||||||||
Weakening Dollar 2x Strategy Fund | — | 1,482 | (2,102 | ) | (620 | ) |
In conjunction with the use of derivative instruments, the Funds are required to maintain collateral in various forms. Depending on the financial instrument utilized and the broker involved, the Funds use margin deposits at the broker, cash and/or securities segregated at the custodian bank, discount notes or repurchase agreements allocated to the Funds as collateral.
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
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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:
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Weakening Dollar 2x Strategy Fund | Swap currency contracts | $ | 1,936 | $ | — | $ | 1,936 | $ | — | $ | — | $ | 1,936 |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | Swap currency contracts | $ | 1,809 | $ | — | $ | 1,809 | $ | — | — | $ | 1,809 |
1 | Exchange-traded futures are excluded from these reported amounts. |
The Funds have the right to offset deposits against any related derivative liabilities outstanding with each counterparty with the exception of exchange-traded or centrally-cleared derivatives. The following table presents deposits held by others in connection with derivative investments as of June 30, 2019.
Fund | Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Europe 1.25x Strategy Fund | Goldman Sachs Group | Futures Contracts | $ | 39,941 | $ | — | ||||
Strengthening Dollar 2x Strategy Fund | Goldman Sachs Group | Futures Contracts | $ | 1,330 | $ | — |
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. |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 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 a fund that is advised by the same adviser or an affiliated adviser, the investing Fund’s adviser has agreed to waive fees at the investing fund level to the extent necessary to offset the proportionate share of any management fee paid by each Fund with respect to its investment in such affiliated fund. 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, 2019, the following Funds waived fees related to investments in affiliated funds:
Fund | Amount Waived | |||
Europe 1.25x Strategy Fund | $ | 1,169 | ||
Japan 2x Strategy Fund | 704 | |||
Strengthening Dollar 2x Strategy Fund | 1,070 | |||
Weakening Dollar 2x Strategy Fund | 246 |
Certain 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 or GFD.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS is responsible for maintaining the books and records of the Funds’ 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 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, 2019, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price |
| Collateral | Par Value | Fair Value | ||||||||||||
JP Morgan Chase & Co. | U.S. Treasury Note | |||||||||||||||||
2.53% | 3.13% | |||||||||||||||||
Due 07/01/19 | $ | 65,103,744 | $ | 65,117,470 | 11/15/28 | $ | 55,552,000 | $ | 61,111,889 | |||||||||
U.S. Treasury Bills | ||||||||||||||||||
0.00% | ||||||||||||||||||
09/12/19 - 11/07/19 | 5,327,500 | 5,293,935 | ||||||||||||||||
60,879,500 | 66,405,824 | |||||||||||||||||
Barclays Capital | U.S. Treasury Bond | |||||||||||||||||
2.40% | 3.63% | |||||||||||||||||
Due 07/01/19 | 16,172,884 | 16,176,118 | 02/15/44 | 13,502,400 | 16,496,400 | |||||||||||||
Bank of America Merrill Lynch | U.S. Treasury Strip | |||||||||||||||||
2.48% | 0.00% | |||||||||||||||||
Due 07/01/19 | 16,172,884 | 16,176,226 | 02/15/40 | 27,668,676 | 16,496,341 |
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 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.
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2019, 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 MidCap 400® Pure Growth Fund | $ | 634,100 | $ | (634,100 | ) | $ | — | $ | 636,598 | $ | — | $ | 636,598 | ||||||||||||
S&P MidCap 400® Pure Value Fund | 364,980 | (364,980 | ) | — | 366,479 | — | 366,479 | ||||||||||||||||||
S&P SmallCap 600® Pure Growth Fund | 446,374 | (446,374 | ) | — | 447,977 | — | 447,977 | ||||||||||||||||||
S&P SmallCap 600® Pure Value Fund | 73,986 | (73,986 | ) | — | 77,041 | — | 77,041 |
(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 U.S. 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’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.
At June 30, 2019, the cost of investments for U.S. federal income tax purposes, the aggregate gross unrealized appreciation for all investments for which there was an excess of value over tax cost, and the aggregate gross unrealized depreciation for all investments 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 | $ | 31,776,127 | $ | 10,258,035 | $ | (183,370 | ) | $ | 10,074,665 | |||||||
S&P 500® Pure Value Fund | 29,131,217 | 3,490,982 | (574,441 | ) | 2,916,541 | |||||||||||
S&P MidCap 400® Pure Growth Fund | 13,883,338 | 2,217,622 | (585,239 | ) | 1,632,383 | |||||||||||
S&P MidCap 400® Pure Value Fund | 9,182,363 | 1,467,916 | (269,869 | ) | 1,198,047 | |||||||||||
S&P SmallCap 600® Pure Growth Fund | 10,633,600 | 1,982,495 | (603,419 | ) | 1,379,076 | |||||||||||
S&P SmallCap 600® Pure Value Fund | 6,973,292 | 662,471 | (717,501 | ) | (55,030 | ) | ||||||||||
Europe 1.25x Strategy Fund | 5,390,944 | 41,028 | (1,406 | ) | 39,622 | |||||||||||
Japan 2x Strategy Fund | 1,661,409 | 40,172 | — | 40,172 | ||||||||||||
Strengthening Dollar 2x Strategy Fund | 2,483,841 | — | (41,693 | ) | (41,693 | ) | ||||||||||
Weakening Dollar 2x Strategy Fund | 543,407 | 10,009 | — | 10,009 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 9 – Securities Transactions
For the period ended June 30, 2019, 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 | $ | 29,947,038 | $ | 37,674,491 | ||||
S&P 500® Pure Value Fund | 16,918,499 | 22,745,474 | ||||||
S&P MidCap 400® Pure Growth Fund | 7,897,408 | 8,868,064 | ||||||
S&P MidCap 400® Pure Value Fund | 8,052,461 | 8,694,242 | ||||||
S&P SmallCap 600® Pure Growth Fund | 6,868,772 | 13,319,942 | ||||||
S&P SmallCap 600® Pure Value Fund | 4,553,887 | 6,976,603 | ||||||
Europe 1.25x Strategy Fund | 4,270,487 | 2,821,890 | ||||||
Japan 2x Strategy Fund | 715,925 | 920,000 | ||||||
Strengthening Dollar 2x Strategy Fund | 663,508 | 1,250,000 | ||||||
Weakening Dollar 2x Strategy Fund | 315,880 | 415,000 |
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. The procedures have been designed to ensure that any purchase or sale of securities by the 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, 2019, 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 | $ | 10,128,612 | $ | 10,612,291 | $ | 351,052 | ||||||
S&P 500® Pure Value Fund | 5,242,940 | 4,218,744 | (168,946 | ) | ||||||||
S&P MidCap 400® Pure Growth Fund | 1,719,678 | 1,103,249 | (2,025 | ) | ||||||||
S&P MidCap 400® Pure Value Fund | 1,075,899 | 1,903,536 | (93,825 | ) | ||||||||
S&P SmallCap 600® Pure Growth Fund | 457,960 | 1,611,911 | 175,829 | |||||||||
S&P SmallCap 600® Pure Value Fund | 627,163 | 1,889,924 | (115,676 | ) | ||||||||
Europe 1.25x Strategy Fund | 831,848 | 1,101,741 | 58,144 |
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 8, 2020. 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 3.50% for the period ended June 30, 2019. The Funds did not have any borrowings outstanding under this agreement at June 30, 2019.
The average daily balances borrowed for the period ended June 30, 2019, were as follows:
Fund | Average Daily Balance | |||
S&P 500® Pure Growth Fund | $ | 3,453 | ||
S&P 500® Pure Value Fund | 1,144 | |||
S&P MidCap 400® Pure Growth Fund | 1,149 | |||
S&P MidCap 400® Pure Value Fund | 238 | |||
S&P SmallCap 600® Pure Growth Fund | 608 | |||
S&P SmallCap 600® Pure Value Fund | 105 | |||
Europe 1.25x Strategy Fund | 552 |
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 11 – Recent Regulatory Reporting Updates
In August 2018, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2018-13, Fair Value Measurement (Topic 820), Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement (the “2018 ASU”) which adds, modifies and removes disclosure requirements related to certain aspects of fair value measurement. The 2018 ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Early adoption is permitted. As of June 30, 2019, the Funds have fully adopted the provisions of the 2018 ASU, which did not have a material impact on the Funds’ financial statements and related disclosures or impact the Funds’ net assets or results of operations.
Note 12 – 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-2296 (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
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
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 would wait to do so until it has resolved outstanding motions to dismiss filed by other defendants.
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.
On December 18, 2018, plaintiff filed a letter with the District Court requesting that the stay be dissolved in order to permit briefing on the motion to amend the complaint and indicating plaintiff’s intention to file another motion to amend the complaint to reinstate claims for intentional fraudulent transfer. The shareholder defendants opposed that request. On January 14, 2019, the court held a case management conference, during which the court stated that it would not lift the stay prior to further action from the Second Circuit in the SLCFC actions. The court further stated that it would allow the plaintiff to file a motion to amend to try to reinstate its intentional fraudulent transfer claim. The plaintiff has not yet filed any such motion. On January 23, 2019, the court ordered the parties still facing pending claims to participate in a mediation, to commence on January 28, 2019. The mediation did not result in a settlement of the claims against the shareholder defendants.
On April 4, 2019, plaintiff filed a motion to amend the Fifth Amended Complaint to assert a federal constructive fraudulent transfer claim against certain shareholder defendants. On April 10, 2019, the shareholder defendants filed a brief in opposition to plaintiff’s motion to amend. On April 12, 2019, the plaintiff filed a reply brief. On April 23, 2019, the court denied the plaintiff’s motion to amend. On June 13, 2019, the court entered judgment pursuant to Rule 54(b). On July 12, 2019, the Plaintiff filed a notice of appeal with respect to the dismissal of his claims and the District Court’s denial of his motion for leave to amend.
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.
Note 13 – Subsequent Events
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events that would require adjustment to or disclosure in the Funds’ financial statements.
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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 as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Funds’ Forms N-PORT and N-Q are available on the SEC’s website at https://www.sec.gov. The Funds’ Forms N-PORT and 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”), each of whom is not an “interested person,” as defined by the Investment Company Act of 1940 (the “1940 Act”), of the Trust (the “Independent Trustees”), attended an in-person meeting held on May 20, 2019 (the “May Meeting”), called for the purpose of, among other things, the consideration of, and voting on, the approval and continuation of the Advisory Agreement dated March 1, 2012, as amended, between the Trust and Security Investors, LLC (the “Advisor”), pursuant to which the Advisor serves as investment adviser to each series of the Trust (each, a “Fund” and collectively, the “Funds”)(the “Advisory Agreement”). Consistent with its practice, the Board considered information pertaining to the renewal of the Advisory Agreement at an in-person meeting held on April 24, 2019 (the “April Meeting” and, together with the May Meeting, the “Meetings”). After careful consideration, the Board unanimously approved, at the May Meeting, the continuance of the Advisory Agreement for an additional one-year term based on the Board’s review of qualitative and quantitative information provided by the Advisor. In the course of its consideration, the Board deemed the materials provided by the Advisor at, and prior to, the Meetings to be instrumental in the Trustees’ deliberations and their process in considering the continuation of the Advisory Agreement. The Board also considered the review it conducted at each Meeting, as augmented by additional teleconference meetings prior to each Meeting, to be integral to its consideration of the continuation of the Advisory Agreement.
Prior to reaching the conclusion to approve the continuation of the Advisory Agreement, the Independent Trustees requested and obtained from the Advisor such information as they deemed reasonably necessary to evaluate the Advisory Agreement. In addition, the Board received a memorandum from 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 continuation of the Advisory Agreement, 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 comparative information regarding the Funds’ fees, expenses, and performance relative to the fees, expenses, and performance of other comparable funds (the “FUSE reports”). In addition, at the April Meeting, the Board met with representatives of FUSE Research Network (“FUSE”), the independent third-party service provider engaged to prepare the FUSE reports, to review FUSE’s process and methodology for preparing the FUSE reports presented to the Board for its consideration, including in particular, the process for the selection of peer funds. The Independent Trustees carefully evaluated all of the information provided, met in executive session outside the presence of Fund management, and were advised by independent legal counsel with respect to their deliberations.
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OTHER INFORMATION (Unaudited)(continued) |
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; (d) each Fund’s overall fees and operating expenses compared with those of similar funds, and the existence of or potential for the realization of economies of scale; (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 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 and relationships with third-party service providers, 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 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 the continuation of the Advisory Agreement for an additional one-year term 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), enterprise and Fund risk management infrastructure and processes, brokerage practices, and the adequacy of its compliance systems and processes, proxy voting policies and practices, and cybersecurity program. The Board reviewed the scope of services provided by the Advisor under the Advisory Agreement and noted that there would be no significant differences between the scope of services provided by the Advisor for the past year and the scope of services required to be provided during the upcoming year. 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 continuation of the Advisory Agreement would ensure shareholders of the Funds continue to receive high quality services at a cost that is 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. Part of the Board’s review focused on the information presented in the FUSE reports, which provided comparisons of 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 opinion that it found the peer groups compiled by FUSE to be appropriate, but acknowledged the existence of certain key features of the Funds that differentiate them from 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 taken into consideration. With respect to tradability, in particular, the Board considered that non-tradable peer funds incur lower expense ratios than the tradable Funds because the non-tradable peer funds necessarily experience less shareholder activity and lower transaction volumes than the 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. 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 Advisory Agreement for the last calendar year. In its review, the Board considered the direct revenue 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, which the Advisor confirmed was unchanged from the previous year. In its evaluation, the Board also considered the effect of the sale of Guggenheim’s ETF business in April 2018 on the Advisor’s and its affiliates’ profitability for the past year. The Board also considered the challenges currently affecting variable product-dedicated funds, including slowed investment in variable insurance products generally. 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, unanimously concluded that the terms of the Advisory Agreement were reasonable, and that approval of the continuation of the Advisory Agreement for an additional one-year term 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 |
INDEPENDENT TRUSTEES | ||||
Angela Brock-Kyle (1959) | Trustee and Member of the Audit Committee (2016-present); and Member of the Governance and Nominating Committee (2017-present). | Current: Founder and Chief Executive Officer, B.O.A.R.D.S (consulting firm).
Former: Senior Leader, TIAA (financial services firm) (1987-2012). | 109 | None. |
Corey A. Colehour (1945) | Trustee (1998-present); Member of the Audit Committee (1998-present); Member of the Governance and Nominating Committee (2017-present). | Retired. | 109 | None. |
J. Kenneth Dalton (1941) | Trustee (1998-present); Chairman and Member of the Audit Committee (1998-present); and Member of the Governance and Nominating Committee (2018-present). | Retired. | 109 | Former: Epiphany Funds (2) (2009-January 2019). |
Thomas F. Lydon, Jr. (1960) | Trustee, Member of the Audit Committee (2005-present); Chairman and Member of the Governance and Nominating Committee (2017-present). | Current: President, Global Trends Investments (registered investment adviser) (1996-present). | 109 | US Global Investors (GROW) (1995-present) and Harvest Volatility Edge Trust (3) (2017-present). |
Sandra G. Sponem (1958) | Trustee and Member of the Audit Committee (2016-present); Member of the Governance and Nominating Committee (2017-present); and Chairwoman (January 2019 - present). | Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson Companies, Inc. (general contracting firm) (2007-2017). | 109 | SPDR Series Trust (78) (2018-present); SPDR Index Shares Funds (31) (2018-present); SSGA Active Trust (12) (2018-present); and SSGA Master Trust (1) (2018-present). |
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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 Managing Director, Guggenheim Investments (2010-present); Senior Vice President, Security Investors, LLC (2010-present); Vice President, certain other funds in the Fund Complex (2000-present).
Former: Manager, Guggenheim Specialized Products, LLC (2005- 2018); 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, LLC and 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, Mutual Fund Administration of Van Kampen Investments, Inc. (1996-2004). |
Amy J. Lee | President (2017-present). | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); President, certain other funds in the Fund Complex (2017-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Senior Managing Director, Guggenheim Investments (2012-present); Vice President, certain other funds in the Fund Complex (2007-present).
Former: Interested Trustee, certain other funds in the Fund Complex (2018-February 2019); President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2018); and Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). |
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 (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary (2018-present). | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer (2012-present). | Current: Chief Compliance Officer, certain other funds in the Fund Complex (2012-present); Senior Managing Director, Guggenheim Investments (2012-present); Vice President, Guggenheim Funds Distributors, LLC (2014-present).
Former: Chief Compliance Officer, Security Investors, LLC (2012-February 2018); Chief Compliance Officer, Guggenheim Funds Investment Advisors, LLC (2012-2018); Chief Compliance Officer, Guggenheim Distributors, LLC (2009-2014); Senior Manager, Security Investors, LLC (2004-2014); Senior Manager, Guggenheim Distributors, LLC (2004-2014). |
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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 | ||
Margaux Misantone (1978) | AML Officer (2017-present). | Current: Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investment Advisors, LLC (2018-present); AML Officer, Security Investors, LLC and certain other funds in the Fund Complex (2017-present); Managing Director, Guggenheim Investments (2015-present).
Former: Assistant Chief Compliance Officer, Security Investors, LLC and Guggenheim Funds Investments Advisors, LLC (2015-2018). |
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). |
William Rehder (1967) | Assistant Vice President (2018-present). | Current: Managing Director, Guggenheim Investments (2002-present). |
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, Mutual Fund Administration for 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: Chief Financial Officer, 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 Chief Compliance Officer, 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); Chief Financial Officer 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. |
** | 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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● | 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
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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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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 (as defined in Rule 30a-3(c) under the Investment Company Act) as of a date within 90 days of this filing and have concluded that based on such evaluation as required by Rule 30a-3(b) under the Investment Company Act, 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 within the time periods specified in the Securities and Exchange Commission’s rules and forms.
(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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. 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 6, 2019 | ||
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 6, 2019 | ||
By (Signature and Title)* | /s/ John L. Sullivan | ||
John L. Sullivan, Chief Financial Officer and Treasurer | |||
Date | September 6, 2019 |
* | Print the name and title of each signing officer under his or her signature. |