UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811- 08821
Rydex Variable Trust
(Exact name of registrant as specified in charter)
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Address of principal executive offices) (Zip code)
Amy J. Lee
Rydex Variable Trust
702 King Farm Boulevard, Suite 200
Rockville, Maryland 20850
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-301-296-5100
Date of fiscal year end: December 31
Date of reporting period: January 1, 2020 to June 30, 2020
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:
6.30.2020
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-0620x1220 |
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 | 55 |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | 61 |
OTHER INFORMATION | 76 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 83 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 89 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 92 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
| June 30, 2020 |
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, 2020.
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, 2020
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, 2020 |
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 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, 2020 |
The six-month period ended June 30, 2020, was an unprecedented time for markets. It was marked by extreme volatility, resulting from the COVID-19 pandemic, tempered by a swift and aggressive monetary policy response by the U.S. Federal Reserve (the “Fed”) and sweeping fiscal support that cushioned downside risk for the economy and especially for markets.
The mere announcement of the Fed’s Primary and Secondary Market Corporate Credit Facilities on March 23, 2020 and June 15, 2020, respectively, caused credit spreads, which had blown out dramatically, to stabilize and then tighten as the market interpreted the move as a backstop against defaults, with most credits trading in their 80th percentile since. With credit markets shored up, equity markets have regained almost all of their lost ground. The Standard & Poor’s 500® (“S&P 500®”) index, which began the year at 3,230, peaked at 3,386 on February 19, 2020 before plummeting to 2,237 on March 23, 2020, the day of the Fed’s first announced facility. By June 30, 2020, the index had recovered to 3,100. The total return for the six-months ended June 30, 2020 was -3.08%.
The U.S. budget deficit is approaching 25% of Gross Domestic Product (“GDP”), the highest since World War II, and the Fed has promised to use all available tools, including powerful new emergency credit market facilities, to support the recovery. But even this policy response cannot force consumers to spend, or businesses to invest, amid staggering uncertainty. Moreover, future rounds of fiscal stimulus may be needed to avoid a series of fiscal cliffs as temporary measures expire. Future stimulus could also be more politically contentious, especially with the November election approaching, social unrest increasing and markets cheering sequential improvement in the economic data. And as the events of the global financial crisis and the ensuing European debt crisis illustrated, the persistence of macro stress means the risk of a systemic credit event is elevated. As fragility builds, we are watching developments in emerging markets particularly closely as a potential catalyst for a broader, systemic shock.
Meanwhile, joblessness has surged, with the fall in U.S. employment in April 2020 alone representing a 40 standard deviation shock, erasing jobs gained during the preceding 21 years. Rehiring activity turned the labor market tide in May and June 2020, but as personal, small business and corporate bankruptcies mount, permanent damage is being done to the productive capacity of the economy, which may stunt a recovery.
Overshadowing everything is the COVID-19 pandemic, which caused a steeper plunge in U.S. output and employment in two months (in both cases roughly 16% un-annualized) than during the first two years of the Great Depression. Real GDP leads core inflation by about 18 months, suggesting that inflation may also fall sharply in coming quarters. Reopening measures have supported a strong uptick in economic activity since April, but we do not expect a genuine recovery will be possible until a vaccine has been developed, tested, approved, produced and administered across the globe. In the meantime, keeping the infection rate in check will require social distancing measures that stymie economic activity. Indeed, the premature easing of lockdowns and a lax adherence to social distancing guidelines are resulting in a resurgence of new infections in the United States, reflecting the combination of millions of cases and limited testing and tracing capabilities. Recent trends do not bode well for the fall, when the start of the school year could boost social interactions and the return of flu season might strain healthcare capacity.
For the six months ended June 30, 2020, the S&P 500® Index* returned -3.08%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -11.34%. The return of the MSCI Emerging Markets Index* was -9.78%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 6.14% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned -3.80%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.60% 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, 2020 |
*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.
Morningstar Long/Short Equity Category Average represents long-short portfolios which hold sizable stakes in both long and short positions in equities and related derivatives. Some funds that fall into this category will shift their exposure to long and short positions depending on their macro outlook or the opportunities they uncover through bottom-up research. Some funds may simply hedge long stock positions through exchange traded funds or derivatives. At least 75% of the assets are in equity securities or derivatives.
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.
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, 2019 and ending June 30, 2020.
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 | 1.74% | (5.49%) | $ 1,000.00 | $ 945.10 | $ 8.41 |
Global Managed Futures Strategy Fund | 1.72% | 0.78% | 1,000.00 | 1,007.80 | 8.59 |
Multi-Hedge Strategies Fund | 1.62% | 4.10% | 1,000.00 | 1,041.00 | 8.22 |
Commodities Strategy Fund | 1.68% | (35.10%) | 1,000.00 | 649.00 | 6.89 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Long Short Equity Fund | 1.74% | 5.00% | $ 1,000.00 | $ 1,016.21 | $ 8.72 |
Global Managed Futures Strategy Fund | 1.72% | 5.00% | 1,000.00 | 1,016.31 | 8.62 |
Multi-Hedge Strategies Fund | 1.62% | 5.00% | 1,000.00 | 1,016.81 | 8.12 |
Commodities Strategy Fund | 1.68% | 5.00% | 1,000.00 | 1,016.51 | 8.42 |
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 and prime broker interest expenses. Excluding these expenses, the operating expense ratio of the Multi-Hedge Strategies Fund would be 1.14%. |
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 182/366 (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, 2019 to June 30, 2020. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 7 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
LONG SHORT EQUITY FUND
OBJECTIVE: Seeks long-term capital appreciation.
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 1, 2002 |
Ten Largest Holdings (% of Total Net Assets) | |
Apple, Inc. | 1.8% |
Alphabet, Inc. — Class C | 1.3% |
Microsoft Corp. | 1.3% |
Johnson & Johnson | 1.2% |
Procter & Gamble Co. | 1.1% |
Verizon Communications, Inc. | 1.1% |
Cisco Systems, Inc. | 1.0% |
Kimberly-Clark Corp. | 1.0% |
Union Pacific Corp. | 1.0% |
Medtronic plc | 1.0% |
Top Ten Total | 11.8% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Long Short Equity Fund | (5.49%) | (1.75%) | (0.03%) | 3.82% |
HFRX Equity Hedge Fund Index | (6.30%) | (2.11%) | (0.26%) | 0.86% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
Morningstar Long/Short Equity Category Average | (5.96%) | (4.29%) | 1.00% | 4.11% |
* | 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 Fund 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, 2020 |
LONG SHORT EQUITY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.7% | ||||||||
Consumer, Non-cyclical - 27.9% | ||||||||
Johnson & Johnson1 | 2,018 | $ | 283,791 | |||||
Procter & Gamble Co.1 | 2,263 | 270,587 | ||||||
Kimberly-Clark Corp.1 | 1,721 | 243,263 | ||||||
Medtronic plc | 2,512 | 230,351 | ||||||
Eli Lilly & Co.1 | 1,392 | 228,539 | ||||||
Amgen, Inc.1 | 908 | 214,161 | ||||||
McKesson Corp.1 | 1,331 | 204,202 | ||||||
Ingredion, Inc. | 2,453 | 203,599 | ||||||
Philip Morris International, Inc.1 | 2,625 | 183,908 | ||||||
Altria Group, Inc. | 4,515 | 177,214 | ||||||
Colgate-Palmolive Co. | 2,353 | 172,381 | ||||||
Henry Schein, Inc.* | 2,939 | 171,608 | ||||||
Molson Coors Beverage Co. — Class B1 | 4,895 | 168,192 | ||||||
Pfizer, Inc.1 | 5,075 | 165,952 | ||||||
Cardinal Health, Inc.1 | 3,037 | 158,501 | ||||||
Campbell Soup Co. | 3,136 | 155,640 | ||||||
General Mills, Inc.1 | 2,348 | 144,754 | ||||||
Gilead Sciences, Inc.1 | 1,791 | 137,800 | ||||||
Mondelez International, Inc. — Class A | 2,665 | 136,261 | ||||||
Kellogg Co. | 1,994 | 131,724 | ||||||
PepsiCo, Inc.1 | 940 | 124,324 | ||||||
Jazz Pharmaceuticals plc*,1 | 1,122 | 123,801 | ||||||
Molina Healthcare, Inc.* | 670 | 119,247 | ||||||
Archer-Daniels-Midland Co. | 2,966 | 118,343 | ||||||
Kraft Heinz Co. | 3,629 | 115,729 | ||||||
JM Smucker Co. | 1,054 | 111,524 | ||||||
UnitedHealth Group, Inc. | 369 | 108,837 | ||||||
CVS Health Corp.1 | 1,610 | 104,602 | ||||||
United Therapeutics Corp.* | 848 | 102,608 | ||||||
John B Sanfilippo & Son, Inc. | 1,147 | 97,873 | ||||||
Abbott Laboratories | 1,067 | 97,556 | ||||||
Cigna Corp. | 504 | 94,576 | ||||||
Incyte Corp.* | 887 | 92,221 | ||||||
HCA Healthcare, Inc. | 887 | 86,092 | ||||||
Biogen, Inc.* | 313 | 83,743 | ||||||
Post Holdings, Inc.* | 954 | 83,589 | ||||||
Herbalife Nutrition Ltd.* | 1,817 | 81,729 | ||||||
Quest Diagnostics, Inc. | 717 | 81,709 | ||||||
Laboratory Corporation of America Holdings* | 487 | 80,896 | ||||||
Rent-A-Center, Inc. | 2,857 | 79,482 | ||||||
United Rentals, Inc.* | 514 | 76,606 | ||||||
Innoviva, Inc.* | 5,152 | 72,025 | ||||||
Tyson Foods, Inc. — Class A | 1,108 | 66,159 | ||||||
DaVita, Inc.* | 831 | 65,765 | ||||||
TreeHouse Foods, Inc.* | 1,496 | 65,525 | ||||||
Monster Beverage Corp.* | 913 | 63,289 | ||||||
Dentsply Sirona, Inc. | 1,378 | 60,715 | ||||||
Alexion Pharmaceuticals, Inc.* | 521 | 58,477 | ||||||
Universal Health Services, Inc. — Class B | 544 | 50,532 | ||||||
Coca-Cola Co. | 1,089 | 48,657 | ||||||
Merck & Company, Inc.1 | 504 | 38,974 | ||||||
AbbVie, Inc. | 364 | 35,737 | ||||||
Thermo Fisher Scientific, Inc. | 98 | 35,509 | ||||||
Humana, Inc. | 87 | 33,734 | ||||||
Bristol-Myers Squibb Co. | 570 | 33,516 | ||||||
Becton Dickinson and Co. | 140 | 33,498 | ||||||
Anthem, Inc. | 119 | 31,295 | ||||||
Stryker Corp. | 170 | 30,632 | ||||||
Total Consumer, Non-cyclical | 6,671,554 | |||||||
Industrial - 15.1% | ||||||||
Union Pacific Corp.1 | 1,385 | 234,162 | ||||||
Caterpillar, Inc.1 | 1,802 | 227,953 | ||||||
Gentex Corp. | 8,325 | 214,535 | ||||||
Norfolk Southern Corp.1 | 1,159 | 203,486 | ||||||
Expeditors International of Washington, Inc. | 2,349 | 178,618 | ||||||
Waters Corp.*,1 | 981 | 176,972 | ||||||
Snap-on, Inc.1 | 1,260 | 174,523 | ||||||
CSX Corp.1 | 2,231 | 155,590 | ||||||
J.B. Hunt Transport Services, Inc. | 1,234 | 148,499 | ||||||
FedEx Corp.1 | 1,003 | 140,641 | ||||||
Eaton Corporation plc | 1,527 | 133,582 | ||||||
Honeywell International, Inc. | 919 | 132,878 | ||||||
Landstar System, Inc.1 | 934 | 104,897 | ||||||
Garmin Ltd. | 1,075 | 104,813 | ||||||
Werner Enterprises, Inc.1 | 2,402 | 104,559 | ||||||
Hubbell, Inc. | 808 | 101,291 | ||||||
Emerson Electric Co. | 1,328 | 82,376 | ||||||
Regal Beloit Corp. | 890 | 77,715 | ||||||
Owens Corning | 1,368 | 76,280 | ||||||
Lincoln Electric Holdings, Inc. | 905 | 76,237 | ||||||
AGCO Corp. | 1,366 | 75,758 | ||||||
Timken Co. | 1,658 | 75,422 | ||||||
Schneider National, Inc. — Class B | 2,995 | 73,887 | ||||||
Illinois Tool Works, Inc. | 414 | 72,388 | ||||||
TE Connectivity Ltd. | 859 | 70,051 | ||||||
Terex Corp. | 3,587 | 67,328 | ||||||
Arrow Electronics, Inc.* | 974 | 66,904 | ||||||
Oshkosh Corp. | 773 | 55,362 | ||||||
Westrock Co. | 1,889 | 53,383 | ||||||
National Instruments Corp. | 1,353 | 52,375 | ||||||
3M Co. | 210 | 32,758 | ||||||
Lockheed Martin Corp. | 85 | 31,018 | ||||||
Raytheon Technologies Corp. | 490 | 30,194 | ||||||
Total Industrial | 3,606,435 | |||||||
Technology - 14.6% | ||||||||
Apple, Inc.1 | 1,163 | 424,262 | ||||||
Microsoft Corp.1 | 1,533 | 311,981 | ||||||
Cerner Corp. | 3,204 | 219,634 | ||||||
Oracle Corp.1 | 3,886 | 214,779 | ||||||
Intel Corp.1 | 3,357 | 200,849 | ||||||
Seagate Technology plc | 4,026 | 194,899 | ||||||
QUALCOMM, Inc. | 2,083 | 189,991 | ||||||
Texas Instruments, Inc. | 1,421 | 180,425 | ||||||
International Business Machines Corp. | 1,434 | 173,184 | ||||||
Maxim Integrated Products, Inc.1 | 2,697 | 163,465 | ||||||
NetApp, Inc. | 2,910 | 129,117 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
LONG SHORT EQUITY FUND |
| Shares | Value | ||||||
Cognizant Technology Solutions Corp. — Class A | 2,053 | $ | 116,652 | |||||
Skyworks Solutions, Inc.1 | 779 | 99,603 | ||||||
KLA Corp. | 463 | 90,044 | ||||||
CDK Global, Inc. | 2,167 | 89,757 | ||||||
Applied Materials, Inc. | 1,455 | 87,955 | ||||||
Lam Research Corp. | 216 | 69,867 | ||||||
Micron Technology, Inc.* | 1,354 | 69,758 | ||||||
Paychex, Inc. | 853 | 64,615 | ||||||
Xilinx, Inc. | 654 | 64,347 | ||||||
HP, Inc. | 3,682 | 64,177 | ||||||
Teradata Corp.* | 3,074 | 63,939 | ||||||
Synaptics, Inc.* | 976 | 58,677 | ||||||
Zebra Technologies Corp. — Class A* | 223 | 57,077 | ||||||
NVIDIA Corp. | 120 | 45,589 | ||||||
Adobe, Inc.* | 94 | 40,919 | ||||||
Total Technology | 3,485,562 | |||||||
Communications - 11.4% | ||||||||
Alphabet, Inc. — Class C* | 225 | 318,062 | ||||||
Verizon Communications, Inc.1 | 4,790 | 264,073 | ||||||
Cisco Systems, Inc.1 | 5,325 | 248,358 | ||||||
Comcast Corp. — Class A1 | 5,827 | 227,136 | ||||||
Amazon.com, Inc.*,1 | 78 | 215,188 | ||||||
AT&T, Inc.1 | 5,895 | 178,206 | ||||||
Juniper Networks, Inc.1 | 7,730 | 176,708 | ||||||
Omnicom Group, Inc.1 | 3,064 | 167,295 | ||||||
Booking Holdings, Inc.*,1 | 104 | 165,603 | ||||||
Facebook, Inc. — Class A*,1 | 723 | 164,171 | ||||||
eBay, Inc. | 2,195 | 115,128 | ||||||
Sirius XM Holdings, Inc. | 12,763 | 74,919 | ||||||
Ciena Corp.* | 1,381 | 74,795 | ||||||
Walt Disney Co. | 604 | 67,352 | ||||||
Fox Corp. — Class A | 2,501 | 67,077 | ||||||
Viavi Solutions, Inc.* | 5,090 | 64,846 | ||||||
Interpublic Group of Companies, Inc. | 3,083 | 52,904 | ||||||
Yelp, Inc. — Class A* | 2,021 | 46,746 | ||||||
Netflix, Inc.* | 97 | 44,139 | ||||||
Total Communications | 2,732,706 | |||||||
Utilities - 11.2% | ||||||||
Exelon Corp.1 | 6,342 | 230,151 | ||||||
Consolidated Edison, Inc. | 2,902 | 208,741 | ||||||
Public Service Enterprise Group, Inc.1 | 4,157 | 204,358 | ||||||
Southern Co.1 | 3,801 | 197,082 | ||||||
PPL Corp.1 | 7,587 | 196,048 | ||||||
Pinnacle West Capital Corp.1 | 2,616 | 191,727 | ||||||
Evergy, Inc. | 2,855 | 169,273 | ||||||
ONE Gas, Inc. | 1,951 | 150,325 | ||||||
Portland General Electric Co.1 | 3,547 | 148,300 | ||||||
IDACORP, Inc. | 1,470 | 128,434 | ||||||
FirstEnergy Corp.1 | 3,097 | 120,102 | ||||||
NiSource, Inc. | 5,040 | 114,610 | ||||||
National Fuel Gas Co.1 | 2,635 | 110,485 | ||||||
Ameren Corp. | 1,490 | 104,836 | ||||||
OGE Energy Corp. | 2,938 | 89,198 | ||||||
NRG Energy, Inc. | 2,708 | 88,173 | ||||||
NorthWestern Corp. | 1,274 | 69,458 | ||||||
CenterPoint Energy, Inc. | 3,217 | 60,061 | ||||||
Avista Corp.1 | 1,372 | 49,927 | ||||||
Southwest Gas Holdings, Inc. | 705 | 48,680 | ||||||
Total Utilities | 2,679,969 | |||||||
Financial - 10.1% | ||||||||
MetLife, Inc. | 6,184 | 225,822 | ||||||
Allstate Corp. | 2,130 | 206,589 | ||||||
Equity Residential REIT | 3,363 | 197,812 | ||||||
Piedmont Office Realty Trust, Inc. — Class A REIT1 | 8,826 | 146,600 | ||||||
Boston Properties, Inc. REIT | 1,462 | 132,136 | ||||||
Western Union Co. | 5,312 | 114,845 | ||||||
Waddell & Reed Financial, Inc. — Class A | 7,003 | 108,616 | ||||||
Vornado Realty Trust REIT | 2,744 | 104,848 | ||||||
Bank of America Corp. | 4,409 | 104,714 | ||||||
M&T Bank Corp. | 995 | 103,450 | ||||||
Kennedy-Wilson Holdings, Inc. | 6,477 | 98,580 | ||||||
Ameriprise Financial, Inc. | 628 | 94,225 | ||||||
Berkshire Hathaway, Inc. — Class B* | 481 | 85,863 | ||||||
Travelers Companies, Inc. | 745 | 84,967 | ||||||
Highwoods Properties, Inc. REIT | 2,055 | 76,713 | ||||||
Wells Fargo & Co. | 2,912 | 74,547 | ||||||
JPMorgan Chase & Co.1 | 782 | 73,555 | ||||||
Visa, Inc. — Class A1 | 349 | 67,416 | ||||||
Host Hotels & Resorts, Inc. REIT | 5,784 | 62,409 | ||||||
Synchrony Financial | 2,354 | 52,165 | ||||||
Mastercard, Inc. — Class A | 167 | 49,382 | ||||||
Weingarten Realty Investors REIT | 2,458 | 46,530 | ||||||
Morgan Stanley | 725 | 35,017 | ||||||
BlackRock, Inc. — Class A | 62 | 33,734 | ||||||
Citigroup, Inc. | 598 | 30,558 | ||||||
Total Financial | 2,411,093 | |||||||
Consumer, Cyclical - 8.7% | ||||||||
Cummins, Inc.1 | 1,282 | 222,119 | ||||||
Autoliv, Inc. | 3,317 | 213,980 | ||||||
Gentherm, Inc.* | 3,503 | 136,267 | ||||||
Lowe’s Companies, Inc. | 941 | 127,148 | ||||||
Allison Transmission Holdings, Inc.1 | 3,195 | 117,512 | ||||||
General Motors Co. | 4,302 | 108,841 | ||||||
Best Buy Company, Inc. | 1,183 | 103,240 | ||||||
Lear Corp.1 | 905 | 98,663 | ||||||
Whirlpool Corp.1 | 748 | 96,888 | ||||||
Brunswick Corp. | 1,364 | 87,310 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 1,134 | 82,567 | ||||||
DR Horton, Inc. | 1,470 | 81,511 | ||||||
PACCAR, Inc. | 1,061 | 79,416 | ||||||
Southwest Airlines Co. | 2,105 | 71,949 | ||||||
Polaris, Inc. | 746 | 69,042 | ||||||
Home Depot, Inc.1 | 252 | 63,129 | ||||||
Hanesbrands, Inc. | 5,454 | 61,575 | ||||||
Mohawk Industries, Inc.* | 579 | 58,919 | ||||||
Walmart, Inc. | 289 | 34,616 | ||||||
Costco Wholesale Corp. | 113 | 34,263 |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
LONG SHORT EQUITY FUND |
| Shares | Value | ||||||
NIKE, Inc. — Class B | 336 | $ | 32,945 | |||||
AutoZone, Inc.* | 29 | 32,715 | ||||||
McDonald’s Corp. | 174 | 32,098 | ||||||
Starbucks Corp. | 420 | 30,908 | ||||||
Total Consumer, Cyclical | 2,077,621 | |||||||
Energy - 0.7% | ||||||||
Exxon Mobil Corp.1 | 1,917 | 85,728 | ||||||
Chevron Corp. | 876 | 78,166 | ||||||
Valero Energy Corp.1 | 73 | 4,294 | ||||||
Total Energy | 168,188 | |||||||
Total Common Stocks | ||||||||
(Cost $23,260,383) | 23,833,128 | |||||||
MONEY MARKET FUND† - 5.1% | ||||||||
Invesco Short-Term Investments Trust Treasury Obligations Portfolio — Institutional Class 0.08%2 | 1,209,284 | 1,209,284 | ||||||
Total Money Market Fund | ||||||||
(Cost $1,209,284) | 1,209,284 | |||||||
Total Investments - 104.8% | ||||||||
(Cost $24,469,667) | $ | 25,042,412 | ||||||
Other Assets & Liabilities, net - (4.8)% | (1,138,111 | ) | ||||||
Total Net Assets - 100.0% | $ | 23,904,301 |
Custom Basket Swap Agreements | |||||||||||||||
Counterparty | Reference | Financing | Payment | Maturity | Notional | Value and | |||||||||
OTC Custom Basket Swap Agreements†† | |||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | 0.48% (Federal Funds Rate + 0.40%) | At Maturity | 03/27/24 | $ | 5,252,911 | $ | (57,332 | ) | ||||||
Goldman Sachs International | GS Equity Custom Basket | 0.53% (Federal Funds Rate + 0.45%) | At Maturity | 05/06/24 | 5,268,367 | (60,073 | ) | ||||||||
$ | 10,521,278 | $ | (117,405 | ) | |||||||||||
OTC Custom Basket Swap Agreements Sold Short†† | |||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Custom Basket | (0.22%) (Federal Funds Rate - 0.30%) | At Maturity | 03/27/24 | $ | 8,182,433 | $ | (178,942 | ) | ||||||
Goldman Sachs International | GS Equity Custom Basket | (0.12%) (Federal Funds Rate - 0.20%) | At Maturity | 05/06/24 | 8,052,607 | (152,225 | ) | ||||||||
$ | 16,235,040 | $ | (331,167 | ) |
| Shares | Percentage |
| |||||||||
MS EQUITY LONG CUSTOM BASKET | ||||||||||||
Consumer, Non-cyclical | ||||||||||||
Eli Lilly & Co. | 307 | 0.96 | % | $ | 11,428 | |||||||
McKesson Corp. | 294 | 0.86 | % | 11,087 | ||||||||
Amgen, Inc. | 200 | 0.90 | % | 7,743 | ||||||||
Rent-A-Center, Inc. | 631 | 0.33 | % | 6,261 | ||||||||
CVS Health Corp. | 355 | 0.44 | % | 4,224 | ||||||||
Cardinal Health, Inc. | 891 | 0.89 | % | 4,166 | ||||||||
Herbalife Nutrition Ltd. | 743 | 0.64 | % | 4,077 | ||||||||
United Rentals, Inc. | 113 | 0.32 | % | 3,209 | ||||||||
Abbott Laboratories | 235 | 0.41 | % | 2,756 | ||||||||
Kellogg Co. | 440 | 0.55 | % | 2,603 | ||||||||
Laboratory Corporation of America Holdings | 107 | 0.34 | % | 2,025 | ||||||||
Thermo Fisher Scientific, Inc. | 21 | 0.14 | % | 1,963 | ||||||||
PepsiCo, Inc. | 207 | 0.52 | % | 1,915 | ||||||||
Johnson & Johnson | 445 | 1.19 | % | 1,913 | ||||||||
Procter & Gamble Co. | 499 | 1.14 | % | 1,634 | ||||||||
AbbVie, Inc. | 80 | 0.15 | % | 1,219 | ||||||||
Innoviva, Inc. | 1,137 | 0.30 | % | 1,185 | ||||||||
Incyte Corp. | 196 | 0.39 | % | 1,144 | ||||||||
Alexion Pharmaceuticals, Inc. | 115 | 0.25 | % | 1,122 | ||||||||
Kimberly-Clark Corp. | 380 | 1.02 | % | 1,119 | ||||||||
General Mills, Inc. | 518 | 0.61 | % | 299 | ||||||||
Molina Healthcare, Inc. | 148 | 0.50 | % | 237 | ||||||||
Colgate-Palmolive Co. | 519 | 0.72 | % | 98 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
JM Smucker Co. | 232 | 0.47 | % | $ | 50 | |||||||
Campbell Soup Co. | 692 | 0.65 | % | 24 | ||||||||
Anthem, Inc. | 26 | 0.13 | % | (93 | ) | |||||||
Humana, Inc. | 19 | 0.14 | % | (136 | ) | |||||||
Becton Dickinson and Co. | 30 | 0.14 | % | (190 | ) | |||||||
Bristol-Myers Squibb Co. | 126 | 0.14 | % | (199 | ) | |||||||
Monster Beverage Corp. | 201 | 0.27 | % | (276 | ) | |||||||
Stryker Corp. | 37 | 0.13 | % | (279 | ) | |||||||
UnitedHealth Group, Inc. | 81 | 0.45 | % | (303 | ) | |||||||
Gilead Sciences, Inc. | 395 | 0.58 | % | (387 | ) | |||||||
Quest Diagnostics, Inc. | 158 | 0.34 | % | (414 | ) | |||||||
Merck & Company, Inc. | 111 | 0.16 | % | (551 | ) | |||||||
Mondelez International, Inc. — Class A | 588 | 0.57 | % | (978 | ) | |||||||
Kraft Heinz Co. | 801 | 0.49 | % | (1,029 | ) | |||||||
DaVita, Inc. | 183 | 0.28 | % | (1,177 | ) | |||||||
Post Holdings, Inc. | 210 | 0.35 | % | (1,234 | ) | |||||||
Dentsply Sirona, Inc. | 304 | 0.25 | % | (1,492 | ) | |||||||
Coca-Cola Co. | 240 | 0.20 | % | (1,528 | ) | |||||||
Archer-Daniels-Midland Co. | 655 | 0.50 | % | (1,677 | ) | |||||||
Tyson Foods, Inc. — Class A | 244 | 0.28 | % | (1,708 | ) | |||||||
TreeHouse Foods, Inc. | 330 | 0.28 | % | (1,913 | ) | |||||||
Universal Health Services, Inc. — Class B | 120 | 0.21 | % | (1,963 | ) | |||||||
John B Sanfilippo & Son, Inc. | 253 | 0.41 | % | (2,070 | ) | |||||||
Medtronic plc | 555 | 0.97 | % | (2,128 | ) | |||||||
Altria Group, Inc. | 997 | 0.74 | % | (2,233 | ) | |||||||
Henry Schein, Inc. | 649 | 0.72 | % | (2,779 | ) | |||||||
Ingredion, Inc. | 541 | 0.85 | % | (3,125 | ) | |||||||
Cigna Corp. | 111 | 0.40 | % | (3,249 | ) | |||||||
HCA Healthcare, Inc. | 196 | 0.36 | % | (3,514 | ) | |||||||
Biogen, Inc. | 69 | 0.35 | % | (4,320 | ) | |||||||
Pfizer, Inc. | 1,121 | 0.70 | % | (4,707 | ) | |||||||
Jazz Pharmaceuticals plc | 247 | 0.52 | % | (6,022 | ) | |||||||
Philip Morris International, Inc. | 579 | 0.77 | % | (6,663 | ) | |||||||
Molson Coors Beverage Co. — Class B | 1,081 | 0.71 | % | (17,386 | ) | |||||||
Total Consumer, Non-cyclical | (2,222 | ) | ||||||||||
Communications | ||||||||||||
Amazon.com, Inc. | 17 | 0.89 | % | 17,859 | ||||||||
Alphabet, Inc. — Class C | 49 | 1.32 | % | 12,755 | ||||||||
Facebook, Inc. — Class A | 159 | 0.69 | % | 10,409 | ||||||||
eBay, Inc. | 484 | 0.48 | % | 7,303 | ||||||||
Cisco Systems, Inc. | 1,176 | 1.04 | % | 2,592 | ||||||||
Interpublic Group of Companies, Inc. | 681 | 0.22 | % | 1,487 | ||||||||
Netflix, Inc. | 21 | 0.18 | % | 769 | ||||||||
Viavi Solutions, Inc. | 1,124 | 0.27 | % | 477 | ||||||||
Juniper Networks, Inc. | 1,707 | 0.74 | % | 163 | ||||||||
Ciena Corp. | 305 | 0.31 | % | (131 | ) | |||||||
Sirius XM Holdings, Inc. | 2,819 | 0.32 | % | (1,415 | ) | |||||||
Fox Corp. — Class A | 552 | 0.28 | % | (2,367 | ) | |||||||
Comcast Corp. — Class A | 1,287 | 0.96 | % | (4,171 | ) | |||||||
Yelp, Inc. — Class A | 446 | 0.20 | % | (5,049 | ) | |||||||
Verizon Communications, Inc. | 1,072 | 1.13 | % | (5,231 | ) | |||||||
Booking Holdings, Inc. | 23 | 0.70 | % | (5,338 | ) | |||||||
AT&T, Inc. | 1,612 | 0.93 | % | (6,446 | ) | |||||||
Omnicom Group, Inc. | 676 | 0.70 | % | (15,082 | ) | |||||||
Total Communications | 8,584 | |||||||||||
Industrial | ||||||||||||
Snap-on, Inc. | 278 | 0.73 | % | 5,978 | ||||||||
Werner Enterprises, Inc. | 530 | 0.44 | % | 5,451 | ||||||||
Garmin Ltd. | 237 | 0.44 | % | 3,497 | ||||||||
Regal Beloit Corp. | 196 | 0.33 | % | 3,489 | ||||||||
Union Pacific Corp. | 305 | 0.98 | % | 3,394 | ||||||||
Schneider National, Inc. — Class B | 661 | 0.31 | % | 2,887 | ||||||||
TE Connectivity Ltd. | 189 | 0.29 | % | 2,741 | ||||||||
Owens Corning | 302 | 0.32 | % | 2,549 | ||||||||
Westrock Co. | 629 | 0.34 | % | 1,954 | ||||||||
Landstar System, Inc. | 206 | 0.44 | % | 1,615 | ||||||||
Caterpillar, Inc. | 398 | 0.96 | % | 1,214 | ||||||||
J.B. Hunt Transport Services, Inc. | 272 | 0.62 | % | 871 | ||||||||
3M Co. | 46 | 0.14 | % | 488 | ||||||||
National Instruments Corp. | 298 | 0.22 | % | 474 | ||||||||
Lincoln Electric Holdings, Inc. | 200 | 0.32 | % | 316 | ||||||||
Expeditors International of Washington, Inc. | 518 | 0.75 | % | 307 | ||||||||
Norfolk Southern Corp. | 264 | 0.88 | % | (41 | ) | |||||||
Oshkosh Corp. | 170 | 0.23 | % | (156 | ) | |||||||
Illinois Tool Works, Inc. | 91 | 0.30 | % | (246 | ) | |||||||
Raytheon Technologies Corp. | 108 | 0.13 | % | (446 | ) | |||||||
Lockheed Martin Corp. | 18 | 0.13 | % | (520 | ) | |||||||
CSX Corp. | 492 | 0.65 | % | (582 | ) | |||||||
Timken Co. | 366 | 0.32 | % | (1,078 | ) | |||||||
Arrow Electronics, Inc. | 215 | 0.28 | % | (1,301 | ) | |||||||
Emerson Electric Co. | 293 | 0.35 | % | (1,350 | ) | |||||||
Hubbell, Inc. | 178 | 0.42 | % | (1,853 | ) | |||||||
Gentex Corp. | 1,838 | 0.90 | % | (1,965 | ) | |||||||
Eaton Corporation plc | 337 | 0.56 | % | (2,575 | ) | |||||||
Honeywell International, Inc. | 203 | 0.56 | % | (3,169 | ) | |||||||
FedEx Corp. | 221 | 0.59 | % | (3,488 | ) | |||||||
AGCO Corp. | 301 | 0.32 | % | (4,877 | ) | |||||||
Terex Corp. | 792 | 0.28 | % | (7,708 | ) | |||||||
Waters Corp. | 216 | 0.74 | % | (8,804 | ) | |||||||
Total Industrial | (2,934 | ) |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
Utilities | ||||||||||||
CenterPoint Energy, Inc. | 710 | 0.25 | % | $ | (51 | ) | ||||||
OGE Energy Corp. | 648 | 0.37 | % | (904 | ) | |||||||
Southwest Gas Holdings, Inc. | 155 | 0.20 | % | (928 | ) | |||||||
Ameren Corp. | 329 | 0.44 | % | (1,575 | ) | |||||||
FirstEnergy Corp. | 684 | 0.50 | % | (2,011 | ) | |||||||
NorthWestern Corp. | 281 | 0.29 | % | (2,120 | ) | |||||||
IDACORP, Inc. | 324 | 0.54 | % | (2,124 | ) | |||||||
Avista Corp. | 303 | 0.21 | % | (2,448 | ) | |||||||
Evergy, Inc. | 630 | 0.71 | % | (2,556 | ) | |||||||
NiSource, Inc. | 1,113 | 0.48 | % | (2,912 | ) | |||||||
NRG Energy, Inc. | 598 | 0.37 | % | (3,012 | ) | |||||||
ONE Gas, Inc. | 431 | 0.63 | % | (3,086 | ) | |||||||
Pinnacle West Capital Corp. | 578 | 0.81 | % | (3,485 | ) | |||||||
Southern Co. | 839 | 0.83 | % | (4,340 | ) | |||||||
Consolidated Edison, Inc. | 641 | 0.88 | % | (5,904 | ) | |||||||
National Fuel Gas Co. | 582 | 0.46 | % | (6,452 | ) | |||||||
Portland General Electric Co. | 783 | 0.62 | % | (7,276 | ) | |||||||
Public Service Enterprise Group, Inc. | 918 | 0.86 | % | (7,783 | ) | |||||||
PPL Corp. | 1,675 | 0.82 | % | (10,063 | ) | |||||||
Exelon Corp. | 1,400 | 0.97 | % | (11,550 | ) | |||||||
Total Utilities | (80,580 | ) | ||||||||||
Financial | ||||||||||||
Waddell & Reed Financial, Inc. — Class A | 1,546 | 0.46 | % | 4,350 | ||||||||
Visa, Inc. — Class A | 77 | 0.28 | % | 1,151 | ||||||||
Western Union Co. | 1,173 | 0.48 | % | 1,029 | ||||||||
BlackRock, Inc. — Class A | 13 | 0.13 | % | 920 | ||||||||
Citigroup, Inc. | 132 | 0.13 | % | 782 | ||||||||
Mastercard, Inc. — Class A | 37 | 0.21 | % | (440 | ) | |||||||
Host Hotels & Resorts, Inc. | 1,277 | 0.26 | % | (687 | ) | |||||||
JPMorgan Chase & Co. | 172 | 0.31 | % | (889 | ) | |||||||
Berkshire Hathaway, Inc. — Class B | 106 | 0.36 | % | (1,173 | ) | |||||||
Ameriprise Financial, Inc. | 138 | 0.39 | % | (1,447 | ) | |||||||
M&T Bank Corp. | 219 | 0.43 | % | (1,613 | ) | |||||||
Synchrony Financial | 520 | 0.22 | % | (2,012 | ) | |||||||
Piedmont Office Realty Trust, Inc. — Class A | 1,949 | 0.62 | % | (2,066 | ) | |||||||
Vornado Realty Trust | 606 | 0.44 | % | (2,104 | ) | |||||||
Allstate Corp. | 470 | 0.87 | % | (3,124 | ) | |||||||
Highwoods Properties, Inc. | 454 | 0.32 | % | (3,143 | ) | |||||||
Travelers Companies, Inc. | 164 | 0.36 | % | (3,660 | ) | |||||||
Bank of America Corp. | 973 | 0.44 | % | (3,849 | ) | |||||||
Boston Properties, Inc. | 323 | 0.56 | % | (4,577 | ) | |||||||
Weingarten Realty Investors | 543 | 0.20 | % | (5,297 | ) | |||||||
Equity Residential | 742 | 0.83 | % | (5,348 | ) | |||||||
MetLife, Inc. | 1,365 | 0.95 | % | (7,069 | ) | |||||||
Kennedy-Wilson Holdings, Inc. | 1,430 | 0.41 | % | (7,592 | ) | |||||||
Wells Fargo & Co. | 643 | 0.31 | % | (8,284 | ) | |||||||
Total Financial | (56,142 | ) | ||||||||||
Technology | ||||||||||||
Apple, Inc. | 257 | 1.78 | % | 34,697 | ||||||||
Microsoft Corp. | 338 | 1.31 | % | 28,826 | ||||||||
Skyworks Solutions, Inc. | 172 | 0.42 | % | 5,690 | ||||||||
QUALCOMM, Inc. | 460 | 0.80 | % | 5,088 | ||||||||
Maxim Integrated Products, Inc. | 595 | 0.69 | % | 4,070 | ||||||||
NVIDIA Corp. | 26 | 0.19 | % | 3,566 | ||||||||
CDK Global, Inc. | 478 | 0.38 | % | 2,978 | ||||||||
Applied Materials, Inc. | 321 | 0.37 | % | 2,450 | ||||||||
Texas Instruments, Inc. | 313 | 0.76 | % | 2,008 | ||||||||
Adobe, Inc. | 20 | 0.17 | % | 1,915 | ||||||||
Paychex, Inc. | 188 | 0.27 | % | 1,756 | ||||||||
Lam Research Corp. | 47 | 0.29 | % | 1,662 | ||||||||
HP, Inc. | 813 | 0.27 | % | 1,588 | ||||||||
Oracle Corp. | 858 | 0.90 | % | 1,453 | ||||||||
Intel Corp. | 741 | 0.84 | % | 1,447 | ||||||||
Cognizant Technology Solutions Corp. — Class A | 453 | 0.49 | % | 1,278 | ||||||||
Xilinx, Inc. | 144 | 0.27 | % | 1,106 | ||||||||
NetApp, Inc. | 642 | 0.54 | % | 1,033 | ||||||||
KLA Corp. | 102 | 0.38 | % | 293 | ||||||||
Synaptics, Inc. | 215 | 0.25 | % | 117 | ||||||||
Micron Technology, Inc. | 299 | 0.29 | % | (475 | ) | |||||||
Zebra Technologies Corp. — Class A | 49 | 0.24 | % | (876 | ) | |||||||
Cerner Corp. | 707 | 0.92 | % | (1,556 | ) | |||||||
International Business Machines Corp. | 316 | 0.73 | % | (2,676 | ) | |||||||
Seagate Technology plc | 889 | 0.82 | % | (3,259 | ) | |||||||
Teradata Corp. | 678 | 0.27 | % | (4,841 | ) | |||||||
Total Technology | 89,338 | |||||||||||
Consumer, Cyclical | ||||||||||||
Cummins, Inc. | 283 | 0.93 | % | 3,562 | ||||||||
Home Depot, Inc. | 55 | 0.26 | % | 3,369 | ||||||||
DR Horton, Inc. | 324 | 0.34 | % | 3,108 | ||||||||
Best Buy Company, Inc. | 261 | 0.43 | % | 2,913 | ||||||||
Lowe’s Companies, Inc. | 208 | 0.54 | % | 2,600 | ||||||||
Hanesbrands, Inc. | 1,204 | 0.26 | % | 2,465 | ||||||||
Lear Corp. | 200 | 0.42 | % | 2,028 | ||||||||
Brunswick Corp. | 301 | 0.37 | % | 1,564 | ||||||||
Gentherm, Inc. | 773 | 0.57 | % | 1,469 | ||||||||
Southwest Airlines Co. | 465 | 0.30 | % | 1,427 | ||||||||
Polaris, Inc. | 164 | 0.29 | % | 1,073 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
Autoliv, Inc. | 732 | 0.90 | % | $ | 1,048 | |||||||
MSC Industrial Direct Company, Inc. — Class A | 250 | 0.35 | % | 878 | ||||||||
AutoZone, Inc. | 6 | 0.13 | % | 827 | ||||||||
NIKE, Inc. — Class B | 74 | 0.14 | % | 645 | ||||||||
McDonald’s Corp. | 38 | 0.13 | % | 43 | ||||||||
Walmart, Inc. | 63 | 0.14 | % | (66 | ) | |||||||
Costco Wholesale Corp. | 25 | 0.14 | % | (81 | ) | |||||||
PACCAR, Inc. | 234 | 0.33 | % | (1,013 | ) | |||||||
Starbucks Corp. | 92 | 0.13 | % | (1,395 | ) | |||||||
Whirlpool Corp. | 165 | 0.41 | % | (3,512 | ) | |||||||
Mohawk Industries, Inc. | 127 | 0.25 | % | (4,358 | ) | |||||||
Allison Transmission Holdings, Inc. | 705 | 0.49 | % | (5,480 | ) | |||||||
General Motors Co. | 950 | 0.46 | % | (10,089 | ) | |||||||
Total Consumer, Cyclical | 3,025 | |||||||||||
Energy | ||||||||||||
Valero Energy Corp. | 16 | 0.02 | % | 118 | ||||||||
Chevron Corp. | 193 | 0.33 | % | (6,253 | ) | |||||||
Exxon Mobil Corp. | 423 | 0.38 | % | (10,266 | ) | |||||||
Total Energy | (16,401 | ) | ||||||||||
Total MS Equity Long Custom Basket | (57,332 | ) | ||||||||||
MS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Basic Materials | ||||||||||||
PPG Industries, Inc. | 1,329 | (1.72 | )% | 7,867 | ||||||||
DuPont de Nemours, Inc. | 787 | (0.51 | )% | 2,717 | ||||||||
Nucor Corp. | 805 | (0.41 | )% | 1,941 | ||||||||
Livent Corp. | 1 | 0.00 | % | 3 | ||||||||
Royal Gold, Inc. | 312 | (0.47 | )% | (572 | ) | |||||||
Balchem Corp. | 1,334 | (1.55 | )% | (2,114 | ) | |||||||
Linde plc | 802 | (2.08 | )% | (3,719 | ) | |||||||
Ashland Global Holdings, Inc. | 2,256 | (1.91 | )% | (6,167 | ) | |||||||
Air Products & Chemicals, Inc. | 710 | (2.10 | )% | (6,194 | ) | |||||||
Albemarle Corp. | 719 | (0.68 | )% | (11,597 | ) | |||||||
Ecolab, Inc. | 572 | (1.39 | )% | (12,919 | ) | |||||||
Freeport-McMoRan, Inc. | 5,245 | (0.74 | )% | (13,894 | ) | |||||||
RPM International, Inc. | 1,743 | (1.60 | )% | (16,348 | ) | |||||||
Newmont Corp. | 1,559 | (1.18 | )% | (23,883 | ) | |||||||
Quaker Chemical Corp. | 675 | (1.53 | )% | (34,070 | ) | |||||||
Total Basic Materials | (118,949 | ) | ||||||||||
Financial | ||||||||||||
Realty Income Corp. | 1,777 | (1.29 | )% | 28,468 | ||||||||
Ameris Bancorp | 1,902 | (0.55 | )% | 23,430 | ||||||||
Alleghany Corp. | 246 | (1.47 | )% | 18,954 | ||||||||
UDR, Inc. | 2,171 | (0.99 | )% | 18,932 | ||||||||
People’s United Financial, Inc. | 3,752 | (0.53 | )% | 18,020 | ||||||||
Markel Corp. | 155 | (1.75 | )% | 17,604 | ||||||||
Valley National Bancorp | 12,699 | (1.21 | )% | 15,537 | ||||||||
Old National Bancorp | 3,049 | (0.51 | )% | 12,641 | ||||||||
Acadia Realty Trust | 4,528 | (0.72 | )% | 12,156 | ||||||||
Kilroy Realty Corp. | 1,484 | (1.06 | )% | 10,824 | ||||||||
JBG SMITH Properties | 2,506 | (0.91 | )% | 9,273 | ||||||||
First Financial Bankshares, Inc. | 2,080 | (0.73 | )% | 8,274 | ||||||||
First Midwest Bancorp, Inc. | 3,639 | (0.59 | )% | 7,367 | ||||||||
Fulton Financial Corp. | 6,304 | (0.81 | )% | 6,431 | ||||||||
Americold Realty Trust | 4,538 | (2.01 | )% | 6,212 | ||||||||
Healthcare Realty Trust, Inc. | 3,384 | (1.21 | )% | 6,032 | ||||||||
Loews Corp. | 1,426 | (0.60 | )% | 5,915 | ||||||||
Agree Realty Corp. | 2,187 | (1.76 | )% | 5,498 | ||||||||
TFS Financial Corp. | 2,833 | (0.50 | )% | 5,472 | ||||||||
Glacier Bancorp, Inc. | 1,040 | (0.45 | )% | 4,428 | ||||||||
Global Net Lease, Inc. | 3,349 | (0.68 | )% | 4,224 | ||||||||
Southside Bancshares, Inc. | 1,916 | (0.65 | )% | 3,868 | ||||||||
Medical Properties Trust, Inc. | 4,465 | (1.03 | )% | 3,858 | ||||||||
Prologis, Inc. | 850 | (0.97 | )% | 3,765 | ||||||||
Brookline Bancorp, Inc. | 7,421 | (0.91 | )% | 3,414 | ||||||||
RLI Corp. | 610 | (0.61 | )% | 2,742 | ||||||||
New York Community Bancorp, Inc. | 3,363 | (0.42 | )% | 968 | ||||||||
QTS Realty Trust, Inc. — Class A | 1,461 | (1.14 | )% | 819 | ||||||||
EastGroup Properties, Inc. | 577 | (0.84 | )% | (512 | ) | |||||||
American Assets Trust, Inc. | 1,432 | (0.49 | )% | (1,332 | ) | |||||||
Easterly Government Properties, Inc. | 3,305 | (0.93 | )% | (1,985 | ) | |||||||
American Tower Corp. — Class A | 97 | (0.31 | )% | (2,010 | ) | |||||||
CyrusOne, Inc. | 509 | (0.45 | )% | (2,389 | ) | |||||||
Northfield Bancorp, Inc. | 2,730 | (0.38 | )% | (2,621 | ) | |||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 1,717 | (0.60 | )% | (2,972 | ) | |||||||
Crown Castle International Corp. | 148 | (0.30 | )% | (4,033 | ) | |||||||
James River Group Holdings Ltd. | 1,257 | (0.69 | )% | (4,175 | ) | |||||||
Healthcare Trust of America, Inc. — Class A | 2,831 | (0.92 | )% | (4,865 | ) | |||||||
STAG Industrial, Inc. | 1,554 | (0.56 | )% | (4,955 | ) | |||||||
SBA Communications Corp. | 85 | (0.31 | )% | (5,163 | ) | |||||||
BOK Financial Corp. | 597 | (0.41 | )% | (5,511 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 765 | (1.52 | )% | (6,095 | ) | |||||||
Equinix, Inc. | 43 | (0.37 | )% | (9,560 | ) | |||||||
Sun Communities, Inc. | 730 | (1.21 | )% | (10,502 | ) | |||||||
Flagstar Bancorp, Inc. | 1,472 | (0.53 | )% | (12,039 | ) |
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
Terreno Realty Corp. | 1,781 | (1.15 | )% | $ | (13,790 | ) | ||||||
Rexford Industrial Realty, Inc. | 3,282 | (1.66 | )% | (14,997 | ) | |||||||
Total Financial | 155,620 | |||||||||||
Communications | ||||||||||||
Liberty Broadband Corp. — Class C | 840 | (1.27 | )% | 7,747 | ||||||||
FactSet Research Systems, Inc. | 128 | (0.51 | )% | (4,653 | ) | |||||||
Zendesk, Inc. | 298 | (0.32 | )% | (4,765 | ) | |||||||
Anaplan, Inc. | 825 | (0.46 | )% | (5,111 | ) | |||||||
Okta, Inc. | 137 | (0.34 | )% | (7,891 | ) | |||||||
Q2 Holdings, Inc. | 817 | (0.86 | )% | (9,834 | ) | |||||||
Total Communications | (24,507 | ) | ||||||||||
Industrial | ||||||||||||
Tetra Tech, Inc. | 1,223 | (1.18 | )% | 8,055 | ||||||||
L3Harris Technologies, Inc. | 230 | (0.48 | )% | 7,428 | ||||||||
Eagle Materials, Inc. | 1,217 | (1.04 | )% | 5,270 | ||||||||
TransDigm Group, Inc. | 195 | (1.05 | )% | 4,888 | ||||||||
Sonoco Products Co. | 889 | (0.57 | )% | 2,961 | ||||||||
Louisiana-Pacific Corp. | 3,381 | (1.06 | )% | 1,981 | ||||||||
Silgan Holdings, Inc. | 1,806 | (0.71 | )% | 1,062 | ||||||||
Ball Corp. | 1,176 | (1.00 | )% | 835 | ||||||||
Crown Holdings, Inc. | 603 | (0.48 | )% | (1,389 | ) | |||||||
Vulcan Materials Co. | 592 | (0.84 | )% | (2,144 | ) | |||||||
Martin Marietta Materials, Inc. | 414 | (1.05 | )% | (2,491 | ) | |||||||
AptarGroup, Inc. | 529 | (0.72 | )% | (2,679 | ) | |||||||
GATX Corp. | 636 | (0.47 | )% | (2,756 | ) | |||||||
Exponent, Inc. | 491 | (0.49 | )% | (3,092 | ) | |||||||
ESCO Technologies, Inc. | 535 | (0.55 | )% | (4,100 | ) | |||||||
Amcor plc | 5,893 | (0.74 | )% | (8,712 | ) | |||||||
Casella Waste Systems, Inc. — Class A | 1,415 | (0.90 | )% | (9,657 | ) | |||||||
Worthington Industries, Inc. | 1,115 | (0.51 | )% | (14,128 | ) | |||||||
Total Industrial | (18,668 | ) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
Hormel Foods Corp. | 794 | (0.47 | )% | 882 | ||||||||
McCormick & Company, Inc. | 149 | (0.33 | )% | (1,227 | ) | |||||||
Avery Dennison Corp. | 568 | (0.79 | )% | (3,060 | ) | |||||||
Seattle Genetics, Inc. | 168 | (0.35 | )% | (5,962 | ) | |||||||
Verisk Analytics, Inc. — Class A | 473 | (0.98 | )% | (6,705 | ) | |||||||
Equifax, Inc. | 290 | (0.61 | )% | (6,956 | ) | |||||||
Global Payments, Inc. | 437 | (0.91 | )% | (8,329 | ) | |||||||
Paylocity Holding Corp. | 279 | (0.50 | )% | (14,213 | ) | |||||||
Avalara, Inc. | 376 | (0.61 | )% | (21,959 | ) | |||||||
Total Consumer, Non-cyclical | (67,529 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
Copart, Inc. | 431 | (0.44 | )% | 5,097 | ||||||||
Scotts Miracle-Gro Co. — Class A | 362 | (0.59 | )% | (4,743 | ) | |||||||
Total Consumer, Cyclical | 354 | |||||||||||
Energy | ||||||||||||
Phillips 66 | 526 | (0.46 | )% | 7,332 | ||||||||
Kinder Morgan, Inc. | 2,658 | (0.49 | )% | 5,934 | ||||||||
Delek US Holdings, Inc. | 1,824 | (0.39 | )% | 5,539 | ||||||||
Williams Companies, Inc. | 1,849 | (0.43 | )% | 3,174 | ||||||||
Pioneer Natural Resources Co. | 298 | (0.36 | )% | 2,353 | ||||||||
ONEOK, Inc. | 1,084 | (0.44 | )% | (105 | ) | |||||||
Concho Resources, Inc. | 672 | (0.42 | )% | (798 | ) | |||||||
National Oilwell Varco, Inc. | 5,321 | (0.80 | )% | (4,366 | ) | |||||||
Baker Hughes Co. | 2,076 | (0.39 | )% | (5,556 | ) | |||||||
Schlumberger Ltd. | 1,794 | (0.40 | )% | (6,140 | ) | |||||||
Noble Energy, Inc. | 3,161 | (0.35 | )% | (7,156 | ) | |||||||
Halliburton Co. | 2,462 | (0.39 | )% | (14,194 | ) | |||||||
Total Energy | (13,983 | ) | ||||||||||
Utilities | ||||||||||||
American States Water Co. | 564 | (0.54 | )% | 7,254 | ||||||||
California Water Service Group | 1,689 | (0.98 | )% | 5,655 | ||||||||
WEC Energy Group, Inc. | 310 | (0.33 | )% | 1,642 | ||||||||
American Water Works Company, Inc. | 342 | (0.54 | )% | 953 | ||||||||
NextEra Energy, Inc. | 126 | (0.37 | )% | 500 | ||||||||
Total Utilities | 16,004 | |||||||||||
Technology | ||||||||||||
Fiserv, Inc. | 1,360 | (1.62 | )% | 2,815 | ||||||||
Parsons Corp. | 2,146 | (0.95 | )% | 1,090 | ||||||||
Tyler Technologies, Inc. | 73 | (0.31 | )% | (323 | ) | |||||||
RealPage, Inc. | 376 | (0.30 | )% | (426 | ) | |||||||
Appfolio, Inc. — Class A | 155 | (0.31 | )% | (2,495 | ) | |||||||
salesforce.com, Inc. | 146 | (0.33 | )% | (4,465 | ) | |||||||
Autodesk, Inc. | 109 | (0.32 | )% | (5,133 | ) | |||||||
Fidelity National Information Services, Inc. | 1,185 | (1.94 | )% | (6,840 | ) | |||||||
Smartsheet, Inc. — Class A | 830 | (0.52 | )% | (6,842 | ) | |||||||
HubSpot, Inc. | 122 | (0.33 | )% | (7,309 | ) | |||||||
Coupa Software, Inc. | 112 | (0.38 | )% | (7,819 | ) | |||||||
Zscaler, Inc. | 244 | (0.33 | )% | (8,160 | ) | |||||||
Envestnet, Inc. | 632 | (0.57 | )% | (10,313 | ) | |||||||
Veeva Systems, Inc. — Class A | 177 | (0.51 | )% | (10,705 | ) | |||||||
Workiva, Inc. | 874 | (0.57 | )% | (13,040 | ) | |||||||
Alteryx, Inc. — Class A | 269 | (0.54 | )% | (13,291 | ) | |||||||
Twilio, Inc. — Class A | 131 | (0.35 | )% | (14,027 | ) | |||||||
Total Technology | (107,284 | ) | ||||||||||
Total MS Equity Short Custom Basket | (178,942 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
GS EQUITY LONG CUSTOM BASKET | ||||||||||||
Industrial | ||||||||||||
Werner Enterprises, Inc. | 530 | 0.44 | % | $ | 7,445 | |||||||
Snap-on, Inc. | 278 | 0.73 | % | 5,845 | ||||||||
Schneider National, Inc. — Class B | 661 | 0.31 | % | 4,434 | ||||||||
Garmin Ltd. | 237 | 0.44 | % | 3,430 | ||||||||
Regal Beloit Corp. | 196 | 0.32 | % | 3,398 | ||||||||
Union Pacific Corp. | 305 | 0.98 | % | 3,007 | ||||||||
TE Connectivity Ltd. | 189 | 0.29 | % | 2,733 | ||||||||
Owens Corning | 302 | 0.32 | % | 2,576 | ||||||||
Landstar System, Inc. | 206 | 0.44 | % | 2,196 | ||||||||
Westrock Co. | 629 | 0.34 | % | 1,982 | ||||||||
Caterpillar, Inc. | 398 | 0.96 | % | 878 | ||||||||
J.B. Hunt Transport Services, Inc. | 272 | 0.62 | % | 855 | ||||||||
3M Co. | 46 | 0.14 | % | 503 | ||||||||
National Instruments Corp. | 298 | 0.22 | % | 488 | ||||||||
Expeditors International of Washington, Inc. | 518 | 0.75 | % | 295 | ||||||||
Lincoln Electric Holdings, Inc. | 200 | 0.32 | % | 243 | ||||||||
Illinois Tool Works, Inc. | 91 | 0.30 | % | (265 | ) | |||||||
Raytheon Technologies Corp. | 108 | 0.13 | % | (479 | ) | |||||||
Lockheed Martin Corp. | 18 | 0.12 | % | (546 | ) | |||||||
Oshkosh Corp. | 170 | 0.23 | % | (808 | ) | |||||||
Timken Co. | 366 | 0.32 | % | (1,061 | ) | |||||||
Arrow Electronics, Inc. | 215 | 0.28 | % | (1,394 | ) | |||||||
Emerson Electric Co. | 293 | 0.34 | % | (1,467 | ) | |||||||
Hubbell, Inc. | 178 | 0.42 | % | (1,854 | ) | |||||||
Gentex Corp. | 1,838 | 0.90 | % | (1,943 | ) | |||||||
Norfolk Southern Corp. | 264 | 0.88 | % | (2,001 | ) | |||||||
CSX Corp. | 492 | 0.65 | % | (2,081 | ) | |||||||
Eaton Corporation plc | 337 | 0.56 | % | (2,563 | ) | |||||||
Honeywell International, Inc. | 203 | 0.56 | % | (3,314 | ) | |||||||
FedEx Corp. | 221 | 0.59 | % | (3,488 | ) | |||||||
AGCO Corp. | 301 | 0.32 | % | (4,887 | ) | |||||||
Waters Corp. | 216 | 0.74 | % | (6,382 | ) | |||||||
Terex Corp. | 792 | 0.28 | % | (7,718 | ) | |||||||
Total Industrial | (1,943 | ) | ||||||||||
Financial | ||||||||||||
Waddell & Reed Financial, Inc. — Class A | 1,546 | 0.46 | % | 4,384 | ||||||||
Visa, Inc. — Class A | 77 | 0.28 | % | 1,172 | ||||||||
Western Union Co. | 1,173 | 0.48 | % | 989 | ||||||||
BlackRock, Inc. — Class A | 13 | 0.13 | % | 894 | ||||||||
Citigroup, Inc. | 132 | 0.13 | % | 844 | ||||||||
Morgan Stanley | 320 | 0.29 | % | 196 | ||||||||
Mastercard, Inc. — Class A | 37 | 0.21 | % | (435 | ) | |||||||
Host Hotels & Resorts, Inc. | 1,277 | 0.26 | % | (675 | ) | |||||||
Berkshire Hathaway, Inc. — Class B | 106 | 0.36 | % | (1,231 | ) | |||||||
Ameriprise Financial, Inc. | 138 | 0.39 | % | (1,466 | ) | |||||||
M&T Bank Corp. | 219 | 0.43 | % | (1,574 | ) | |||||||
Piedmont Office Realty Trust, Inc. — Class A | 1,949 | 0.61 | % | (1,932 | ) | |||||||
Synchrony Financial | 520 | 0.22 | % | (2,007 | ) | |||||||
Vornado Realty Trust | 606 | 0.44 | % | (2,063 | ) | |||||||
JPMorgan Chase & Co. | 172 | 0.31 | % | (2,613 | ) | |||||||
Allstate Corp. | 470 | 0.87 | % | (3,132 | ) | |||||||
Highwoods Properties, Inc. | 454 | 0.32 | % | (3,181 | ) | |||||||
Travelers Companies, Inc. | 164 | 0.36 | % | (3,662 | ) | |||||||
Bank of America Corp. | 973 | 0.44 | % | (3,821 | ) | |||||||
Boston Properties, Inc. | 323 | 0.55 | % | (4,612 | ) | |||||||
Weingarten Realty Investors | 543 | 0.20 | % | (5,299 | ) | |||||||
Equity Residential | 742 | 0.83 | % | (5,409 | ) | |||||||
MetLife, Inc. | 1,365 | 0.95 | % | (7,030 | ) | |||||||
Kennedy-Wilson Holdings, Inc. | 1,430 | 0.41 | % | (7,576 | ) | |||||||
Wells Fargo & Co. | 643 | 0.31 | % | (8,326 | ) | |||||||
Total Financial | (57,565 | ) | ||||||||||
Utilities | ||||||||||||
CenterPoint Energy, Inc. | 710 | 0.25 | % | (35 | ) | |||||||
OGE Energy Corp. | 648 | 0.37 | % | (889 | ) | |||||||
Southwest Gas Holdings, Inc. | 155 | 0.20 | % | (912 | ) | |||||||
Ameren Corp. | 329 | 0.44 | % | (1,618 | ) | |||||||
NorthWestern Corp. | 281 | 0.29 | % | (2,114 | ) | |||||||
IDACORP, Inc. | 324 | 0.54 | % | (2,144 | ) | |||||||
Avista Corp. | 303 | 0.21 | % | (2,423 | ) | |||||||
Evergy, Inc. | 630 | 0.71 | % | (2,625 | ) | |||||||
FirstEnergy Corp. | 684 | 0.50 | % | (2,715 | ) | |||||||
NiSource, Inc. | 1,113 | 0.48 | % | (2,913 | ) | |||||||
ONE Gas, Inc. | 431 | 0.63 | % | (3,020 | ) | |||||||
NRG Energy, Inc. | 598 | 0.37 | % | (3,088 | ) | |||||||
Pinnacle West Capital Corp. | 578 | 0.80 | % | (3,562 | ) | |||||||
National Fuel Gas Co. | 582 | 0.46 | % | (4,428 | ) | |||||||
Southern Co. | 839 | 0.83 | % | (4,585 | ) | |||||||
Consolidated Edison, Inc. | 641 | 0.88 | % | (5,903 | ) | |||||||
PPL Corp. | 1,675 | 0.82 | % | (7,874 | ) | |||||||
Public Service Enterprise Group, Inc. | 918 | 0.86 | % | (8,062 | ) | |||||||
Portland General Electric Co. | 783 | 0.62 | % | (8,203 | ) | |||||||
Exelon Corp. | 1,400 | 0.96 | % | (11,211 | ) | |||||||
Total Utilities | (78,324 | ) | ||||||||||
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
Consumer, Non-cyclical | ||||||||||||
Eli Lilly & Co. | 307 | 0.96 | % | $ | 11,307 | |||||||
Herbalife Nutrition Ltd. | 743 | 0.63 | % | 10,041 | ||||||||
Amgen, Inc. | 200 | 0.90 | % | 9,055 | ||||||||
Rent-A-Center, Inc. | 631 | 0.33 | % | 6,304 | ||||||||
McKesson Corp. | 294 | 0.86 | % | 6,121 | ||||||||
Cardinal Health, Inc. | 891 | 0.88 | % | 4,865 | ||||||||
CVS Health Corp. | 355 | 0.44 | % | 3,905 | ||||||||
United Rentals, Inc. | 113 | 0.32 | % | 3,228 | ||||||||
Abbott Laboratories | 235 | 0.41 | % | 2,443 | ||||||||
Kellogg Co. | 440 | 0.55 | % | 2,440 | ||||||||
Laboratory Corporation of America Holdings | 107 | 0.34 | % | 2,109 | ||||||||
Thermo Fisher Scientific, Inc. | 21 | 0.14 | % | 1,643 | ||||||||
Johnson & Johnson | 445 | 1.19 | % | 1,630 | ||||||||
AbbVie, Inc. | 80 | 0.15 | % | 1,211 | ||||||||
Incyte Corp. | 196 | 0.39 | % | 1,121 | ||||||||
Alexion Pharmaceuticals, Inc. | 115 | 0.25 | % | 1,113 | ||||||||
Kimberly-Clark Corp. | 380 | 1.02 | % | 1,080 | ||||||||
Innoviva, Inc. | 1,137 | 0.30 | % | 966 | ||||||||
Procter & Gamble Co. | 499 | 1.13 | % | 872 | ||||||||
General Mills, Inc. | 518 | 0.61 | % | 281 | ||||||||
Molina Healthcare, Inc. | 148 | 0.50 | % | 222 | ||||||||
Becton Dickinson and Co. | 30 | 0.14 | % | 68 | ||||||||
JM Smucker Co. | 232 | 0.47 | % | 55 | ||||||||
Campbell Soup Co. | 692 | 0.65 | % | 17 | ||||||||
Colgate-Palmolive Co. | 519 | 0.72 | % | 16 | ||||||||
Anthem, Inc. | 26 | 0.13 | % | (76 | ) | |||||||
Humana, Inc. | 19 | 0.14 | % | (142 | ) | |||||||
Bristol-Myers Squibb Co. | 126 | 0.14 | % | (192 | ) | |||||||
PepsiCo, Inc. | 207 | 0.52 | % | (196 | ) | |||||||
Monster Beverage Corp. | 201 | 0.26 | % | (276 | ) | |||||||
Stryker Corp. | 37 | 0.13 | % | (279 | ) | |||||||
UnitedHealth Group, Inc. | 81 | 0.45 | % | (320 | ) | |||||||
Gilead Sciences, Inc. | 395 | 0.58 | % | (379 | ) | |||||||
Quest Diagnostics, Inc. | 158 | 0.34 | % | (467 | ) | |||||||
Merck & Company, Inc. | 111 | 0.16 | % | (593 | ) | |||||||
Kraft Heinz Co. | 801 | 0.48 | % | (1,031 | ) | |||||||
Ingredion, Inc. | 541 | 0.85 | % | (1,048 | ) | |||||||
DaVita, Inc. | 183 | 0.27 | % | (1,178 | ) | |||||||
Mondelez International, Inc. — Class A | 588 | 0.57 | % | (1,221 | ) | |||||||
Post Holdings, Inc. | 210 | 0.35 | % | (1,329 | ) | |||||||
Dentsply Sirona, Inc. | 304 | 0.25 | % | (1,534 | ) | |||||||
Coca-Cola Co. | 240 | 0.20 | % | (1,608 | ) | |||||||
Archer-Daniels-Midland Co. | 655 | 0.50 | % | (1,702 | ) | |||||||
Tyson Foods, Inc. — Class A | 244 | 0.28 | % | (1,760 | ) | |||||||
TreeHouse Foods, Inc. | 330 | 0.27 | % | (1,936 | ) | |||||||
Universal Health Services, Inc. — Class B | 120 | 0.21 | % | (1,957 | ) | |||||||
John B Sanfilippo & Son, Inc. | 253 | 0.41 | % | (2,045 | ) | |||||||
Altria Group, Inc. | 997 | 0.74 | % | (2,278 | ) | |||||||
Henry Schein, Inc. | 649 | 0.72 | % | (2,855 | ) | |||||||
Cigna Corp. | 111 | 0.40 | % | (3,184 | ) | |||||||
HCA Healthcare, Inc. | 196 | 0.36 | % | (3,499 | ) | |||||||
Philip Morris International, Inc. | 579 | 0.77 | % | (4,112 | ) | |||||||
Biogen, Inc. | 69 | 0.35 | % | (4,302 | ) | |||||||
Medtronic plc | 555 | 0.97 | % | (4,469 | ) | |||||||
Jazz Pharmaceuticals plc | 247 | 0.52 | % | (4,808 | ) | |||||||
Pfizer, Inc. | 1,121 | 0.70 | % | (7,745 | ) | |||||||
Molson Coors Beverage Co. — Class B | 1,081 | 0.71 | % | (17,402 | ) | |||||||
Total Consumer, Non-cyclical | (3,810 | ) | ||||||||||
Technology | ||||||||||||
Apple, Inc. | 257 | 1.78 | % | 33,906 | ||||||||
Microsoft Corp. | 338 | 1.31 | % | 23,968 | ||||||||
Skyworks Solutions, Inc. | 172 | 0.42 | % | 5,696 | ||||||||
QUALCOMM, Inc. | 460 | 0.80 | % | 4,962 | ||||||||
Maxim Integrated Products, Inc. | 595 | 0.68 | % | 4,084 | ||||||||
NVIDIA Corp. | 26 | 0.19 | % | 3,564 | ||||||||
CDK Global, Inc. | 478 | 0.38 | % | 2,964 | ||||||||
Intel Corp. | 741 | 0.84 | % | 2,851 | ||||||||
Applied Materials, Inc. | 321 | 0.37 | % | 2,475 | ||||||||
Texas Instruments, Inc. | 313 | 0.75 | % | 1,983 | ||||||||
Adobe, Inc. | 20 | 0.17 | % | 1,907 | ||||||||
Paychex, Inc. | 188 | 0.27 | % | 1,782 | ||||||||
Lam Research Corp. | 47 | 0.29 | % | 1,647 | ||||||||
HP, Inc. | 813 | 0.27 | % | 1,620 | ||||||||
Cognizant Technology Solutions Corp. — Class A | 453 | 0.49 | % | 1,273 | ||||||||
Xilinx, Inc. | 144 | 0.27 | % | 1,089 | ||||||||
NetApp, Inc. | 642 | 0.54 | % | 1,068 | ||||||||
Oracle Corp. | 858 | 0.90 | % | 1,037 | ||||||||
KLA Corp. | 102 | 0.38 | % | 258 | ||||||||
Synaptics, Inc. | 215 | 0.25 | % | 211 | ||||||||
Micron Technology, Inc. | 299 | 0.29 | % | (549 | ) | |||||||
Zebra Technologies Corp. — Class A | 49 | 0.24 | % | (842 | ) | |||||||
Cerner Corp. | 707 | 0.92 | % | (1,594 | ) | |||||||
International Business Machines Corp. | 316 | 0.72 | % | (2,785 | ) | |||||||
Seagate Technology plc | 889 | 0.82 | % | (3,270 | ) | |||||||
Teradata Corp. | 678 | 0.27 | % | (4,626 | ) | |||||||
Total Technology | 84,679 | |||||||||||
Consumer, Cyclical | ||||||||||||
DR Horton, Inc. | 324 | 0.34 | % | 2,987 | ||||||||
Best Buy Company, Inc. | 261 | 0.43 | % | 2,908 | ||||||||
Home Depot, Inc. | 55 | 0.26 | % | 2,888 | ||||||||
Cummins, Inc. | 283 | 0.93 | % | 2,676 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
Lowe’s Companies, Inc. | 208 | 0.53 | % | $ | 2,629 | |||||||
Hanesbrands, Inc. | 1,204 | 0.26 | % | 2,439 | ||||||||
Lear Corp. | 200 | 0.41 | % | 1,965 | ||||||||
Gentherm, Inc. | 773 | 0.57 | % | 1,811 | ||||||||
Brunswick Corp. | 301 | 0.37 | % | 1,610 | ||||||||
Southwest Airlines Co. | 465 | 0.30 | % | 1,387 | ||||||||
Polaris, Inc. | 164 | 0.29 | % | 1,088 | ||||||||
AutoZone, Inc. | 6 | 0.13 | % | 859 | ||||||||
MSC Industrial Direct Company, Inc. — Class A | 250 | 0.35 | % | 847 | ||||||||
NIKE, Inc. — Class B | 74 | 0.14 | % | 647 | ||||||||
McDonald’s Corp. | 38 | 0.13 | % | 85 | ||||||||
Autoliv, Inc. | 732 | 0.90 | % | 82 | ||||||||
Walmart, Inc. | 63 | 0.14 | % | (65 | ) | |||||||
Costco Wholesale Corp. | 25 | 0.14 | % | (76 | ) | |||||||
PACCAR, Inc. | 234 | 0.33 | % | (1,025 | ) | |||||||
Starbucks Corp. | 92 | 0.13 | % | (1,401 | ) | |||||||
Whirlpool Corp. | 165 | 0.41 | % | (3,536 | ) | |||||||
Mohawk Industries, Inc. | 127 | 0.25 | % | (4,293 | ) | |||||||
Allison Transmission Holdings, Inc. | 705 | 0.49 | % | (4,748 | ) | |||||||
General Motors Co. | 950 | 0.46 | % | (10,121 | ) | |||||||
Total Consumer, Cyclical | 1,643 | |||||||||||
Communications | ||||||||||||
Amazon.com, Inc. | 17 | 0.89 | % | 17,727 | ||||||||
Alphabet, Inc. — Class C | 49 | 1.31 | % | 15,249 | ||||||||
Facebook, Inc. — Class A | 159 | 0.69 | % | 9,631 | ||||||||
eBay, Inc. | 484 | 0.48 | % | 7,244 | ||||||||
Cisco Systems, Inc. | 1,176 | 1.04 | % | 2,367 | ||||||||
Interpublic Group of Companies, Inc. | 681 | 0.22 | % | 1,480 | ||||||||
Netflix, Inc. | 21 | 0.18 | % | 767 | ||||||||
Viavi Solutions, Inc. | 1,124 | 0.27 | % | 483 | ||||||||
Juniper Networks, Inc. | 1,707 | 0.74 | % | 181 | ||||||||
Ciena Corp. | 305 | 0.31 | % | (178 | ) | |||||||
Sirius XM Holdings, Inc. | 2,819 | 0.31 | % | (1,447 | ) | |||||||
Verizon Communications, Inc. | 1,072 | 1.12 | % | (1,822 | ) | |||||||
Fox Corp. — Class A | 552 | 0.28 | % | (2,343 | ) | |||||||
Comcast Corp. — Class A | 1,287 | 0.95 | % | (4,169 | ) | |||||||
Yelp, Inc. — Class A | 446 | 0.20 | % | (4,973 | ) | |||||||
Booking Holdings, Inc. | 23 | 0.70 | % | (5,320 | ) | |||||||
AT&T, Inc. | 1,612 | 0.92 | % | (7,080 | ) | |||||||
Omnicom Group, Inc. | 676 | 0.70 | % | (16,254 | ) | |||||||
Total Communications | 11,543 | |||||||||||
Energy | ||||||||||||
Valero Energy Corp. | 16 | 0.02 | % | 134 | ||||||||
Chevron Corp. | 193 | 0.33 | % | (6,164 | ) | |||||||
Exxon Mobil Corp. | 423 | 0.36 | % | (10,266 | ) | |||||||
Total Energy | (16,296 | ) | ||||||||||
Total GS Equity Long Custom Basket | (60,073 | ) | ||||||||||
GS EQUITY SHORT CUSTOM BASKET | ||||||||||||
Basic Materials | ||||||||||||
PPG Industries, Inc. | 1,329 | (1.75 | )% | 8,323 | ||||||||
DuPont de Nemours, Inc. | 787 | (0.52 | )% | 2,769 | ||||||||
Balchem Corp. | 1,334 | (1.57 | )% | 2,143 | ||||||||
Nucor Corp. | 805 | (0.41 | )% | 1,974 | ||||||||
Royal Gold, Inc. | 312 | (0.48 | )% | (526 | ) | |||||||
Linde plc | 802 | (2.11 | )% | (2,702 | ) | |||||||
Ashland Global Holdings, Inc. | 2,256 | (1.94 | )% | (5,281 | ) | |||||||
Air Products & Chemicals, Inc. | 710 | (2.13 | )% | (6,492 | ) | |||||||
Albemarle Corp. | 719 | (0.69 | )% | (11,698 | ) | |||||||
Ecolab, Inc. | 572 | (1.41 | )% | (13,477 | ) | |||||||
Freeport-McMoRan, Inc. | 5,245 | (0.75 | )% | (13,984 | ) | |||||||
RPM International, Inc. | 1,743 | (1.62 | )% | (18,398 | ) | |||||||
Newmont Corp. | 1,559 | (1.20 | )% | (23,906 | ) | |||||||
Quaker Chemical Corp. | 675 | (1.56 | )% | (34,447 | ) | |||||||
Total Basic Materials | (115,702 | ) | ||||||||||
Financial | ||||||||||||
Realty Income Corp. | 1,777 | (1.31 | )% | 31,147 | ||||||||
Ameris Bancorp | 1,902 | (0.56 | )% | 23,546 | ||||||||
UDR, Inc. | 2,171 | (1.01 | )% | 19,461 | ||||||||
Alleghany Corp. | 246 | (1.49 | )% | 19,396 | ||||||||
Markel Corp. | 155 | (1.78 | )% | 18,171 | ||||||||
People’s United Financial, Inc. | 3,752 | (0.54 | )% | 17,640 | ||||||||
Valley National Bancorp | 12,699 | (1.23 | )% | 16,723 | ||||||||
First Midwest Bancorp, Inc. | 6,214 | (1.03 | )% | 12,939 | ||||||||
Old National Bancorp | 3,049 | (0.52 | )% | 12,686 | ||||||||
Acadia Realty Trust | 4,528 | (0.73 | )% | 11,948 | ||||||||
Kilroy Realty Corp. | 1,484 | (1.08 | )% | 10,638 | ||||||||
JBG SMITH Properties | 2,506 | (0.92 | )% | 9,255 | ||||||||
First Financial Bankshares, Inc. | 2,080 | (0.75 | )% | 8,284 | ||||||||
Fulton Financial Corp. | 6,304 | (0.82 | )% | 6,107 | ||||||||
Loews Corp. | 1,426 | (0.61 | )% | 5,940 | ||||||||
Healthcare Realty Trust, Inc. | 3,384 | (1.23 | )% | 5,870 | ||||||||
TFS Financial Corp. | 2,833 | (0.50 | )% | 5,434 | ||||||||
Glacier Bancorp, Inc. | 1,040 | (0.46 | )% | 5,075 | ||||||||
Global Net Lease, Inc. | 3,349 | (0.70 | )% | 4,228 | ||||||||
Prologis, Inc. | 850 | (0.99 | )% | 3,926 | ||||||||
Medical Properties Trust, Inc. | 4,465 | (1.04 | )% | 3,838 | ||||||||
Southside Bancshares, Inc. | 1,916 | (0.66 | )% | 3,687 | ||||||||
RLI Corp. | 610 | (0.62 | )% | 3,492 | ||||||||
Brookline Bancorp, Inc. | 7,421 | (0.93 | )% | 3,370 | ||||||||
New York Community Bancorp, Inc. | 3,363 | (0.43 | )% | 787 | ||||||||
EastGroup Properties, Inc. | 577 | (0.85 | )% | 161 | ||||||||
Agree Realty Corp. | 2,187 | (1.78 | )% | (599 | ) |
18 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
American Assets Trust, Inc. | 1,432 | (0.50 | )% | $ | (1,362 | ) | ||||||
American Tower Corp. — Class A | 97 | (0.31 | )% | (1,996 | ) | |||||||
Easterly Government Properties, Inc. | 3,305 | (0.95 | )% | (2,081 | ) | |||||||
CyrusOne, Inc. | 509 | (0.46 | )% | (2,445 | ) | |||||||
Northfield Bancorp, Inc. | 2,730 | (0.39 | )% | (2,673 | ) | |||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 1,717 | (0.61 | )% | (2,986 | ) | |||||||
Crown Castle International Corp. | 148 | (0.31 | )% | (4,036 | ) | |||||||
James River Group Holdings Ltd. | 1,257 | (0.70 | )% | (4,219 | ) | |||||||
Sun Communities, Inc. | 730 | (1.23 | )% | (4,708 | ) | |||||||
Rexford Industrial Realty, Inc. | 3,282 | (1.69 | )% | (4,793 | ) | |||||||
Healthcare Trust of America, Inc. — Class A | 2,831 | (0.93 | )% | (4,953 | ) | |||||||
STAG Industrial, Inc. | 1,554 | (0.57 | )% | (5,103 | ) | |||||||
SBA Communications Corp. | 85 | (0.31 | )% | (5,200 | ) | |||||||
BOK Financial Corp. | 597 | (0.42 | )% | (5,732 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 765 | (1.54 | )% | (5,940 | ) | |||||||
Terreno Realty Corp. | 1,781 | (1.16 | )% | (8,192 | ) | |||||||
Equinix, Inc. | 43 | (0.38 | )% | (8,329 | ) | |||||||
Flagstar Bancorp, Inc. | 1,472 | (0.54 | )% | (12,121 | ) | |||||||
QTS Realty Trust, Inc. — Class A | 1,461 | (1.16 | )% | (16,913 | ) | |||||||
Total Financial | 159,368 | |||||||||||
Energy | ||||||||||||
ONEOK, Inc. | 1,084 | (0.45 | )% | 12,409 | ||||||||
Phillips 66 | 526 | (0.47 | )% | 7,383 | ||||||||
Kinder Morgan, Inc. | 2,658 | (0.50 | )% | 5,999 | ||||||||
Delek US Holdings, Inc. | 1,824 | (0.39 | )% | 5,785 | ||||||||
Williams Companies, Inc. | 1,849 | (0.44 | )% | 3,229 | ||||||||
Pioneer Natural Resources Co. | 298 | (0.36 | )% | 2,793 | ||||||||
Concho Resources, Inc. | 672 | (0.43 | )% | (847 | ) | |||||||
National Oilwell Varco, Inc. | 5,321 | (0.81 | )% | (4,408 | ) | |||||||
Baker Hughes Co. | 2,076 | (0.40 | )% | (5,567 | ) | |||||||
Schlumberger Ltd. | 1,794 | (0.41 | )% | (6,148 | ) | |||||||
Noble Energy, Inc. | 3,161 | (0.35 | )% | (7,185 | ) | |||||||
Halliburton Co. | 2,462 | (0.40 | )% | (14,158 | ) | |||||||
Total Energy | (715 | ) | ||||||||||
Technology | ||||||||||||
Fiserv, Inc. | 1,360 | (1.65 | )% | 2,589 | ||||||||
Parsons Corp. | 2,146 | (0.97 | )% | 689 | ||||||||
Tyler Technologies, Inc. | 73 | (0.31 | )% | (337 | ) | |||||||
RealPage, Inc. | 376 | (0.30 | )% | (416 | ) | |||||||
Appfolio, Inc. — Class A | 155 | (0.31 | )% | (2,502 | ) | |||||||
salesforce.com, Inc. | 146 | (0.34 | )% | (4,355 | ) | |||||||
Autodesk, Inc. | 109 | (0.32 | )% | (5,139 | ) | |||||||
HubSpot, Inc. | 122 | (0.34 | )% | (6,414 | ) | |||||||
Smartsheet, Inc. — Class A | 830 | (0.52 | )% | (6,796 | ) | |||||||
Fidelity National Information Services, Inc. | 1,185 | (1.97 | )% | (6,992 | ) | |||||||
Coupa Software, Inc. | 112 | (0.39 | )% | (7,784 | ) | |||||||
Zscaler, Inc. | 244 | (0.33 | )% | (8,149 | ) | |||||||
Veeva Systems, Inc. — Class A | 177 | (0.52 | )% | (9,637 | ) | |||||||
Envestnet, Inc. | 632 | (0.58 | )% | (10,394 | ) | |||||||
Alteryx, Inc. — Class A | 269 | (0.55 | )% | (12,029 | ) | |||||||
Workiva, Inc. | 874 | (0.58 | )% | (13,130 | ) | |||||||
Twilio, Inc. — Class A | 131 | (0.36 | )% | (13,961 | ) | |||||||
Total Technology | (104,757 | ) | ||||||||||
Industrial | ||||||||||||
Tetra Tech, Inc. | 1,223 | (1.20 | )% | 7,854 | ||||||||
L3Harris Technologies, Inc. | 230 | (0.48 | )% | 7,412 | ||||||||
TransDigm Group, Inc. | 195 | (1.07 | )% | 5,942 | ||||||||
Eagle Materials, Inc. | 1,217 | (1.06 | )% | 5,304 | ||||||||
Sonoco Products Co. | 889 | (0.58 | )% | 3,125 | ||||||||
Louisiana-Pacific Corp. | 3,381 | (1.08 | )% | 2,564 | ||||||||
Ball Corp. | 1,176 | (1.01 | )% | 1,069 | ||||||||
Silgan Holdings, Inc. | 1,806 | (0.73 | )% | 997 | ||||||||
Crown Holdings, Inc. | 603 | (0.49 | )% | (1,457 | ) | |||||||
Vulcan Materials Co. | 592 | (0.85 | )% | (2,242 | ) | |||||||
Martin Marietta Materials, Inc. | 414 | (1.06 | )% | (2,517 | ) | |||||||
AptarGroup, Inc. | 529 | (0.74 | )% | (2,674 | ) | |||||||
GATX Corp. | 636 | (0.48 | )% | (2,911 | ) | |||||||
Exponent, Inc. | 491 | (0.49 | )% | (3,067 | ) | |||||||
ESCO Technologies, Inc. | 535 | (0.56 | )% | (4,238 | ) | |||||||
Amcor plc | 5,893 | (0.75 | )% | (9,120 | ) | |||||||
Casella Waste Systems, Inc. — Class A | 1,415 | (0.92 | )% | (9,647 | ) | |||||||
Worthington Industries, Inc. | 1,115 | (0.52 | )% | (14,184 | ) | |||||||
Total Industrial | (17,790 | ) | ||||||||||
Communications | ||||||||||||
Liberty Broadband Corp. — Class C | 840 | (1.29 | )% | 7,838 | ||||||||
FactSet Research Systems, Inc. | 128 | (0.52 | )% | (4,697 | ) | |||||||
Zendesk, Inc. | 304 | (0.33 | )% | (4,879 | ) | |||||||
Anaplan, Inc. | 825 | (0.46 | )% | (5,258 | ) | |||||||
Okta, Inc. | 137 | (0.34 | )% | (7,601 | ) | |||||||
Q2 Holdings, Inc. | 817 | (0.87 | )% | (8,399 | ) | |||||||
Total Communications | (22,996 | ) | ||||||||||
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
LONG SHORT EQUITY FUND |
| Shares | Percentage | Value and | |||||||||
Consumer, Non-cyclical | ||||||||||||
Hormel Foods Corp. | 794 | (0.48 | )% | $ | 846 | |||||||
McCormick & Company, Inc. | 149 | (0.33 | )% | (1,185 | ) | |||||||
Avery Dennison Corp. | 568 | (0.80 | )% | (3,193 | ) | |||||||
Seattle Genetics, Inc. | 168 | (0.35 | )% | (6,019 | ) | |||||||
Verisk Analytics, Inc. — Class A | 473 | (1.00 | )% | (6,755 | ) | |||||||
Equifax, Inc. | 290 | (0.62 | )% | (6,951 | ) | |||||||
Global Payments, Inc. | 437 | (0.92 | )% | (8,465 | ) | |||||||
Paylocity Holding Corp. | 279 | (0.51 | )% | (14,195 | ) | |||||||
Avalara, Inc. | 376 | (0.62 | )% | (20,176 | ) | |||||||
Total Consumer, Non-cyclical | (66,093 | ) | ||||||||||
Utilities | ||||||||||||
American States Water Co. | 564 | (0.55 | )% | 7,264 | ||||||||
California Water Service Group | 1,689 | (1.00 | )% | 5,759 | ||||||||
WEC Energy Group, Inc. | 310 | (0.34 | )% | 1,658 | ||||||||
American Water Works Company, Inc. | 342 | (0.55 | )% | 965 | ||||||||
NextEra Energy, Inc. | 126 | (0.38 | )% | 420 | ||||||||
Total Utilities | 16,066 | |||||||||||
Consumer, Cyclical | ||||||||||||
Copart, Inc. | 431 | (0.45 | )% | 5,122 | ||||||||
Scotts Miracle-Gro Co. — Class A | 362 | (0.60 | )% | (4,728 | ) | |||||||
Total Consumer, Cyclical | 394 | |||||||||||
Total GS Equity Short Custom Basket | (152,225 | ) |
* | 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 equity custom basket swap collateral at June 30, 2020. |
2 | Rate indicated is the 7-day yield as of June 30, 2020. |
GS — Goldman Sachs International | |
MS — Morgan Stanley Capital Services LLC | |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 23,833,128 | $ | — | $ | — | $ | 23,833,128 | ||||||||
Money Market Fund | 1,209,284 | — | 1,209,284 | |||||||||||||
Total Assets | $ | 25,042,412 | $ | $ | — | $ | 25,042,412 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Custom Basket Swap Agreements** | $ | — | $ | 448,572 | $ | — | $ | 448,572 |
** | 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, 2020 | ||||
Assets: | ||||
Investments, at value (cost $24,469,667) | $ | 25,042,412 | ||
Cash | 671 | |||
Receivables: | ||||
Dividends | 38,011 | |||
Fund shares sold | 15,091 | |||
Securities sold | 1,097 | |||
Total assets | 25,097,282 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 448,572 | |||
Payable for: | ||||
Swap settlement | 666,735 | |||
Management fees | 18,329 | |||
Investor service fees | 5,091 | |||
Fund shares redeemed | 3,127 | |||
Transfer agent and administrative fees | 2,424 | |||
Portfolio accounting fees | 2,036 | |||
Trustees’ fees* | 449 | |||
Miscellaneous | 46,218 | |||
Total liabilities | 1,192,981 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 23,904,301 | ||
Net assets consist of: | ||||
Paid in capital | $ | 27,716,271 | ||
Total distributable earnings (loss) | (3,811,970 | ) | ||
Net assets | $ | 23,904,301 | ||
Capital shares outstanding | 1,827,144 | |||
Net asset value per share | $ | 13.08 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 | ||||
Investment Income: | ||||
Dividends | $ | 299,793 | ||
Income from securities lending, net | 270 | |||
Total investment income | 300,063 | |||
Expenses: | ||||
Management fees | 115,202 | |||
Investor service fees | 32,000 | |||
Transfer agent and administrative fees | 15,232 | |||
Professional fees | 25,444 | |||
Portfolio accounting fees | 12,800 | |||
Trustees’ fees* | 3,108 | |||
Custodian fees | 2,388 | |||
Miscellaneous | 16,383 | |||
Total expenses | 222,557 | |||
Net investment income | 77,506 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (153,606 | ) | ||
Swap agreements | 576,923 | |||
Net realized gain | 423,317 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (2,385,706 | ) | ||
Swap agreements | 272,804 | |||
Net change in unrealized appreciation (depreciation) | (2,112,902 | ) | ||
Net realized and unrealized loss | (1,689,585 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,612,079 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 77,506 | $ | 186,446 | ||||
Net realized gain (loss) on investments | 423,317 | (2,649,687 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (2,112,902 | ) | 4,103,676 | |||||
Net increase (decrease) in net assets resulting from operations | (1,612,079 | ) | 1,640,435 | |||||
Distributions to shareholders | — | (168,099 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,696,827 | 9,806,958 | ||||||
Distributions reinvested | — | 168,099 | ||||||
Cost of shares redeemed | (7,863,869 | ) | (9,974,536 | ) | ||||
Net increase (decrease) from capital share transactions | (5,167,042 | ) | 521 | |||||
Net increase (decrease) in net assets | (6,779,121 | ) | 1,472,857 | |||||
Net assets: | ||||||||
Beginning of period | 30,683,422 | 29,210,565 | ||||||
End of period | $ | 23,904,301 | $ | 30,683,422 | ||||
Capital share activity: | ||||||||
Shares sold | 217,756 | 739,247 | ||||||
Shares issued from reinvestment of distributions | — | 12,735 | ||||||
Shares redeemed | (606,935 | ) | (749,957 | ) | ||||
Net increase (decrease) in shares | (389,179 | ) | 2,025 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.84 | $ | 13.19 | $ | 17.59 | $ | 15.37 | $ | 15.27 | $ | 15.08 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .04 | .09 | .08 | (.05 | ) | .01 | (.11 | ) | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.80 | ) | .64 | (2.19 | ) | 2.33 | .09 | .30 | ||||||||||||||||
Total from investment operations | (.76 | ) | .73 | (2.11 | ) | 2.28 | .10 | .19 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.08 | ) | — | (.06 | ) | — | — | ||||||||||||||||
Net realized gains | — | — | (2.29 | ) | — | — | — | |||||||||||||||||
Total distributions | — | (.08 | ) | (2.29 | ) | (.06 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 13.08 | $ | 13.84 | $ | 13.19 | $ | 17.59 | $ | 15.37 | $ | 15.27 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (5.49 | %) | 5.54 | % | (12.94 | %) | 14.85 | % | 0.65 | % | 1.26 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 23,904 | $ | 30,683 | $ | 29,211 | $ | 39,138 | $ | 31,887 | $ | 39,120 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.61 | % | 0.65 | % | 0.52 | % | (0.32 | %) | 0.04 | % | (0.71 | %) | ||||||||||||
Total expensesd,e | 1.74 | % | 1.72 | % | 1.62 | % | 1.78 | % | 2.22 | % | 2.28 | % | ||||||||||||
Portfolio turnover rate | 98 | % | 170 | % | 266 | % | 258 | % | 239 | % | 244 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 expenses may include expenses that are excluded from the expense limitation agreement. Excluding these expenses, the net expense ratios for the periods presented would be: |
06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | |
1.74% | 1.72% | 1.62% | 1.61% | 1.56% | 1.51% |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 | 31.1% |
Guggenheim Strategy Fund III | 14.0% |
Guggenheim Strategy Fund II | 0.7% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 0.4% |
Total | 46.2% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Global Managed Futures Strategy Fund | 0.78% | 2.89% | (1.86%) | (1.50%) |
ICE BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.60% | 1.63% | 1.19% | 0.64% |
* | 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 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, 2020 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 46.2% | ||||||||
Guggenheim Variable Insurance Strategy Fund III1 | 210,155 | $ | 5,199,235 | |||||
Guggenheim Strategy Fund III1 | 94,753 | 2,349,876 | ||||||
Guggenheim Strategy Fund II1 | 4,446 | 109,954 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 7,166 | 71,086 | ||||||
Total Mutual Funds | ||||||||
(Cost $7,764,054) | 7,730,151 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 8.5% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 07/23/202,3 | $ | 1,428,000 | 1,427,893 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,427,864) | 1,427,893 |
REPURCHASE AGREEMENTS††,4 - 45.9% | ||||||||
J.P. Morgan Securities LLC | 4,255,820 | 4,255,820 | ||||||
BofA Securities, Inc. | 1,762,528 | 1,762,528 | ||||||
Barclays Capital, Inc. | 1,656,776 | 1,656,776 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $7,675,124) | 7,675,124 | |||||||
Total Investments - 100.6% | ||||||||
(Cost $16,867,042) | $ | 16,833,168 | ||||||
Other Assets & Liabilities, net - (0.6)% | (101,843 | ) | ||||||
Total Net Assets - 100.0% | $ | 16,731,325 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||||
Canadian Government 10 Year Bond Futures Contracts | 27 | Sep 2020 | $ | 3,059,727 | $ | 20,945 | ||||||||||
Australian Government 10 Year Bond Futures Contracts | 46 | Sep 2020 | 4,708,904 | 19,635 | ||||||||||||
U.S. Treasury 5 Year Note Futures Contracts | 43 | Sep 2020 | 5,406,578 | 19,296 | ||||||||||||
U.S. Treasury 10 Year Note Futures Contracts | 19 | Sep 2020 | 2,643,969 | 16,609 | ||||||||||||
U.S. Treasury Long Bond Futures Contracts | 7 | Sep 2020 | 1,249,500 | 12,097 | ||||||||||||
U.S. Treasury 2 Year Note Futures Contracts | 78 | Sep 2020 | 17,223,984 | 11,058 | ||||||||||||
Long Gilt Futures Contracts†† | 5 | Sep 2020 | 851,393 | 9,032 | ||||||||||||
Australian Government 3 Year Bond Futures Contracts | 178 | Sep 2020 | 14,379,569 | 2,310 | ||||||||||||
Euro - BTP Italian Government Bond Futures Contracts†† | 2 | Sep 2020 | 322,671 | 1,980 | ||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 2 | Sep 2020 | 436,187 | 910 | ||||||||||||
$ | 50,282,482 | $ | 113,872 | |||||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||||
Gold 100 oz. Futures Contracts | 4 | Aug 2020 | $ | 719,160 | $ | 26,818 | ||||||||||
Corn Futures Contracts | 11 | Sep 2020 | 187,413 | 7,504 | ||||||||||||
Natural Gas Futures Contracts | 6 | Aug 2020 | 107,460 | 405 | ||||||||||||
Live Cattle Futures Contracts | 10 | Aug 2020 | 386,100 | (1,131 | ) | |||||||||||
Natural Gas Futures Contracts | 14 | Jul 2020 | 245,560 | (4,938 | ) | |||||||||||
Gasoline RBOB Futures Contracts | 9 | Sep 2020 | 419,807 | (10,456 | ) | |||||||||||
Sugar #11 Futures Contracts | 82 | Apr 2021 | 1,128,714 | (11,443 | ) | |||||||||||
$ | 3,194,214 | $ | 6,759 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 25 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
Futures Contracts (continued) | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 2 | Sep 2020 | $ | 405,350 | $ | 21,181 | ||||||||||
Amsterdam Index Futures Contracts | 1 | Jul 2020 | 125,998 | 4,415 | ||||||||||||
S&P 500 Index Mini Futures Contracts | 1 | Sep 2020 | 154,212 | (233 | ) | |||||||||||
CBOE Volatility Index Futures Contracts | 6 | Nov 2020 | 183,300 | (1,895 | ) | |||||||||||
MSCI Taiwan Stock Index Futures Contracts | 14 | Jul 2020 | 604,100 | (3,735 | ) | |||||||||||
HSCEI Index Futures Contracts†† | 2 | Jul 2020 | 123,675 | (4,290 | ) | |||||||||||
CBOE Volatility Index Futures Contracts | 28 | Dec 2020 | 813,400 | (11,832 | ) | |||||||||||
$ | 2,410,035 | $ | 3,611 | |||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
British Pound Futures Contracts | 1 | Sep 2020 | $ | 77,469 | $ | (14 | ) | |||||||||
New Zealand Dollar Futures Contracts | 5 | Sep 2020 | 322,600 | (1,101 | ) | |||||||||||
Japanese Yen Futures Contracts | 8 | Sep 2020 | 927,000 | (8,608 | ) | |||||||||||
$ | 1,327,069 | $ | (9,723 | ) | ||||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||||
CBOE Volatility Index Futures Contracts | 20 | Oct 2020 | $ | 661,200 | $ | 15,430 | ||||||||||
Hang Seng Index Futures Contracts†† | 2 | Jul 2020 | 311,544 | 8,686 | ||||||||||||
FTSE 100 Index Futures Contracts | 3 | Sep 2020 | 228,374 | 4,448 | ||||||||||||
CBOE Volatility Index Futures Contracts | 3 | Aug 2020 | 95,100 | 3,902 | ||||||||||||
IBEX 35 Index Futures Contracts†† | 1 | Jul 2020 | 81,304 | 400 | ||||||||||||
Euro STOXX 50 Index Futures Contracts | 1 | Sep 2020 | 36,293 | 210 | ||||||||||||
OMX Stockholm 30 Index Futures Contracts†† | 1 | Jul 2020 | 17,972 | (489 | ) | |||||||||||
Russell 2000 Index Mini Futures Contracts | 1 | Sep 2020 | 71,820 | (1,757 | ) | |||||||||||
$ | 1,503,607 | $ | 30,830 | |||||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||||
Mexican Peso Futures Contracts | 19 | Sep 2020 | $ | 409,165 | $ | 20,941 | ||||||||||
Australian Dollar Futures Contracts | 4 | Sep 2020 | 276,080 | 47 | ||||||||||||
Canadian Dollar Futures Contracts | 1 | Sep 2020 | 73,670 | (56 | ) | |||||||||||
Euro FX Futures Contracts | 1 | Sep 2020 | 140,656 | (571 | ) | |||||||||||
Swiss Franc Futures Contracts | 21 | Sep 2020 | 2,776,463 | (8,851 | ) | |||||||||||
$ | 3,676,034 | $ | 11,510 | |||||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||||
Euro - OATS Futures Contracts†† | 1 | Sep 2020 | $ | 188,007 | $ | 415 | ||||||||||
Euro - Schatz Futures Contracts | 49 | Sep 2020 | 6,175,256 | (2,083 | ) | |||||||||||
Euro - Bund Futures Contracts | 15 | Sep 2020 | 2,970,158 | (5,608 | ) | |||||||||||
$ | 9,333,421 | $ | (7,276 | ) | ||||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||||
Lean Hogs Futures Contracts | 8 | Aug 2020 | $ | 156,320 | $ | 20,728 | ||||||||||
Sugar #11 Futures Contracts | 70 | Feb 2021 | 984,704 | 12,689 | ||||||||||||
Cocoa Futures Contracts | 3 | Sep 2020 | 65,550 | 4,411 | ||||||||||||
Gasoline RBOB Futures Contracts | 6 | Jul 2020 | 304,240 | 3,664 | ||||||||||||
Sugar #11 Futures Contracts | 7 | Sep 2020 | 93,845 | 1,828 | ||||||||||||
Wheat Futures Contracts | 9 | Sep 2020 | 221,512 | 1,440 | ||||||||||||
Natural Gas Futures Contracts | 40 | Sep 2020 | 754,800 | 1,208 | ||||||||||||
Low Sulphur Gas Oil Futures Contracts | 6 | Aug 2020 | 213,150 | 823 | ||||||||||||
Hard Red Winter Wheat Futures Contracts | 7 | Sep 2020 | 154,175 | 812 | ||||||||||||
LME Nickel Futures Contracts | 1 | Aug 2020 | 76,689 | 434 | ||||||||||||
NY Harbor ULSD Futures Contracts | 2 | Jul 2020 | 99,893 | 238 | ||||||||||||
Soybean Oil Futures Contracts | 1 | Dec 2020 | 17,226 | 57 |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
GLOBAL MANAGED FUTURES STRATEGY FUND |
Futures Contracts (concluded) | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Commodity Futures Contracts Sold Short† (continued) | ||||||||||||||||
Live Cattle Futures Contracts | 16 | Dec 2020 | $ | 664,320 | $ | 11 | ||||||||||
Soybean Meal Futures Contracts | 3 | Dec 2020 | 88,860 | (319 | ) | |||||||||||
LME Zinc Futures Contracts | 4 | Aug 2020 | 204,200 | (727 | ) | |||||||||||
Cotton #2 Futures Contracts | 6 | Dec 2020 | 183,000 | (2,059 | ) | |||||||||||
Soybean Futures Contracts | 8 | Nov 2020 | 352,800 | (2,480 | ) | |||||||||||
Copper Futures Contracts | 2 | Sep 2020 | 136,425 | (2,792 | ) | |||||||||||
Coffee ‘C’ Futures Contracts | 3 | Sep 2020 | 113,794 | (2,913 | ) | |||||||||||
Cattle Feeder Futures Contracts | 2 | Aug 2020 | 133,250 | (3,352 | ) | |||||||||||
LME Primary Aluminum Futures Contracts | 11 | Aug 2020 | 442,269 | (7,857 | ) | |||||||||||
Corn Futures Contracts | 80 | Mar 2021 | 1,443,000 | (43,388 | ) | |||||||||||
$ | 6,904,022 | $ | (17,544 | ) |
** | 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, 2020. |
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, 2020 (See Note 4 in the Notes to Consolidated Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 7,730,151 | $ | — | $ | — | $ | 7,730,151 | ||||||||
U.S. Treasury Bills | — | 1,427,893 | — | 1,427,893 | ||||||||||||
Repurchase Agreements | — | 7,675,124 | — | 7,675,124 | ||||||||||||
Interest Rate Futures Contracts** | 102,860 | 11,427 | — | 114,287 | ||||||||||||
Commodity Futures Contracts** | 83,070 | — | — | 83,070 | ||||||||||||
Equity Futures Contracts** | 49,586 | 9,086 | — | 58,672 | ||||||||||||
Currency Futures Contracts** | 20,988 | — | — | 20,988 | ||||||||||||
Total Assets | $ | 7,986,655 | $ | 9,123,530 | $ | — | $ | 17,110,185 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Commodity Futures Contracts** | $ | 93,855 | $ | — | $ | — | $ | 93,855 | ||||||||
Equity Futures Contracts** | 19,452 | 4,779 | — | 24,231 | ||||||||||||
Currency Futures Contracts** | 19,201 | — | — | 19,201 | ||||||||||||
Interest Rate Futures Contracts** | 7,691 | — | — | 7,691 | ||||||||||||
Total Liabilities | $ | 140,199 | $ | 4,779 | $ | — | $ | 144,978 |
** | 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, 2020 |
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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 1,771,464 | $ | 10,326 | $ | (1,625,000 | ) | $ | (50,862 | ) | $ | 4,026 | $ | 109,954 | 4,446 | $ | 10,426 | |||||||||||||||
Guggenheim Strategy Fund III | 2,318,911 | 23,232 | — | — | 7,733 | 2,349,876 | 94,753 | �� | 23,347 | |||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 2,853,202 | 14,987 | (2,740,000 | ) | (58,583 | ) | 1,480 | 71,086 | 7,166 | 15,119 | ||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 5,151,929 | 51,057 | — | — | (3,751 | ) | 5,199,235 | 210,155 | 51,349 | |||||||||||||||||||||||
$ | 12,095,506 | $ | 99,602 | $ | (4,365,000 | ) | $ | (109,445 | ) | $ | 9,488 | $ | 7,730,151 | $ | 100,241 |
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, 2020 | ||||
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $1,427,864) | $ | 1,427,893 | ||
Investments in affiliated issuers, at value (cost $7,764,054) | 7,730,151 | |||
Repurchase agreements, at value (cost $7,675,124) | 7,675,124 | |||
Foreign currency, at value (cost $329) | 352 | |||
Cash | 1,067 | |||
Segregated cash with broker | 126,126 | |||
Receivables: | ||||
Securities sold | 14,220 | |||
Dividends | 12,375 | |||
Fund shares sold | 928 | |||
Interest | 15 | |||
Total assets | 16,988,251 | |||
Liabilities: | ||||
Payable for: | ||||
Variation margin on futures contracts | 193,994 | |||
Management fees | 12,384 | |||
Securities purchased | 12,376 | |||
Fund shares redeemed | 4,220 | |||
Investor service fees | 3,444 | |||
Transfer agent and administrative fees | 1,639 | |||
Portfolio accounting fees | 1,378 | |||
Trustees’ fees* | 259 | |||
Miscellaneous | 27,232 | |||
Total liabilities | 256,926 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 16,731,325 | ||
Net assets consist of: | ||||
Paid in capital | $ | 16,483,083 | ||
Total distributable earnings (loss) | 248,242 | |||
Net assets | $ | 16,731,325 | ||
Capital shares outstanding | 997,757 | |||
Net asset value per share | $ | 16.77 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 | ||||
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 100,241 | ||
Interest | 8,477 | |||
Total investment income | 108,718 | |||
Expenses: | ||||
Management fees | 73,219 | |||
Investor service fees | 19,095 | |||
Transfer agent and administrative fees | 9,089 | |||
Professional fees | 17,308 | |||
Portfolio accounting fees | 7,638 | |||
Trustees’ fees* | 1,582 | |||
Custodian fees | 1,233 | |||
Miscellaneous | 8,584 | |||
Total expenses | 137,748 | |||
Less: | ||||
Expenses waived by Adviser | (6,359 | ) | ||
Net expenses | 131,389 | |||
Net investment loss | (22,671 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (15 | ) | ||
Investments in affiliated issuers | (109,445 | ) | ||
Futures contracts | 7,127 | |||
Foreign currency transactions | (2,138 | ) | ||
Net realized loss | (104,471 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 65 | |||
Investments in affiliated issuers | 9,488 | |||
Futures contracts | 178,075 | |||
Foreign currency translations | 23 | |||
Net change in unrealized appreciation (depreciation) | 187,651 | |||
Net realized and unrealized gain | 83,180 | |||
Net increase in net assets resulting from operations | $ | 60,509 |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (22,671 | ) | $ | 116,193 | |||
Net realized gain (loss) on investments | (104,471 | ) | 1,163,577 | |||||
Net change in unrealized appreciation (depreciation) on investments | 187,651 | (265,187 | ) | |||||
Net increase in net assets resulting from operations | 60,509 | 1,014,583 | ||||||
Distributions to shareholders | — | (124,141 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 4,698,063 | 6,039,386 | ||||||
Distributions reinvested | — | 124,141 | ||||||
Cost of shares redeemed | (2,309,171 | ) | (6,053,438 | ) | ||||
Net increase from capital share transactions | 2,388,892 | 110,089 | ||||||
Net increase in net assets | 2,449,401 | 1,000,531 | ||||||
Net assets: | ||||||||
Beginning of period | 14,281,924 | 13,281,393 | ||||||
End of period | $ | 16,731,325 | $ | 14,281,924 | ||||
Capital share activity: | ||||||||
Shares sold | 276,118 | 356,833 | ||||||
Shares issued from reinvestment of distributions | — | 7,506 | ||||||
Shares redeemed | (136,481 | ) | (363,126 | ) | ||||
Net increase in shares | 139,637 | 1,213 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.64 | $ | 15.50 | $ | 17.06 | $ | 15.93 | $ | 19.42 | $ | 20.89 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.02 | ) | .14 | .20 | .10 | .06 | (.07 | ) | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .15 | 1.15 | (1.76 | ) | 1.27 | (2.88 | ) | (.25 | ) | |||||||||||||||
Total from investment operations | .13 | 1.29 | (1.56 | ) | 1.37 | (2.82 | ) | (.32 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.15 | ) | — | (.24 | ) | (.67 | ) | (.48 | ) | ||||||||||||||
Net realized gains | — | — | — | — | — | (.67 | ) | |||||||||||||||||
Total distributions | — | (.15 | ) | — | (.24 | ) | (.67 | ) | (1.15 | ) | ||||||||||||||
Net asset value, end of period | $ | 16.77 | $ | 16.64 | $ | 15.50 | $ | 17.06 | $ | 15.93 | $ | 19.42 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 0.78 | % | 8.35 | % | (9.14 | %) | 8.71 | % | (14.77 | %) | (1.55 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,731 | $ | 14,282 | $ | 13,281 | $ | 14,791 | $ | 14,782 | $ | 17,536 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.30 | %) | 0.82 | % | 1.21 | % | 0.59 | % | 0.32 | % | (0.35 | %) | ||||||||||||
Total expensesd | 1.80 | % | 1.81 | % | 1.72 | % | 1.69 | % | 1.69 | % | 1.65 | % | ||||||||||||
Net expensese | 1.72 | % | 1.74 | % | 1.66 | % | 1.64 | % | 1.62 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 1 | % | 13 | % | 8 | % | 1 | % | 39 | % | 33 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
MULTI-HEDGE STRATEGIES FUND
OBJECTIVE: Seeks to provide long-term capital appreciation with less risk than traditional equity funds.
Consolidated Holdings Diversification (Market Exposure as % of Net Assets)
“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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 Ultra Short Duration Fund — Institutional Class | 11.6% |
Guggenheim Strategy Fund III | 5.5% |
Guggenheim Strategy Fund II | 4.9% |
Guggenheim Variable Insurance Strategy Fund III | 4.8% |
Tiffany & Co. | 2.8% |
Caesars Entertainment Corp. | 2.1% |
Legg Mason, Inc. | 1.8% |
Wright Medical Group N.V | 1.6% |
Delphi Technologies plc Wright Medical Group N.V. | 1.5% |
E*TRADE Financial Corp. | 1.3% |
Top Ten Total | 37.9% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Multi-Hedge Strategies Fund | 4.10% | 5.29% | 1.68% | 2.84% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
HFRX Global Hedge Fund Index | (1.09%) | 3.09% | 0.71% | 1.12% |
* | 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. The HFRX Global Hedge Fund 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. |
† | 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, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 23.6% | ||||||||
Consumer, Cyclical - 6.4% | ||||||||
Tiffany & Co.1 | 9,953 | $ | 1,213,480 | |||||
Caesars Entertainment Corp.*,1 | 75,778 | 919,187 | ||||||
Delphi Technologies plc*,1 | 46,317 | 658,165 | ||||||
Total Consumer, Cyclical | 2,790,832 | |||||||
Communications - 5.5% | ||||||||
E*TRADE Financial Corp.1 | 11,202 | 557,075 | ||||||
TD Ameritrade Holding Corp.1 | 14,623 | 531,985 | ||||||
LogMeIn, Inc. | 5,924 | 502,178 | ||||||
Acacia Communications, Inc.*,1 | 7,406 | 497,609 | ||||||
Cincinnati Bell, Inc.*,1 | 21,577 | 320,418 | ||||||
Total Communications | 2,409,265 | |||||||
Financial - 4.1% | ||||||||
Legg Mason, Inc.1 | 15,944 | 793,214 | ||||||
Willis Towers Watson plc | 1,256 | 247,369 | ||||||
IBERIABANK Corp. | 5,424 | 247,009 | ||||||
Taubman Centers, Inc. REIT | 5,536 | 209,039 | ||||||
Franklin Financial Network, Inc.1 | 7,649 | 196,962 | ||||||
Genworth Financial, Inc. — Class A* | 33,151 | 76,579 | ||||||
Total Financial | 1,770,172 | |||||||
Consumer, Non-cyclical - 3.0% | ||||||||
Wright Medical Group N.V.*,1 | 23,506 | 698,601 | ||||||
Craft Brew Alliance, Inc.*,1 | 27,165 | 418,069 | ||||||
Portola Pharmaceuticals, Inc.*,1 | 11,437 | 205,752 | ||||||
Total Consumer, Non-cyclical | 1,322,422 | |||||||
Technology - 1.9% | ||||||||
ForeScout Technologies, Inc.* | 23,798 | 504,518 | ||||||
Fitbit, Inc. — Class A*,1 | 46,583 | 300,926 | ||||||
Total Technology | 805,444 | |||||||
Industrial - 1.4% | ||||||||
Advanced Disposal Services, Inc.*,1 | 20,701 | 624,549 | ||||||
Utilities - 1.3% | ||||||||
El Paso Electric Co.1 | 8,218 | 550,606 | ||||||
Total Common Stocks | ||||||||
(Cost $10,634,195) | 10,273,290 | |||||||
RIGHTS† - 0.0% | ||||||||
Consumer, Non-cyclical - 0.0% | ||||||||
Bristol-Myers Squibb Co. | 5,855 | 20,961 | ||||||
Lantheus Holdings, Inc.†††,2 | 41,807 | — | ||||||
Alexion Pharmaceuticals, Inc.†††,2 | 32,749 | — | ||||||
Total Rights | ||||||||
(Cost $13,467) | 20,961 | |||||||
MUTUAL FUNDS† - 26.8% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class3 | 513,125 | 5,090,204 | ||||||
Guggenheim Strategy Fund III3 | 96,837 | 2,401,552 | ||||||
Guggenheim Strategy Fund II3 | 86,027 | 2,127,449 | ||||||
Guggenheim Variable Insurance Strategy Fund III3 | 84,567 | 2,092,185 | ||||||
Total Mutual Funds | ||||||||
(Cost $11,765,172) | 11,711,390 | |||||||
CLOSED-END FUNDS† - 9.0% | ||||||||
Cushing MLP & Infrastructure Total Return Fund | 3,286 | 59,942 | ||||||
Nuveen Virginia Quality Municipal Income Fund | 2,819 | 40,255 | ||||||
BlackRock MuniHoldings California Quality Fund, Inc. | 2,753 | 38,900 | ||||||
BlackRock New York Municipal Income Trust II | 2,810 | 38,638 | ||||||
BlackRock Muni Intermediate Duration Fund, Inc. | 2,772 | 38,254 | ||||||
Nuveen Arizona Quality Municipal Income Fund | 2,803 | 38,121 | ||||||
AllianceBernstein National Municipal Income Fund, Inc. | 2,840 | 37,914 | ||||||
Nuveen Quality Municipal Income Fund | 2,700 | 37,854 | ||||||
BlackRock MuniYield New Jersey Fund, Inc. | 2,770 | 37,700 | ||||||
Nuveen Georgia Quality Municipal Income Fund | 3,086 | 37,649 | ||||||
Invesco Pennsylvania Value Municipal Income Trust | 3,167 | 37,592 | ||||||
DWS Municipal Income Trust | 3,476 | 37,541 | ||||||
Adams Diversified Equity Fund, Inc. | 2,508 | 37,394 | ||||||
Nuveen California AMT-Free Quality Municipal Income Fund | 2,495 | 37,250 | ||||||
Nuveen California Municipal Value Fund 2 | 2,582 | 37,232 | ||||||
Invesco California Value Municipal Income Trust | 3,186 | 37,212 | ||||||
Eaton Vance New York Municipal Bond Fund | 3,168 | 37,066 | ||||||
Federated Hermes Premier Municipal Income Fund | 2,778 | 36,670 | ||||||
BlackRock MuniYield Pennsylvania Quality Fund | 2,686 | 36,449 | ||||||
RMR Real Estate Income Fund | 3,090 | 36,029 | ||||||
BlackRock MuniHoldings New Jersey Quality Fund, Inc. | 2,667 | 35,711 | ||||||
BlackRock MuniHoldings Quality Fund II, Inc. | 2,877 | 35,646 | ||||||
BlackRock MuniHoldings Investment Quality Fund | 2,737 | 35,389 | ||||||
Nuveen Ohio Quality Municipal Income Fund | 2,312 | 34,703 | ||||||
Nuveen Michigan Quality Municipal Income Fund | 2,515 | 34,405 | ||||||
Delaware Investments Minnesota Municipal Income Fund II, Inc. | 2,708 | 34,256 | ||||||
BlackRock Municipal Income Quality Trust | 2,487 | 34,072 | ||||||
Adams Natural Resources Fund, Inc. | 2,956 | 33,580 | ||||||
Western Asset Intermediate Muni Fund, Inc. | 3,910 | 33,470 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Value | ||||||
Pioneer Municipal High Income Advantage Trust | 3,149 | $ | 33,096 | |||||
Eaton Vance New York Municipal Income Trust | 2,565 | 32,396 | ||||||
Neuberger Berman MLP & Energy Income Fund, Inc. | 10,576 | 31,093 | ||||||
Tortoise Power and Energy Infrastructure Fund, Inc. | 3,374 | 30,467 | ||||||
Salient Midstream & MLP Fund | 7,300 | 30,149 | ||||||
Kayne Anderson Midstream/Energy Fund, Inc. | 6,613 | 29,957 | ||||||
Kayne Anderson MLP/Midstream Investment Co. | 5,621 | 29,679 | ||||||
Cohen & Steers MLP Income and Energy Opportunity Fund, Inc. | 13,692 | 28,890 | ||||||
First Trust New Opportunities MLP & Energy Fund4 | 6,534 | 28,096 | ||||||
Tortoise Pipeline & Energy Fund, Inc. | 1,943 | 27,260 | ||||||
Eaton Vance California Municipal Income Trust | 1,571 | 20,706 | ||||||
MFS Investment Grade Municipal Trust | 2,182 | 20,587 | ||||||
BlackRock MuniYield California Quality Fund, Inc. | 1,466 | 20,333 | ||||||
Eaton Vance Municipal Income Trust | 1,623 | 20,271 | ||||||
BlackRock MuniHoldings New York Quality Fund, Inc. | 1,517 | 20,146 | ||||||
Nuveen New York AMT-Free Quality Municipal Income Fund | 1,554 | 20,016 | ||||||
Invesco Value Municipal Income Trust | 1,384 | 19,999 | ||||||
BlackRock MuniHoldings Quality Fund, Inc. | 1,647 | 19,995 | ||||||
Invesco Advantage Municipal Income Trust II | 1,911 | 19,989 | ||||||
Nuveen Pennsylvania Quality Municipal Income Fund | 1,472 | 19,975 | ||||||
Nuveen New York Quality Municipal Income Fund | 1,478 | 19,938 | ||||||
Nuveen AMT-Free Quality Municipal Income Fund | 1,433 | 19,919 | ||||||
Tri-Continental Corp. | 805 | 19,892 | ||||||
BlackRock MuniYield New York Quality Fund, Inc. | 1,586 | 19,888 | ||||||
BlackRock New York Municipal Income Quality Trust | 1,501 | 19,813 | ||||||
Nuveen California Quality Municipal Income Fund | 1,387 | 19,793 | ||||||
Pioneer Municipal High Income Trust | 1,741 | 19,656 | ||||||
China Fund, Inc. | 847 | 18,914 | ||||||
Gabelli Global Small and Mid Capital Value Trust | 1,929 | 17,129 | ||||||
Miller/Howard High Dividend Fund | 2,775 | 16,928 | ||||||
GDL Fund | 2,047 | 16,847 | ||||||
Voya Asia Pacific High Dividend Equity Income Fund | 2,126 | 16,296 | ||||||
Templeton Dragon Fund, Inc. | 791 | 15,962 | ||||||
Templeton Emerging Markets Fund/United States | 1,158 | 15,841 | ||||||
Aberdeen Japan Equity Fund, Inc. | 2,042 | 15,826 | ||||||
BlackRock MuniYield Michigan Quality Fund, Inc. | 1,165 | 15,797 | ||||||
Nuveen Municipal Credit Income Fund | 1,065 | 15,719 | ||||||
Aberdeen Income Credit Strategies Fund | 1,743 | 15,600 | ||||||
Eaton Vance California Municipal Bond Fund | 1,401 | 15,593 | ||||||
Aberdeen Australia Equity Fund, Inc. | 3,477 | 15,542 | ||||||
Wells Fargo Multi-Sector Income Fund | 1,405 | 15,469 | ||||||
Invesco High Income Trust II | 1,293 | 15,451 | ||||||
Royce Micro-Capital Trust, Inc. | 2,143 | 15,430 | ||||||
Nuveen Maryland Quality Municipal Income Fund | 1,197 | 15,417 | ||||||
Eaton Vance Municipal Bond Fund | 1,212 | 15,417 | ||||||
Lazard Global Total Return and Income Fund, Inc. | 1,094 | 15,414 | ||||||
Credit Suisse Asset Management Income Fund, Inc. | 5,679 | 15,390 | ||||||
Nuveen Massachusetts Quality Municipal Income Fund | 1,119 | 15,375 | ||||||
Neuberger Berman New York Municipal Fund, Inc. | 1,325 | 15,344 | ||||||
Credit Suisse High Yield Bond Fund | 7,669 | 15,338 | ||||||
Aberdeen Global Premier Properties Fund | 3,291 | 15,336 | ||||||
First Trust Aberdeen Emerging Opportunity Fund | 1,297 | 15,318 | ||||||
Voya Emerging Markets High Income Dividend Equity Fund | 2,456 | 15,252 | ||||||
Source Capital, Inc. | 461 | 15,251 | ||||||
Wells Fargo Global Dividend Opportunity Fund | 3,521 | 15,246 | ||||||
Neuberger Berman California Municipal Fund, Inc. | 1,185 | 15,245 | ||||||
Clough Global Opportunities Fund | 1,748 | 15,225 | ||||||
AllianzGI Equity & Convertible Income Fund | 677 | 15,219 | ||||||
First Trust MLP and Energy Income Fund | 2,709 | 15,198 | ||||||
Western Asset Inflation - Linked Securities & Income Fund | 1,290 | 15,196 | ||||||
BlackRock Resources & Commodities Strategy Trust | 2,476 | 15,178 | ||||||
Goldman Sachs MLP Income Opportunities Fund | 1,583 | 15,165 | ||||||
Voya Infrastructure Industrials and Materials Fund | 1,680 | 15,154 | ||||||
Royce Value Trust, Inc. | 1,208 | 15,148 | ||||||
Nuveen Diversified Dividend & Income Fund | 1,959 | 15,143 | ||||||
PGIM Global High Yield Fund, Inc. | 1,190 | 15,137 | ||||||
CBRE Clarion Global Real Estate Income Fund | 2,535 | 15,134 | ||||||
BlackRock MuniYield California Fund, Inc. | 1,083 | 15,086 | ||||||
BlackRock MuniYield Quality Fund II, Inc. | 1,181 | 15,081 | ||||||
New Germany Fund, Inc. | 993 | 15,074 |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Value | ||||||
BlackRock Limited Duration Income Trust | 1,080 | $ | 15,045 | |||||
Virtus Global Multi-Sector Income Fund | 1,351 | 15,037 | ||||||
Clough Global Equity Fund | 1,409 | 15,006 | ||||||
Western Asset Global High Income Fund, Inc. | 1,622 | 15,004 | ||||||
Western Asset Emerging Markets Debt Fund, Inc. | 1,217 | 14,993 | ||||||
Western Asset Inflation-Linked Opportunities & Income Fund | 1,368 | 14,993 | ||||||
Cohen & Steers Quality Income Realty Fund, Inc. | 1,370 | 14,974 | ||||||
Neuberger Berman Real Estate Securities Income Fund, Inc. | 4,125 | 14,974 | ||||||
Nuveen New Jersey Quality Municipal Income Fund | 1,130 | 14,973 | ||||||
Delaware Enhanced Global Dividend & Income Fund | 1,851 | 14,956 | ||||||
Ivy High Income Opportunities Fund | 1,329 | 14,938 | ||||||
PGIM High Yield Bond Fund, Inc. | 1,129 | 14,937 | ||||||
Nuveen Real Estate Income Fund4 | 1,996 | 14,910 | ||||||
Ellsworth Growth and Income Fund Ltd. | 1,296 | 14,891 | ||||||
General American Investors Company, Inc. | 468 | 14,890 | ||||||
BNY Mellon High Yield Strategies Fund | 5,810 | 14,874 | ||||||
BlackRock Corporate High Yield Fund, Inc. | 1,462 | 14,869 | ||||||
Morgan Stanley Emerging Markets Debt Fund, Inc. | 1,747 | 14,832 | ||||||
Sprott Focus Trust, Inc. | 2,510 | 14,809 | ||||||
BlackRock MuniYield Quality Fund III, Inc. | 1,137 | 14,804 | ||||||
Western Asset Municipal Partners Fund, Inc. | 1,045 | 14,787 | ||||||
First Trust Aberdeen Global Opportunity Income Fund | 1,489 | 14,771 | ||||||
BlackRock Municipal 2030 Target Term Trust | 621 | 14,755 | ||||||
European Equity Fund, Inc. | 1,770 | 14,726 | ||||||
BrandywineGLOBAL Global Income Opportunities Fund, Inc. | 1,276 | 14,725 | ||||||
Swiss Helvetia Fund, Inc. | 1,878 | 14,724 | ||||||
BlackRock Multi-Sector Income Trust | 1,021 | 14,713 | ||||||
Gabelli Healthcare & WellnessRx Trust | 1,460 | 14,658 | ||||||
Voya International High Dividend Equity Income Fund | 3,536 | 14,604 | ||||||
Nuveen Senior Income Fund | 3,105 | 14,594 | ||||||
Gabelli Dividend & Income Trust | 828 | 14,573 | ||||||
Bancroft Fund Ltd. | 611 | 14,572 | ||||||
Nuveen Real Asset Income and Growth Fund | 1,246 | 14,553 | ||||||
Nuveen Floating Rate Income Fund | 1,842 | 14,552 | ||||||
Clough Global Dividend and Income Fund | 1,694 | 14,551 | ||||||
Nuveen Global High Income Fund | 1,098 | 14,548 | ||||||
Invesco Trust for Investment Grade New York Municipals | 1,193 | 14,531 | ||||||
Western Asset High Yield Defined Opportunity Fund, Inc. | 1,040 | 14,529 | ||||||
AllianceBernstein Global High Income Fund, Inc. | 1,436 | 14,504 | ||||||
LMP Capital and Income Fund, Inc. | 1,448 | 14,495 | ||||||
Western Asset High Income Opportunity Fund, Inc. | 3,136 | 14,488 | ||||||
Wells Fargo Income Opportunities Fund | 2,063 | 14,482 | ||||||
MFS Multimarket Income Trust | 2,594 | 14,475 | ||||||
Invesco Senior Income Trust | 4,173 | 14,438 | ||||||
Mexico Fund, Inc. | 1,472 | 14,435 | ||||||
Nuveen Tax-Advantaged Total Return Strategy Fund | 1,789 | 14,419 | ||||||
Western Asset High Income Fund II, Inc. | 2,323 | 14,403 | ||||||
Macquarie/First Trust Global Infrastructure/Utilities Dividend & Income Fund | 1,805 | 14,386 | ||||||
Tekla Healthcare Investors | 674 | 14,376 | ||||||
BlackRock Floating Rate Income Trust | 1,309 | 14,373 | ||||||
Nuveen Floating Rate Income Opportunity Fund | 1,830 | 14,365 | ||||||
BlackRock Credit Allocation Income Trust | 1,087 | 14,348 | ||||||
Franklin Universal Trust | 2,151 | 14,326 | ||||||
BlackRock Floating Rate Income Strategies Fund, Inc. | 1,279 | 14,299 | ||||||
Nuveen Short Duration Credit Opportunities Fund | 1,212 | 14,289 | ||||||
Duff & Phelps Utility and Infrastructure Fund, Inc. | 1,298 | 14,252 | ||||||
John Hancock Tax-Advantaged Global Shareholder Yield Fund | 2,719 | 14,248 | ||||||
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc. | 2,520 | 14,238 | ||||||
First Trust High Income Long/Short Fund | 1,061 | 14,080 | ||||||
Dividend and Income Fund | 1,377 | 14,018 | ||||||
First Trust Senior Floating Rate Income Fund II | 1,287 | 14,015 | ||||||
Nuveen Credit Strategies Income Fund | 2,397 | 13,999 | ||||||
John Hancock Investors Trust | 900 | 13,959 | ||||||
BlackRock Debt Strategies Fund, Inc. | 1,482 | 13,827 | ||||||
Macquarie Global Infrastructure Total Return Fund, Inc. | 783 | 13,789 | ||||||
Tekla Healthcare Opportunities Fund | 774 | 13,777 | ||||||
BlackRock MuniYield Arizona Fund, Inc. | 974 | 13,694 | ||||||
Aberdeen Global Income Fund, Inc. | 2,175 | 13,442 | ||||||
Calamos Convertible Opportunities and Income Fund | 1,261 | 13,417 | ||||||
AllianzGI Convertible & Income Fund II | 3,420 | 13,372 | ||||||
BlackRock MuniYield Investment Quality Fund | 1,030 | 13,359 | ||||||
BlackRock Municipal Income Investment Trust | 1,047 | 13,328 | ||||||
Eaton Vance Tax-Advantaged Global Dividend Income Fund | 923 | 13,180 | ||||||
BlackRock MuniYield Fund, Inc. | 969 | 13,169 | ||||||
BlackRock Strategic Municipal Trust | 1,001 | 13,123 | ||||||
Royce Global Value Trust, Inc. | 1,133 | 13,109 | ||||||
MFS High Income Municipal Trust | 2,802 | 13,057 | ||||||
Nuveen AMT-Free Municipal Value Fund | 834 | 13,052 | ||||||
Franklin Limited Duration Income Trust | 1,542 | 13,045 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Value | ||||||
BlackRock MuniEnhanced Fund, Inc. | 1,190 | $ | 13,042 | |||||
AllianzGI Convertible & Income Fund | 2,972 | 13,017 | ||||||
First Trust Energy Infrastructure Fund | 1,298 | 13,006 | ||||||
BlackRock MuniHoldings Fund II, Inc. | 907 | 12,997 | ||||||
Liberty All-Star Equity Fund | 2,272 | 12,996 | ||||||
Nuveen AMT-Free Municipal Credit Income Fund | 850 | 12,988 | ||||||
BlackRock MuniVest Fund II, Inc. | 957 | 12,977 | ||||||
Insight Select Income Fund | 659 | 12,949 | ||||||
Voya Prime Rate Trust | 3,180 | 12,943 | ||||||
Western Asset Municipal High Income Fund, Inc. | 1,812 | 12,901 | ||||||
GAMCO Global Gold Natural Resources & Income Trust | 3,742 | 12,872 | ||||||
Invesco Municipal Opportunity Trust | 1,084 | 12,856 | ||||||
BNY Mellon Strategic Municipal Bond Fund, Inc. | 1,774 | 12,844 | ||||||
Invesco Municipal Trust | 1,089 | 12,807 | ||||||
BlackRock MuniVest Fund, Inc. | 1,522 | 12,785 | ||||||
BlackRock MuniHoldings Fund, Inc. | 856 | 12,772 | ||||||
Western Asset Managed Municipals Fund, Inc. | 1,058 | 12,707 | ||||||
Invesco Trust for Investment Grade Municipals | 1,055 | 12,702 | ||||||
Invesco Quality Municipal Income Trust | 1,065 | 12,695 | ||||||
BlackRock Energy and Resources Trust | 1,745 | 12,616 | ||||||
Nuveen Core Equity Alpha Fund | 1,029 | 12,554 | ||||||
Nuveen Tax-Advantaged Dividend Growth Fund | 981 | 12,527 | ||||||
Nuveen New York Select Tax-Free Income Portfolio | 973 | 12,484 | ||||||
John Hancock Tax-Advantaged Dividend Income Fund | 642 | 12,365 | ||||||
Herzfeld Caribbean Basin Fund, Inc. | 3,305 | 12,229 | ||||||
Duff & Phelps Select MLP and Midstream Energy Fund, Inc. | 22,315 | 12,050 | ||||||
First Trust Energy Income and Growth Fund | 1,099 | 11,891 | ||||||
Goldman Sachs MLP Energy and Renaissance Fund | 1,502 | 11,378 | ||||||
ClearBridge Energy Midstream Opportunity Fund, Inc. | 4,783 | 11,288 | ||||||
Tortoise Energy Infrastructure Corp. | 680 | 10,900 | ||||||
ClearBridge MLP & Midstream Fund, Inc. | 3,411 | 10,881 | ||||||
Center Coast Brookfield MLP & Energy Infrastructure Fund | 10,781 | 10,007 | ||||||
Total Closed-End Funds | ||||||||
(Cost $4,016,664) | 3,930,369 |
| Face | Value | ||||||
U.S. TREASURY BILLS†† - 11.7% | ||||||||
U.S. Treasury Bills | ||||||||
0.16% due 10/01/201,5,6 | $ | 4,000,000 | 3,998,416 | |||||
0.15% due 07/23/206,7 | 1,104,000 | 1,103,917 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $5,102,249) | 5,102,333 | |||||||
REPURCHASE AGREEMENTS††,8 - 24.6% | ||||||||
J.P. Morgan Securities LLC | 5,962,102 | 5,962,102 | ||||||
BofA Securities, Inc. | 2,469,176 | 2,469,176 | ||||||
Barclays Capital, Inc. | 2,321,026 | 2,321,026 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $10,752,304) | 10,752,304 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,9 - 0.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%10 | 28,850 | 28,850 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $28,850) | 28,850 | |||||||
Total Investments - 95.8% | ||||||||
(Cost $42,312,901) | $ | 41,819,497 | ||||||
COMMON STOCKS SOLD SHORT† - (6.4)% | ||||||||
Consumer, Cyclical - (2.3)% | ||||||||
Eldorado Resorts, Inc.* | 6,812 | (272,888 | ) | |||||
BorgWarner, Inc. | 19,949 | (704,200 | ) | |||||
Total Consumer, Cyclical | (977,088 | ) | ||||||
Financial - (4.1)% | ||||||||
FB Financial Corp. | 7,334 | (181,663 | ) | |||||
First Horizon National Corp. | 24,864 | (247,646 | ) | |||||
Aon plc — Class A | 1,356 | (261,165 | ) | |||||
Charles Schwab Corp. | 15,847 | (534,678 | ) | |||||
Morgan Stanley | 11,686 | (564,434 | ) | |||||
Total Financial | (1,789,586 | ) | ||||||
Total Common Stocks Sold Short | ||||||||
(Proceeds $2,686,527) | (2,766,674 | ) |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Value | ||||||
EXCHANGE-TRADED FUNDS SOLD SHORT† - (9.7)% | ||||||||
iShares Mortgage Real Estate ETF | 245 | $ | (6,091 | ) | ||||
iShares Preferred & Income Securities ETF | 294 | (10,184 | ) | |||||
iShares 3-7 Year Treasury Bond ETF | 86 | (11,496 | ) | |||||
iShares MBS ETF | 104 | (11,513 | ) | |||||
Materials Select Sector SPDR Fund | 222 | (12,510 | ) | |||||
iShares MSCI Japan ETF | 294 | (16,147 | ) | |||||
iShares MSCI Brazil ETF | 585 | (16,824 | ) | |||||
Financial Select Sector SPDR Fund | 883 | (20,433 | ) | |||||
Industrial Select Sector SPDR Fund | 311 | (21,366 | ) | |||||
Consumer Discretionary Select Sector SPDR Fund | 170 | (21,711 | ) | |||||
iShares MSCI South Korea ETF | 401 | (22,909 | ) | |||||
iShares MSCI Hong Kong ETF | 1,403 | (29,982 | ) | |||||
Technology Select Sector SPDR Fund | 329 | (34,377 | ) | |||||
iShares Core U.S. Aggregate Bond ETF | 338 | (39,955 | ) | |||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 419 | (56,356 | ) | |||||
iShares MSCI Emerging Markets ETF | 1,486 | (59,425 | ) | |||||
Health Care Select Sector SPDR Fund | 641 | (64,145 | ) | |||||
SPDR Gold Shares — Class D* | 398 | (66,613 | ) | |||||
iShares MSCI Mexico ETF | 2,157 | (68,765 | ) | |||||
iShares Silver Trust* | 4,701 | (79,964 | ) | |||||
SPDR S&P 500 ETF Trust | 312 | (96,208 | ) | |||||
Utilities Select Sector SPDR Fund | 1,765 | (99,599 | ) | |||||
iShares S&P GSCI Commodity Indexed Trust | 9,757 | (101,180 | ) | |||||
Consumer Staples Select Sector SPDR Fund | 1,900 | (111,416 | ) | |||||
iShares Russell 2000 Index ETF | 873 | (124,996 | ) | |||||
iShares MSCI EAFE ETF | 2,340 | (142,436 | ) | |||||
iShares JP Morgan USD Emerging Markets Bond ETF | 1,569 | (171,366 | ) | |||||
iShares U.S. Real Estate ETF | 2,265 | (178,505 | ) | |||||
iShares 7-10 Year Treasury Bond ETF | 1,659 | (202,182 | ) | |||||
Energy Select Sector SPDR Fund | 10,893 | (412,300 | ) | |||||
iShares iBoxx High Yield Corporate Bond ETF | 7,920 | (646,430 | ) | |||||
iShares National Muni Bond ETF | 11,141 | (1,285,671 | ) | |||||
Total Exchange-Traded Funds Sold Short | ||||||||
(Proceeds $4,360,008) | (4,243,055 | ) | ||||||
Total Securities Sold Short - (16.1)% | ||||||||
(Proceeds $7,046,535) | $ | (7,009,729 | ) | |||||
Other Assets & Liabilities, net - 20.3% | 8,889,921 | |||||||
Total Net Assets - 100.0% | $ | 43,699,689 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||||
Australian Government 10 Year Bond Futures Contracts | 102 | Sep 2020 | $ | 10,441,483 | $ | 41,211 | ||||||||||
U.S. Treasury 10 Year Note Futures Contracts | 27 | Sep 2020 | 3,757,219 | 15,912 | ||||||||||||
Canadian Government 10 Year Bond Futures Contracts | 37 | Sep 2020 | 4,192,959 | 14,103 | ||||||||||||
U.S. Treasury Long Bond Futures Contracts | 4 | Sep 2020 | 714,000 | 5,237 | ||||||||||||
Euro - BTP Italian Government Bond Futures Contracts†† | 2 | Sep 2020 | 322,670 | 3,211 | ||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 2 | Sep 2020 | 436,187 | 3,141 | ||||||||||||
Long Gilt Futures Contracts†† | 6 | Sep 2020 | 1,021,672 | (1,657 | ) | |||||||||||
Euro - 30 year Bond Futures Contracts | 1 | Sep 2020 | 245,431 | (2,467 | ) | |||||||||||
$ | 21,131,621 | $ | 78,691 | |||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
CBOE Volatility Index Futures Contracts | 23 | Dec 2020 | $ | 668,150 | $ | 27,325 | ||||||||||
NASDAQ-100 Index Mini Futures Contracts | 1 | Sep 2020 | 202,675 | (192 | ) | |||||||||||
CBOE Volatility Index Futures Contracts | 5 | Nov 2020 | 152,750 | (1,026 | ) | |||||||||||
$ | 1,023,575 | $ | 26,107 | |||||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||||
Corn Futures Contracts | 42 | Sep 2020 | $ | 715,575 | $ | 24,549 | ||||||||||
Gold 100 oz. Futures Contracts | 2 | Aug 2020 | 359,580 | 6,984 | ||||||||||||
Natural Gas Futures Contracts | 20 | Jul 2020 | 350,800 | 1,736 | ||||||||||||
Natural Gas Futures Contracts | 7 | Aug 2020 | 125,370 | 1,082 | ||||||||||||
Live Cattle Futures Contracts | 12 | Aug 2020 | 463,320 | (42 | ) | |||||||||||
Soybean Oil Futures Contracts | 6 | Dec 2020 | 103,356 | (492 | ) | |||||||||||
Gasoline RBOB Futures Contracts | 10 | Sep 2020 | 466,452 | (8,812 | ) | |||||||||||
Sugar #11 Futures Contracts | 89 | Apr 2021 | 1,225,067 | (9,225 | ) | |||||||||||
$ | 3,809,520 | $ | 15,780 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
Futures Contracts (continued) | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
New Zealand Dollar Futures Contracts | 2 | Sep 2020 | $ | 129,040 | $ | 696 | ||||||||||
Euro FX Futures Contracts | 4 | Sep 2020 | 562,625 | (85 | ) | |||||||||||
Canadian Dollar Futures Contracts | 23 | Sep 2020 | 1,694,410 | (7,168 | ) | |||||||||||
Japanese Yen Futures Contracts | 36 | Sep 2020 | 4,171,500 | (16,899 | ) | |||||||||||
British Pound Futures Contracts | 31 | Sep 2020 | 2,401,531 | (34,072 | ) | |||||||||||
$ | 8,959,106 | $ | (57,528 | ) | ||||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||||
CBOE Volatility Index Futures Contracts | 17 | Oct 2020 | $ | 562,020 | $ | 24,469 | ||||||||||
CBOE Volatility Index Futures Contracts | 3 | Aug 2020 | 95,100 | 7,522 | ||||||||||||
Tokyo Stock Price Index Futures Contracts | 1 | Sep 2020 | 144,200 | 5,396 | ||||||||||||
Hang Seng Index Futures Contracts†† | 1 | Jul 2020 | 155,772 | 4,343 | ||||||||||||
FTSE 100 Index Futures Contracts | 2 | Sep 2020 | 152,250 | 3,107 | ||||||||||||
S&P 500 Index Mini Futures Contracts | 1 | Sep 2020 | 154,213 | 1,323 | ||||||||||||
Euro STOXX 50 Index Futures Contracts | 3 | Sep 2020 | 108,879 | 1,004 | ||||||||||||
IBEX 35 Index Futures Contracts†† | 1 | Jul 2020 | 81,304 | 400 | ||||||||||||
Russell 2000 Index Mini Futures Contracts | 1 | Sep 2020 | 71,820 | (112 | ) | |||||||||||
S&P/TSX 60 IX Index Futures Contracts | 1 | Sep 2020 | 136,592 | (164 | ) | |||||||||||
SPI 200 Index Futures Contracts | 1 | Sep 2020 | 101,463 | (825 | ) | |||||||||||
CAC 40 10 Euro Index Futures Contracts | 2 | Jul 2020 | 110,936 | (1,110 | ) | |||||||||||
OMX Stockholm 30 Index Futures Contracts†† | 5 | Jul 2020 | 89,859 | (1,714 | ) | |||||||||||
FTSE MIB Index Futures Contracts | 1 | Sep 2020 | 108,857 | (2,823 | ) | |||||||||||
DAX Index Futures Contracts | 1 | Sep 2020 | 346,774 | (3,453 | ) | |||||||||||
$ | 2,420,039 | $ | 37,363 | |||||||||||||
Commodity Futures Contracts Sold Short† | ||||||||||||||||
Sugar #11 Futures Contracts | 76 | Feb 2021 | $ | 1,069,107 | $ | 15,650 | ||||||||||
Hard Red Winter Wheat Futures Contracts | 15 | Sep 2020 | 330,375 | 11,648 | ||||||||||||
Wheat Futures Contracts | 12 | Sep 2020 | 295,350 | 6,585 | ||||||||||||
Gasoline RBOB Futures Contracts | 9 | Jul 2020 | 456,359 | 5,605 | ||||||||||||
Natural Gas Futures Contracts | 42 | Sep 2020 | 792,540 | 5,353 | ||||||||||||
Cocoa Futures Contracts | 8 | Sep 2020 | 174,800 | 4,675 | ||||||||||||
Lean Hogs Futures Contracts | 5 | Aug 2020 | 97,700 | 3,471 | ||||||||||||
Sugar #11 Futures Contracts | 14 | Sep 2020 | 187,690 | 3,387 | ||||||||||||
LME Nickel Futures Contracts | 1 | Aug 2020 | 76,689 | 1,224 | ||||||||||||
Brent Crude Futures Contracts | 2 | Jul 2020 | 82,700 | 1,077 | ||||||||||||
LME Primary Aluminum Futures Contracts | 7 | Aug 2020 | 281,444 | 685 | ||||||||||||
Live Cattle Futures Contracts | 17 | Dec 2020 | 705,840 | 458 | ||||||||||||
WTI Crude Futures Contracts | 1 | Jul 2020 | 39,350 | 427 | ||||||||||||
NY Harbor ULSD Futures Contracts | 1 | Jul 2020 | 49,946 | (3 | ) | |||||||||||
Low Sulphur Gas Oil Futures Contracts | 2 | Aug 2020 | 71,050 | (170 | ) | |||||||||||
LME Lead Futures Contracts | 4 | Aug 2020 | 176,925 | (212 | ) | |||||||||||
Soybean Meal Futures Contracts | 8 | Dec 2020 | 236,960 | (264 | ) | |||||||||||
Cotton #2 Futures Contracts | 3 | Dec 2020 | 91,500 | (469 | ) | |||||||||||
LME Zinc Futures Contracts | 2 | Aug 2020 | 102,100 | (631 | ) | |||||||||||
Soybean Futures Contracts | 12 | Nov 2020 | 529,200 | (2,856 | ) | |||||||||||
Coffee ‘C’ Futures Contracts | 8 | Sep 2020 | 303,450 | (5,036 | ) | |||||||||||
Cattle Feeder Futures Contracts | 4 | Aug 2020 | 266,500 | (6,555 | ) | |||||||||||
Corn Futures Contracts | 86 | Mar 2021 | 1,551,225 | (24,983 | ) | |||||||||||
$ | 7,968,800 | $ | 19,066 | |||||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||||
Euro - OATS Futures Contracts†† | 12 | Sep 2020 | $ | 2,256,086 | $ | 4,987 | ||||||||||
Euro - Bund Futures Contracts | 16 | Sep 2020 | 3,168,169 | (3,369 | ) | |||||||||||
$ | 5,424,255 | $ | 1,618 |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
Futures Contracts (concluded) | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||||
Australian Dollar Futures Contracts | 14 | Sep 2020 | $ | 966,280 | $ | 2,130 | ||||||||||
Swiss Franc Futures Contracts | 53 | Sep 2020 | 7,007,262 | (19,106 | ) | |||||||||||
$ | 7,973,542 | $ | (16,976 | ) |
Custom Basket Swap Agreements | |||||||||||||||
Counterparty | Reference | Financing Rate | Payment | Maturity | Notional | Value and | |||||||||
OTC Custom Basket Swap Agreements†† | |||||||||||||||
Morgan Stanley Capital Services LLC | MS Equity Market Neutral Custom Basket | 0.48% (Federal Funds Effective Rate + 0.40%) | At Maturity | 08/31/23 | $ | 3,094,596 | $ | 283,351 | |||||||
Goldman Sachs International | GS Equity Market Neutral Custom Basket | 0.53% (Federal Funds Effective Rate + 0.45%) | At Maturity | 05/06/24 | 3,094,596 | 163,768 | |||||||||
Morgan Stanley Capital Services LLC | MS Long/Short Equity Custom Basket | 0.48% (Federal Funds Effective Rate + 0.40%) | At Maturity | 08/31/23 | 5,500,575 | (99,552 | ) | ||||||||
Goldman Sachs International | GS Long/Short Equity Custom Basket | 0.53% (Federal Funds Effective Rate + 0.45%) | At Maturity | 05/06/24 | 5,500,576 | (135,883 | ) | ||||||||
$ | 17,190,343 | $ | 211,684 | ||||||||||||
OTC Custom Basket Swap Agreements Sold Short†† | |||||||||||||||
Goldman Sachs International | GS Long/Short Equity Custom Basket | (0.12%) (Federal Funds Effective Rate - 0.20%) | At Maturity | 05/06/24 | $ | 3,341,617 | $ | (74,111 | ) | ||||||
Morgan Stanley Capital Services LLC | MS Long/Short Equity Custom Basket | (0.22%) (Federal Funds Effective Rate - 0.30%) | At Maturity | 08/31/23 | 3,388,145 | (71,768 | ) | ||||||||
Morgan Stanley Capital Services LLC | MS Equity Market Neutral Custom Basket | (0.22%) (Federal Funds Effective Rate - 0.30%) | At Maturity | 08/31/23 | 3,265,004 | 80,435 | |||||||||
Goldman Sachs International | GS Equity Market Neutral Custom Basket | (0.12%) (Federal Funds Effective Rate - 0.20%) | At Maturity | 05/06/24 | 3,290,057 | 83,486 | |||||||||
$ | 13,284,823 | $ | 18,042 |
| Shares | Percentage |
| |||||||||
MS EQUITY MARKET NEUTRAL LONG CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Safehold, Inc. | 4,333 | 8.05 | % | $ | 123,364 | |||||||
Sun Communities, Inc. | 1,092 | 4.79 | % | 32,825 | ||||||||
Equity LifeStyle Properties, Inc. | 2,283 | 4.61 | % | 32,605 | ||||||||
VEREIT, Inc. | 19,527 | 4.06 | % | 32,428 | ||||||||
Invitation Homes, Inc. | 5,519 | 4.91 | % | 31,044 | ||||||||
Terreno Realty Corp. | 2,326 | 3.96 | % | 26,425 | ||||||||
Rexford Industrial Realty, Inc. | 2,966 | 3.97 | % | 24,524 | ||||||||
Regency Centers Corp. | 2,613 | 3.87 | % | 15,196 | ||||||||
Innovative Industrial Properties, Inc. | 1,757 | 5.00 | % | 15,045 | ||||||||
Healthcare Trust of America, Inc. — Class A | 5,429 | 4.65 | % | 11,910 | ||||||||
AGNC Investment Corp. | 12,389 | 5.16 | % | 4,392 | ||||||||
| Value and | |||||||||||
Healthpeak Properties, Inc. | 3,709 | 3.30 | % | 3,900 | ||||||||
Cousins Properties, Inc. | 4,297 | 4.14 | % | 1,152 | ||||||||
Weingarten Realty Investors | 6,635 | 4.06 | % | 897 | ||||||||
Equinix, Inc. | 132 | 3.00 | % | 886 | ||||||||
Mid-America Apartment Communities, Inc. | 1,090 | 4.04 | % | 730 | ||||||||
Life Storage, Inc. | 1,303 | 4.00 | % | (144 | ) | |||||||
Sunstone Hotel Investors, Inc. | 7,091 | 1.87 | % | (259 | ) | |||||||
American Homes 4 Rent — Class A | 5,535 | 4.81 | % | (1,720 | ) | |||||||
MGM Growth Properties LLC — Class A | 4,166 | 3.66 | % | (6,392 | ) | |||||||
Federal Realty Investment Trust | 1,486 | 4.09 | % | (12,914 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
Highwoods Properties, Inc. | 2,957 | 3.57 | % | $ | (15,391 | ) | ||||||
Ventas, Inc. | 2,046 | 2.42 | % | (17,497 | ) | |||||||
Sabra Health Care REIT, Inc. | 8,602 | 4.01 | % | (19,655 | ) | |||||||
Total MS Equity Market Neutral Long Custom Basket | $ | 283,351 | ||||||||||
MS EQUITY MARKET NEUTRAL SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Kimco Realty Corp. | 12,951 | (5.11 | )% | 55,051 | ||||||||
RLJ Lodging Trust | 9,056 | (2.62 | )% | 35,046 | ||||||||
Piedmont Office Realty Trust, Inc. — Class A | 8,756 | (4.45 | )% | 32,513 | ||||||||
Industrial Logistics Properties Trust | 5,468 | (3.44 | )% | 6,520 | ||||||||
CBRE Group, Inc. — Class A | 1,221 | (1.69 | )% | 4,168 | ||||||||
Jones Lang LaSalle, Inc. | 548 | (1.74 | )% | 3,678 | ||||||||
Paramount Group, Inc. | 19,957 | (4.71 | )% | 1,879 | ||||||||
Service Properties Trust | 5,704 | (1.24 | )% | 1,872 | ||||||||
Park Hotels & Resorts, Inc. | 8,443 | (2.56 | )% | 1,155 | ||||||||
American Campus Communities, Inc. | 3,543 | (3.79 | )% | 127 | ||||||||
Public Storage | 476 | (2.80 | )% | (243 | ) | |||||||
Digital Realty Trust, Inc. | 658 | (2.86 | )% | (325 | ) | |||||||
Welltower, Inc. | 2,388 | (3.78 | )% | (350 | ) | |||||||
Saul Centers, Inc. | 967 | (0.96 | )% | (397 | ) | |||||||
Retail Opportunity Investments Corp. | 8,309 | (2.88 | )% | (464 | ) | |||||||
Investors Real Estate Trust | 3,392 | (7.32 | )% | (517 | ) | |||||||
UDR, Inc. | 3,316 | (3.80 | )% | (592 | ) | |||||||
STAG Industrial, Inc. | 4,195 | (3.77 | )% | (596 | ) | |||||||
Hersha Hospitality Trust | 8,068 | (1.42 | )% | (1,343 | ) | |||||||
Cushman & Wakefield plc | 5,104 | (1.95 | )% | (2,235 | ) | |||||||
Monmouth Real Estate Investment Corp. | 11,958 | (5.31 | )% | (3,319 | ) | |||||||
Brandywine Realty Trust | 11,810 | (3.94 | )% | (4,716 | ) | |||||||
Physicians Realty Trust | 7,704 | (4.13 | )% | (5,012 | ) | |||||||
Retail Properties of America, Inc. — Class A | 18,167 | (4.07 | )% | (9,239 | ) | |||||||
Brixmor Property Group, Inc. | 7,596 | (2.98 | )% | (13,558 | ) | |||||||
Kennedy-Wilson Holdings, Inc. | 10,263 | (4.78 | )% | (18,963 | ) | |||||||
Four Corners Property Trust, Inc. | 3,441 | (2.57 | )% | (21,199 | ) | |||||||
STORE Capital Corp. | 4,968 | (3.62 | )% | (23,174 | ) | |||||||
Total Financial | 35,767 | |||||||||||
Exchange Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 2,372 | (5.71 | )% | 44,668 | ||||||||
Total MS Equity Market Neutral Short Custom Basket | $ | 80,435 |
GS EQUITY MARKET NEUTRAL LONG CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Safehold, Inc. | 4,333 | 8.05 | % | 123,153 | ||||||||
VEREIT, Inc. | 19,527 | 4.06 | % | 32,382 | ||||||||
Invitation Homes, Inc. | 5,519 | 4.91 | % | 18,885 | ||||||||
Innovative Industrial Properties, Inc. | 1,757 | 5.00 | % | 17,161 | ||||||||
Regency Centers Corp. | 2,613 | 3.87 | % | 15,173 | ||||||||
Terreno Realty Corp. | 2,326 | 3.96 | % | 12,191 | ||||||||
Healthcare Trust of America, Inc. — Class A | 5,429 | 4.65 | % | 11,087 | ||||||||
Sun Communities, Inc. | 1,092 | 4.79 | % | 6,097 | ||||||||
Rexford Industrial Realty, Inc. | 2,966 | 3.97 | % | 5,116 | ||||||||
AGNC Investment Corp. | 12,389 | 5.16 | % | 4,506 | ||||||||
Equity LifeStyle Properties, Inc. | 2,283 | 4.61 | % | 2,772 | ||||||||
Cousins Properties, Inc. | 4,297 | 4.14 | % | 1,566 | ||||||||
Weingarten Realty Investors | 6,635 | 4.06 | % | 936 | ||||||||
Equinix, Inc. | 132 | 3.00 | % | 902 | ||||||||
Mid-America Apartment Communities, Inc. | 1,090 | 4.04 | % | 541 | ||||||||
Life Storage, Inc. | 1,303 | 4.00 | % | 45 | ||||||||
Sunstone Hotel Investors, Inc. | 7,091 | 1.87 | % | (241 | ) | |||||||
American Homes 4 Rent — Class A | 5,535 | 4.81 | % | (1,796 | ) | |||||||
MGM Growth Properties LLC — Class A | 4,166 | 3.66 | % | (6,534 | ) | |||||||
Federal Realty Investment Trust | 1,486 | 4.09 | % | (12,893 | ) | |||||||
Healthpeak Properties, Inc. | 3,709 | 3.30 | % | (14,051 | ) | |||||||
Highwoods Properties, Inc. | 2,957 | 3.57 | % | (15,471 | ) | |||||||
Ventas, Inc. | 2,046 | 2.42 | % | (17,798 | ) | |||||||
Sabra Health Care REIT, Inc. | 8,602 | 4.01 | % | (19,961 | ) | |||||||
Total GS Equity Market Neutral Long Custom Basket | $ | 163,768 |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
GS EQUITY MARKET NEUTRAL SHORT CUSTOM BASKET | ||||||||||||
Financial | ||||||||||||
Kimco Realty Corp. | 12,951 | (5.04 | )% | $ | 54,439 | |||||||
Piedmont Office Realty Trust, Inc. — Class A | 8,756 | (4.42 | )% | 36,129 | ||||||||
RLJ Lodging Trust | 9,056 | (2.60 | )% | 34,807 | ||||||||
Industrial Logistics Properties Trust | 5,468 | (3.42 | )% | 6,582 | ||||||||
CBRE Group, Inc. — Class A | 1,221 | (1.68 | )% | 4,093 | ||||||||
Jones Lang LaSalle, Inc. | 548 | (1.72 | )% | 3,655 | ||||||||
Paramount Group, Inc. | 19,957 | (4.68 | )% | 2,021 | ||||||||
Service Properties Trust | 5,704 | (1.23 | )% | 1,910 | ||||||||
Park Hotels & Resorts, Inc. | 8,443 | (2.54 | )% | 1,092 | ||||||||
American Campus Communities, Inc. | 3,543 | (3.76 | )% | 359 | ||||||||
Welltower, Inc. | 2,388 | (3.76 | )% | 162 | ||||||||
Public Storage | 476 | (2.78 | )% | (254 | ) | |||||||
Digital Realty Trust, Inc. | 658 | (2.84 | )% | (331 | ) | |||||||
Retail Opportunity Investments Corp. | 8,309 | (2.86 | )% | (356 | ) | |||||||
UDR, Inc. | 3,316 | (3.77 | )% | (573 | ) | |||||||
STAG Industrial, Inc. | 4,195 | (3.74 | )% | (623 | ) | |||||||
Investors Real Estate Trust | 3,421 | (7.33 | )% | (711 | ) | |||||||
Saul Centers, Inc. | 1,680 | (1.65 | )% | (814 | ) | |||||||
Hersha Hospitality Trust | 8,068 | (1.41 | )% | (1,306 | ) | |||||||
Cushman & Wakefield plc | 5,104 | (1.93 | )% | (2,135 | ) | |||||||
Monmouth Real Estate Investment Corp. | 11,958 | (5.27 | )% | (3,284 | ) | |||||||
Physicians Realty Trust | 7,704 | (4.10 | )% | (5,129 | ) | |||||||
Brandywine Realty Trust | 11,810 | (3.91 | )% | (5,547 | ) | |||||||
Retail Properties of America, Inc. — Class A | 18,167 | (4.04 | )% | (8,730 | ) | |||||||
Brixmor Property Group, Inc. | 7,596 | (2.96 | )% | (13,625 | ) | |||||||
Kennedy-Wilson Holdings, Inc. | 10,263 | (4.75 | )% | (19,066 | ) | |||||||
Four Corners Property Trust, Inc. | 3,441 | (2.55 | )% | (20,950 | ) | |||||||
STORE Capital Corp. | 4,968 | (3.60 | )% | (23,026 | ) | |||||||
Total Financial | 38,789 | |||||||||||
Exchange Traded Funds | ||||||||||||
Vanguard Real Estate ETF | 2,372 | (5.66 | )% | 44,697 | ||||||||
Total GS Equity Market Neutral Short Custom Basket | $ | 83,486 |
MS LONG/SHORT EQUITY LONG CUSTOM BASKET | ||||||||||||
Consumer, Non-cyclical | ||||||||||||
Eli Lilly & Co. | 326 | 0.94 | % | 15,731 | ||||||||
McKesson Corp. | 365 | 1.02 | % | 11,655 | ||||||||
Kimberly-Clark Corp. | 464 | 1.19 | % | 9,059 | ||||||||
Rent-A-Center, Inc. | 822 | 0.42 | % | 7,858 | ||||||||
Amgen, Inc. | 213 | 0.91 | % | 6,975 | ||||||||
Laboratory Corporation of America Holdings | 127 | 0.38 | % | 4,875 | ||||||||
United Therapeutics Corp. | 156 | 0.34 | % | 4,848 | ||||||||
CVS Health Corp. | 379 | 0.45 | % | 4,222 | ||||||||
United Rentals, Inc. | 135 | 0.37 | % | 3,864 | ||||||||
Herbalife Nutrition Ltd. | 667 | 0.55 | % | 3,199 | ||||||||
Kellogg Co. | 547 | 0.66 | % | 3,192 | ||||||||
General Mills, Inc. | 627 | 0.70 | % | 3,047 | ||||||||
Gilead Sciences, Inc. | 415 | 0.58 | % | 2,078 | ||||||||
Cardinal Health, Inc. | 928 | 0.88 | % | 1,999 | ||||||||
Johnson & Johnson | 400 | 1.02 | % | 1,392 | ||||||||
Alexion Pharmaceuticals, Inc. | 125 | 0.26 | % | 1,159 | ||||||||
Incyte Corp. | 226 | 0.43 | % | 1,145 | ||||||||
Molina Healthcare, Inc. | 190 | 0.61 | % | 912 | ||||||||
JM Smucker Co. | 289 | 0.56 | % | 666 | ||||||||
PepsiCo, Inc. | 162 | 0.39 | % | 154 | ||||||||
Colgate-Palmolive Co. | 570 | 0.76 | % | 103 | ||||||||
Campbell Soup Co. | 873 | 0.79 | % | 46 | ||||||||
Abbott Laboratories | 162 | 0.27 | % | 35 | ||||||||
Monster Beverage Corp. | 211 | 0.27 | % | (279 | ) | |||||||
Procter & Gamble Co. | 496 | 1.08 | % | (425 | ) | |||||||
Quest Diagnostics, Inc. | 187 | 0.39 | % | (475 | ) | |||||||
UnitedHealth Group, Inc. | 55 | 0.29 | % | (854 | ) | |||||||
Mondelez International, Inc. — Class A | 600 | 0.56 | % | (1,091 | ) | |||||||
Innoviva, Inc. | 1,422 | 0.36 | % | (1,102 | ) | |||||||
Kraft Heinz Co. | 1,002 | 0.58 | % | (1,242 | ) | |||||||
DaVita, Inc. | 236 | 0.34 | % | (1,459 | ) | |||||||
Post Holdings, Inc. | 268 | 0.43 | % | (1,522 | ) | |||||||
Dentsply Sirona, Inc. | 374 | 0.30 | % | (1,767 | ) | |||||||
Archer-Daniels-Midland Co. | 753 | 0.55 | % | (1,859 | ) | |||||||
TreeHouse Foods, Inc. | 423 | 0.34 | % | (1,919 | ) | |||||||
Tyson Foods, Inc. — Class A | 309 | 0.34 | % | (2,086 | ) | |||||||
Universal Health Services, Inc. — Class B | 155 | 0.26 | % | (2,437 | ) | |||||||
John B Sanfilippo & Son, Inc. | 327 | 0.51 | % | (2,511 | ) | |||||||
Altria Group, Inc. | 1,166 | 0.83 | % | (2,603 | ) | |||||||
Philip Morris International, Inc. | 649 | 0.83 | % | (2,654 | ) | |||||||
Henry Schein, Inc. | 830 | 0.88 | % | (3,426 | ) | |||||||
Cigna Corp. | 131 | 0.45 | % | (3,688 | ) | |||||||
Biogen, Inc. | 74 | 0.36 | % | (3,848 | ) | |||||||
Ingredion, Inc. | 690 | 1.04 | % | (4,162 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
HCA Healthcare, Inc. | 242 | 0.43 | % | $ | (4,196 | ) | ||||||
Jazz Pharmaceuticals plc | 309 | 0.62 | % | (4,369 | ) | |||||||
Medtronic plc | 607 | 1.01 | % | (4,731 | ) | |||||||
Pfizer, Inc. | 1,042 | 0.62 | % | (5,284 | ) | |||||||
Molson Coors Beverage Co. — Class B | 1,370 | 0.86 | % | (23,707 | ) | |||||||
Total Consumer, Non-cyclical | 4,518 | |||||||||||
Communications | ||||||||||||
eBay, Inc. | 542 | 0.52 | % | 8,567 | ||||||||
Alphabet, Inc. — Class C | 28 | 0.72 | % | 7,366 | ||||||||
Cisco Systems, Inc. | 1,242 | 1.05 | % | 4,660 | ||||||||
Facebook, Inc. — Class A | 61 | 0.25 | % | 4,046 | ||||||||
Interpublic Group of Companies, Inc. | 750 | 0.23 | % | 1,578 | ||||||||
Verizon Communications, Inc. | 1,116 | 1.12 | % | 887 | ||||||||
Viavi Solutions, Inc. | 1,356 | 0.31 | % | 620 | ||||||||
Juniper Networks, Inc. | 2,162 | 0.90 | % | 89 | ||||||||
AT&T, Inc. | 1,319 | 0.72 | % | 49 | ||||||||
Ciena Corp. | 367 | 0.36 | % | (152 | ) | |||||||
Sirius XM Holdings, Inc. | 3,180 | 0.34 | % | (1,540 | ) | |||||||
Yelp, Inc. — Class A | 568 | 0.24 | % | (1,748 | ) | |||||||
Booking Holdings, Inc. | 25 | 0.72 | % | (1,922 | ) | |||||||
Comcast Corp. — Class A | 1,319 | 0.93 | % | (2,664 | ) | |||||||
Fox Corp. — Class A | 664 | 0.32 | % | (2,744 | ) | |||||||
Omnicom Group, Inc. | 855 | 0.85 | % | (12,295 | ) | |||||||
Total Communications | 4,797 | |||||||||||
Industrial | ||||||||||||
Snap-on, Inc. | 351 | 0.88 | % | 7,266 | ||||||||
Werner Enterprises, Inc. | 680 | 0.54 | % | 6,790 | ||||||||
Garmin Ltd. | 294 | 0.52 | % | 4,250 | ||||||||
Regal Beloit Corp. | 245 | 0.39 | % | 4,201 | ||||||||
Union Pacific Corp. | 333 | 1.02 | % | 4,111 | ||||||||
Schneider National, Inc. — Class B | 885 | 0.40 | % | 3,719 | ||||||||
CSX Corp. | 566 | 0.72 | % | 3,606 | ||||||||
Norfolk Southern Corp. | 298 | 0.95 | % | 3,291 | ||||||||
Owens Corning | 376 | 0.38 | % | 3,057 | ||||||||
TE Connectivity Ltd. | 176 | 0.26 | % | 2,451 | ||||||||
Westrock Co. | 613 | 0.31 | % | 1,932 | ||||||||
Landstar System, Inc. | 254 | 0.52 | % | 1,926 | ||||||||
J.B. Hunt Transport Services, Inc. | 334 | 0.73 | % | 1,355 | ||||||||
Caterpillar, Inc. | 476 | 1.09 | % | 1,259 | ||||||||
FedEx Corp. | 257 | 0.66 | % | 1,254 | ||||||||
National Instruments Corp. | 379 | 0.27 | % | 573 | ||||||||
Oshkosh Corp. | 217 | 0.28 | % | 374 | ||||||||
Lincoln Electric Holdings, Inc. | 245 | 0.38 | % | 373 | ||||||||
Expeditors International of Washington, Inc. | 632 | 0.87 | % | 365 | ||||||||
Old Dominion Freight Line, Inc. | 1 | 0.00 | % | 37 | ||||||||
Illinois Tool Works, Inc. | 82 | 0.26 | % | (216 | ) | |||||||
Timken Co. | 463 | 0.38 | % | (1,316 | ) | |||||||
Arrow Electronics, Inc. | 263 | 0.33 | % | (1,538 | ) | |||||||
Gentex Corp. | 2,340 | 1.10 | % | (1,901 | ) | |||||||
Hubbell, Inc. | 200 | 0.46 | % | (2,010 | ) | |||||||
Eaton Corporation plc | 368 | 0.59 | % | (2,694 | ) | |||||||
Honeywell International, Inc. | 193 | 0.51 | % | (4,109 | ) | |||||||
Emerson Electric Co. | 322 | 0.36 | % | (4,462 | ) | |||||||
Terex Corp. | 1,042 | 0.36 | % | (5,975 | ) | |||||||
AGCO Corp. | 386 | 0.39 | % | (6,221 | ) | |||||||
Waters Corp. | 261 | 0.86 | % | (7,366 | ) | |||||||
Total Industrial | 14,382 | |||||||||||
Utilities | ||||||||||||
FirstEnergy Corp. | 808 | 0.57 | % | 1,172 | ||||||||
CenterPoint Energy, Inc. | 932 | 0.32 | % | (65 | ) | |||||||
OGE Energy Corp. | 762 | 0.42 | % | (718 | ) | |||||||
Southwest Gas Holdings, Inc. | 198 | 0.25 | % | (1,143 | ) | |||||||
Ameren Corp. | 407 | 0.52 | % | (1,881 | ) | |||||||
NorthWestern Corp. | 345 | 0.34 | % | (2,512 | ) | |||||||
IDACORP, Inc. | 406 | 0.64 | % | (2,636 | ) | |||||||
Avista Corp. | 385 | 0.25 | % | (3,006 | ) | |||||||
Evergy, Inc. | 789 | 0.85 | % | (3,087 | ) | |||||||
NiSource, Inc. | 1,365 | 0.56 | % | (3,538 | ) | |||||||
ONE Gas, Inc. | 530 | 0.74 | % | (3,659 | ) | |||||||
NRG Energy, Inc. | 778 | 0.46 | % | (3,773 | ) | |||||||
Pinnacle West Capital Corp. | 696 | 0.93 | % | (3,863 | ) | |||||||
Portland General Electric Co. | 953 | 0.72 | % | (5,424 | ) | |||||||
Southern Co. | 1,009 | 0.95 | % | (6,923 | ) | |||||||
Consolidated Edison, Inc. | 787 | 1.03 | % | (7,476 | ) | |||||||
National Fuel Gas Co. | 733 | 0.56 | % | (7,643 | ) | |||||||
PPL Corp. | 2,085 | 0.98 | % | (8,321 | ) | |||||||
Public Service Enterprise Group, Inc. | 1,092 | 0.98 | % | (8,380 | ) | |||||||
Exelon Corp. | 1,708 | 1.13 | % | (10,038 | ) | |||||||
Total Utilities | (82,914 | ) | ||||||||||
Financial | ||||||||||||
Waddell & Reed Financial, Inc. — Class A | 1,920 | 0.54 | % | 5,214 | ||||||||
Western Union Co. | 1,471 | 0.58 | % | 1,103 | ||||||||
Piedmont Office Realty Trust, Inc. — Class A | 2,468 | 0.75 | % | 137 | ||||||||
Host Hotels & Resorts, Inc. | 1,579 | 0.31 | % | (820 | ) | |||||||
M&T Bank Corp. | 239 | 0.45 | % | (1,385 | ) |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
Ameriprise Financial, Inc. | 150 | 0.41 | % | $ | (1,520 | ) | ||||||
Travelers Companies, Inc. | 184 | 0.38 | % | (2,088 | ) | |||||||
Synchrony Financial | 564 | 0.23 | % | (2,105 | ) | |||||||
Vornado Realty Trust | 763 | 0.53 | % | (2,555 | ) | |||||||
Bank of America Corp. | 708 | 0.31 | % | (3,092 | ) | |||||||
Wells Fargo & Co. | 463 | 0.22 | % | (3,211 | ) | |||||||
Weingarten Realty Investors | 691 | 0.24 | % | (3,270 | ) | |||||||
Allstate Corp. | 556 | 0.98 | % | (3,564 | ) | |||||||
Highwoods Properties, Inc. | 578 | 0.39 | % | (3,856 | ) | |||||||
Boston Properties, Inc. | 384 | 0.63 | % | (5,257 | ) | |||||||
Kennedy-Wilson Holdings, Inc. | 1,828 | 0.51 | % | (5,883 | ) | |||||||
Equity Residential | 919 | 0.98 | % | (6,472 | ) | |||||||
MetLife, Inc. | 1,633 | 1.08 | % | (8,154 | ) | |||||||
Total Financial | (46,778 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
DR Horton, Inc. | 354 | 0.36 | % | 5,608 | ||||||||
Polaris, Inc. | 201 | 0.34 | % | 4,790 | ||||||||
Cummins, Inc. | 352 | 1.11 | % | 4,193 | ||||||||
Lowe’s Companies, Inc. | 203 | 0.50 | % | 3,908 | ||||||||
Best Buy Company, Inc. | 306 | 0.49 | % | 3,289 | ||||||||
Hanesbrands, Inc. | 1,508 | 0.31 | % | 2,978 | ||||||||
MSC Industrial Direct Company, Inc. — Class A | 304 | 0.40 | % | 2,330 | ||||||||
Brunswick Corp. | 368 | 0.43 | % | 1,893 | ||||||||
Gentherm, Inc. | 980 | 0.69 | % | 1,541 | ||||||||
Lear Corp. | 252 | 0.50 | % | 1,114 | ||||||||
Autoliv, Inc. | 932 | 1.09 | % | (777 | ) | |||||||
PACCAR, Inc. | 217 | 0.30 | % | (909 | ) | |||||||
Whirlpool Corp. | 205 | 0.48 | % | (3,014 | ) | |||||||
Mohawk Industries, Inc. | 131 | 0.24 | % | (4,393 | ) | |||||||
Allison Transmission Holdings, Inc. | 911 | 0.61 | % | (6,596 | ) | |||||||
General Motors Co. | 1,092 | 0.50 | % | (9,174 | ) | |||||||
Southwest Airlines Co. | 583 | 0.36 | % | (11,739 | ) | |||||||
Total Consumer, Cyclical | (4,958 | ) | ||||||||||
Technology | ||||||||||||
Skyworks Solutions, Inc. | 189 | 0.44 | % | 6,052 | ||||||||
QUALCOMM, Inc. | 507 | 0.84 | % | 4,979 | ||||||||
Maxim Integrated Products, Inc. | 746 | 0.82 | % | 4,826 | ||||||||
CDK Global, Inc. | 609 | 0.46 | % | 3,657 | ||||||||
Cognizant Technology Solutions Corp. — Class A | 518 | 0.54 | % | 3,145 | ||||||||
Oracle Corp. | 955 | 0.96 | % | 2,574 | ||||||||
Applied Materials, Inc. | 332 | 0.36 | % | 2,442 | ||||||||
Apple, Inc. | 101 | 0.67 | % | 1,984 | ||||||||
Paychex, Inc. | 189 | 0.26 | % | 1,700 | ||||||||
HP, Inc. | 941 | 0.30 | % | 1,684 | ||||||||
Texas Instruments, Inc. | 337 | 0.78 | % | 1,680 | ||||||||
Xilinx, Inc. | 153 | 0.27 | % | 1,179 | ||||||||
NetApp, Inc. | 818 | 0.66 | % | 1,159 | ||||||||
Lam Research Corp. | 48 | 0.28 | % | 881 | ||||||||
KLA Corp. | 114 | 0.40 | % | 316 | ||||||||
Synaptics, Inc. | 278 | 0.30 | % | 145 | ||||||||
Micron Technology, Inc. | 286 | 0.27 | % | (439 | ) | |||||||
Intel Corp. | 676 | 0.74 | % | (490 | ) | |||||||
Zebra Technologies Corp. — Class A | 56 | 0.26 | % | (966 | ) | |||||||
Cerner Corp. | 883 | 1.10 | % | (1,902 | ) | |||||||
International Business Machines Corp. | 318 | 0.70 | % | (3,353 | ) | |||||||
Seagate Technology plc | 1,113 | 0.98 | % | (3,998 | ) | |||||||
Teradata Corp. | 867 | 0.33 | % | (5,241 | ) | |||||||
Total Technology | 22,014 | |||||||||||
Energy | ||||||||||||
Chevron Corp. | 144 | 0.23 | % | (3,308 | ) | |||||||
Exxon Mobil Corp. | 321 | 0.26 | % | (7,305 | ) | |||||||
Total Energy | (10,613 | ) | ||||||||||
Total MS Long/Short Equity Long Custom Basket | $ | (99,552 | ) | |||||||||
MS LONG/SHORT EQUITY SHORT CUSTOM BASKET | ||||||||||||
Basic Materials | ||||||||||||
Balchem Corp. | 532 | (1.49 | )% | 6,671 | ||||||||
PPG Industries, Inc. | 547 | �� | (1.71 | )% | 3,112 | |||||||
DuPont de Nemours, Inc. | 323 | (0.51 | )% | 1,074 | ||||||||
Nucor Corp. | 332 | (0.41 | )% | 771 | ||||||||
Livent Corp. | 1 | 0.00 | % | 5 | ||||||||
Royal Gold, Inc. | 121 | (0.44 | )% | (215 | ) | |||||||
Linde plc | 343 | (2.15 | )% | (1,990 | ) | |||||||
Air Products & Chemicals, Inc. | 298 | (2.12 | )% | (2,871 | ) | |||||||
Ashland Global Holdings, Inc. | 880 | (1.79 | )% | (2,916 | ) | |||||||
RPM International, Inc. | 682 | (1.51 | )% | (3,545 | ) | |||||||
Albemarle Corp. | 293 | (0.67 | )% | (4,549 | ) | |||||||
Ecolab, Inc. | 237 | (1.39 | )% | (5,193 | ) | |||||||
Freeport-McMoRan, Inc. | 2,192 | (0.75 | )% | (5,461 | ) | |||||||
Newmont Corp. | 651 | (1.19 | )% | (9,829 | ) | |||||||
Quaker Chemical Corp. | 269 | (1.47 | )% | (13,071 | ) | |||||||
Total Basic Materials | (38,007 | ) | ||||||||||
Financial | ||||||||||||
People’s United Financial, Inc. | 1,635 | (0.56 | )% | 10,930 | ||||||||
Realty Income Corp. | 737 | (1.29 | )% | 9,560 | ||||||||
Ameris Bancorp | 811 | (0.56 | )% | 8,254 | ||||||||
Valley National Bancorp | 5,158 | (1.19 | )% | 7,900 | ||||||||
Alleghany Corp. | 100 | (1.44 | )% | 7,403 | ||||||||
Markel Corp. | 62 | (1.69 | )% | 6,814 | ||||||||
Old National Bancorp | 1,321 | (0.54 | )% | 6,681 | ||||||||
UDR, Inc. | 865 | (0.95 | )% | 6,534 | ||||||||
Acadia Realty Trust | 1,777 | (0.68 | )% | 4,598 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
Glacier Bancorp, Inc. | 451 | (0.47 | )% | $ | 4,511 | |||||||
Kilroy Realty Corp. | 579 | (1.00 | )% | 4,008 | ||||||||
JBG SMITH Properties | 984 | (0.86 | )% | 3,497 | ||||||||
First Financial Bankshares, Inc. | 876 | (0.75 | )% | 3,357 | ||||||||
First Midwest Bancorp, Inc. | 1,368 | (0.54 | )% | 2,770 | ||||||||
Fulton Financial Corp. | 2,603 | (0.81 | )% | 2,496 | ||||||||
Loews Corp. | 593 | (0.60 | )% | 2,373 | ||||||||
TFS Financial Corp. | 1,237 | (0.52 | )% | 2,302 | ||||||||
Healthcare Realty Trust, Inc. | 1,328 | (1.15 | )% | 2,149 | ||||||||
Americold Realty Trust | 1,702 | (1.82 | )% | 1,828 | ||||||||
Global Net Lease, Inc. | 1,295 | (0.64 | )% | 1,709 | ||||||||
Prologis, Inc. | 380 | (1.05 | )% | 1,621 | ||||||||
Southside Bancshares, Inc. | 816 | (0.67 | )% | 1,607 | ||||||||
RLI Corp. | 238 | (0.58 | )% | 1,388 | ||||||||
Brookline Bancorp, Inc. | 3,071 | (0.91 | )% | 1,361 | ||||||||
Medical Properties Trust, Inc. | 1,744 | (0.97 | )% | 1,154 | ||||||||
QTS Realty Trust, Inc. — Class A | 573 | (1.08 | )% | 309 | ||||||||
New York Community Bancorp, Inc. | 1,327 | (0.40 | )% | 296 | ||||||||
Agree Realty Corp. | 890 | (1.73 | )% | (139 | ) | |||||||
EastGroup Properties, Inc. | 225 | (0.79 | )% | (329 | ) | |||||||
American Assets Trust, Inc. | 555 | (0.46 | )% | (556 | ) | |||||||
CyrusOne, Inc. | 199 | (0.43 | )% | (898 | ) | |||||||
Easterly Government Properties, Inc. | 1,314 | (0.90 | )% | (909 | ) | |||||||
Northfield Bancorp, Inc. | 1,048 | (0.36 | )% | (970 | ) | |||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 731 | (0.61 | )% | (1,219 | ) | |||||||
James River Group Holdings Ltd. | 493 | (0.65 | )% | (1,578 | ) | |||||||
Healthcare Trust of America, Inc. — Class A | 1,099 | (0.86 | )% | (1,820 | ) | |||||||
STAG Industrial, Inc. | 615 | (0.53 | )% | (1,891 | ) | |||||||
American Tower Corp. — Class A | 57 | (0.43 | )% | (1,914 | ) | |||||||
BOK Financial Corp. | 230 | (0.38 | )% | (2,040 | ) | |||||||
Sun Communities, Inc. | 286 | (1.15 | )% | (2,127 | ) | |||||||
Crown Castle International Corp. | 86 | (0.42 | )% | (2,905 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 318 | (1.52 | )% | (3,164 | ) | |||||||
SBA Communications Corp. | 50 | (0.44 | )% | (3,466 | ) | |||||||
Flagstar Bancorp, Inc. | 569 | (0.49 | )% | (4,490 | ) | |||||||
Equinix, Inc. | 22 | (0.46 | )% | (4,534 | ) | |||||||
Rexford Industrial Realty, Inc. | 1,328 | (1.62 | )% | (6,496 | ) | |||||||
Terreno Realty Corp. | 697 | (1.08 | )% | (8,481 | ) | |||||||
Total Financial | 57,484 | |||||||||||
Communications | ||||||||||||
Liberty Broadband Corp. — Class C | 330 | (1.21 | )% | 2,942 | ||||||||
FactSet Research Systems, Inc. | 50 | (0.48 | )% | (1,766 | ) | |||||||
Zendesk, Inc. | 117 | (0.31 | )% | (1,807 | ) | |||||||
Anaplan, Inc. | 322 | (0.43 | )% | (1,980 | ) | |||||||
Okta, Inc. | 54 | (0.32 | )% | (3,161 | ) | |||||||
Q2 Holdings, Inc. | 353 | (0.89 | )% | (4,544 | ) | |||||||
Total Communications | (10,316 | ) | ||||||||||
Industrial | ||||||||||||
L3Harris Technologies, Inc. | 113 | (0.57 | )% | 3,519 | ||||||||
Tetra Tech, Inc. | 480 | (1.12 | )% | 2,703 | ||||||||
TransDigm Group, Inc. | 77 | (1.00 | )% | 2,582 | ||||||||
Eagle Materials, Inc. | 478 | (0.99 | )% | 1,996 | ||||||||
Sonoco Products Co. | 341 | (0.53 | )% | 1,228 | ||||||||
Louisiana-Pacific Corp. | 1,360 | (1.03 | )% | 768 | ||||||||
Silgan Holdings, Inc. | 722 | (0.69 | )% | 409 | ||||||||
Crown Holdings, Inc. | 244 | �� | (0.47 | )% | (542 | ) | ||||||
Vulcan Materials Co. | 242 | (0.83 | )% | (889 | ) | |||||||
Martin Marietta Materials, Inc. | 167 | (1.02 | )% | (1,053 | ) | |||||||
AptarGroup, Inc. | 218 | (0.72 | )% | (1,080 | ) | |||||||
GATX Corp. | 263 | (0.47 | )% | (1,116 | ) | |||||||
Exponent, Inc. | 192 | (0.46 | )% | (1,125 | ) | |||||||
Ball Corp. | 484 | (0.99 | )% | (1,154 | ) | |||||||
ESCO Technologies, Inc. | 219 | (0.55 | )% | (1,639 | ) | |||||||
Amcor plc | 2,389 | (0.72 | )% | (3,407 | ) | |||||||
Casella Waste Systems, Inc. — Class A | 587 | (0.90 | )% | (3,643 | ) | |||||||
Worthington Industries, Inc. | 435 | (0.48 | )% | (5,310 | ) | |||||||
Total Industrial | (7,753 | ) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
Hormel Foods Corp. | 310 | (0.44 | )% | 312 | ||||||||
McCormick & Company, Inc. | 59 | (0.31 | )% | (461 | ) | |||||||
Avery Dennison Corp. | 231 | (0.78 | )% | (1,201 | ) | |||||||
Seattle Genetics, Inc. | 66 | (0.33 | )% | (2,236 | ) | |||||||
Equifax, Inc. | 114 | (0.58 | )% | (2,615 | ) | |||||||
Verisk Analytics, Inc. — Class A | 225 | (1.13 | )% | (3,328 | ) | |||||||
Global Payments, Inc. | 208 | (1.04 | )% | (3,830 | ) | |||||||
Paylocity Holding Corp. | 109 | (0.47 | )% | (5,349 | ) | |||||||
PayPal Holdings, Inc. | 95 | (0.49 | )% | (5,596 | ) | |||||||
Avalara, Inc. | 147 | (0.58 | )% | (8,301 | ) | |||||||
Total Consumer, Non-cyclical | (32,605 | ) | ||||||||||
Consumer, Cyclical | ||||||||||||
Copart, Inc. | 168 | (0.41 | )% | 1,915 |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
Scotts Miracle-Gro Co. — Class A | 152 | (0.60 | )% | $ | (1,899 | ) | ||||||
Total Consumer, Cyclical | 16 | |||||||||||
Energy | ||||||||||||
Phillips 66 | 230 | (0.49 | )% | 3,094 | ||||||||
Kinder Morgan, Inc. | 1,141 | (0.51 | )% | 2,455 | ||||||||
Delek US Holdings, Inc. | 704 | (0.36 | )% | 2,059 | ||||||||
Williams Companies, Inc. | 796 | (0.45 | )% | 1,318 | ||||||||
Pioneer Natural Resources Co. | 141 | (0.41 | )% | 1,073 | ||||||||
ONEOK, Inc. | 458 | (0.45 | )% | (44 | ) | |||||||
Concho Resources, Inc. | 300 | (0.46 | )% | (343 | ) | |||||||
National Oilwell Varco, Inc. | 2,225 | (0.80 | )% | (1,761 | ) | |||||||
Baker Hughes Co. | 809 | (0.37 | )% | (2,088 | ) | |||||||
Noble Energy, Inc. | 1,232 | (0.33 | )% | (2,690 | ) | |||||||
Schlumberger Ltd. | 877 | (0.48 | )% | (2,892 | ) | |||||||
Halliburton Co. | 960 | (0.37 | )% | (5,339 | ) | |||||||
Total Energy | (5,158 | ) | ||||||||||
Utilities | ||||||||||||
American States Water Co. | 252 | (0.58 | )% | 2,843 | ||||||||
California Water Service Group | 666 | (0.94 | )% | 2,070 | ||||||||
WEC Energy Group, Inc. | 165 | (0.43 | )% | 842 | ||||||||
American Water Works Company, Inc. | 153 | (0.58 | )% | 229 | ||||||||
NextEra Energy, Inc. | 81 | (0.57 | )% | (738 | ) | |||||||
Total Utilities | 5,246 | |||||||||||
Technology | ||||||||||||
Fiserv, Inc. | 609 | (1.75 | )% | 1,507 | ||||||||
Parsons Corp. | 831 | (0.89 | )% | 381 | ||||||||
Tyler Technologies, Inc. | 28 | (0.29 | )% | (135 | ) | |||||||
RealPage, Inc. | 147 | (0.28 | )% | (160 | ) | |||||||
Appfolio, Inc. — Class A | 61 | (0.29 | )% | (950 | ) | |||||||
Autodesk, Inc. | 43 | (0.30 | )% | (1,931 | ) | |||||||
salesforce.com, Inc. | 114 | (0.63 | )% | (2,198 | ) | |||||||
HubSpot, Inc. | 47 | (0.31 | )% | (2,346 | ) | |||||||
Smartsheet, Inc. — Class A | 323 | (0.49 | )% | (2,509 | ) | |||||||
Fidelity National Information Services, Inc. | 522 | (2.07 | )% | (2,795 | ) | |||||||
Coupa Software, Inc. | 44 | (0.36 | )% | (2,936 | ) | |||||||
Zscaler, Inc. | 95 | (0.31 | )% | (3,081 | ) | |||||||
Envestnet, Inc. | 281 | (0.61 | )% | (3,961 | ) | |||||||
Veeva Systems, Inc. — Class A | 69 | (0.48 | )% | (4,173 | ) | |||||||
Workiva, Inc. | 347 | (0.55 | )% | (5,023 | ) | |||||||
Alteryx, Inc. — Class A | 105 | (0.51 | )% | (5,118 | ) | |||||||
Twilio, Inc. — Class A | 51 | (0.33 | )% | (5,247 | ) | |||||||
Total Technology | (40,675 | ) | ||||||||||
Total MS Long/Short Equity Short Custom Basket | $ | (71,768 | ) |
GS LONG/SHORT EQUITY LONG CUSTOM BASKET | ||||||||||||
Industrial | ||||||||||||
Werner Enterprises, Inc. | 680 | 0.51 | % | 9,217 | ||||||||
Snap-on, Inc. | 351 | 0.88 | % | 7,107 | ||||||||
Schneider National, Inc. — Class B | 885 | 0.40 | % | 5,653 | ||||||||
Garmin Ltd. | 294 | 0.52 | % | 4,198 | ||||||||
Regal Beloit Corp. | 245 | 0.39 | % | 4,091 | ||||||||
Union Pacific Corp. | 333 | 1.02 | % | 3,924 | ||||||||
Owens Corning | 376 | 0.38 | % | 3,089 | ||||||||
Landstar System, Inc. | 254 | 0.52 | % | 2,612 | ||||||||
TE Connectivity Ltd. | 176 | 0.26 | % | 2,444 | ||||||||
Westrock Co. | 613 | 0.31 | % | 1,958 | ||||||||
FedEx Corp. | 257 | 0.66 | % | 1,690 | ||||||||
J.B. Hunt Transport Services, Inc. | 334 | 0.73 | % | 1,410 | ||||||||
Caterpillar, Inc. | 476 | 1.09 | % | 925 | ||||||||
National Instruments Corp. | 379 | 0.27 | % | 589 | ||||||||
CSX Corp. | 566 | 0.72 | % | 415 | ||||||||
Expeditors International of Washington, Inc. | 632 | 0.87 | % | 351 | ||||||||
Lincoln Electric Holdings, Inc. | 245 | 0.38 | % | 287 | ||||||||
Old Dominion Freight Line, Inc. | 1 | 0.00 | % | 38 | ||||||||
Illinois Tool Works, Inc. | 82 | 0.26 | % | (233 | ) | |||||||
Oshkosh Corp. | 217 | 0.28 | % | (1,009 | ) | |||||||
Timken Co. | 463 | 0.38 | % | (1,296 | ) | |||||||
Arrow Electronics, Inc. | 263 | 0.33 | % | (1,647 | ) | |||||||
Gentex Corp. | 2,340 | 1.10 | % | (1,904 | ) | |||||||
Hubbell, Inc. | 200 | 0.46 | % | (2,010 | ) | |||||||
Norfolk Southern Corp. | 298 | 0.95 | % | (2,177 | ) | |||||||
Eaton Corporation plc | 368 | 0.59 | % | (2,691 | ) | |||||||
Honeywell International, Inc. | 193 | 0.51 | % | (4,209 | ) | |||||||
Emerson Electric Co. | 322 | 0.36 | % | (4,487 | ) | |||||||
Terex Corp. | 1,042 | 0.36 | % | (5,985 | ) | |||||||
AGCO Corp. | 386 | 0.39 | % | (6,231 | ) | |||||||
Waters Corp. | 261 | 0.86 | % | (6,585 | ) | |||||||
Total Industrial | 9,534 | |||||||||||
Financial | ||||||||||||
Waddell & Reed Financial, Inc. — Class A | 1,920 | 0.54 | % | 5,257 | ||||||||
Western Union Co. | 1,471 | 0.58 | % | 1,050 | ||||||||
Piedmont Office Realty Trust, Inc. — Class A | 2,468 | 0.75 | % | 250 | ||||||||
Host Hotels & Resorts, Inc. | 1,579 | 0.31 | % | (805 | ) | |||||||
M&T Bank Corp. | 239 | 0.45 | % | (1,319 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
Ameriprise Financial, Inc. | 150 | 0.41 | % | $ | (1,540 | ) | ||||||
Synchrony Financial | 564 | 0.23 | % | (2,100 | ) | |||||||
Travelers Companies, Inc. | 184 | 0.38 | % | (2,119 | ) | |||||||
Vornado Realty Trust | 763 | 0.53 | % | (2,506 | ) | |||||||
Bank of America Corp. | 708 | 0.31 | % | (3,183 | ) | |||||||
Wells Fargo & Co. | 463 | 0.22 | % | (3,183 | ) | |||||||
Weingarten Realty Investors | 691 | 0.24 | % | (3,264 | ) | |||||||
Allstate Corp. | 556 | 0.98 | % | (3,575 | ) | |||||||
Highwoods Properties, Inc. | 578 | 0.39 | % | (3,903 | ) | |||||||
Boston Properties, Inc. | 384 | 0.63 | % | (5,297 | ) | |||||||
Kennedy-Wilson Holdings, Inc. | 1,828 | 0.51 | % | (5,861 | ) | |||||||
Equity Residential | 919 | 0.98 | % | (6,534 | ) | |||||||
MetLife, Inc. | 1,633 | 1.08 | % | (8,109 | ) | |||||||
Total Financial | (46,741 | ) | ||||||||||
Utilities | ||||||||||||
CenterPoint Energy, Inc. | 932 | 0.32 | % | (43 | ) | |||||||
OGE Energy Corp. | 762 | 0.42 | % | (701 | ) | |||||||
Southwest Gas Holdings, Inc. | 198 | 0.25 | % | (1,124 | ) | |||||||
Ameren Corp. | 407 | 0.52 | % | (1,933 | ) | |||||||
NorthWestern Corp. | 345 | 0.34 | % | (2,505 | ) | |||||||
IDACORP, Inc. | 406 | 0.64 | % | (2,648 | ) | |||||||
Avista Corp. | 385 | 0.25 | % | (2,975 | ) | |||||||
FirstEnergy Corp. | 808 | 0.57 | % | (3,093 | ) | |||||||
Evergy, Inc. | 789 | 0.85 | % | (3,171 | ) | |||||||
NiSource, Inc. | 1,365 | 0.56 | % | (3,533 | ) | |||||||
ONE Gas, Inc. | 530 | 0.74 | % | (3,581 | ) | |||||||
NRG Energy, Inc. | 778 | 0.46 | % | (3,866 | ) | |||||||
National Fuel Gas Co. | 733 | 0.56 | % | (6,277 | ) | |||||||
Southern Co. | 1,009 | 0.95 | % | (7,113 | ) | |||||||
Pinnacle West Capital Corp. | 696 | 0.93 | % | (7,194 | ) | |||||||
Consolidated Edison, Inc. | 787 | 1.03 | % | (7,464 | ) | |||||||
PPL Corp. | 2,085 | 0.98 | % | (7,538 | ) | |||||||
Public Service Enterprise Group, Inc. | 1,092 | 0.98 | % | (8,569 | ) | |||||||
Portland General Electric Co. | 953 | 0.72 | % | (9,902 | ) | |||||||
Exelon Corp. | 1,708 | 1.13 | % | (11,136 | ) | |||||||
Total Utilities | (94,366 | ) | ||||||||||
Technology | ||||||||||||
Skyworks Solutions, Inc. | 189 | 0.44 | % | 6,060 | ||||||||
QUALCOMM, Inc. | 507 | 0.84 | % | 4,970 | ||||||||
Maxim Integrated Products, Inc. | 746 | 0.82 | % | 4,841 | ||||||||
CDK Global, Inc. | 609 | 0.46 | % | 3,640 | ||||||||
Cognizant Technology Solutions Corp. — Class A | 518 | 0.54 | % | 3,135 | ||||||||
Applied Materials, Inc. | 332 | 0.36 | % | 2,467 | ||||||||
Apple, Inc. | 101 | 0.67 | % | 1,920 | ||||||||
Paychex, Inc. | 189 | 0.26 | % | 1,725 | ||||||||
HP, Inc. | 941 | 0.30 | % | 1,716 | ||||||||
Texas Instruments, Inc. | 337 | 0.78 | % | 1,642 | ||||||||
NetApp, Inc. | 818 | 0.66 | % | 1,204 | ||||||||
Xilinx, Inc. | 153 | 0.27 | % | 1,165 | ||||||||
Oracle Corp. | 955 | 0.96 | % | 1,065 | ||||||||
Lam Research Corp. | 48 | 0.28 | % | 867 | ||||||||
KLA Corp. | 114 | 0.40 | % | 279 | ||||||||
Synaptics, Inc. | 278 | 0.30 | % | 263 | ||||||||
Intel Corp. | 676 | 0.74 | % | (470 | ) | |||||||
Micron Technology, Inc. | 286 | 0.27 | % | (507 | ) | |||||||
Zebra Technologies Corp. — Class A | 56 | 0.26 | % | (927 | ) | |||||||
Cerner Corp. | 883 | 1.10 | % | (1,950 | ) | |||||||
International Business Machines Corp. | 318 | 0.70 | % | (3,484 | ) | |||||||
Seagate Technology plc | 1,113 | 0.98 | % | (4,012 | ) | |||||||
Teradata Corp. | 867 | 0.33 | % | (5,027 | ) | |||||||
Total Technology | 20,582 | |||||||||||
Consumer, Cyclical | ||||||||||||
DR Horton, Inc. | 354 | 0.36 | % | 5,586 | ||||||||
Polaris, Inc. | 201 | 0.34 | % | 4,811 | ||||||||
Cummins, Inc. | 352 | 1.11 | % | 4,095 | ||||||||
Lowe’s Companies, Inc. | 203 | 0.50 | % | 3,948 | ||||||||
Best Buy Company, Inc. | 306 | 0.49 | % | 3,283 | ||||||||
Hanesbrands, Inc. | 1,508 | 0.31 | % | 2,947 | ||||||||
MSC Industrial Direct Company, Inc. — Class A | 304 | 0.40 | % | 2,301 | ||||||||
Brunswick Corp. | 368 | 0.43 | % | 1,937 | ||||||||
Gentherm, Inc. | 980 | 0.69 | % | 1,525 | ||||||||
Lear Corp. | 252 | 0.50 | % | 1,058 | ||||||||
Autoliv, Inc. | 932 | 1.09 | % | (770 | ) | |||||||
PACCAR, Inc. | 217 | 0.30 | % | (920 | ) | |||||||
Whirlpool Corp. | 205 | 0.48 | % | (3,025 | ) | |||||||
Mohawk Industries, Inc. | 131 | 0.24 | % | (4,333 | ) | |||||||
Allison Transmission Holdings, Inc. | 911 | 0.61 | % | (5,987 | ) | |||||||
General Motors Co. | 1,092 | 0.50 | % | (9,215 | ) | |||||||
Southwest Airlines Co. | 583 | 0.36 | % | (11,743 | ) | |||||||
Total Consumer, Cyclical | (4,502 | ) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
Eli Lilly & Co. | 326 | 0.97 | % | 15,544 | ||||||||
Amgen, Inc. | 213 | 0.91 | % | 8,066 | ||||||||
Rent-A-Center, Inc. | 822 | 0.42 | % | 7,912 | ||||||||
McKesson Corp. | 365 | 1.02 | % | 7,329 | ||||||||
Herbalife Nutrition Ltd. | 667 | 0.55 | % | 5,275 | ||||||||
Laboratory Corporation of America Holdings | 127 | 0.38 | % | 4,886 | ||||||||
United Therapeutics Corp. | 156 | 0.34 | % | 4,740 | ||||||||
Cardinal Health, Inc. | 928 | 0.88 | % | 4,614 | ||||||||
CVS Health Corp. | 379 | 0.45 | % | 3,899 | ||||||||
United Rentals, Inc. | 135 | 0.37 | % | 3,887 |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
Kellogg Co. | 547 | 0.66 | % | $ | 2,983 | |||||||
Kimberly-Clark Corp. | 464 | 1.19 | % | 2,585 | ||||||||
General Mills, Inc. | 627 | 0.70 | % | 2,427 | ||||||||
Gilead Sciences, Inc. | 415 | 0.58 | % | 1,836 | ||||||||
Alexion Pharmaceuticals, Inc. | 125 | 0.26 | % | 1,170 | ||||||||
Incyte Corp. | 226 | 0.43 | % | 1,117 | ||||||||
Johnson & Johnson | 400 | 1.02 | % | 948 | ||||||||
Molina Healthcare, Inc. | 190 | 0.61 | % | 862 | ||||||||
Innoviva, Inc. | 1,422 | 0.36 | % | 257 | ||||||||
Campbell Soup Co. | 873 | 0.79 | % | 39 | ||||||||
Abbott Laboratories | 162 | 0.27 | % | 32 | ||||||||
Colgate-Palmolive Co. | 570 | 0.76 | % | 16 | ||||||||
JM Smucker Co. | 289 | 0.56 | % | (8 | ) | |||||||
PepsiCo, Inc. | 162 | 0.39 | % | (219 | ) | |||||||
Monster Beverage Corp. | 211 | 0.27 | % | (279 | ) | |||||||
Procter & Gamble Co. | 496 | 1.08 | % | (366 | ) | |||||||
Quest Diagnostics, Inc. | 187 | 0.39 | % | (535 | ) | |||||||
UnitedHealth Group, Inc. | 55 | 0.29 | % | (833 | ) | |||||||
Mondelez International, Inc. — Class A | 600 | 0.56 | % | (1,106 | ) | |||||||
Kraft Heinz Co. | 1,002 | 0.58 | % | (1,244 | ) | |||||||
Ingredion, Inc. | 690 | 1.04 | % | (1,343 | ) | |||||||
DaVita, Inc. | 236 | 0.34 | % | (1,461 | ) | |||||||
Post Holdings, Inc. | 268 | 0.43 | % | (1,639 | ) | |||||||
Dentsply Sirona, Inc. | 374 | 0.30 | % | (1,817 | ) | |||||||
Archer-Daniels-Midland Co. | 753 | 0.55 | % | (1,887 | ) | |||||||
TreeHouse Foods, Inc. | 423 | 0.34 | % | (1,938 | ) | |||||||
Tyson Foods, Inc. — Class A | 309 | 0.34 | % | (2,150 | ) | |||||||
Universal Health Services, Inc. — Class B | 155 | 0.26 | % | (2,430 | ) | |||||||
John B Sanfilippo & Son, Inc. | 327 | 0.51 | % | (2,484 | ) | |||||||
Altria Group, Inc. | 1,166 | 0.83 | % | (2,656 | ) | |||||||
Henry Schein, Inc. | 830 | 0.88 | % | (3,520 | ) | |||||||
Cigna Corp. | 131 | 0.45 | % | (3,614 | ) | |||||||
Biogen, Inc. | 74 | 0.36 | % | (3,836 | ) | |||||||
HCA Healthcare, Inc. | 242 | 0.43 | % | (4,178 | ) | |||||||
Jazz Pharmaceuticals plc | 309 | 0.62 | % | (4,296 | ) | |||||||
Philip Morris International, Inc. | 649 | 0.83 | % | (4,445 | ) | |||||||
Medtronic plc | 607 | 1.01 | % | (6,632 | ) | |||||||
Pfizer, Inc. | 1,042 | 0.62 | % | (8,298 | ) | |||||||
Molson Coors Beverage Co. — Class B | 1,370 | 0.86 | % | (22,843 | ) | |||||||
Total Consumer, Non-cyclical | (5,633 | ) | ||||||||||
Communications | ||||||||||||
eBay, Inc. | 542 | 0.52 | % | 8,578 | ||||||||
Alphabet, Inc. — Class C | 28 | 0.72 | % | 7,369 | ||||||||
Cisco Systems, Inc. | 1,242 | 1.05 | % | 4,644 | ||||||||
Facebook, Inc. — Class A | 61 | 0.25 | % | 4,045 | ||||||||
Interpublic Group of Companies, Inc. | 750 | 0.23 | % | 1,571 | ||||||||
Viavi Solutions, Inc. | 1,356 | 0.31 | % | 631 | ||||||||
Juniper Networks, Inc. | 2,162 | 0.90 | % | 111 | ||||||||
Ciena Corp. | 367 | 0.36 | % | (207 | ) | |||||||
Sirius XM Holdings, Inc. | 3,180 | 0.34 | % | (1,575 | ) | |||||||
Yelp, Inc. — Class A | 568 | 0.24 | % | (1,693 | ) | |||||||
Verizon Communications, Inc. | 1,116 | 1.12 | % | (1,857 | ) | |||||||
Booking Holdings, Inc. | 25 | 0.72 | % | (2,016 | ) | |||||||
Comcast Corp. — Class A | 1,319 | 0.93 | % | (2,672 | ) | |||||||
Fox Corp. — Class A | 664 | 0.32 | % | (2,717 | ) | |||||||
AT&T, Inc. | 1,319 | 0.72 | % | (3,007 | ) | |||||||
Omnicom Group, Inc. | 855 | 0.85 | % | (14,192 | ) | |||||||
Total Communications | (2,987 | ) | ||||||||||
Energy | ||||||||||||
Chevron Corp. | 144 | 0.23 | % | (4,439 | ) | |||||||
Exxon Mobil Corp. | 321 | 0.26 | % | (7,331 | ) | |||||||
Total Energy | (11,770 | ) | ||||||||||
Total GS Long/Short Equity Long Custom Basket | $ | (135,883 | ) | |||||||||
GS LONG/SHORT EQUITY SHORT CUSTOM BASKET | ||||||||||||
Basic Materials | ||||||||||||
PPG Industries, Inc. | 547 | (1.73 | )% | 3,631 | ||||||||
Balchem Corp. | 532 | (1.51 | )% | 1,118 | ||||||||
DuPont de Nemours, Inc. | 323 | (0.51 | )% | 1,094 | ||||||||
Nucor Corp. | 332 | (0.41 | )% | 784 | ||||||||
Royal Gold, Inc. | 121 | (0.45 | )% | (198 | ) | |||||||
Linde plc | 343 | (2.18 | )% | (1,688 | ) | |||||||
Ashland Global Holdings, Inc. | 880 | (1.82 | )% | (2,608 | ) | |||||||
Air Products & Chemicals, Inc. | 298 | (2.15 | )% | (3,008 | ) | |||||||
Albemarle Corp. | 293 | (0.68 | )% | (4,589 | ) | |||||||
Ecolab, Inc. | 237 | (1.41 | )% | (5,346 | ) | |||||||
Freeport-McMoRan, Inc. | 2,192 | (0.76 | )% | (5,497 | ) | |||||||
RPM International, Inc. | 682 | (1.53 | )% | (6,031 | ) | |||||||
Newmont Corp. | 651 | (1.20 | )% | (9,843 | ) | |||||||
Quaker Chemical Corp. | 269 | (1.49 | )% | (13,217 | ) | |||||||
Total Basic Materials | (45,398 | ) | ||||||||||
Financial | ||||||||||||
Realty Income Corp. | 737 | (1.31 | )% | 9,163 | ||||||||
Ameris Bancorp | 811 | (0.57 | )% | 8,300 | ||||||||
Alleghany Corp. | 100 | (1.46 | )% | 7,572 | ||||||||
People’s United Financial, Inc. | 1,635 | (0.57 | )% | 7,556 | ||||||||
UDR, Inc. | 865 | (0.97 | )% | 7,552 | ||||||||
Markel Corp. | 62 | (1.71 | )% | 7,030 | ||||||||
Valley National Bancorp | 5,158 | (1.21 | )% | 5,600 | ||||||||
First Midwest Bancorp, Inc. | 2,337 | (0.93 | )% | 4,866 | ||||||||
Acadia Realty Trust | 1,777 | (0.69 | )% | 4,518 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
Kilroy Realty Corp. | 579 | (1.02 | )% | $ | 3,929 | |||||||
Old National Bancorp | 1,321 | (0.54 | )% | 3,498 | ||||||||
JBG SMITH Properties | 984 | (0.87 | )% | 3,488 | ||||||||
First Financial Bankshares, Inc. | 876 | (0.76 | )% | 3,359 | ||||||||
Glacier Bancorp, Inc. | 451 | (0.48 | )% | 2,518 | ||||||||
Loews Corp. | 593 | (0.61 | )% | 2,383 | ||||||||
Fulton Financial Corp. | 2,603 | (0.82 | )% | 2,365 | ||||||||
TFS Financial Corp. | 1,237 | (0.53 | )% | 2,285 | ||||||||
Healthcare Realty Trust, Inc. | 1,328 | (1.16 | )% | 2,225 | ||||||||
Global Net Lease, Inc. | 1,295 | (0.65 | )% | 1,705 | ||||||||
Prologis, Inc. | 380 | (1.06 | )% | 1,690 | ||||||||
Southside Bancshares, Inc. | 816 | (0.68 | )% | 1,532 | ||||||||
RLI Corp. | 238 | (0.58 | )% | 1,484 | ||||||||
Brookline Bancorp, Inc. | 3,071 | (0.93 | )% | 1,343 | ||||||||
Medical Properties Trust, Inc. | 1,744 | (0.98 | )% | 1,150 | ||||||||
EastGroup Properties, Inc. | 225 | (0.80 | )% | 447 | ||||||||
New York Community Bancorp, Inc. | 1,327 | (0.41 | )% | 228 | ||||||||
Americold Realty Trust | 64 | (0.07 | )% | (3 | ) | |||||||
Agree Realty Corp. | 890 | (1.75 | )% | (111 | ) | |||||||
American Assets Trust, Inc. | 555 | (0.46 | )% | (568 | ) | |||||||
CyrusOne, Inc. | 199 | (0.43 | )% | (918 | ) | |||||||
Easterly Government Properties, Inc. | 1,314 | (0.91 | )% | (942 | ) | |||||||
Northfield Bancorp, Inc. | 1,048 | (0.36 | )% | (989 | ) | |||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 731 | (0.62 | )% | (1,224 | ) | |||||||
James River Group Holdings Ltd. | 493 | (0.66 | )% | (1,594 | ) | |||||||
Sun Communities, Inc. | 286 | (1.16 | )% | (1,659 | ) | |||||||
Rexford Industrial Realty, Inc. | 1,328 | (1.65 | )% | (1,761 | ) | |||||||
Healthcare Trust of America, Inc. — Class A | 1,099 | (0.87 | )% | (1,854 | ) | |||||||
American Tower Corp. — Class A | 57 | (0.44 | )% | (1,905 | ) | |||||||
STAG Industrial, Inc. | 615 | (0.54 | )% | (1,947 | ) | |||||||
BOK Financial Corp. | 230 | (0.39 | )% | (2,122 | ) | |||||||
Crown Castle International Corp. | 86 | (0.43 | )% | (2,473 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 318 | (1.54 | )% | (2,605 | ) | |||||||
SBA Communications Corp. | 50 | (0.45 | )% | (3,126 | ) | |||||||
Terreno Realty Corp. | 697 | (1.10 | )% | (3,498 | ) | |||||||
Equinix, Inc. | 22 | (0.46 | )% | (3,747 | ) | |||||||
Flagstar Bancorp, Inc. | 569 | (0.50 | )% | (4,522 | ) | |||||||
QTS Realty Trust, Inc. — Class A | 573 | (1.10 | )% | (6,174 | ) | |||||||
Total Financial | 54,044 | |||||||||||
Energy | ||||||||||||
ONEOK, Inc. | 458 | (0.46 | )% | 4,918 | ||||||||
Phillips 66 | 230 | (0.49 | )% | 3,116 | ||||||||
Kinder Morgan, Inc. | 1,141 | (0.52 | )% | 2,482 | ||||||||
Delek US Holdings, Inc. | 704 | (0.37 | )% | 2,151 | ||||||||
Williams Companies, Inc. | 796 | (0.45 | )% | 1,341 | ||||||||
Pioneer Natural Resources Co. | 141 | (0.41 | )% | 1,275 | ||||||||
Concho Resources, Inc. | 300 | (0.46 | )% | (363 | ) | |||||||
National Oilwell Varco, Inc. | 2,225 | (0.82 | )% | (1,778 | ) | |||||||
Baker Hughes Co. | 809 | (0.37 | )% | (2,092 | ) | |||||||
Noble Energy, Inc. | 1,232 | (0.33 | )% | (2,701 | ) | |||||||
Schlumberger Ltd. | 877 | (0.48 | )% | (2,897 | ) | |||||||
Halliburton Co. | 960 | (0.37 | )% | (5,324 | ) | |||||||
Total Energy | 128 | |||||||||||
Technology | ||||||||||||
Fiserv, Inc. | 609 | (1.78 | )% | 1,414 | ||||||||
Parsons Corp. | 831 | (0.90 | )% | 229 | ||||||||
Tyler Technologies, Inc. | 28 | (0.29 | )% | (140 | ) | |||||||
RealPage, Inc. | 147 | (0.29 | )% | (156 | ) | |||||||
Appfolio, Inc. — Class A | 61 | (0.30 | )% | (952 | ) | |||||||
Autodesk, Inc. | 43 | (0.31 | )% | (1,933 | ) | |||||||
HubSpot, Inc. | 47 | (0.32 | )% | (2,051 | ) | |||||||
Smartsheet, Inc. — Class A | 323 | (0.49 | )% | (2,495 | ) | |||||||
salesforce.com, Inc. | 114 | (0.64 | )% | (2,665 | ) | |||||||
Fidelity National Information Services, Inc. | 522 | (2.09 | )% | (2,857 | ) | |||||||
Coupa Software, Inc. | 44 | (0.36 | )% | (2,923 | ) | |||||||
Zscaler, Inc. | 95 | (0.31 | )% | (3,077 | ) | |||||||
Veeva Systems, Inc. — Class A | 69 | (0.48 | )% | (3,741 | ) | |||||||
Envestnet, Inc. | 281 | (0.62 | )% | (3,985 | ) | |||||||
Alteryx, Inc. — Class A | 105 | (0.52 | )% | (4,560 | ) | |||||||
Workiva, Inc. | 347 | (0.56 | )% | (5,057 | ) | |||||||
Twilio, Inc. — Class A | 51 | (0.33 | )% | (5,222 | ) | |||||||
Total Technology | (40,171 | ) | ||||||||||
Industrial | ||||||||||||
L3Harris Technologies, Inc. | 113 | (0.57 | )% | 3,511 | ||||||||
TransDigm Group, Inc. | 77 | (1.02 | )% | 3,002 | ||||||||
Tetra Tech, Inc. | 480 | (1.14 | )% | 2,611 | ||||||||
Eagle Materials, Inc. | 478 | (1.00 | )% | 2,008 | ||||||||
Sonoco Products Co. | 341 | (0.53 | )% | 1,278 | ||||||||
Louisiana-Pacific Corp. | 1,360 | (1.04 | )% | 994 | ||||||||
Silgan Holdings, Inc. | 722 | (0.70 | )% | 383 | ||||||||
Ball Corp. | 484 | (1.01 | )% | (158 | ) | |||||||
Crown Holdings, Inc. | 244 | (0.48 | )% | (569 | ) | |||||||
Vulcan Materials Co. | 242 | (0.84 | )% | (926 | ) | |||||||
Martin Marietta Materials, Inc. | 167 | (1.03 | )% | (1,063 | ) | |||||||
AptarGroup, Inc. | 218 | (0.73 | )% | (1,079 | ) | |||||||
Exponent, Inc. | 192 | (0.47 | )% | (1,115 | ) |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
| Shares | Percentage | Value and | |||||||||
GATX Corp. | 263 | (0.48 | )% | $ | (1,178 | ) | ||||||
ESCO Technologies, Inc. | 219 | (0.55 | )% | (1,694 | ) | |||||||
Amcor plc | 2,389 | (0.73 | )% | (3,568 | ) | |||||||
Casella Waste Systems, Inc. — Class A | 587 | (0.92 | )% | (3,656 | ) | |||||||
Worthington Industries, Inc. | 435 | (0.49 | )% | (5,329 | ) | |||||||
Total Industrial | (6,548 | ) | ||||||||||
Communications | ||||||||||||
Liberty Broadband Corp. — Class C | 330 | (1.22 | )% | 2,976 | ||||||||
FactSet Research Systems, Inc. | 50 | (0.49 | )% | (1,786 | ) | |||||||
Zendesk, Inc. | 117 | (0.31 | )% | (1,814 | ) | |||||||
Anaplan, Inc. | 322 | (0.44 | )% | (2,040 | ) | |||||||
Okta, Inc. | 54 | (0.32 | )% | (2,959 | ) | |||||||
Q2 Holdings, Inc. | 353 | (0.91 | )% | (3,999 | ) | |||||||
Total Communications | (9,622 | ) | ||||||||||
Consumer, Non-cyclical | ||||||||||||
Hormel Foods Corp. | 310 | (0.45 | )% | 302 | ||||||||
McCormick & Company, Inc. | 59 | (0.32 | )% | (446 | ) | |||||||
Avery Dennison Corp. | 231 | (0.79 | )% | (1,254 | ) | |||||||
Seattle Genetics, Inc. | 66 | (0.34 | )% | (2,258 | ) | |||||||
Equifax, Inc. | 114 | (0.59 | )% | (2,613 | ) | |||||||
Verisk Analytics, Inc. — Class A | 225 | (1.15 | )% | (3,345 | ) | |||||||
Global Payments, Inc. | 208 | (1.06 | )% | (3,894 | ) | |||||||
Paylocity Holding Corp. | 109 | (0.48 | )% | (5,343 | ) | |||||||
PayPal Holdings, Inc. | 95 | (0.50 | )% | (5,508 | ) | |||||||
Avalara, Inc. | 147 | (0.59 | )% | (7,623 | ) | |||||||
Total Consumer, Non-cyclical | (31,982 | ) | ||||||||||
Utilities | ||||||||||||
American States Water Co. | 252 | (0.59 | )% | 2,839 | ||||||||
California Water Service Group | 666 | (0.95 | )% | 2,107 | ||||||||
WEC Energy Group, Inc. | 165 | (0.43 | )% | 850 | ||||||||
American Water Works Company, Inc. | 153 | (0.59 | )% | 232 | ||||||||
NextEra Energy, Inc. | 81 | (0.58 | )% | (621 | ) | |||||||
Total Utilities | 5,407 | |||||||||||
Consumer, Cyclical | ||||||||||||
Copart, Inc. | 168 | (0.42 | )% | 1,925 | ||||||||
Scotts Miracle-Gro Co. — Class A | 152 | (0.61 | )% | (1,894 | ) | |||||||
Total Consumer, Cyclical | 31 | |||||||||||
Total GS Long/Short Equity Short Custom Basket | $ | (74,111 | ) |
* | 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. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | All or a portion of this security is pledged as short security collateral at June 30, 2020. |
2 | Security was fair valued by the Valuation Committee at June 30, 2020. The total market value of fair valued securities amounts to $0, (cost $0) or less than 0.1% of total net assets. |
3 | Affiliated issuer. |
4 | All or a portion of this security is on loan at June 30, 2020 — See Note 7. |
5 | All or a portion of this security is pledged as equity custom basket swap collateral at June 30, 2020. |
6 | Rate indicated is the effective yield at the time of purchase. |
7 | All or a portion of this security is pledged as futures collateral at June 30, 2020. |
8 | Repurchase Agreements — See Note 6. |
9 | Securities lending collateral — See Note 7. |
10 | Rate indicated is the 7-day yield as of June 30, 2020. |
GS — Goldman Sachs International | |
MS — Morgan Stanley Capital Services LLC | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MULTI-HEDGE STRATEGIES FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Consolidated Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 10,273,290 | $ | — | $ | — | $ | 10,273,290 | ||||||||
Rights | 20,961 | — | — | * | 20,961 | |||||||||||
Mutual Funds | 11,711,390 | — | — | 11,711,390 | ||||||||||||
Closed-End Funds | 3,930,369 | — | — | 3,930,369 | ||||||||||||
U.S. Treasury Bills | — | 5,102,333 | — | 5,102,333 | ||||||||||||
Repurchase Agreements | — | 10,752,304 | — | 10,752,304 | ||||||||||||
Securities Lending Collateral | 28,850 | — | — | 28,850 | ||||||||||||
Interest Rate Futures Contracts** | 79,604 | 8,198 | — | 87,802 | ||||||||||||
Equity Futures Contracts** | 70,146 | 4,743 | — | 74,889 | ||||||||||||
Commodity Futures Contracts** | 94,596 | — | — | 94,596 | ||||||||||||
Currency Futures Contracts** | 2,826 | — | — | 2,826 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 611,040 | — | 611,040 | ||||||||||||
Total Assets | $ | 26,212,032 | $ | 16,478,618 | $ | — | $ | 42,690,650 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 2,766,674 | $ | — | $ | — | $ | 2,766,674 | ||||||||
Exchange-Traded Funds | 4,243,055 | — | — | 4,243,055 | ||||||||||||
Interest Rate Futures Contracts** | 5,836 | 1,657 | — | 7,493 | ||||||||||||
Equity Futures Contracts** | 9,705 | 1,714 | — | 11,419 | ||||||||||||
Commodity Futures Contracts** | 59,750 | — | — | 59,750 | ||||||||||||
Currency Futures Contracts** | 77,330 | — | — | 77,330 | ||||||||||||
Equity Custom Basket Swap Agreements** | — | 381,314 | — | 381,314 | ||||||||||||
Total Liabilities | $ | 7,162,350 | $ | 384,685 | $ | — | $ | 7,547,035 |
* | Includes securities with a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 3,223,473 | $ | 25,293 | $ | (1,100,000 | ) | $ | (25,631 | ) | $ | 4,314 | $ | 2,127,449 | 86,027 | $ | 25,475 | |||||||||||||||
Guggenheim Strategy Fund III | 2,969,422 | 23,985 | (600,000 | ) | (7,279 | ) | 15,424 | 2,401,552 | 96,837 | 24,131 | ||||||||||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 3,557,751 | 3,323,948 | (1,800,000 | ) | 4,647 | 3,858 | 5,090,204 | 513,125 | 24,115 | |||||||||||||||||||||||
Guggenheim Variable Insurance Strategy Fund III | 3,372,100 | 21,070 | (1,300,000 | ) | (16,270 | ) | 15,285 | 2,092,185 | 84,567 | 21,260 | ||||||||||||||||||||||
$ | 13,122,746 | $ | 3,394,296 | $ | (4,800,000 | ) | $ | (44,533 | ) | $ | 38,881 | $ | 11,711,390 | $ | 94,981 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
MULTI-HEDGE STRATEGIES FUND |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2020 | ||||
Assets: | ||||
Investments in unaffiliated issuers, at value - including $27,658 of securities loaned (cost $19,795,425) | $ | 19,355,803 | ||
Investments in affiliated issuers, at value (cost $11,765,172) | 11,711,390 | |||
Repurchase agreements, at value (cost $10,752,304) | 10,752,304 | |||
Foreign currency, at value (cost $1,698) | 1,843 | |||
Cash | 8,164,471 | |||
Segregated cash with broker | 842,502 | |||
Unrealized appreciation on OTC swap agreements | 611,040 | |||
Receivables: | ||||
Securities sold | 47,493 | |||
Dividends | 36,614 | |||
Fund shares sold | 29,780 | |||
Securities lending income | 536 | |||
Foreign tax reclaims | 476 | |||
Interest | 21 | |||
Total assets | 51,554,273 | |||
Liabilities: | ||||
Securities sold short, at value (proceeds $7,046,535) | 7,009,729 | |||
Unrealized depreciation on OTC swap agreements | 381,314 | |||
Payable for: | ||||
Variation margin on futures contracts | 220,166 | |||
Securities purchased | 91,415 | |||
Swap Settlement | 63,156 | |||
Management fees | 40,428 | |||
Return of securities lending collateral | 28,850 | |||
Fund shares redeemed | 3,376 | |||
Trustees’ fees* | 657 | |||
Miscellaneous | 15,493 | |||
Total liabilities | 7,854,584 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 43,699,689 | ||
Net assets consist of: | ||||
Paid in capital | $ | 43,587,030 | ||
Total distributable earnings (loss) | 112,659 | |||
Net assets | $ | 43,699,689 | ||
Capital shares outstanding | 1,736,739 | |||
Net asset value per share | $ | 25.16 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 | ||||
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 155,179 | ||
Dividends from securities of affiliated issuers | 94,981 | |||
Interest | 38,192 | |||
Income from securities lending, net | 2,017 | |||
Total investment income | 290,369 | |||
Expenses: | ||||
Management fees | 225,489 | |||
Short sales dividend expense | 78,305 | |||
Interest expense | 13,719 | |||
Miscellaneous | 702 | |||
Total expenses | 318,215 | |||
Less: | ||||
Expenses waived by Adviser | (9,634 | ) | ||
Net expenses | 308,581 | |||
Net investment loss | (18,212 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 161,472 | |||
Investments in affiliated issuers | (44,533 | ) | ||
Investments sold short | (22,434 | ) | ||
Swap agreements | 1,742,692 | |||
Futures contracts | 936,351 | |||
Options written | 4,024 | |||
Foreign currency transactions | (897 | ) | ||
Net realized gain | 2,776,675 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (1,086,798 | ) | ||
Investments in affiliated issuers | 38,881 | |||
Investments sold short | 252,019 | |||
Swap agreements | (915,898 | ) | ||
Futures contracts | 243,323 | |||
Foreign currency translations | 137 | |||
Net change in unrealized appreciation (depreciation) | (1,468,336 | ) | ||
Net realized and unrealized gain | 1,308,339 | |||
Net increase in net assets resulting from operations | $ | 1,290,127 |
* | 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 CONSOLIDATED FINANCIAL STATEMENTS. |
MULTI-HEDGE STRATEGIES FUND |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (18,212 | ) | $ | 349,972 | |||
Net realized gain on investments | 2,776,675 | 442,773 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (1,468,336 | ) | 1,172,534 | |||||
Net increase in net assets resulting from operations | 1,290,127 | 1,965,279 | ||||||
Distributions to shareholders | — | (875,142 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 14,992,423 | 3,288,700 | ||||||
Distributions reinvested | �� | 875,142 | ||||||
Cost of shares redeemed | (7,192,867 | ) | (10,979,155 | ) | ||||
Net increase (decrease) from capital share transactions | 7,799,556 | (6,815,313 | ) | |||||
Net increase (decrease) in net assets | 9,089,683 | (5,725,176 | ) | |||||
Net assets: | ||||||||
Beginning of period | 34,610,006 | 40,335,182 | ||||||
End of period | $ | 43,699,689 | $ | 34,610,006 | ||||
Capital share activity: | ||||||||
Shares sold | 589,950 | 135,737 | ||||||
Shares issued from reinvestment of distributions | — | 36,771 | ||||||
Shares redeemed | (285,055 | ) | (453,659 | ) | ||||
Net increase (decrease) in shares | 304,895 | (281,151 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 53 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 24.17 | $ | 23.55 | $ | 24.83 | $ | 23.95 | $ | 24.09 | $ | 23.82 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.01 | ) | .23 | .20 | (.09 | ) | (.16 | ) | (.15 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.00 | .97 | (1.48 | ) | .97 | .04 | .58 | |||||||||||||||||
Total from investment operations | .99 | 1.20 | (1.28 | ) | .88 | (.12 | ) | .43 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.58 | ) | — | — | (.02 | ) | (.16 | ) | |||||||||||||||
Total distributions | — | (.58 | ) | — | — | (.02 | ) | (.16 | ) | |||||||||||||||
Net asset value, end of period | $ | 25.16 | $ | 24.17 | $ | 23.55 | $ | 24.83 | $ | 23.95 | $ | 24.09 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 4.10 | % | 5.15 | % | (5.16 | %) | 3.67 | % | (0.48 | %) | 1.85 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 43,700 | $ | 34,610 | $ | 40,335 | $ | 43,695 | $ | 47,953 | $ | 52,281 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.10 | %) | 0.94 | % | 0.85 | % | (0.39 | %) | (0.66 | %) | (0.62 | %) | ||||||||||||
Total expensesd | 1.67 | % | 1.72 | % | 1.54 | % | 1.88 | % | 2.27 | % | 2.38 | % | ||||||||||||
Net expensese | 1.62 | % | 1.69 | % | 1.52 | % | 1.85 | % | 2.23 | % | 2.34 | % | ||||||||||||
Portfolio turnover rate | 103 | % | 163 | % | 162 | % | 158 | % | 119 | % | 160 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 presented would be: |
06/30/20a | 12/31/19 | 12/31/18 | 12/31/17 | 12/31/16 | 12/31/15 | |
1.14% | 1.16% | 1.16% | 1.16% | 1.17% | 1.18% |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
COMMODITIES STRATEGY FUND
OBJECTIVE: Seeks to provide investment results that correlate, before fees and expenses, to the performance of a benchmark for commodities. The Fund’s current benchmark is the S&P Goldman Sachs Commodity Index (“GSCI” or “Index”).
Consolidated Holdings Diversification (Market Exposure as % of Net Assets)
“Consolidated Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments, 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 Ultra Short Duration Fund — Institutional Class | 13.2% |
Guggenheim Strategy Fund II | 10.2% |
Total | 23.4% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Commodities Strategy Fund | (35.10%) | (32.84%) | (13.35%) | (9.96%) |
S&P Goldman Sachs Commodity Index | (36.31%) | (33.90%) | (12.54%) | (8.53%) |
* | 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 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. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
COMMODITIES STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 23.4% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 42,584 | $ | 422,432 | |||||
Guggenheim Strategy Fund II1 | 13,184 | 326,034 | ||||||
Total Mutual Funds | ||||||||
(Cost $748,772) | 748,466 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 3.1% | ||||||||
Federal Home Loan Bank | ||||||||
0.25% due 07/01/202 | $ | 100,000 | 100,000 | |||||
Total Federal Agency Discount Notes | ||||||||
(Cost $100,000) | 100,000 | |||||||
U.S. TREASURY BILLS†† - 3.1% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 07/23/202,3 | 100,000 | 99,993 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $99,991) | 99,993 | |||||||
REPURCHASE AGREEMENTS††,4 - 60.6% | ||||||||
J.P. Morgan Securities LLC | 1,074,778 | 1,074,778 | ||||||
BofA Securities, Inc. | 445,114 | 445,114 | ||||||
Barclays Capital, Inc. | 418,408 | 418,408 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,938,300) | 1,938,300 | |||||||
Total Investments - 90.2% | ||||||||
(Cost $2,887,063) | $ | 2,886,759 | ||||||
Other Assets & Liabilities, net - 9.8% | 312,628 | |||||||
Total Net Assets - 100.0% | $ | 3,199,387 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Commodity Futures Contracts Purchased† | ||||||||||||||||
Goldman Sachs Commodity Index Futures Contracts | 39 | Jul 2020 | $ | 3,175,331 | $ | 9,334 |
** | 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 | 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, 2020. |
4 | Repurchase Agreements — See Note 6. |
See Sector Classification in Other Information section. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
COMMODITIES STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Consolidated Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 748,466 | $ | — | $ | — | $ | 748,466 | ||||||||
Federal Agency Discount Notes | — | 100,000 | — | 100,000 | ||||||||||||
U.S. Treasury Bills | — | 99,993 | — | 99,993 | ||||||||||||
Repurchase Agreements | — | 1,938,300 | — | 1,938,300 | ||||||||||||
Commodity Futures Contracts** | 9,334 | — | — | 9,334 | ||||||||||||
Total Assets | $ | 757,800 | $ | 2,138,293 | $ | — | $ | 2,896,093 |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 750,731 | $ | 54,798 | $ | (475,000 | ) | $ | (4,944 | ) | $ | 449 | $ | 326,034 | 13,184 | $ | 4,840 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 789,733 | 430,257 | (795,000 | ) | (1,478 | ) | (1,080 | ) | 422,432 | 42,584 | 5,295 | |||||||||||||||||||||
$ | 1,540,464 | $ | 485,055 | $ | (1,270,000 | ) | $ | (6,422 | ) | $ | (631 | ) | $ | 748,466 | $ | 10,135 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
COMMODITIES STRATEGY FUND |
CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2020 | ||||
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $199,991) | $ | 199,993 | ||
Investments in affiliated issuers, at value (cost $748,772) | 748,466 | |||
Repurchase agreements, at value (cost $1,938,300) | 1,938,300 | |||
Segregated cash with broker | 310,006 | |||
Receivables: | ||||
Variation margin on futures contracts | 11,456 | |||
Dividends | 647 | |||
Interest | 4 | |||
Total assets | 3,208,872 | |||
Liabilities: | ||||
Payable for: | ||||
Professional fees | 1,777 | |||
Management fees | 1,589 | |||
Printing fees | 1,152 | |||
Fund shares redeemed | 1,142 | |||
Securities purchased | 648 | |||
Transfer agent and administrative fees | 590 | |||
Investor service fees | 548 | |||
Portfolio accounting fees | 219 | |||
Trustees’ fees* | 42 | |||
Miscellaneous | 1,778 | |||
Total liabilities | 9,485 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 3,199,387 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,028,677 | ||
Total distributable earnings (loss) | (2,829,290 | ) | ||
Net assets | $ | 3,199,387 | ||
Capital shares outstanding | 60,583 | |||
Net asset value per share | $ | 52.81 |
CONSOLIDATED STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 | ||||
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 10,135 | ||
Interest | 3,312 | |||
Total investment income | 13,447 | |||
Expenses: | ||||
Management fees | 9,408 | |||
Investor service fees | 2,667 | |||
Transfer agent and administrative fees | 2,869 | |||
Professional fees | 3,500 | |||
Portfolio accounting fees | 1,067 | |||
Trustees’ fees* | 344 | |||
Custodian fees | 188 | |||
Total expenses | 20,043 | |||
Less: | ||||
Expenses waived by Adviser | (2,126 | ) | ||
Net expenses | 17,917 | |||
Net investment loss | (4,470 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 712 | |||
Investments in affiliated issuers | (6,422 | ) | ||
Futures contracts | (859,662 | ) | ||
Net realized loss | (865,372 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 5 | |||
Investments in affiliated issuers | (631 | ) | ||
Futures contracts | (91,546 | ) | ||
Net change in unrealized appreciation (depreciation) | (92,172 | ) | ||
Net realized and unrealized loss | (957,544 | ) | ||
Net decrease in net assets resulting from operations | $ | (962,014 | ) |
* | 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 CONSOLIDATED FINANCIAL STATEMENTS. |
COMMODITIES STRATEGY FUND |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (4,470 | ) | $ | 25,602 | |||
Net realized loss on investments | (865,372 | ) | (13,365 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (92,172 | ) | 382,283 | |||||
Net increase (decrease) in net assets resulting from operations | (962,014 | ) | 394,520 | |||||
Distributions to shareholders | — | (45,134 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,768,560 | 7,665,863 | ||||||
Distributions reinvested | — | 45,134 | ||||||
Cost of shares redeemed | (1,800,080 | ) | (7,966,181 | ) | ||||
Net increase (decrease) from capital share transactions | 968,480 | (255,184 | ) | |||||
Net increase in net assets | 6,466 | 94,202 | ||||||
Net assets: | ||||||||
Beginning of period | 3,192,921 | 3,098,719 | ||||||
End of period | $ | 3,199,387 | $ | 3,192,921 | ||||
Capital share activity: | ||||||||
Shares sold | 53,225 | 97,122 | ||||||
Shares issued from reinvestment of distributions | — | 581 | ||||||
Shares redeemed | (31,880 | ) | (101,688 | ) | ||||
Net increase (decrease) in shares | 21,345 | (3,985 | ) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 81.37 | $ | 71.69 | $ | 87.44 | $ | 83.74 | $ | 75.82 | $ | 114.64 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.12 | ) | .61 | .67 | — | c | (.03 | ) | (1.12 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (28.44 | ) | 10.26 | (13.34 | ) | 3.70 | 7.95 | (37.70 | ) | |||||||||||||||
Total from investment operations | (28.56 | ) | 10.87 | (12.67 | ) | 3.70 | 7.92 | (38.82 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.19 | ) | (3.08 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (1.19 | ) | (3.08 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 52.81 | $ | 81.37 | $ | 71.69 | $ | 87.44 | $ | 83.74 | $ | 75.82 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | (35.10 | %) | 15.25 | % | (15.12 | %) | 4.43 | % | 10.40 | % | (33.80 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,199 | $ | 3,193 | $ | 3,099 | $ | 4,731 | $ | 4,498 | $ | 2,671 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.42 | %) | 0.77 | % | 0.75 | % | — | h | (0.48 | %) | (1.16 | %) | ||||||||||||
Total expensese | 1.88 | % | 1.98 | % | 1.81 | % | 1.82 | % | 1.80 | % | 1.75 | % | ||||||||||||
Net expensesf | 1.68 | % | 1.78 | % | 1.69 | % | 1.72 | % | 1.67 | % | 1.63 | % | ||||||||||||
Portfolio turnover rate | 45 | % | 128 | % | 187 | % | 107 | % | 231 | % | 198 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 | 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 1:16 reverse share split effective December 1, 2016. |
h | Less than 0.01%. |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS. |
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 (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately. At June 30, 2020, 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 (collectively, the “Funds”):
Fund Name | Investment |
Long Short Equity Fund | Non-diversified |
Global Managed Futures Strategy Fund | 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
Each of the consolidated financial statements of the Funds 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 | $ | 831,620 | 5.0 | % | |||||||
Multi-Hedge Strategies Fund | 04/15/09 | 1,094,758 | 2.5 | % | ||||||||
Commodities Strategy Fund | 07/21/09 | 528,561 | 16.5 | % |
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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Valuations of the Funds’ securities and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
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 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.
Repurchase agreements are generally 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 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 or other underlying position 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 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.
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
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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) Options
Upon the purchase of an option, the premium paid is recorded as an investment, the value of which is marked-to-market daily. If a purchased option expires, the Fund realizes a loss in the amount of the cost of the option. When the Fund enters into a closing sale transaction, it realizes a gain or loss depending on whether the proceeds from the closing sale transaction are greater or less than the cost of the option. If the Fund exercises a put option, it realizes a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid. When the Fund exercises a call option, the cost of the security purchased by the Fund upon exercise increases by the premium originally paid.
When the Fund writes (sells) an option, an amount equal to the premium received is entered in that Fund’s accounting records as an asset and equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current value of the option written. When a written option expires, or if the Fund enters into a closing purchase transaction, it realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the option was sold).
(e) 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.
(f) 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.
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity 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.
(g) 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 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.
(h) 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
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
investments. Foreign taxes payable or deferred as of June 30, 2020, if any, are disclosed in the Funds’ Consolidated Statements of Assets and Liabilities.
(i) 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, if any. 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.
(j) 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.
(k) 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 0.08% at June 30, 2020.
(l) 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 on 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.
Income: the use of any instrument that distributes cash flows typically based upon some rate of interest.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
Options Purchased and Written
A call option on a security gives the purchaser of the option the right to buy, and the writer of a call option the obligation to sell, the underlying security. The purchaser of a put option has the right to sell, and the writer of the put option the obligation to buy, the underlying security at any time during the option period. The risk associated with purchasing options is limited to the premium originally paid.
The risk in writing a call option is that a Fund may incur a loss if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that a Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there may be an imperfect correlation between the movement in prices of options and the underlying securities where a Fund may not be able to enter into a closing transaction because of an illiquid secondary market; or, for over-the-counter (“OTC”) options, a Fund may be at risk because of the counterparty’s inability to perform.
The following table represents the Fund’s use and volume of call/put options written on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Call | Put | ||||||
Multi-Hedge Strategies Fund | Hedge, Income | $ | 68,748 | $ | — |
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 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 monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Global Managed Futures Strategy Fund | Hedge, Leverage, Liquidity, Speculation | $ | 33,101,131 | $ | 24,206,151 | ||||
Multi-Hedge Strategies Fund | Duration, Hedge, Index exposure, Leverage, Liquidity, Speculation | 37,556,351 | 30,490,367 | ||||||
Commodities Strategy Fund | Index exposure, Liquidity | 2,093,622 | — |
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NOTES TO CONSOLIDATED 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. For a fund utilizing centrally cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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. When utilizing custom basket 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 reference asset declines in value.
The following table represents the Funds’ use and volume of custom basket swaps on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Long Short Equity Fund | Index exposure, Liquidity | $ | 11,974,475 | $ | 19,694,092 | ||||
Multi-Hedge Strategies Fund | Hedge, Index exposure, Leverage, Liquidity, Speculation | 21,216,554 | 17,558,983 |
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, 2020:
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 |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2020:
Asset Derivative Investments Value | ||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Futures | Total Value at | ||||||||||||||||||
Global Managed Futures Strategy Fund | $ | 58,672 | $ | — | $ | 20,988 | $ | 114,287 | $ | 83,070 | $ | 277,017 | ||||||||||||
Multi-Hedge Strategies Fund | 74,889 | 611,040 | 2,826 | 87,802 | 94,596 | 871,153 | ||||||||||||||||||
Commodities Strategy Fund | — | — | — | — | 9,334 | 9,334 |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
Liability Derivative Investments Value | ||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Futures | Total Value at | ||||||||||||||||||
Long Short Equity Fund | $ | — | $ | 448,572 | $ | — | $ | — | $ | — | $ | 448,572 | ||||||||||||
Global Managed Futures Strategy Fund | 24,231 | — | 19,201 | 7,691 | 93,855 | 144,978 | ||||||||||||||||||
Multi-Hedge Strategies Fund | 11,419 | 381,314 | 77,330 | 7,493 | 59,750 | 537,306 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Consolidated Schedules of Investments. For exchange-traded and centrally cleared derivatives, 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, 2020:
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 |
Net realized gain (loss) on options written |
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, 2020:
Realized Gain (Loss) on Derivative Investments Recognized on the Consolidated Statements of Operations | ||||||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Futures | Options | Total | |||||||||||||||||||||
Long Short Equity Fund | $ | — | $ | 576,923 | $ | — | $ | — | $ | — | $ | — | $ | 576,923 | ||||||||||||||
Global Managed Futures Strategy Fund | (287,133 | ) | — | (573,522 | ) | 614,261 | 253,521 | — | 7,127 | |||||||||||||||||||
Multi-Hedge Strategies Fund | 364,602 | 1,742,692 | (548,844 | ) | 567,103 | 553,490 | 4,024 | 2,683,067 | ||||||||||||||||||||
Commodities Strategy Fund | — | — | — | — | (859,662 | ) | — | (859,662 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Consolidated Statements of Operations | ||||||||||||||||||||||||||||
Fund | Futures | Swaps | Futures | Futures | Futures | Options | Total | |||||||||||||||||||||
Long Short Equity Fund | $ | — | $ | 272,804 | $ | — | $ | — | $ | — | $ | — | $ | 272,804 | ||||||||||||||
Global Managed Futures Strategy Fund | 61,812 | — | 15,033 | 142,069 | (40,839 | ) | — | 178,075 | ||||||||||||||||||||
Multi-Hedge Strategies Fund | 212,233 | (915,898 | ) | (39,872 | ) | 87,212 | (16,250 | ) | — | (672,575 | ) | |||||||||||||||||
Commodities Strategy Fund | — | — | — | — | (91,546 | ) | — | (91,546 | ) |
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.
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 | ||||||||||||||||||
Multi-Hedge Strategies Fund | Custom basket swap agreements | $ | 611,040 | $ | — | $ | 611,040 | $ | (381,314 | ) | $ | — | $ | 229,726 |
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 | $ | 448,572 | $ | — | $ | 448,572 | $ | (448,572 | ) | $ | — | $ | — | |||||||||||
Multi-Hedge Strategies Fund | Custom basket swap agreements | 381,314 | — | 381,314 | (381,314 | ) | — | — |
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, 2020.
Fund | Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Global Managed Futures Strategy Fund | Goldman Sachs International | Futures contracts | $ | 126,126 | $ | — | ||||
Multi-Hedge Strategies Fund | Goldman Sachs International | Futures contracts | 842,502 | — | ||||||
Commodities Strategy Fund | Goldman Sachs International | Futures contracts | 310,006 | — |
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 Subsidiaries, and may not be terminated by GI unless GI obtains the prior approval of the Funds’ Board for such termination. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2020, the Global Managed Futures Strategy Fund, Multi-Hedge Strategies Fund and Commodities Strategy Fund waived $4,478, $6,107 and $1,408, 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 pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board 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 in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2020, the following Funds waived fees related to investments in affiliated funds:
Fund | Amount Waived | |||
Global Managed Futures Strategy Fund | $ | 1,881 | ||
Multi-Hedge Strategies Fund | 3,527 | |||
Commodities Strategy Fund | 718 |
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI 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 maintains 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.
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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, 2020, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price |
| Collateral | Par Value | Fair Value | ||||||||||||
BofA Securities, Inc. | U.S. Treasury Note | |||||||||||||||||
0.07% | 1.88% | |||||||||||||||||
Due 07/01/20 | $ | 19,255,227 | $ | 19,255,265 | 07/31/22 | $ | 18,827,600 | $ | 19,640,334 | |||||||||
Barclays Capital, Inc. | U.S. Treasury Note | |||||||||||||||||
0.07% | 1.63% | |||||||||||||||||
Due 07/01/20 | 18,099,914 | 18,099,949 | 10/31/26 | 17,130,200 | 18,461,912 | |||||||||||||
J.P. Morgan Securities LLC | U.S. Treasury Notes | |||||||||||||||||
0.07% | 1.88% - 2.75% | |||||||||||||||||
Due 07/01/20 | 46,493,897 | 46,493,987 | 12/15/20 - 05/31/23 | 44,039,600 | 47,423,795 |
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.
At June 30, 2020, 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 | |||||||||||||||||||
Multi-Hedge Strategies Fund | $ | 27,658 | $ | (27,658 | ) | $ | — | $ | 28,850 | $ | — | $ | 28,850 |
(a) | Actual collateral received by the Fund is generally greater than the amount shown due to overcollateralization. |
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
In the event of counterparty default, the Funds have the right to collect the collateral to offset losses incurred. There is potential loss to the Funds in the event the Funds are delayed or prevented from exercising their rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Funds seek to assert their rights. GI, acting under the supervision of the Board, reviews the value of the collateral and the creditworthiness of those banks and dealers to evaluate potential risks.
Note 8 – Federal Income Tax Information
The Funds intend to comply with the provisions of Subchapter M of the Internal Revenue Code applicable to regulated investment companies and will distribute substantially all taxable net investment income and capital gains sufficient to relieve the Funds from all, or substantially all, federal income, excise and state income taxes. Therefore, no provision for federal or state income tax 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 (“IRS”) 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 respective Subsidiary which is expected to provide the Funds with exposure to the commodities markets within the limitations of the U.S. federal income 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. If, during a taxable year, the Subsidiary’s taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to the Fund as a deductible amount for U.S. federal income tax purposes and cannot be carried forward to reduce future income from the Subsidiary in subsequent years.
At June 30, 2020, 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 Tax | ||||||||||||
Long Short Equity Fund | $ | 24,745,134 | $ | 1,682,919 | $ | (1,834,213 | ) | $ | (151,294 | ) | ||||||
Global Managed Futures Strategy Fund | 17,368,318 | 276,288 | (679,399 | ) | (403,111 | ) | ||||||||||
Multi-Hedge Strategies Fund | 35,635,630 | 1,599,104 | (2,091,119 | ) | (492,015 | ) | ||||||||||
Commodities Strategy Fund | 4,004,044 | 2,083 | (1,110,034 | ) | (1,107,951 | ) |
Note 9 – Securities Transactions
For the period ended June 30, 2020, 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 | $ | 24,720,239 | $ | 28,800,746 | ||||
Global Managed Futures Strategy Fund | 99,602 | 4,365,000 | ||||||
Multi-Hedge Strategies Fund | 31,243,456 | 31,655,017 | ||||||
Commodities Strategy Fund | 485,056 | 1,270,000 |
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NOTES TO CONSOLIDATED 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 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, 2020, the Funds did not engage in purchases and sales of securities, pursuant to Rule 17a-7 of the 1940 Act.
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 expired on June 8, 2020. On March 30, 2020, the Board approved increasing the line of credit from $75,000,000 to $150,000,000. On June 8, 2020, the line of credit agreement was renewed at the increased $150,000,000 amount and expires on June 7, 2021. 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 1.84% for the period ended June 30, 2020. The Funds did not have any borrowings outstanding under this agreement at June 30, 2020.
The average daily balances borrowed for the period ended June 30, 2020, were as follows:
Fund | Average Daily Balance | |||||
Multi-Hedge Strategies Fund | $ | 284 |
Note 11 – Legal Proceedings
Tribune Company
Rydex Variable Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Variable Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Variable Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Variable Trust has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-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
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(continued) |
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 December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court.
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 intended 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. 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. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. On June 22, 2020, the Court scheduled oral argument to occur on August 24, 2020.
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 12 – COVID-19 and Recent Developments
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased
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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(concluded) |
volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
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.
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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.
Report of the Rydex Variable Trust Contracts Review Committee
Rydex Variable Trust (the “Trust”) was organized as a Delaware statutory trust on June 11, 1998, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
● | Banking Fund* | ● | Basic Materials Fund* |
● | Biotechnology Fund* | ● | Commodities Strategy Fund |
● | Consumer Products Fund* | ● | Dow 2x Strategy Fund |
● | Electronics Fund* | ● | Energy Fund* |
● | Energy Services Fund* | ● | Europe 1.25x Strategy Fund |
● | Financial Services Fund* | ● | Global Managed Futures Strategy Fund** |
● | Government Long Bond 1.2x Strategy Fund | ● | Health Care Fund* |
● | High Yield Strategy Fund | ● | Internet Fund* |
● | Inverse Dow 2x Strategy Fund | ● | Inverse Government Long Bond Strategy Fund |
● | Inverse High Yield Strategy Fund*** | ● | Inverse Mid-Cap Strategy Fund |
● | Inverse NASDAQ-100 2x Strategy Fund*** | ● | Inverse NASDAQ-100 Strategy Fund |
● | Inverse Russell 2000 2x Strategy Fund*** | ● | Inverse Russell 2000 Strategy Fund |
● | Inverse S&P 500 2x Strategy Fund*** | ● | Inverse S&P 500 Strategy Fund |
● | Japan 2x Strategy Fund | ● | Leisure Fund* |
● | Long Short Equity Fund** | ● | Mid-Cap 1.5x Strategy Fund |
● | Multi-Hedge Strategies Fund** | ● | NASDAQ-100 2x Strategy Fund |
● | NASDAQ-100 Fund | ● | Nova Fund |
● | Precious Metals Fund* | ● | Real Estate Fund |
● | Retailing Fund* | ● | Russell 2000 1.5x Strategy Fund |
● | Russell 2000 2x Strategy Fund | ● | Russell 2000 Fund*** |
● | S&P 500 Fund*** | ● | S&P 500 Pure Growth Fund |
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OTHER INFORMATION (Unaudited)(continued) |
● | 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 | ● | Strengthening Dollar 2x Strategy Fund |
● | Technology Fund* | ● | Telecommunications Fund* |
● | Transportation Fund* | ● | Utilities Fund* |
● | U.S. Government Money Market Fund | ● | Weakening Dollar 2x Strategy Fund |
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” |
*** | The Fund has been organized as a series of the Trust but has not commenced operations, and shares of the Fund are not currently offered to investors. Consequently, all references to “the Funds” or similar references hereafter should be understood as excluding such Fund. |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”). (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose1. At meetings held by videoconference and/or telephonically on April 20–21, 2020 (the “April Meeting”) and on May 15 and 18, 2020 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board receives throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a list of Funds for which no peer funds were identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
1 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief was originally limited to the period from March 13, 2020 to June 15, 2020 and was subsequently extended through August 15, 2020. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 18, 2020. |
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OTHER INFORMATION (Unaudited)(continued) |
As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Fund (other than the Alternative Funds) (each, a “Tradable Fund” and collectively, the “Tradable Funds”)2 is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct objective performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, with respect to the Tradable Funds (other than U.S. Government Money Market Fund), in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for other similar funds in the Guggenheim fund complex.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal and regulatory risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, and the leveraged and inverse strategies offered. The Committee noted that the Tradable Funds allow frequent trading and unlimited exchange privileges and noted the magnitude of changes in each Fund’s assets during 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
2 | Note that the Tradable Funds include the Sector Funds and the Real Estate Fund. |
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OTHER INFORMATION (Unaudited)(continued) |
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2019, as applicable, were received. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for other similar funds in the Guggenheim fund complex. The Committee also received certain updated performance information as of March 31, 2020.
With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences.
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining such Funds’ underperformance, as applicable, over the five-year, three-year and/or one-year periods ended December 31, 2019, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to the Commodities Strategy Fund and considered a comparison to a peer group identified in the FUSE report consisting of both actively-managed and index-based commodities funds, noting the limitations in the comparability of such peer group.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year and three-year periods ended December 31, 2019, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
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OTHER INFORMATION (Unaudited)(continued) |
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar strategies that do not offer the same product features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining such Funds’ underperformance, as applicable, over the five-year, three-year and one-year periods ended December 31, 2019, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee considered more recent performance periods in circumstances in which enhancements were being made to the portfolio management processes or techniques employed for a Fund. The Committee observed that the Global Managed Futures Strategy Fund’s returns ranked in the first quartile of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Long Short Equity Fund: The Fund’s returns ranked in the 100th percentile of its performance universe for the five-year and three-year periods ended December 31, 2019. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s high positive allocation to value and short on growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee took into account management’s statement that, since 2018, the Fund’s investment team has implemented enhancements to a number of components of the investment model used for the Fund, including revising expected risk models and security selection models, expanding the number of industry models used and adding a macro overlay to better incorporate Guggenheim’s market views. The Committee also took note of improving performance, noting that one-year performance as of March 31, 2020 ranked in the 63rd percentile.
Multi-Hedge Strategies Fund: The Fund’s returns ranked in the 80th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the underperformance of its long short equity sleeve and its overall lower volatility and equity market beta relative to its peers. With respect to the Fund’s long short equity sleeve, the Committee noted management’s statement that the sleeve’s high positive allocation to value and short on growth have detracted from investment performance. The Committee took into account management’s statement that the Fund changed its underlying investment strategies to improve diversification amongst the strategies, target a higher and more stable risk profile and enhance risk-adjusted returns while providing continuity for shareholders. The Committee noted that, as of March 31, 2020, the five-year and three-year performance rankings improved to the 14th and 9th percentiles, respectively, and that one-year performance ranked in the 4th percentile.
After reviewing the foregoing and other related factors, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that, while Fund flows and profitability are evaluated, primary consideration is given to market competitiveness, support requirements and shareholder return and expense expectations.
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by the Adviser to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted that Guggenheim generally does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than retail fund counterparts to certain Funds, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that each Fund’s contractual advisory fee was equal to or lower than the contractual advisory fee charged to the peer fund. The Committee also considered each such Fund’s net effective management fee and total net expense ratio as compared to the peer fund.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, although the Fund’s total net expense ratio is higher than that of the comparable peer fund, the Fund’s contractual advisory fee and net effective management fee are lower than those of the peer fund and the Fund’s total net expense ratio is similar to that of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving its fees to the extent necessary to maintain the Fund’s stable net asset value.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar investment strategies, but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), the Committee made the following observations:
Global Managed Futures Strategy Fund: The Fund’s contractual advisory fee ranks in the second quartile (50th percentile) of its peer group. The Fund’s net effective management fee ranks in the first quartile (1st percentile) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (100th percentile) of its peer group. The Committee considered that the peer group is limited in size and is comprised of only three funds. The Committee noted the Adviser’s statement that the Fund’s total net expense ratio ranks more competitively when compared to the broader universe of funds.
Long Short Equity Fund: The Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank in the fourth quartile (80th, 80th and 100th percentiles, respectively) of its peer group. The Committee considered that the peer group is limited in size and is comprised of only six funds. The Committee noted that the Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank more competitively when compared to the broader universe of funds.
Multi-Hedge Strategies Fund: The Fund’s contractual advisory fee ranks in the fourth quartile (86th percentile) of its peer group. The Fund’s net effective management fee ranks in the third quartile (71st percentile) of its peer group. The Committee considered that the Fund’s total net expense ratio ranks in the third quartile (57th percentile) of its peer group. The Committee considered that the peer group is limited in size and is comprised of only eight funds. The Committee noted that the Fund’s contractual advisory fee ranks more competitively when compared to the broader universe of funds.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2019, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2018. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
OTHER INFORMATION (Unaudited)(concluded) |
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented, and concluded that the profits were not unreasonable.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee noted the Adviser’s statements, including that Guggenheim believes it is appropriately sharing potential economies of scale and that costs continue to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things, and that, in this regard, management’s costs for providing services have increased in recent years without regard to asset levels.
With respect to the Tradable Funds, the Committee noted that the applicable breakpoint level for the Funds is applied at the product-suite level, rather than on a Fund level, as the Funds are designed for tactical advisors and provide unlimited trading privileges, with individual Fund assets fluctuating significantly throughout the year.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, among other things considered, the Committee determined that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee determined that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019 (Trustee)
Since July 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present).
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990). | 157 | Current: Purpose Investments Funds (2013-present).
Former: Managed Duration Investment Grade Municipal Fund (2006-2016). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present).
Former: Senior Leader, TIAA (1987-2012). | 156 | Current: Hunt Companies, Inc. (2019-present).
Former: Infinity Property & Casualty Corp. (2014-2018). |
Donald A. Chubb, Jr. (1946) | Trustee | Since 2019 | Current: Retired
Former: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-2017). | 156 | Former: Midland Care, Inc. (2011-2016). |
Jerry B. Farley (1946) | Trustee | Since 2019 | Current: President, Washburn University (1997-present). | 156 | Current: CoreFirst Bank & Trust (2000-present).
Former: Westar Energy, Inc. (2004-2018). |
Roman Friedrich III (1946) | Trustee | Since 2019 | Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). | 156 | Former: Zincore Metals, Inc. (2009-2019). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee)
Since July 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present).
Former: Harvest Volatility Edge Trust (3) (2017-2019). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Partner, Momkus LLC (2016-present).
Former: Partner, Nyberg & Cassioppi, LLC (2000-2016); Executive Vice President, General Counsel, and Corporate Secretary, Van Kampen Investments (1982-1999). | 157 | Current: PPM Funds (9) (2018 - present); Edward-Elmhurst Healthcare System (2012-present).
Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016 (Trustee)
Since 2019 (Chair of the Audit Committee) | Current: Retired.
Former: Senior Vice President and Chief Financial Officer, M.A. Mortenson-Companies, Inc. (2007-2017). | 156 | Current: 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). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present).
Former: Member, Executive Committee, Independent Directors Council (2016-2018); Vice President, Manager and Portfolio Manager, Nuveen Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE | |||||
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present).
Former: President and Chief Executive Officer, certain other funds in the Fund Complex (2017-2019); Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012). | 156 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS |
|
| |
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present).
Former: Managing Director and President, Deutsche Funds, and Head of US Product, Trading and Fund Administration, Deutsche Asset Management (2013-2018); Managing Director, Head of Business Management and Consulting, Invesco Ltd. (2010-2012). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | 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). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - continued | |||
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | 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 and 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). |
Margaux Misantone (1978) | AML Officer | Since 2017 | 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). |
William Rehder (1967) | Assistant Vice President | Since 2018 | Current: Managing Director, Guggenheim Investments (2002-present). |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | 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). |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present).
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | 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 | Since 2017 | 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). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
88 | 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 | 89 |
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.
90 | 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 | 91 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Variable Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from December 1, 2018, through March 31, 2020. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
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6.30.2020
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-0620x1220 |
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 | 136 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 141 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 144 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
| June 30, 2020 |
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, 2020.
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, 2020
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 funds’ holdings in issuers of the same or similar offerings. 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, 2020 |
The six-month period ended June 30, 2020, was an unprecedented time for markets. It was marked by extreme volatility, resulting from the COVID-19 pandemic, tempered by a swift and aggressive monetary policy response by the U.S. Federal Reserve (the “Fed”) and sweeping fiscal support that cushioned downside risk for the economy and especially for markets.
The mere announcement of the Fed’s Primary and Secondary Market Corporate Credit Facilities on March 23, 2020 and June 15, 2020, respectively, caused credit spreads, which had blown out dramatically, to stabilize and then tighten as the market interpreted the move as a backstop against defaults, with most credits trading in their 80th percentile since. With credit markets shored up, equity markets have regained almost all of their lost ground. The Standard & Poor’s 500® (“S&P 500®”) index, which began the year at 3,230, peaked at 3,386 on February 19, 2020 before plummeting to 2,237 on March 23, 2020, the day of the Fed’s first announced facility. By June 30, 2020, the index had recovered to 3,100. The total return for the six-months ended June 30, 2020 was -3.08%.
The U.S. budget deficit is approaching 25% of Gross Domestic Product (“GDP”), the highest since World War II, and the Fed has promised to use all available tools, including powerful new emergency credit market facilities, to support the recovery. But even this policy response cannot force consumers to spend, or businesses to invest, amid staggering uncertainty. Moreover, future rounds of fiscal stimulus may be needed to avoid a series of fiscal cliffs as temporary measures expire. Future stimulus could also be more politically contentious, especially with the November election approaching, social unrest increasing and markets cheering sequential improvement in the economic data. And as the events of the global financial crisis and the ensuing European debt crisis illustrated, the persistence of macro stress means the risk of a systemic credit event is elevated. As fragility builds, we are watching developments in emerging markets particularly closely as a potential catalyst for a broader, systemic shock.
Meanwhile, joblessness has surged, with the fall in U.S. employment in April 2020 alone representing a 40 standard deviation shock, erasing jobs gained during the preceding 21 years. Rehiring activity turned the labor market tide in May and June 2020, but as personal, small business and corporate bankruptcies mount, permanent damage is being done to the productive capacity of the economy, which may stunt a recovery.
Overshadowing everything is the COVID-19 pandemic, which caused a steeper plunge in U.S. output and employment in two months (in both cases roughly 16% un-annualized) than during the first two years of the Great Depression. Real GDP leads core inflation by about 18 months, suggesting that inflation may also fall sharply in coming quarters. Reopening measures have supported a strong uptick in economic activity since April, but we do not expect a genuine recovery will be possible until a vaccine has been developed, tested, approved, produced and administered across the globe. In the meantime, keeping the infection rate in check will require social distancing measures that stymie economic activity. Indeed, the premature easing of lockdowns and a lax adherence to social distancing guidelines are resulting in a resurgence of new infections in the United States, reflecting the combination of millions of cases and limited testing and tracing capabilities. Recent trends do not bode well for the fall, when the start of the school year could boost social interactions and the return of flu season might strain healthcare capacity.
For the six months ended June 30, 2020, the S&P 500® Index* returned -3.08%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -11.34%. The return of the MSCI Emerging Markets Index* was -9.78%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 6.14% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned -3.80%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.60% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2020 |
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®. 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®. The Consumer Staples index comprises companies whose businesses are less sensitive to economic cycles. It includes manufacturers and distributors of food, beverages and tobacco and producers of non-durable household goods and personal products. It also includes food & drug retailing companies as well as hypermarkets and consumer super centers.
S&P 500® Energy Index is a sub-index of the S&P 500®. 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®. The Financials index contains companies involved in activities such as banking, mortgage finance, consumer finance, specialized finance, investment banking and brokerage, asset management and custody, corporate lending, insurance, and financial investment, and real estate, including REITs.
S&P 500® Health Care Index is a sub-index of the S&P 500®. The Health Care index encompasses two main industry groups. The first includes companies who manufacture health care equipment and supplies or provide health care related services, including distributors of health care products, providers of basic health-care services, and owners and operators of health care facilities and organizations. The first group also includes companies operating in the health care technology industry. The second group includes companies primarily involved in the research, development, production and marketing of pharmaceuticals, biotechnology and life sciences products.
S&P 500® Industrials Index is a sub-index of the S&P 500®. 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®. 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®. 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® Telecommunications Services Index is a sub-index of the S&P 500®. 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®. 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, 2019 and ending June 30, 2020.
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 | 1.83% | (31.53%) | $ 1,000.00 | $ 684.70 | $ 7.67 |
Basic Materials Fund | 1.83% | (9.26%) | 1,000.00 | 907.40 | 8.68 |
Biotechnology Fund | 1.83% | 9.14% | 1,000.00 | 1,091.40 | 9.52 |
Consumer Products Fund | 1.83% | (7.39%) | 1,000.00 | 926.10 | 8.76 |
Electronics Fund | 1.83% | 8.54% | 1,000.00 | 1,085.40 | 9.49 |
Energy Fund | 1.83% | (39.63%) | 1,000.00 | 603.70 | 7.30 |
Energy Services Fund | 1.83% | (52.23%) | 1,000.00 | 477.70 | 6.72 |
Financial Services Fund | 1.83% | (18.82%) | 1,000.00 | 811.80 | 8.24 |
Health Care Fund | 1.83% | 2.00% | 1,000.00 | 1,020.00 | 9.19 |
Internet Fund | 1.83% | 23.27% | 1,000.00 | 1,232.70 | 10.16 |
Leisure Fund | 1.83% | (12.93%) | 1,000.00 | 870.70 | 8.51 |
Precious Metals Fund | 1.73% | 20.68% | 1,000.00 | 1,206.80 | 9.49 |
Real Estate Fund | 1.83% | (18.59%) | 1,000.00 | 814.10 | 8.25 |
Retailing Fund | 1.83% | 9.18% | 1,000.00 | 1,091.80 | 9.52 |
Technology Fund | 1.83% | 13.23% | 1,000.00 | 1,132.30 | 9.70 |
Telecommunications Fund | 1.83% | (2.22%) | 1,000.00 | 977.80 | 9.00 |
Transportation Fund | 1.83% | (8.19%) | 1,000.00 | 918.10 | 8.73 |
Utilities Fund | 1.83% | (14.37%) | 1,000.00 | 856.30 | 8.45 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Banking Fund | 1.83% | 5.00% | $ 1,000.00 | $ 1,015.76 | $ 9.17 |
Basic Materials Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Biotechnology Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Consumer Products Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Electronics Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Energy Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Energy Services Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Financial Services Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Health Care Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Internet Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Leisure Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Precious Metals Fund | 1.73% | 5.00% | 1,000.00 | 1,016.26 | 8.67 |
Real Estate Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Retailing Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Technology Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Telecommunications Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Transportation Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
Utilities Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
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 182/366 (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, 2019 to June 30, 2020. |
6 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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) | |
Citigroup, Inc. | 4.0% |
JPMorgan Chase & Co. | 3.9% |
Bank of America Corp. | 3.9% |
Wells Fargo & Co. | 3.9% |
U.S. Bancorp | 3.5% |
Truist Financial Corp. | 3.3% |
PNC Financial Services Group, Inc. | 3.2% |
Capital One Financial Corp. | 2.5% |
State Street Corp. | 2.3% |
First Republic Bank | 2.0% |
Top Ten Total | 32.5% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Banking Fund | (31.53%) | (23.40%) | (1.51%) | 3.51% |
S&P 500 Financials Index | (23.62%) | (13.92%) | 5.41% | 9.68% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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, 2020 |
BANKING FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.4% | ||||||||
Banks - 90.1% | ||||||||
Citigroup, Inc. | 2,483 | $ | 126,881 | |||||
JPMorgan Chase & Co. | 1,331 | 125,194 | ||||||
Bank of America Corp. | 5,260 | 124,925 | ||||||
Wells Fargo & Co. | 4,781 | 122,394 | ||||||
U.S. Bancorp | 3,035 | 111,749 | ||||||
Truist Financial Corp. | 2,796 | 104,990 | ||||||
PNC Financial Services Group, Inc. | 956 | 100,581 | ||||||
State Street Corp. | 1,144 | 72,701 | ||||||
First Republic Bank | 603 | 63,912 | ||||||
Northern Trust Corp. | 777 | 61,647 | ||||||
M&T Bank Corp. | 523 | 54,376 | ||||||
Fifth Third Bancorp | 2,784 | 53,675 | ||||||
SVB Financial Group* | 234 | 50,434 | ||||||
KeyCorp | 4,104 | 49,987 | ||||||
Citizens Financial Group, Inc. | 1,971 | 49,748 | ||||||
Regions Financial Corp. | 4,283 | 47,627 | ||||||
Huntington Bancshares, Inc. | 4,844 | 43,766 | ||||||
HDFC Bank Ltd. ADR | 885 | 40,232 | ||||||
Commerce Bancshares, Inc. | 655 | 38,953 | ||||||
ICICI Bank Ltd. ADR | 4,020 | 37,346 | ||||||
HSBC Holdings plc ADR1 | 1,576 | 36,768 | ||||||
Signature Bank | 343 | 36,674 | ||||||
Toronto-Dominion Bank | 798 | 35,599 | ||||||
Prosperity Bancshares, Inc. | 593 | 35,212 | ||||||
Zions Bancorp North America | 1,032 | 35,088 | ||||||
Royal Bank of Canada | 517 | 35,053 | ||||||
UBS Group AG | 3,016 | 34,805 | ||||||
Comerica, Inc. | 904 | 34,442 | ||||||
East West Bancorp, Inc. | 936 | 33,921 | ||||||
Credit Suisse Group AG ADR | 3,277 | 33,786 | ||||||
Bank of Nova Scotia | 810 | 33,404 | ||||||
Popular, Inc. | 888 | 33,007 | ||||||
Canadian Imperial Bank of Commerce | 486 | 32,547 | ||||||
Cullen/Frost Bankers, Inc. | 432 | 32,275 | ||||||
Bank of Montreal | 595 | 31,565 | ||||||
TCF Financial Corp. | 1,063 | 31,273 | ||||||
First Financial Bankshares, Inc. | 1,025 | 29,612 | ||||||
Western Alliance Bancorporation | 777 | 29,425 | ||||||
United Bankshares, Inc. | 1,042 | 28,822 | ||||||
Valley National Bancorp | 3,489 | 27,284 | ||||||
Glacier Bancorp, Inc. | 771 | 27,209 | ||||||
Pinnacle Financial Partners, Inc. | 640 | 26,874 | ||||||
South State Corp. | 563 | 26,833 | ||||||
Community Bank System, Inc. | 470 | 26,799 | ||||||
First Horizon National Corp. | 2,668 | 26,573 | ||||||
Bank OZK | 1,111 | 26,075 | ||||||
Synovus Financial Corp. | 1,254 | 25,745 | ||||||
CVB Financial Corp. | 1,294 | 24,250 | ||||||
Webster Financial Corp. | 846 | 24,204 | ||||||
Home BancShares, Inc. | 1,564 | 24,054 | ||||||
UMB Financial Corp. | 460 | 23,713 | ||||||
Wintrust Financial Corp. | 538 | 23,468 | ||||||
IBERIABANK Corp. | 512 | 23,316 | ||||||
Old National Bancorp | 1,675 | 23,048 | ||||||
PacWest Bancorp | 1,167 | 23,002 | ||||||
Independent Bank Corp. | 341 | 22,878 | ||||||
First Hawaiian, Inc. | 1,306 | 22,515 | ||||||
Umpqua Holdings Corp. | 2,106 | 22,408 | ||||||
Cathay General Bancorp | 828 | 21,776 | ||||||
Associated Banc-Corp. | 1,577 | 21,573 | ||||||
Columbia Banking System, Inc. | 761 | 21,571 | ||||||
Simmons First National Corp. — Class A | 1,213 | 20,754 | ||||||
CIT Group, Inc. | 991 | 20,543 | ||||||
Hancock Whitney Corp. | 941 | 19,949 | ||||||
Fulton Financial Corp. | 1,867 | 19,659 | ||||||
United Community Banks, Inc. | 957 | 19,255 | ||||||
Ameris Bancorp | 811 | 19,131 | ||||||
Independent Bank Group, Inc. | 462 | 18,720 | ||||||
First Midwest Bancorp, Inc. | 1,387 | 18,516 | ||||||
Texas Capital Bancshares, Inc.* | 591 | 18,244 | ||||||
First Financial Bancorp | 1,292 | 17,946 | ||||||
Cadence BanCorp | 1,796 | 15,913 | ||||||
Total Banks | 2,858,194 | |||||||
Savings & Loans - 4.2% | ||||||||
People’s United Financial, Inc. | 2,907 | 33,634 | ||||||
New York Community Bancorp, Inc. | 3,198 | 32,620 | ||||||
Investors Bancorp, Inc. | 2,669 | 22,686 | ||||||
Sterling Bancorp | 1,927 | 22,584 | ||||||
Pacific Premier Bancorp, Inc. | 1,010 | 21,897 | ||||||
Total Savings & Loans | 133,421 | |||||||
Insurance - 2.6% | ||||||||
Equitable Holdings, Inc. | 2,316 | 44,676 | ||||||
Voya Financial, Inc. | 794 | 37,040 | ||||||
Total Insurance | 81,716 | |||||||
Diversified Financial Services - 2.5% | ||||||||
Capital One Financial Corp. | 1,253 | 78,425 | ||||||
Total Common Stocks | ||||||||
(Cost $2,369,661) | 3,151,756 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
J.P. Morgan Securities LLC | $ | 11,728 | 11,728 | |||||
BofA Securities, Inc. | 4,857 | 4,857 | ||||||
Barclays Capital, Inc. | 4,565 | 4,565 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $21,150) | 21,150 | |||||||
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
BANKING FUND |
| Shares | Value | ||||||
SECURITIES LENDING COLLATERAL†,3 - 0.6% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 18,091 | $ | 18,091 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $18,091) | 18,091 | |||||||
Total Investments - 100.6% | ||||||||
(Cost $2,408,902) | $ | 3,190,997 | ||||||
Other Assets & Liabilities, net - (0.6)% | (20,041 | ) | ||||||
Total Net Assets - 100.0% | $ | 3,170,956 |
* | 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, 2020 — 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 3,151,756 | $ | — | $ | — | $ | 3,151,756 | ||||||||
Repurchase Agreements | — | 21,150 | — | 21,150 | ||||||||||||
Securities Lending Collateral | 18,091 | — | — | 18,091 | ||||||||||||
Total Assets | $ | 3,169,847 | $ | 21,150 | $ | — | $ | 3,190,997 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 9 |
BANKING FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments, at value - including $17,404 of securities loaned (cost $2,387,752) | $ | 3,169,847 | ||
Repurchase agreements, at value (cost $21,150) | 21,150 | |||
Receivables: | ||||
Dividends | 7,166 | |||
Foreign tax reclaims | 259 | |||
Total assets | 3,198,422 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 18,091 | |||
Management fees | 1,890 | |||
Transfer agent and administrative fees | 598 | |||
Investor service fees | 556 | |||
Portfolio accounting fees | 222 | |||
Fund shares redeemed | 196 | |||
Trustees’ fees* | 58 | |||
Miscellaneous | 5,855 | |||
Total liabilities | 27,466 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 3,170,956 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,678,200 | ||
Total distributable earnings (loss) | (507,244 | ) | ||
Net assets | $ | 3,170,956 | ||
Capital shares outstanding | 47,648 | |||
Net asset value per share | $ | 66.55 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $912) | $ | 52,025 | ||
Interest | 92 | |||
Income from securities lending, net | 13 | |||
Total investment income | 52,130 | |||
Expenses: | ||||
Management fees | 13,362 | |||
Investor service fees | 3,930 | |||
Transfer agent and administrative fees | 4,229 | |||
Professional fees | 3,341 | |||
Portfolio accounting fees | 1,572 | |||
Trustees’ fees* | 500 | |||
Custodian fees | 263 | |||
Line of credit fees | 13 | |||
Miscellaneous | 1,488 | |||
Total expenses | 28,698 | |||
Net investment income | 23,432 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (193,420 | ) | ||
Net realized loss | (193,420 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,302,300 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,302,300 | ) | ||
Net realized and unrealized loss | (1,495,720 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,472,288 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 23,432 | $ | 50,080 | ||||
Net realized gain (loss) on investments | (193,420 | ) | 396,840 | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,302,300 | ) | 851,331 | |||||
Net increase (decrease) in net assets resulting from operations | (1,472,288 | ) | 1,298,251 | |||||
Distributions to shareholders | — | (40,316 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 8,685,425 | 13,610,333 | ||||||
Distributions reinvested | — | 40,316 | ||||||
Cost of shares redeemed | (9,880,213 | ) | (14,618,756 | ) | ||||
Net decrease from capital share transactions | (1,194,788 | ) | (968,107 | ) | ||||
Net increase (decrease) in net assets | (2,667,076 | ) | 289,828 | |||||
Net assets: | ||||||||
Beginning of period | 5,838,032 | 5,548,204 | ||||||
End of period | $ | 3,170,956 | $ | 5,838,032 | ||||
Capital share activity: | ||||||||
Shares sold | 126,084 | 155,138 | ||||||
Shares issued from reinvestment of distributions | — | 458 | ||||||
Shares redeemed | (138,495 | ) | (168,105 | ) | ||||
Net decrease in shares | (12,411 | ) | (12,509 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 97.20 | $ | 76.46 | $ | 95.19 | $ | 84.90 | $ | 67.87 | $ | 71.43 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .56 | .94 | .56 | .28 | .10 | .42 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (31.21 | ) | 20.67 | (18.70 | ) | 10.28 | 17.11 | (3.86 | ) | |||||||||||||||
Total from investment operations | (30.65 | ) | 21.61 | (18.14 | ) | 10.56 | 17.21 | (3.44 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.87 | ) | (.56 | ) | (.27 | ) | (.18 | ) | (.12 | ) | |||||||||||||
Net realized gains | — | — | (.03 | ) | — | — | — | |||||||||||||||||
Total distributions | — | (.87 | ) | (.59 | ) | (.27 | ) | (.18 | ) | (.12 | ) | |||||||||||||
Net asset value, end of period | $ | 66.55 | $ | 97.20 | $ | 76.46 | $ | 95.19 | $ | 84.90 | $ | 67.87 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (31.53 | %) | 28.39 | % | (19.19 | %) | 12.48 | % | 27.25 | % | (4.86 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,171 | $ | 5,838 | $ | 5,548 | $ | 9,692 | $ | 16,076 | $ | 5,611 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.49 | % | 1.07 | % | 0.59 | % | 0.33 | % | 0.69 | % | 0.62 | % | ||||||||||||
Total expenses | 1.83 | % | 1.82 | % | 1.71 | % | 1.70 | % | 1.67 | % | 1.59 | % | ||||||||||||
Portfolio turnover rate | 271 | % | 246 | % | 320 | % | 273 | % | 417 | % | 388 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 years 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, 2020 |
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. | 3.3% |
Newmont Corp. | 3.3% |
Air Products & Chemicals, Inc. | 3.2% |
Sherwin-Williams Co. | 3.1% |
DuPont de Nemours, Inc. | 2.8% |
Dow, Inc. | 2.4% |
PPG Industries, Inc. | 2.2% |
Ball Corp. | 2.1% |
LyondellBasell Industries N.V. — Class A | 2.0% |
Corteva, Inc. | 1.9% |
Top Ten Total | 26.3% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Basic Materials Fund | (9.26%) | (4.89%) | 4.02% | 4.31% |
S&P 500 Materials Index | (6.92%) | (1.11%) | 5.44% | 9.85% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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 | 13 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
BASIC MATERIALS FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 98.4% | ||||||||
Chemicals - 44.0% | ||||||||
Ecolab, Inc. | 859 | $ | 170,898 | |||||
Air Products & Chemicals, Inc. | 699 | 168,780 | ||||||
Sherwin-Williams Co. | 283 | 163,531 | ||||||
DuPont de Nemours, Inc. | 2,724 | 144,726 | ||||||
Dow, Inc. | 3,057 | 124,603 | ||||||
PPG Industries, Inc. | 1,097 | 116,348 | ||||||
LyondellBasell Industries N.V. — Class A | 1,623 | 106,664 | ||||||
Linde plc | 418 | 88,662 | ||||||
FMC Corp. | 838 | 83,482 | ||||||
International Flavors & Fragrances, Inc.1 | 661 | 80,946 | ||||||
Celanese Corp. — Class A | 845 | 72,957 | ||||||
RPM International, Inc. | 955 | 71,682 | ||||||
Eastman Chemical Co. | 1,013 | 70,545 | ||||||
Albemarle Corp. | 846 | 65,320 | ||||||
Westlake Chemical Corp. | 1,121 | 60,142 | ||||||
CF Industries Holdings, Inc. | 1,953 | 54,957 | ||||||
Axalta Coating Systems Ltd.* | 2,385 | 53,782 | ||||||
Mosaic Co. | 3,953 | 49,452 | ||||||
Ashland Global Holdings, Inc. | 677 | 46,781 | ||||||
Huntsman Corp. | 2,551 | 45,841 | ||||||
Nutrien Ltd.1 | 1,415 | 45,421 | ||||||
Quaker Chemical Corp. | 240 | 44,556 | ||||||
W R Grace & Co. | 842 | 42,782 | ||||||
Valvoline, Inc. | 2,193 | 42,391 | ||||||
Balchem Corp. | 433 | 41,074 | ||||||
Element Solutions, Inc.* | 3,474 | 37,693 | ||||||
PolyOne Corp. | 1,391 | 36,486 | ||||||
Chemours Co. | 2,376 | 36,472 | ||||||
Sensient Technologies Corp. | 660 | 34,426 | ||||||
Ingevity Corp.* | 649 | 34,118 | ||||||
Innospec, Inc. | 419 | 32,368 | ||||||
Olin Corp. | 2,593 | 29,794 | ||||||
Total Chemicals | 2,297,680 | |||||||
Mining - 20.4% | ||||||||
Newmont Corp. | 2,768 | 170,896 | ||||||
Freeport-McMoRan, Inc. | 8,586 | 99,340 | ||||||
Barrick Gold Corp. | 3,047 | 82,086 | ||||||
Royal Gold, Inc. | 561 | 69,744 | ||||||
AngloGold Ashanti Ltd. ADR | 2,114 | 62,342 | ||||||
Wheaton Precious Metals Corp. | 1,387 | 61,097 | ||||||
Pan American Silver Corp. | 1,997 | 60,689 | ||||||
Agnico Eagle Mines Ltd. | 945 | 60,537 | ||||||
Franco-Nevada Corp. | 430 | 60,045 | ||||||
SSR Mining, Inc.* | 2,710 | 57,804 | ||||||
Kirkland Lake Gold Ltd. | 1,389 | 57,282 | ||||||
BHP Group Ltd. ADR | 1,127 | 56,046 | ||||||
Rio Tinto plc ADR | 968 | 54,382 | ||||||
Teck Resources Ltd. — Class B | 5,040 | 52,517 | ||||||
Alcoa Corp.* | 2,891 | 32,495 | ||||||
Kaiser Aluminum Corp. | 335 | 24,663 | ||||||
Total Mining | 1,061,965 | |||||||
Packaging & Containers - 12.4% | ||||||||
Ball Corp. | 1,559 | 108,335 | ||||||
Packaging Corporation of America | 721 | 71,956 | ||||||
Crown Holdings, Inc.* | 1,045 | 68,061 | ||||||
Westrock Co. | 2,221 | 62,766 | ||||||
Amcor plc | 5,515 | 56,308 | ||||||
Berry Global Group, Inc.* | 1,266 | 56,109 | ||||||
Sonoco Products Co. | 1,017 | 53,179 | ||||||
Sealed Air Corp. | 1,605 | 52,724 | ||||||
Graphic Packaging Holding Co. | 3,269 | 45,733 | ||||||
Silgan Holdings, Inc. | 1,372 | 44,439 | ||||||
O-I Glass, Inc. | 3,078 | 27,640 | ||||||
Total Packaging & Containers | 647,250 | |||||||
Iron & Steel - 8.0% | ||||||||
Nucor Corp. | 1,920 | 79,507 | ||||||
Vale S.A. ADR | 6,243 | 64,365 | ||||||
Reliance Steel & Aluminum Co. | 599 | 56,863 | ||||||
Steel Dynamics, Inc. | 2,064 | 53,850 | ||||||
ArcelorMittal S.A.* | 4,670 | 50,109 | ||||||
Commercial Metals Co. | 1,703 | 34,741 | ||||||
Allegheny Technologies, Inc.* | 2,558 | 26,066 | ||||||
United States Steel Corp.1 | 3,570 | 25,776 | ||||||
Carpenter Technology Corp. | 1,006 | 24,426 | ||||||
Total Iron & Steel | 415,703 | |||||||
Building Materials - 5.4% | ||||||||
Vulcan Materials Co. | 755 | 87,467 | ||||||
Martin Marietta Materials, Inc. | 398 | 82,215 | ||||||
Louisiana-Pacific Corp. | 1,582 | 40,578 | ||||||
Eagle Materials, Inc. | 554 | 38,902 | ||||||
Summit Materials, Inc. — Class A* | 1,918 | 30,841 | ||||||
Total Building Materials | 280,003 | |||||||
Forest Products & Paper - 2.1% | ||||||||
International Paper Co. | 2,438 | 85,842 | ||||||
Domtar Corp. | 1,165 | 24,593 | ||||||
Total Forest Products & Paper | 110,435 | |||||||
Biotechnology - 1.9% | ||||||||
Corteva, Inc. | 3,787 | 101,454 | ||||||
Household Products & Housewares - 1.3% | ||||||||
Avery Dennison Corp. | 612 | 69,823 | ||||||
Housewares - 1.3% | ||||||||
Scotts Miracle-Gro Co. — Class A | 484 | 65,083 | ||||||
Miscellaneous Manufacturing - 1.2% | ||||||||
AptarGroup, Inc. | 560 | 62,709 | ||||||
Coal - 0.4% | ||||||||
Warrior Met Coal, Inc. | 1,369 | 21,069 | ||||||
Total Common Stocks | ||||||||
(Cost $2,782,929) | 5,133,174 | |||||||
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
BASIC MATERIALS FUND |
| Shares | Value | ||||||
EXCHANGE-TRADED FUNDS† - 1.1% | ||||||||
VanEck Vectors Junior Gold Miners ETF | 1,145 | $ | 56,769 | |||||
Total Exchange-Traded Funds | ||||||||
(Cost $47,921) | 56,769 | |||||||
SECURITIES LENDING COLLATERAL†,2 - 2.3% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%3 | 122,467 | 122,467 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $122,467) | 122,467 | |||||||
Total Investments - 101.8% | ||||||||
(Cost $2,953,317) | $ | 5,312,410 | ||||||
Other Assets & Liabilities, net - (1.8)% | (95,385 | ) | ||||||
Total Net Assets - 100.0% | $ | 5,217,025 |
* | 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, 2020 — See Note 7. |
2 | Securities lending collateral — See Note 7. |
3 | Rate indicated is the 7-day yield as of June 30, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 5,133,174 | $ | — | $ | — | $ | 5,133,174 | ||||||||
Exchange-Traded Funds | 56,769 | — | — | 56,769 | ||||||||||||
Securities Lending Collateral | 122,467 | — | — | 122,467 | ||||||||||||
Total Assets | $ | 5,312,410 | $ | — | $ | — | $ | 5,312,410 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
BASIC MATERIALS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments, at value - including $119,081 of securities loaned (cost $2,953,317) | $ | 5,312,410 | ||
Cash | 269 | |||
Receivables: | ||||
Securities sold | 222,186 | |||
Dividends | 9,672 | |||
Securities lending income | 71 | |||
Total assets | 5,544,608 | |||
Liabilities: | ||||
Line of credit | 169,000 | |||
Payable for: | ||||
Return of securities lending collateral | 122,467 | |||
Deferred foreign capital gain taxes | 19,017 | |||
Management fees | 4,011 | |||
Transfer agent and administrative fees | 1,269 | |||
Investor service fees | 1,180 | |||
Fund shares redeemed | 789 | |||
Portfolio accounting fees | 472 | |||
Trustees’ fees* | 92 | |||
Miscellaneous | 9,286 | |||
Total liabilities | 327,583 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 5,217,025 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,478,631 | ||
Total distributable earnings (loss) | 1,738,394 | |||
Net assets | $ | 5,217,025 | ||
Capital shares outstanding | 75,659 | |||
Net asset value per share | $ | 68.95 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $576) | $ | 56,993 | ||
Interest | 200 | |||
Income from securities lending, net | 357 | |||
Total investment income | 57,550 | |||
Expenses: | ||||
Management fees | 21,671 | |||
Investor service fees | 6,374 | |||
Transfer agent and administrative fees | 6,858 | |||
Professional fees | 4,943 | |||
Portfolio accounting fees | 2,549 | |||
Trustees’ fees* | 664 | |||
Custodian fees | 409 | |||
Miscellaneous | 3,191 | |||
Total expenses | 46,659 | |||
Net investment income | 10,891 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 87,825 | |||
Net realized gain | 87,825 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (724,202 | ) | ||
Net change in unrealized appreciation (depreciation) | (724,202 | ) | ||
Net realized and unrealized loss | (636,377 | ) | ||
Net decrease in net assets resulting from operations | $ | (625,486 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 10,891 | $ | 31,109 | ||||
Net realized gain on investments | 87,825 | 374,167 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (724,202 | ) | 758,223 | |||||
Net increase (decrease) in net assets resulting from operations | (625,486 | ) | 1,163,499 | |||||
Distributions to shareholders | — | (299,363 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,228,062 | 6,035,444 | ||||||
Distributions reinvested | — | 299,363 | ||||||
Cost of shares redeemed | (2,935,118 | ) | (6,817,453 | ) | ||||
Net decrease from capital share transactions | (707,056 | ) | (482,646 | ) | ||||
Net increase (decrease) in net assets | (1,332,542 | ) | 381,490 | |||||
Net assets: | ||||||||
Beginning of period | 6,549,567 | 6,168,077 | ||||||
End of period | $ | 5,217,025 | $ | 6,549,567 | ||||
Capital share activity: | ||||||||
Shares sold | 34,224 | 82,680 | ||||||
Shares issued from reinvestment of distributions | — | 4,086 | ||||||
Shares redeemed | (44,750 | ) | (94,867 | ) | ||||
Net decrease in shares | (10,526 | ) | (8,101 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 75.99 | $ | 65.42 | $ | 81.27 | $ | 67.61 | $ | 52.52 | $ | 63.47 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .14 | .35 | .05 | (.07 | ) | .02 | .18 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (7.18 | ) | 13.55 | (13.91 | ) | 14.47 | 15.43 | (11.13 | ) | |||||||||||||||
Total from investment operations | (7.04 | ) | 13.90 | (13.86 | ) | 14.40 | 15.45 | (10.95 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.42 | ) | (.50 | ) | — | — | ||||||||||||||||
Net realized gains | — | (3.33 | ) | (1.57 | ) | (.24 | ) | (.36 | ) | — | ||||||||||||||
Total distributions | — | (3.33 | ) | (1.99 | ) | (.74 | ) | (.36 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 68.95 | $ | 75.99 | $ | 65.42 | $ | 81.27 | $ | 67.61 | $ | 52.52 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (9.26 | %) | 21.43 | % | (17.44 | %) | 21.43 | % | 30.86 | % | (17.30 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 5,217 | $ | 6,550 | $ | 6,168 | $ | 17,067 | $ | 15,229 | $ | 5,084 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.43 | % | 0.49 | % | 0.06 | % | (0.10 | %) | 0.08 | % | 0.27 | % | ||||||||||||
Total expensesd | 1.83 | % | 1.82 | % | 1.73 | % | 1.70 | % | 1.66 | % | 1.59 | % | ||||||||||||
Portfolio turnover rate | 59 | % | 88 | % | 83 | % | 181 | % | 266 | % | 228 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 years 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, 2020 |
BIOTECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the biotechnology industry, including companies involved in research and development, genetic or other biological engineering, and in the design, manufacture, or sale of related biotechnology products or services (“Biotechnology Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
AbbVie, Inc. | 7.3% |
Amgen, Inc. | 6.5% |
Gilead Sciences, Inc. | 5.5% |
Vertex Pharmaceuticals, Inc. | 4.9% |
Regeneron Pharmaceuticals, Inc. | 4.5% |
Illumina, Inc. | 4.1% |
Biogen, Inc. | 3.9% |
Seattle Genetics, Inc. | 3.1% |
Moderna, Inc. | 2.7% |
Incyte Corp. | 2.7% |
Top Ten Total | 45.2% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Biotechnology Fund | 9.14% | 19.31% | 2.59% | 17.73% |
S&P 500 Health Care Index | (0.81%) | 10.90% | 8.14% | 15.72% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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, 2020 |
BIOTECHNOLOGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.9% | ||||||||
Biotechnology - 73.9% | ||||||||
Amgen, Inc. | 6,869 | $ | 1,620,122 | |||||
Gilead Sciences, Inc. | 17,833 | 1,372,071 | ||||||
Vertex Pharmaceuticals, Inc.* | 4,189 | 1,216,109 | ||||||
Regeneron Pharmaceuticals, Inc.* | 1,806 | 1,126,312 | ||||||
Illumina, Inc.* | 2,754 | 1,019,944 | ||||||
Biogen, Inc.* | 3,574 | 956,224 | ||||||
Seattle Genetics, Inc.* | 4,493 | 763,451 | ||||||
Moderna, Inc.* | 10,496 | 673,948 | ||||||
Incyte Corp.* | 6,447 | 670,295 | ||||||
Alexion Pharmaceuticals, Inc.* | 5,961 | 669,063 | ||||||
BioMarin Pharmaceutical, Inc.* | 5,409 | 667,146 | ||||||
Corteva, Inc. | 22,612 | 605,775 | ||||||
Alnylam Pharmaceuticals, Inc.* | 3,828 | 566,965 | ||||||
Exact Sciences Corp.* | 5,763 | 501,035 | ||||||
Immunomedics, Inc.* | 11,313 | 400,933 | ||||||
Ionis Pharmaceuticals, Inc.* | 6,685 | 394,148 | ||||||
Guardant Health, Inc.* | 4,801 | 389,505 | ||||||
Exelixis, Inc.* | 16,075 | 381,620 | ||||||
ACADIA Pharmaceuticals, Inc.* | 7,543 | 365,609 | ||||||
United Therapeutics Corp.* | 2,701 | 326,821 | ||||||
Mirati Therapeutics, Inc.* | 2,707 | 309,058 | ||||||
Arrowhead Pharmaceuticals, Inc.* | 7,105 | 306,865 | ||||||
Ultragenyx Pharmaceutical, Inc.* | 3,913 | 306,075 | ||||||
Acceleron Pharma, Inc.* | 3,171 | 302,101 | ||||||
Amarin Corporation plc ADR*,1 | 43,468 | 300,798 | ||||||
BeiGene Ltd. ADR* | 1,549 | 291,832 | ||||||
Nektar Therapeutics* | 12,278 | 284,358 | ||||||
Bluebird Bio, Inc.* | 4,421 | 269,858 | ||||||
FibroGen, Inc.* | 6,506 | 263,688 | ||||||
Iovance Biotherapeutics, Inc.* | 9,548 | 262,093 | ||||||
PTC Therapeutics, Inc.* | 4,886 | 247,916 | ||||||
Ligand Pharmaceuticals, Inc. — Class B*,1 | 1,680 | 187,908 | ||||||
Intercept Pharmaceuticals, Inc.* | 2,878 | 137,885 | ||||||
Myriad Genetics, Inc.* | 10,135 | 114,931 | ||||||
Sage Therapeutics, Inc.* | 2,204 | 91,642 | ||||||
Total Biotechnology | 18,364,104 | |||||||
Pharmaceuticals - 21.5% | ||||||||
AbbVie, Inc. | 18,529 | 1,819,177 | ||||||
Horizon Therapeutics plc* | 8,590 | 477,432 | ||||||
Sarepta Therapeutics, Inc.* | 2,966 | 475,568 | ||||||
Neurocrine Biosciences, Inc.* | 3,777 | 460,794 | ||||||
Mylan N.V.* | 24,151 | 388,348 | ||||||
Jazz Pharmaceuticals plc* | 3,197 | 352,757 | ||||||
PRA Health Sciences, Inc.* | 3,488 | 339,348 | ||||||
Alkermes plc* | 16,263 | 315,584 | ||||||
Agios Pharmaceuticals, Inc.* | 5,202 | 278,203 | ||||||
Global Blood Therapeutics, Inc.* | 4,249 | 268,239 | ||||||
Portola Pharmaceuticals, Inc.* | 9,078 | 163,313 | ||||||
Total Pharmaceuticals | 5,338,763 | |||||||
Healthcare-Products - 3.1% | ||||||||
Bio-Techne Corp. | 1,689 | 446,014 | ||||||
Novocure Ltd.* | 5,398 | 320,102 | ||||||
Total Healthcare-Products | 766,116 | |||||||
Healthcare-Services - 1.4% | ||||||||
Syneos Health, Inc.* | 6,001 | 349,558 | ||||||
Total Common Stocks | ||||||||
(Cost $11,156,811) | 24,818,541 | |||||||
RIGHTS††† - 0.0% | ||||||||
Biotechnology - 0.0% | ||||||||
Clinical Data, Inc.*,2 | 4,730 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,3 - 0.3% | ||||||||
J.P. Morgan Securities LLC | $ | 34,797 | 34,797 | |||||
BofA Securities, Inc. | 14,411 | 14,411 | ||||||
Barclays Capital, Inc. | 13,546 | 13,546 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $62,754) | 62,754 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,4 - 1.5% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%5 | 362,607 | 362,607 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $362,607) | 362,607 | |||||||
Total Investments - 101.7% | ||||||||
(Cost $11,582,172) | $ | 25,243,902 | ||||||
Other Assets & Liabilities, net - (1.7)% | (412,983 | ) | ||||||
Total Net Assets - 100.0% | $ | 24,830,919 |
20 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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, 2020 — See Note 7. |
2 | Security was fair valued by the Valuation Committee at June 30, 2020. 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 24,818,541 | $ | — | $ | — | $ | 24,818,541 | ||||||||
Rights | — | — | — | * | — | |||||||||||
Repurchase Agreements | — | 62,754 | — | 62,754 | ||||||||||||
Securities Lending Collateral | 362,607 | — | — | 362,607 | ||||||||||||
Total Assets | $ | 25,181,148 | $ | 62,754 | $ | — | $ | 25,243,902 |
* | 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, 2020 |
Assets: | ||||
Investments, at value - including $355,527 of securities loaned (cost $11,519,418) | $ | 25,181,148 | ||
Repurchase agreements, at value (cost $62,754) | 62,754 | |||
Receivables: | ||||
Fund shares sold | 19,255 | |||
Securities lending income | 56 | |||
Total assets | 25,263,213 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 362,607 | |||
Management fees | 17,316 | |||
Transfer agent and administrative fees | 5,480 | |||
Investor service fees | 5,093 | |||
Fund shares redeemed | 2,278 | |||
Portfolio accounting fees | 2,037 | |||
Trustees’ fees* | 368 | |||
Miscellaneous | 37,115 | |||
Total liabilities | 432,294 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 24,830,919 | ||
Net assets consist of: | ||||
Paid in capital | $ | 10,266,022 | ||
Total distributable earnings (loss) | 14,564,897 | |||
Net assets | $ | 24,830,919 | ||
Capital shares outstanding | 239,890 | |||
Net asset value per share | $ | 103.51 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $30) | $ | 92,880 | ||
Interest | 454 | |||
Income from securities lending, net | 240 | |||
Total investment income | 93,574 | |||
Expenses: | ||||
Management fees | 89,612 | |||
Investor service fees | 26,356 | |||
Transfer agent and administrative fees | 28,359 | |||
Professional fees | 20,571 | |||
Portfolio accounting fees | 10,543 | |||
Trustees’ fees* | 2,338 | |||
Custodian fees | 1,649 | |||
Line of credit fees | 29 | |||
Miscellaneous | 13,856 | |||
Total expenses | 193,313 | |||
Net investment loss | (99,739 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 859,288 | |||
Net realized gain | 859,288 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,340,597 | |||
Net change in unrealized appreciation (depreciation) | 1,340,597 | |||
Net realized and unrealized gain | 2,199,885 | |||
Net increase in net assets resulting from operations | $ | 2,100,146 |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (99,739 | ) | $ | (206,746 | ) | ||
Net realized gain on investments | 859,288 | 3,097,358 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 1,340,597 | 1,789,927 | ||||||
Net increase in net assets resulting from operations | 2,100,146 | 4,680,539 | ||||||
Distributions to shareholders | — | (553,949 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 18,519,797 | 21,705,706 | ||||||
Distributions reinvested | — | 553,949 | ||||||
Cost of shares redeemed | (17,475,730 | ) | (25,699,255 | ) | ||||
Net increase (decrease) from capital share transactions | 1,044,067 | (3,439,600 | ) | |||||
Net increase in net assets | 3,144,213 | 686,990 | ||||||
Net assets: | ||||||||
Beginning of period | 21,686,706 | 20,999,716 | ||||||
End of period | $ | 24,830,919 | $ | 21,686,706 | ||||
Capital share activity: | ||||||||
Shares sold | 198,136 | 246,464 | ||||||
Shares issued from reinvestment of distributions | — | 6,606 | ||||||
Shares redeemed | (186,906 | ) | (293,073 | ) | ||||
Net increase (decrease) in shares | 11,230 | (40,003 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 94.84 | $ | 78.16 | $ | 86.53 | $ | 66.86 | $ | 83.22 | $ | 76.71 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.44 | ) | (.83 | ) | (.96 | ) | (.79 | ) | (.80 | ) | (1.02 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 9.11 | 19.81 | (7.17 | ) | 20.46 | (15.56 | ) | 7.53 | ||||||||||||||||
Total from investment operations | 8.67 | 18.98 | (8.13 | ) | 19.67 | (16.36 | ) | 6.51 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (2.30 | ) | (.24 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (2.30 | ) | (.24 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 103.51 | $ | 94.84 | $ | 78.16 | $ | 86.53 | $ | 66.86 | $ | 83.22 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 9.14 | % | 24.67 | % | (9.44 | %) | 29.44 | % | (19.66 | %) | 8.47 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 24,831 | $ | 21,687 | $ | 21,000 | $ | 29,272 | $ | 22,231 | $ | 42,005 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.95 | %) | (0.95 | %) | (1.08 | %) | (0.99 | %) | (1.16 | %) | (1.17 | %) | ||||||||||||
Total expenses | 1.83 | % | 1.82 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 87 | % | 105 | % | 109 | % | 137 | % | 127 | % | 161 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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. | 6.8% |
PepsiCo, Inc. | 5.3% |
Coca-Cola Co. | 5.3% |
Philip Morris International, Inc. | 4.0% |
Mondelez International, Inc. — Class A | 3.3% |
Altria Group, Inc. | 3.3% |
Estee Lauder Companies, Inc. — Class A | 3.2% |
Colgate-Palmolive Co. | 3.1% |
Kimberly-Clark Corp. | 2.7% |
Keurig Dr Pepper, Inc. | 2.5% |
Top Ten Total | 39.5% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Consumer Products Fund | (7.39%) | 0.21% | 4.11% | 10.11% |
S&P 500 Consumer Staples Index | (5.66%) | 3.62% | 7.22% | 11.79% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Consumer Staples Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | 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, 2020 |
CONSUMER PRODUCTS FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.2% | ||||||||
Food - 38.6% | ||||||||
Mondelez International, Inc. — Class A | 9,507 | $ | 486,093 | |||||
General Mills, Inc. | 5,767 | 355,536 | ||||||
Kraft Heinz Co. | 11,102 | 354,043 | ||||||
Kroger Co. | 9,291 | 314,500 | ||||||
Sysco Corp. | 5,471 | 299,045 | ||||||
Hershey Co. | 2,304 | 298,644 | ||||||
Hormel Foods Corp. | 6,147 | 296,716 | ||||||
McCormick & Company, Inc. | 1,610 | 288,850 | ||||||
Kellogg Co. | 4,118 | 272,035 | ||||||
Tyson Foods, Inc. — Class A | 4,372 | 261,052 | ||||||
Conagra Brands, Inc. | 6,947 | 244,326 | ||||||
Campbell Soup Co. | 4,583 | 227,454 | ||||||
JM Smucker Co. | 1,890 | 199,981 | ||||||
Lamb Weston Holdings, Inc. | 2,702 | 172,739 | ||||||
Beyond Meat, Inc.* | 1,147 | 153,675 | ||||||
Post Holdings, Inc.* | 1,611 | 141,156 | ||||||
Ingredion, Inc. | 1,619 | 134,377 | ||||||
Flowers Foods, Inc. | 5,604 | 125,305 | ||||||
Grocery Outlet Holding Corp.* | 3,002 | 122,482 | ||||||
Lancaster Colony Corp. | 779 | 120,737 | ||||||
US Foods Holding Corp.* | 6,096 | 120,213 | ||||||
Performance Food Group Co.* | 4,079 | 118,862 | ||||||
Pilgrim’s Pride Corp.* | 6,786 | 114,616 | ||||||
Sprouts Farmers Market, Inc.* | 4,327 | 110,728 | ||||||
Hain Celestial Group, Inc.* | 3,373 | 106,283 | ||||||
Sanderson Farms, Inc. | 780 | 90,394 | ||||||
Simply Good Foods Co.* | 4,331 | 80,470 | ||||||
Hostess Brands, Inc.* | 6,029 | 73,674 | ||||||
Total Food | 5,683,986 | |||||||
Beverages - 25.9% | ||||||||
PepsiCo, Inc. | 5,925 | 783,641 | ||||||
Coca-Cola Co. | 17,515 | 782,570 | ||||||
Keurig Dr Pepper, Inc. | 12,734 | 361,646 | ||||||
Monster Beverage Corp.* | 5,050 | 350,066 | ||||||
Constellation Brands, Inc. — Class A | 1,853 | 324,182 | ||||||
Brown-Forman Corp. — Class B | 4,856 | 309,133 | ||||||
Molson Coors Beverage Co. — Class B | 4,373 | 150,256 | ||||||
Boston Beer Company, Inc. — Class A* | 279 | 149,725 | ||||||
Coca-Cola European Partners plc | 3,884 | 146,660 | ||||||
Anheuser-Busch InBev S.A. ADR | 2,707 | 133,455 | ||||||
Fomento Economico Mexicano SAB de CV ADR | 1,884 | 116,827 | ||||||
Diageo plc ADR | 867 | 116,516 | ||||||
National Beverage Corp.* | 1,596 | 97,388 | ||||||
Total Beverages | 3,822,065 | |||||||
Cosmetics & Personal Care - 14.0% | ||||||||
Procter & Gamble Co. | 8,336 | 996,736 | ||||||
Estee Lauder Companies, Inc. — Class A | 2,487 | 469,247 | ||||||
Colgate-Palmolive Co. | 6,286 | 460,512 | ||||||
Unilever N.V. — Class Y | 2,563 | 136,531 | ||||||
Total Cosmetics & Personal Care | 2,063,026 | |||||||
Agriculture - 10.9% | ||||||||
Philip Morris International, Inc. | 8,378 | 586,963 | ||||||
Altria Group, Inc. | 12,227 | 479,910 | ||||||
Archer-Daniels-Midland Co. | 6,799 | 271,280 | ||||||
Bunge Ltd. | 3,384 | 139,184 | ||||||
British American Tobacco plc ADR | 3,381 | 131,250 | ||||||
Total Agriculture | 1,608,587 | |||||||
Household Products & Housewares - 6.5% | ||||||||
Kimberly-Clark Corp. | 2,842 | 401,717 | ||||||
Clorox Co. | 1,401 | 307,337 | ||||||
Church & Dwight Company, Inc. | 3,220 | 248,906 | ||||||
Total Household Products & Housewares | 957,960 | |||||||
Retail - 1.6% | ||||||||
Casey’s General Stores, Inc. | 898 | 134,269 | ||||||
Freshpet, Inc.* | 1,259 | 105,328 | ||||||
Total Retail | 239,597 | |||||||
Pharmaceuticals - 1.0% | ||||||||
Herbalife Nutrition Ltd.* | 3,351 | 150,728 | ||||||
Electrical Components & Equipment - 0.7% | ||||||||
Energizer Holdings, Inc. | 2,247 | 106,710 | ||||||
Total Common Stocks | ||||||||
(Cost $8,992,938) | 14,632,659 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.5% | ||||||||
J.P. Morgan Securities LLC | $ | 36,838 | 36,838 | |||||
BofA Securities, Inc. | 15,257 | 15,257 | ||||||
Barclays Capital, Inc. | 14,341 | 14,341 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $66,436) | 66,436 | |||||||
Total Investments - 99.7% | ||||||||
(Cost $9,059,374) | $ | 14,699,095 | ||||||
Other Assets & Liabilities, net - 0.3% | 48,165 | |||||||
Total Net Assets - 100.0% | $ | 14,747,260 |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 14,632,659 | $ | — | $ | — | $ | 14,632,659 | ||||||||
Repurchase Agreements | — | 66,436 | — | 66,436 | ||||||||||||
Total Assets | $ | 14,632,659 | $ | 66,436 | $ | — | $ | 14,699,095 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
CONSUMER PRODUCTS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments, at value (cost $8,992,938) | $ | 14,632,659 | ||
Repurchase agreements, at value (cost $66,436) | 66,436 | |||
Receivables: | ||||
Fund shares sold | 54,932 | |||
Dividends | 34,519 | |||
Securities lending income | 75 | |||
Total assets | 14,788,621 | |||
Liabilities: | ||||
Payable for: | ||||
Professional fees | 11,384 | |||
Management fees | 9,410 | |||
Printing fees | 7,376 | |||
Transfer agent and administrative fees | 2,978 | |||
Investor service fees | 2,768 | |||
Portfolio accounting fees | 1,107 | |||
Fund shares redeemed | 260 | |||
Trustees’ fees* | 245 | |||
Miscellaneous | 5,833 | |||
Total liabilities | 41,361 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 14,747,260 | ||
Net assets consist of: | ||||
Paid in capital | $ | 10,015,723 | ||
Total distributable earnings (loss) | 4,731,537 | |||
Net assets | $ | 14,747,260 | ||
Capital shares outstanding | 236,149 | |||
Net asset value per share | $ | 62.45 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $76) | $ | 174,070 | ||
Interest | 344 | |||
Income from securities lending, net | 729 | |||
Total investment income | 175,143 | |||
Expenses: | ||||
Management fees | 58,078 | |||
Investor service fees | 17,082 | |||
Transfer agent and administrative fees | 18,380 | |||
Professional fees | 13,816 | |||
Portfolio accounting fees | 6,833 | |||
Trustees’ fees* | 1,805 | |||
Custodian fees | 1,098 | |||
Line of credit fees | 35 | |||
Miscellaneous | 7,936 | |||
Total expenses | 125,063 | |||
Net investment income | 50,080 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 190,363 | |||
Net realized gain | 190,363 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,559,026 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,559,026 | ) | ||
Net realized and unrealized loss | (1,368,663 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,318,583 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 50,080 | $ | 146,706 | ||||
Net realized gain (loss) on investments | 190,363 | (171,518 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,559,026 | ) | 3,086,914 | |||||
Net increase (decrease) in net assets resulting from operations | (1,318,583 | ) | 3,062,102 | |||||
Distributions to shareholders | — | (191,931 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 9,213,662 | 31,752,552 | ||||||
Distributions reinvested | — | 191,931 | ||||||
Cost of shares redeemed | (11,753,673 | ) | (29,329,889 | ) | ||||
Net increase (decrease) from capital share transactions | (2,540,011 | ) | 2,614,594 | |||||
Net increase (decrease) in net assets | (3,858,594 | ) | 5,484,765 | |||||
Net assets: | ||||||||
Beginning of period | 18,605,854 | 13,121,089 | ||||||
End of period | $ | 14,747,260 | $ | 18,605,854 | ||||
Capital share activity: | ||||||||
Shares sold | 148,634 | 505,783 | ||||||
Shares issued from reinvestment of distributions | — | 3,006 | ||||||
Shares redeemed | (188,400 | ) | (468,116 | ) | ||||
Net increase (decrease) in shares | (39,766 | ) | 40,673 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 67.43 | $ | 55.78 | $ | 66.30 | $ | 61.79 | $ | 61.56 | $ | 60.19 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .23 | .56 | .70 | .17 | .44 | .58 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.21 | ) | 11.84 | (8.51 | ) | 6.79 | 3.10 | 3.14 | ||||||||||||||||
Total from investment operations | (4.98 | ) | 12.40 | (7.81 | ) | 6.96 | 3.54 | 3.72 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.60 | ) | (.45 | ) | (.64 | ) | (.42 | ) | (.34 | ) | |||||||||||||
Net realized gains | — | (.15 | ) | (2.26 | ) | (1.81 | ) | (2.89 | ) | (2.01 | ) | |||||||||||||
Total distributions | — | (.75 | ) | (2.71 | ) | (2.45 | ) | (3.31 | ) | (2.35 | ) | |||||||||||||
Net asset value, end of period | $ | 62.45 | $ | 67.43 | $ | 55.78 | $ | 66.30 | $ | 61.79 | $ | 61.56 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (7.39 | %) | 22.33 | % | (12.12 | %) | 11.53 | % | 5.42 | % | 6.22 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,747 | $ | 18,606 | $ | 13,121 | $ | 16,024 | $ | 18,410 | $ | 32,481 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.73 | % | 0.88 | % | 1.14 | % | 0.27 | % | 0.68 | % | 0.95 | % | ||||||||||||
Total expenses | 1.83 | % | 1.82 | % | 1.72 | % | 1.70 | % | 1.65 | % | 1.61 | % | ||||||||||||
Portfolio turnover rate | 63 | % | 177 | % | 176 | % | 133 | % | 161 | % | 225 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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% |
NVIDIA Corp. | 7.7% |
Broadcom, Inc. | 5.5% |
Texas Instruments, Inc. | 5.4% |
QUALCOMM, Inc. | 5.0% |
Advanced Micro Devices, Inc. | 3.8% |
Micron Technology, Inc. | 3.8% |
Applied Materials, Inc. | 3.7% |
Lam Research Corp. | 3.4% |
Analog Devices, Inc. | 3.3% |
Top Ten Total | 49.5% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Electronics Fund | 8.54% | 36.30% | 19.06% | 15.94% |
S&P 500 Information Technology Index | 14.95% | 35.90% | 23.41% | 20.48% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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 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, 2020 |
ELECTRONICS FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.4% | ||||||||
Semiconductors - 93.7% | ||||||||
Intel Corp. | 11,354 | $ | 679,310 | |||||
NVIDIA Corp. | 1,742 | 661,803 | ||||||
Broadcom, Inc. | 1,502 | 474,046 | ||||||
Texas Instruments, Inc. | 3,641 | 462,298 | ||||||
QUALCOMM, Inc. | 4,768 | 434,889 | ||||||
Advanced Micro Devices, Inc.* | 6,304 | 331,653 | ||||||
Micron Technology, Inc.* | 6,356 | 327,461 | ||||||
Applied Materials, Inc. | 5,235 | 316,456 | ||||||
Lam Research Corp. | 913 | 295,319 | ||||||
Analog Devices, Inc. | 2,332 | 285,996 | ||||||
KLA Corp. | 1,206 | 234,543 | ||||||
Microchip Technology, Inc. | 2,070 | 217,992 | ||||||
Xilinx, Inc. | 2,174 | 213,900 | ||||||
Marvell Technology Group Ltd. | 5,961 | 208,993 | ||||||
Skyworks Solutions, Inc. | 1,542 | 197,160 | ||||||
NXP Semiconductor N.V. | 1,724 | 196,605 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 3,456 | 196,197 | ||||||
Maxim Integrated Products, Inc. | 2,823 | 171,102 | ||||||
Teradyne, Inc. | 1,930 | 163,104 | ||||||
ASML Holding N.V. — Class G | 438 | 161,197 | ||||||
Qorvo, Inc.* | 1,377 | 152,200 | ||||||
Monolithic Power Systems, Inc. | 607 | 143,859 | ||||||
ON Semiconductor Corp.* | 6,188 | 122,646 | ||||||
Entegris, Inc. | 1,998 | 117,982 | ||||||
STMicroelectronics N.V. — Class Y1 | 4,012 | 109,969 | ||||||
MKS Instruments, Inc. | 960 | 108,710 | ||||||
Cree, Inc.* | 1,828 | 108,199 | ||||||
Inphi Corp.* | 893 | 104,928 | ||||||
Silicon Laboratories, Inc.* | 899 | 90,143 | ||||||
Cabot Microelectronics Corp. | 617 | 86,096 | ||||||
Lattice Semiconductor Corp.* | 2,986 | 84,773 | ||||||
Power Integrations, Inc. | 681 | 80,447 | ||||||
Semtech Corp.* | 1,527 | 79,740 | ||||||
Cirrus Logic, Inc.* | 1,289 | 79,634 | ||||||
Brooks Automation, Inc. | 1,764 | 78,039 | ||||||
Diodes, Inc.* | 1,367 | 69,307 | ||||||
MACOM Technology Solutions Holdings, Inc.* | 1,932 | 66,364 | ||||||
FormFactor, Inc.* | 2,172 | 63,705 | ||||||
Synaptics, Inc.* | 1,005 | 60,421 | ||||||
Ambarella, Inc.* | 1,136 | 52,029 | ||||||
Total Semiconductors | 8,089,215 | |||||||
Energy-Alternate Sources - 3.6% | ||||||||
SolarEdge Technologies, Inc.* | 826 | 114,632 | ||||||
Enphase Energy, Inc.* | 2,061 | 98,042 | ||||||
First Solar, Inc.* | 1,941 | 96,079 | ||||||
Total Energy-Alternate Sources | 308,753 | |||||||
Electrical Components & Equipment - 1.3% | ||||||||
Universal Display Corp. | 747 | 111,766 | ||||||
Electronics - 0.8% | ||||||||
Advanced Energy Industries, Inc.* | 1,018 | 69,010 | ||||||
Total Common Stocks | ||||||||
(Cost $3,163,183) | 8,578,744 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.9% | ||||||||
J.P. Morgan Securities LLC | $ | 42,376 | 42,376 | |||||
BofA Securities, Inc. | 17,550 | 17,550 | ||||||
Barclays Capital, Inc. | 16,497 | 16,497 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $76,423) | 76,423 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.9% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 82,748 | 82,748 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $82,748) | 82,748 | |||||||
Total Investments - 101.2% | ||||||||
(Cost $3,322,354) | $ | 8,737,915 | ||||||
Other Assets & Liabilities, net - (1.2)% | (105,895 | ) | ||||||
Total Net Assets - 100.0% | $ | 8,632,020 |
* | 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, 2020 — 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, 2020. |
ADR — American Depositary Receipt | |
See Sector Classification in Other Information section. |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
ELECTRONICS FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 8,578,744 | $ | — | $ | — | $ | 8,578,744 | ||||||||
Repurchase Agreements | — | 76,423 | — | 76,423 | ||||||||||||
Securities Lending Collateral | 82,748 | — | — | 82,748 | ||||||||||||
Total Assets | $ | 8,661,492 | $ | 76,423 | $ | — | $ | 8,737,915 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 33 |
ELECTRONICS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments, at value - including $82,477 of securities loaned (cost $3,245,931) | $ | 8,661,492 | ||
Repurchase agreements, at value (cost $76,423) | 76,423 | |||
Cash | 142 | |||
Receivables: | ||||
Dividends | 3,154 | |||
Securities lending income | 2 | |||
Total assets | 8,741,213 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 82,748 | |||
Management fees | 5,726 | |||
Fund shares redeemed | 2,658 | |||
Transfer agent and administrative fees | 1,812 | |||
Investor service fees | 1,684 | |||
Portfolio accounting fees | 674 | |||
Trustees’ fees* | 137 | |||
Miscellaneous | 13,754 | |||
Total liabilities | 109,193 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 8,632,020 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,477,173 | ||
Total distributable earnings (loss) | 5,154,847 | |||
Net assets | $ | 8,632,020 | ||
Capital shares outstanding | 75,141 | |||
Net asset value per share | $ | 114.88 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $195) | $ | 56,773 | ||
Interest | 234 | |||
Income from securities lending, net | 118 | |||
Total investment income | 57,125 | |||
Expenses: | ||||
Management fees | 36,492 | |||
Investor service fees | 10,733 | |||
Transfer agent and administrative fees | 11,549 | |||
Professional fees | 9,234 | |||
Portfolio accounting fees | 4,293 | |||
Trustees’ fees* | 908 | |||
Custodian fees | 660 | |||
Line of credit fees | 46 | |||
Miscellaneous | 4,628 | |||
Total expenses | 78,543 | |||
Net investment loss | (21,418 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 616,816 | |||
Net realized gain | 616,816 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (167,255 | ) | ||
Net change in unrealized appreciation (depreciation) | (167,255 | ) | ||
Net realized and unrealized gain | 449,561 | |||
Net increase in net assets resulting from operations | $ | 428,143 |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (21,418 | ) | $ | (17,256 | ) | ||
Net realized gain on investments | 616,816 | 118,036 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (167,255 | ) | 3,133,221 | |||||
Net increase in net assets resulting from operations | 428,143 | 3,234,001 | ||||||
Distributions to shareholders | — | (94,380 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 6,858,800 | 19,375,763 | ||||||
Distributions reinvested | — | 94,380 | ||||||
Cost of shares redeemed | (9,948,264 | ) | (16,176,082 | ) | ||||
Net increase (decrease) from capital share transactions | (3,089,464 | ) | 3,294,061 | |||||
Net increase (decrease) in net assets | (2,661,321 | ) | 6,433,682 | |||||
Net assets: | ||||||||
Beginning of period | 11,293,341 | 4,859,659 | ||||||
End of period | $ | 8,632,020 | $ | 11,293,341 | ||||
Capital share activity: | ||||||||
Shares sold | 68,311 | 218,456 | ||||||
Shares issued from reinvestment of distributions | — | 1,043 | ||||||
Shares redeemed | (99,870 | ) | (185,011 | ) | ||||
Net increase (decrease) in shares | (31,559 | ) | 34,488 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 105.84 | $ | 67.30 | $ | 79.89 | $ | 60.95 | $ | 49.03 | $ | 48.01 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.26 | ) | (.20 | ) | (.07 | ) | (.34 | ) | (.07 | ) | (.15 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 9.30 | 39.89 | (9.54 | ) | 19.28 | 11.99 | 1.17 | |||||||||||||||||
Total from investment operations | 9.04 | 39.69 | (9.61 | ) | 18.94 | 11.92 | 1.02 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (1.15 | ) | (2.98 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (1.15 | ) | (2.98 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 114.88 | $ | 105.84 | $ | 67.30 | $ | 79.89 | $ | 60.95 | $ | 49.03 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 8.54 | % | 59.28 | % | (12.71 | %) | 31.06 | % | 24.34 | % | 2.10 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,632 | $ | 11,293 | $ | 4,860 | $ | 11,236 | $ | 8,709 | $ | 5,374 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.50 | %) | (0.23 | %) | (0.09 | %) | (0.48 | %) | (0.14 | %) | (0.31 | %) | ||||||||||||
Total expenses | 1.83 | % | 1.82 | % | 1.71 | % | 1.70 | % | 1.66 | % | 1.59 | % | ||||||||||||
Portfolio turnover rate | 73 | % | 208 | % | 248 | % | 327 | % | 362 | % | 351 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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. | 8.6% |
Chevron Corp. | 8.2% |
ConocoPhillips | 4.2% |
Kinder Morgan, Inc. | 3.7% |
Phillips 66 | 3.4% |
EOG Resources, Inc. | 3.4% |
Schlumberger Ltd. | 3.1% |
Marathon Petroleum Corp. | 3.1% |
Williams Companies, Inc. | 3.1% |
Valero Energy Corp. | 3.0% |
Top Ten Total | 43.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Energy Fund | (39.63%) | (41.59%) | (15.72%) | (5.80%) |
S&P 500 Energy Index | (35.34%) | (36.09%) | (9.18%) | 0.21% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | 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, 2020 |
ENERGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.7% | ||||||||
Oil & Gas - 69.7% | ||||||||
Exxon Mobil Corp. | 15,200 | $ | 679,744 | |||||
Chevron Corp. | 7,221 | 644,330 | ||||||
ConocoPhillips | 7,852 | 329,941 | ||||||
Phillips 66 | 3,761 | 270,416 | ||||||
EOG Resources, Inc. | 5,308 | 268,903 | ||||||
Marathon Petroleum Corp. | 6,488 | 242,521 | ||||||
Valero Energy Corp. | 3,964 | 233,162 | ||||||
Pioneer Natural Resources Co. | 2,117 | 206,831 | ||||||
Hess Corp. | 3,874 | 200,712 | ||||||
Occidental Petroleum Corp. | 10,687 | 195,572 | ||||||
BP plc ADR | 7,742 | 180,543 | ||||||
Petroleo Brasileiro S.A. ADR | 19,358 | 160,091 | ||||||
Concho Resources, Inc. | 2,983 | 153,625 | ||||||
Cabot Oil & Gas Corp. — Class A | 7,429 | 127,630 | ||||||
Continental Resources, Inc.1 | 7,278 | 127,583 | ||||||
Diamondback Energy, Inc. | 2,958 | 123,704 | ||||||
Apache Corp. | 8,177 | 110,389 | ||||||
Royal Dutch Shell plc — Class A ADR | 3,360 | 109,838 | ||||||
Parsley Energy, Inc. — Class A | 9,678 | 103,361 | ||||||
HollyFrontier Corp. | 3,494 | 102,025 | ||||||
Noble Energy, Inc. | 10,939 | 98,013 | ||||||
Devon Energy Corp. | 8,629 | 97,853 | ||||||
Suncor Energy, Inc. | 5,214 | 87,908 | ||||||
Equities Corp. | 7,025 | 83,598 | ||||||
Cimarex Energy Co. | 2,998 | 82,415 | ||||||
Murphy Oil Corp.1 | 5,106 | 70,463 | ||||||
Helmerich & Payne, Inc. | 3,594 | 70,119 | ||||||
Canadian Natural Resources Ltd. | 3,812 | 66,443 | ||||||
CVR Energy, Inc. | 3,296 | 66,283 | ||||||
PDC Energy, Inc.* | 4,273 | 53,156 | ||||||
Delek US Holdings, Inc. | 3,029 | 52,735 | ||||||
PBF Energy, Inc. — Class A | 4,715 | 48,282 | ||||||
Equinor ASA ADR1 | 3,195 | 46,264 | ||||||
Chesapeake Energy Corp.*,1 | 1,410 | 6,909 | ||||||
Total Oil & Gas | 5,501,362 | |||||||
Pipelines - 16.7% | ||||||||
Kinder Morgan, Inc. | 19,238 | 291,840 | ||||||
Williams Companies, Inc. | 12,692 | 241,402 | ||||||
ONEOK, Inc. | 5,611 | 186,397 | ||||||
Cheniere Energy, Inc.* | 3,657 | 176,706 | ||||||
Targa Resources Corp. | 5,267 | 105,709 | ||||||
Enbridge, Inc. | 3,450 | 104,949 | ||||||
TC Energy Corp. | 1,875 | 80,363 | ||||||
Equitrans Midstream Corp.1 | 7,597 | 63,131 | ||||||
Plains GP Holdings, LP — Class A* | 6,956 | 61,908 | ||||||
Total Pipelines | 1,312,405 | |||||||
Oil & Gas Services - 11.4% | ||||||||
Schlumberger Ltd. | 13,204 | 242,822 | ||||||
Baker Hughes Co. | 12,856 | 197,854 | ||||||
Halliburton Co. | 12,991 | 168,623 | ||||||
National Oilwell Varco, Inc. | 9,031 | 110,630 | ||||||
ChampionX Corp.* | 7,470 | 72,907 | ||||||
TechnipFMC plc | 9,888 | 67,634 | ||||||
Core Laboratories N.V. | 1,861 | 37,815 | ||||||
Total Oil & Gas Services | 898,285 | |||||||
Transportation - 0.8% | ||||||||
Scorpio Tankers, Inc. | 2,810 | 35,996 | ||||||
Golar LNG Ltd.* | 4,009 | 29,025 | ||||||
Total Transportation | 65,021 | |||||||
Energy-Alternate Sources - 0.6% | ||||||||
Renewable Energy Group, Inc.* | 1,860 | 46,091 | ||||||
Metal Fabricate & Hardware - 0.5% | ||||||||
Tenaris S.A. ADR | 3,015 | 38,984 | ||||||
Total Common Stocks | ||||||||
(Cost $5,571,019) | 7,862,148 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
J.P. Morgan Securities LLC | $ | 26,718 | 26,718 | |||||
BofA Securities, Inc. | 11,065 | 11,065 | ||||||
Barclays Capital, Inc. | 10,402 | 10,402 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $48,185) | 48,185 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.5% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 196,797 | 196,797 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $196,797) | 196,797 | |||||||
Total Investments - 102.8% | ||||||||
(Cost $5,816,001) | $ | 8,107,130 | ||||||
Other Assets & Liabilities, net - (2.8)% | (217,437 | ) | ||||||
Total Net Assets - 100.0% | $ | 7,889,693 |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
ENERGY 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, 2020 — 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 7,862,148 | $ | — | $ | — | $ | 7,862,148 | ||||||||
Repurchase Agreements | — | 48,185 | — | 48,185 | ||||||||||||
Securities Lending Collateral | 196,797 | — | — | 196,797 | ||||||||||||
Total Assets | $ | 8,058,945 | $ | 48,185 | $ | — | $ | 8,107,130 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
ENERGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments, at value - including $196,849 of securities loaned (cost $5,767,816) | $ | 8,058,945 | ||
Repurchase agreements, at value (cost $48,185) | 48,185 | |||
Receivables: | ||||
Fund shares sold | 14,042 | |||
Dividends | 4,626 | |||
Securities lending income | 847 | |||
Total assets | 8,126,645 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 196,797 | |||
Fund shares redeemed | 18,128 | |||
Management fees | 5,325 | |||
Transfer agent and administrative fees | 1,685 | |||
Investor service fees | 1,566 | |||
Portfolio accounting fees | 626 | |||
Trustees’ fees* | 126 | |||
Miscellaneous | 12,699 | |||
Total liabilities | 236,952 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 7,889,693 | ||
Net assets consist of: | ||||
Paid in capital | $ | 16,025,199 | ||
Total distributable earnings (loss) | (8,135,506 | ) | ||
Net assets | $ | 7,889,693 | ||
Capital shares outstanding | 221,594 | |||
Net asset value per share | $ | 35.60 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $1,237) | $ | 150,485 | ||
Interest | 172 | |||
Income from securities lending, net | 1,856 | |||
Total investment income | 152,513 | |||
Expenses: | ||||
Management fees | 29,180 | |||
Investor service fees | 8,582 | |||
Transfer agent and administrative fees | 9,235 | |||
Professional fees | 6,742 | |||
Portfolio accounting fees | 3,433 | |||
Trustees’ fees* | 909 | |||
Custodian fees | 554 | |||
Line of credit fees | 33 | |||
Miscellaneous | 4,241 | |||
Total expenses | 62,909 | |||
Net investment income | 89,604 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (1,116,306 | ) | ||
Net realized loss | (1,116,306 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,720,411 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,720,411 | ) | ||
Net realized and unrealized loss | (2,836,717 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,747,113 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 89,604 | $ | 86,442 | ||||
Net realized gain (loss) on investments | (1,116,306 | ) | 556,001 | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,720,411 | ) | 158,152 | |||||
Net increase (decrease) in net assets resulting from operations | (2,747,113 | ) | 800,595 | |||||
Distributions to shareholders | — | (18,218 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 12,680,225 | 10,611,542 | ||||||
Distributions reinvested | — | 18,218 | ||||||
Cost of shares redeemed | (11,808,967 | ) | (11,318,712 | ) | ||||
Net increase (decrease) from capital share transactions | 871,258 | (688,952 | ) | |||||
Net increase (decrease) in net assets | (1,875,855 | ) | 93,425 | |||||
Net assets: | ||||||||
Beginning of period | 9,765,548 | 9,672,123 | ||||||
End of period | $ | 7,889,693 | $ | 9,765,548 | ||||
Capital share activity: | ||||||||
Shares sold | 368,163 | 180,869 | ||||||
Shares issued from reinvestment of distributions | — | 307 | ||||||
Shares redeemed | (312,183 | ) | (190,397 | ) | ||||
Net increase (decrease) in shares | 55,980 | (9,221 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 58.97 | $ | 55.32 | $ | 74.58 | $ | 80.09 | $ | 61.43 | $ | 90.41 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .51 | .57 | .04 | .53 | .08 | .76 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (23.88 | ) | 3.21 | (18.95 | ) | (5.61 | ) | 18.72 | (27.58 | ) | ||||||||||||||
Total from investment operations | (23.37 | ) | 3.78 | (18.91 | ) | (5.08 | ) | 18.80 | (26.82 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.13 | ) | (.35 | ) | (.43 | ) | (.14 | ) | (.36 | ) | |||||||||||||
Net realized gains | — | — | — | — | — | (1.80 | ) | |||||||||||||||||
Total distributions | — | (.13 | ) | (.35 | ) | (.43 | ) | (.14 | ) | (2.16 | ) | |||||||||||||
Net asset value, end of period | $ | 35.60 | $ | 58.97 | $ | 55.32 | $ | 74.58 | $ | 80.09 | $ | 61.43 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (39.63 | %) | 6.81 | % | (25.49 | %) | (6.26 | %) | 31.37 | % | (30.22 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,890 | $ | 9,766 | $ | 9,672 | $ | 17,318 | $ | 28,117 | $ | 19,682 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 2.61 | % | 0.97 | % | 0.06 | % | 0.75 | % | 0.42 | % | 0.91 | % | ||||||||||||
Total expenses | 1.83 | % | 1.83 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 173 | % | 114 | % | 490 | % | 573 | % | 293 | % | 121 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 years 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, 2020 |
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. | 14.2% |
Baker Hughes Co. | 11.5% |
Halliburton Co. | 9.8% |
National Oilwell Varco, Inc. | 6.5% |
ChampionX Corp. | 4.7% |
Cactus, Inc. — Class A | 4.5% |
Helmerich & Payne, Inc. | 4.3% |
TechnipFMC plc | 4.1% |
Archrock, Inc. | 3.7% |
Dril-Quip, Inc. | 3.6% |
Top Ten Total | 66.9% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Energy Services Fund | (52.23%) | (56.34%) | (28.49%) | (14.45%) |
S&P 500 Energy Index | (35.34%) | (36.09%) | (9.18%) | 0.21% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the S&P 500 Energy Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | 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, 2020 |
ENERGY SERVICES FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Oil & Gas Services - 77.0% | ||||||||
Schlumberger Ltd. | 22,773 | $ | 418,795 | |||||
Baker Hughes Co. | 22,170 | 341,196 | ||||||
Halliburton Co. | 22,394 | 290,674 | ||||||
National Oilwell Varco, Inc. | 15,570 | 190,732 | ||||||
ChampionX Corp.* | 14,318 | 139,744 | ||||||
TechnipFMC plc | 17,893 | 122,388 | ||||||
Archrock, Inc. | 16,712 | 108,461 | ||||||
Dril-Quip, Inc.* | 3,614 | 107,661 | ||||||
Core Laboratories N.V. | 4,346 | 88,311 | ||||||
RPC, Inc.*,1 | 26,367 | 81,210 | ||||||
Oceaneering International, Inc.* | 12,535 | 80,099 | ||||||
Liberty Oilfield Services, Inc. — Class A | 13,823 | 75,750 | ||||||
DMC Global, Inc. | 2,286 | 63,094 | ||||||
Solaris Oilfield Infrastructure, Inc. — Class A | 8,178 | 60,681 | ||||||
Oil States International, Inc.* | 11,402 | 54,159 | ||||||
Matrix Service Co.* | 5,440 | 52,877 | ||||||
Total Oil & Gas Services | 2,275,832 | |||||||
Oil & Gas - 10.8% | ||||||||
Helmerich & Payne, Inc. | 6,474 | 126,308 | ||||||
Patterson-UTI Energy, Inc. | 20,996 | 72,856 | ||||||
ProPetro Holding Corp.* | 13,901 | 71,451 | ||||||
Nabors Industries Ltd. | 1,287 | 47,645 | ||||||
Total Oil & Gas | 318,260 | |||||||
Machinery-Diversified - 4.5% | ||||||||
Cactus, Inc. — Class A | 6,498 | 134,054 | ||||||
Transportation - 4.3% | ||||||||
SEACOR Holdings, Inc.* | 2,733 | 77,398 | ||||||
Tidewater, Inc.* | 8,713 | 48,706 | ||||||
Total Transportation | 126,104 | |||||||
Metal Fabricate & Hardware - 3.0% | ||||||||
Tenaris S.A. ADR | 6,844 | 88,493 | ||||||
Total Common Stocks | ||||||||
(Cost $2,374,268) | 2,942,743 | |||||||
Face Amount | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
J.P. Morgan Securities LLC issued 06/30/20 at 0.07% due 07/01/20 | $ | 11,544 | 11,544 | |||||
BofA Securities, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 4,781 | 4,781 | ||||||
Barclays Capital, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 4,494 | 4,494 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $20,819) | 20,819 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.3% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 8,340 | 8,340 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $8,340) | 8,340 | |||||||
Total Investments - 100.5% | ||||||||
(Cost $2,403,427) | $ | 2,971,902 | ||||||
Other Assets & Liabilities, net - (0.6)% | (16,186 | ) | ||||||
Total Net Assets - 100.0% | $ | 2,955,716 |
* | 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, 2020 — 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, 2020. |
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, 2020 |
ENERGY SERVICES FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 2,942,743 | $ | — | $ | — | $ | 2,942,743 | ||||||||
Repurchase Agreements | — | 20,819 | — | 20,819 | ||||||||||||
Securities Lending Collateral | 8,340 | — | — | 8,340 | ||||||||||||
Total Assets | $ | 2,951,083 | $ | 20,819 | $ | — | $ | 2,971,902 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
ENERGY SERVICES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments, at value - including $7,903 of securities loaned (cost $2,382,608) | $ | 2,951,083 | ||
Repurchase agreements, at value (cost $20,819) | 20,819 | |||
Receivables: | ||||
Fund shares sold | 590,374 | |||
Dividends | 3,486 | |||
Securities lending income | 119 | |||
Total assets | 3,565,881 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 591,856 | |||
Return of securities lending collateral | 8,340 | |||
Management fees | 2,555 | |||
Transfer agent and administrative fees | 809 | |||
Investor service fees | 752 | |||
Portfolio accounting fees | 300 | |||
Fund shares redeemed | 100 | |||
Trustees’ fees* | 54 | |||
Miscellaneous | 5,399 | |||
Total liabilities | 610,165 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 2,955,716 | ||
Net assets consist of: | ||||
Paid in capital | $ | 13,656,306 | ||
Total distributable earnings (loss) | (10,700,590 | ) | ||
Net assets | $ | 2,955,716 | ||
Capital shares outstanding | 204,234 | |||
Net asset value per share | $ | 14.47 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $78) | $ | 40,094 | ||
Interest | 72 | |||
Income from securities lending, net | 562 | |||
Total investment income | 40,728 | |||
Expenses: | ||||
Management fees | 11,965 | |||
Investor service fees | 3,519 | |||
Transfer agent and administrative fees | 3,786 | |||
Professional fees | 2,617 | |||
Portfolio accounting fees | 1,408 | |||
Trustees’ fees* | 386 | |||
Custodian fees | 228 | |||
Miscellaneous | 1,870 | |||
Total expenses | 25,779 | |||
Net investment income | 14,949 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (1,179,017 | ) | ||
Net realized loss | (1,179,017 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (400,139 | ) | ||
Net change in unrealized appreciation (depreciation) | (400,139 | ) | ||
Net realized and unrealized loss | (1,579,156 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,564,207 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 14,949 | $ | 17,503 | ||||
Net realized loss on investments | (1,179,017 | ) | (684,717 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (400,139 | ) | 617,252 | |||||
Net decrease in net assets resulting from operations | (1,564,207 | ) | (49,962 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 13,553,154 | 17,158,557 | ||||||
Cost of shares redeemed | (12,278,573 | ) | (17,355,257 | ) | ||||
Net increase (decrease) from capital share transactions | 1,274,581 | (196,700 | ) | |||||
Net decrease in net assets | (289,626 | ) | (246,662 | ) | ||||
Net assets: | ||||||||
Beginning of period | 3,245,342 | 3,492,004 | ||||||
End of period | $ | 2,955,716 | $ | 3,245,342 | ||||
Capital share activity: | ||||||||
Shares sold | 866,183 | 551,564 | ||||||
Shares redeemed | (769,083 | ) | (559,637 | ) | ||||
Net increase (decrease) in shares | 97,100 | (8,073 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 30.29 | $ | 30.31 | $ | 57.60 | $ | 70.80 | $ | 58.00 | $ | 85.24 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .09 | .15 | (.07 | ) | 1.11 | (.03 | ) | .66 | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (15.91 | ) | (.17 | ) | (25.46 | ) | (14.31 | ) | 12.92 | (27.60 | ) | |||||||||||||
Total from investment operations | (15.82 | ) | (.02 | ) | (25.53 | ) | (13.20 | ) | 12.89 | (26.94 | ) | |||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (1.76 | ) | — | (.09 | ) | (.30 | ) | |||||||||||||||
Total distributions | — | — | (1.76 | ) | — | (.09 | ) | (.30 | ) | |||||||||||||||
Net asset value, end of period | $ | 14.47 | $ | 30.29 | $ | 30.31 | $ | 57.60 | $ | 70.80 | $ | 58.00 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (52.23 | %) | (0.07 | %) | (45.65 | %) | (18.64 | %) | 23.15 | % | (31.70 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,956 | $ | 3,245 | $ | 3,492 | $ | 9,047 | $ | 13,770 | $ | 11,475 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.06 | % | 0.45 | % | (0.13 | %) | 1.92 | % | (0.26 | %) | 0.85 | % | ||||||||||||
Total expenses | 1.83 | % | 1.83 | % | 1.71 | % | 1.70 | % | 1.66 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 485 | % | 423 | % | 331 | % | 338 | % | 291 | % | 175 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 years presented through December 31, 2016 have been restated to reflect a 1:6 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, 2020 |
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 | 3.1% |
JPMorgan Chase & Co. | 2.5% |
Bank of America Corp. | 2.1% |
American Tower Corp. — Class A | 1.7% |
Citigroup, Inc. | 1.5% |
Wells Fargo & Co. | 1.5% |
BlackRock, Inc. — Class A | 1.4% |
S&P Global, Inc. | 1.3% |
Morgan Stanley | 1.3% |
American Express Co. | 1.3% |
Top Ten Total | 17.7% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Financial Services Fund | (18.82%) | (12.04%) | 3.40% | 7.70% |
S&P 500 Financials Index | (23.62%) | (13.92%) | 5.41% | 9.68% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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, 2020 |
FINANCIAL SERVICES FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.9% | ||||||||
REITs - 30.1% | ||||||||
American Tower Corp. — Class A | 474 | $ | 122,548 | |||||
Crown Castle International Corp. | 566 | 94,720 | ||||||
Prologis, Inc. | 998 | 93,143 | ||||||
Equinix, Inc. | 126 | 88,490 | ||||||
Digital Realty Trust, Inc. | 496 | 70,487 | ||||||
SBA Communications Corp. | 225 | 67,032 | ||||||
Public Storage | 339 | 65,051 | ||||||
AvalonBay Communities, Inc. | 334 | 51,650 | ||||||
Equity Residential | 875 | 51,468 | ||||||
Simon Property Group, Inc. | 743 | 50,806 | ||||||
Welltower, Inc. | 975 | 50,456 | ||||||
Alexandria Real Estate Equities, Inc. | 307 | 49,811 | ||||||
Realty Income Corp. | 823 | 48,968 | ||||||
Weyerhaeuser Co. | 2,045 | 45,931 | ||||||
Invitation Homes, Inc. | 1,574 | 43,332 | ||||||
Essex Property Trust, Inc. | 187 | 42,855 | ||||||
Healthpeak Properties, Inc. | 1,547 | 42,635 | ||||||
Boston Properties, Inc. | 464 | 41,936 | ||||||
Mid-America Apartment Communities, Inc. | 350 | 40,134 | ||||||
Ventas, Inc. | 1,094 | 40,062 | ||||||
Duke Realty Corp. | 1,127 | 39,885 | ||||||
Sun Communities, Inc. | 292 | 39,619 | ||||||
Extra Space Storage, Inc. | 410 | 37,872 | ||||||
WP Carey, Inc. | 557 | 37,681 | ||||||
Equity LifeStyle Properties, Inc. | 600 | 37,488 | ||||||
UDR, Inc. | 997 | 37,268 | ||||||
VICI Properties, Inc. | 1,777 | 35,878 | ||||||
Medical Properties Trust, Inc. | 1,842 | 34,630 | ||||||
Camden Property Trust | 365 | 33,295 | ||||||
CyrusOne, Inc. | 446 | 32,446 | ||||||
American Homes 4 Rent — Class A | 1,183 | 31,823 | ||||||
Regency Centers Corp. | 675 | 30,976 | ||||||
Iron Mountain, Inc. | 1,170 | 30,537 | ||||||
Americold Realty Trust | 838 | 30,419 | ||||||
AGNC Investment Corp. | 2,319 | 29,915 | ||||||
Gaming and Leisure Properties, Inc. | 861 | 29,789 | ||||||
Vornado Realty Trust | 775 | 29,613 | ||||||
Host Hotels & Resorts, Inc. | 2,707 | 29,209 | ||||||
Federal Realty Investment Trust | 330 | 28,119 | ||||||
Omega Healthcare Investors, Inc. | 937 | 27,857 | ||||||
Kilroy Realty Corp. | 470 | 27,589 | ||||||
Lamar Advertising Co. — Class A | 413 | 27,572 | ||||||
National Retail Properties, Inc. | 760 | 26,965 | ||||||
STORE Capital Corp. | 1,104 | 26,286 | ||||||
Douglas Emmett, Inc. | 852 | 26,122 | ||||||
Apartment Investment & Management Co. — Class A | 691 | 26,009 | ||||||
Kimco Realty Corp. | 2,018 | 25,911 | ||||||
CubeSmart | 936 | 25,263 | ||||||
STAG Industrial, Inc. | 800 | 23,456 | ||||||
Cousins Properties, Inc. | 783 | 23,357 | ||||||
Brixmor Property Group, Inc. | 1,693 | 21,704 | ||||||
SL Green Realty Corp. | 421 | 20,751 | ||||||
Sabra Health Care REIT, Inc. | 1,284 | 18,528 | ||||||
Taubman Centers, Inc. | 450 | 16,992 | ||||||
Park Hotels & Resorts, Inc. | 1,650 | 16,318 | ||||||
Macerich Co.1 | 1,374 | 12,325 | ||||||
Total REITs | 2,230,982 | |||||||
Banks - 25.4% | ||||||||
JPMorgan Chase & Co. | 1,968 | 185,110 | ||||||
Bank of America Corp. | 6,585 | 156,394 | ||||||
Citigroup, Inc. | 2,218 | 113,340 | ||||||
Wells Fargo & Co. | 4,313 | 110,413 | ||||||
Morgan Stanley | 2,038 | 98,435 | ||||||
Goldman Sachs Group, Inc. | 477 | 94,265 | ||||||
U.S. Bancorp | 2,210 | 81,372 | ||||||
Truist Financial Corp. | 2,040 | 76,602 | ||||||
PNC Financial Services Group, Inc. | 695 | 73,121 | ||||||
Bank of New York Mellon Corp. | 1,695 | 65,512 | ||||||
State Street Corp. | 833 | 52,937 | ||||||
First Republic Bank | 440 | 46,636 | ||||||
Northern Trust Corp. | 564 | 44,748 | ||||||
HDFC Bank Ltd. ADR | 931 | 42,323 | ||||||
M&T Bank Corp. | 386 | 40,132 | ||||||
Fifth Third Bancorp | 2,023 | 39,004 | ||||||
ICICI Bank Ltd. ADR | 4,141 | 38,470 | ||||||
HSBC Holdings plc ADR1 | 1,624 | 37,888 | ||||||
SVB Financial Group* | 172 | 37,071 | ||||||
KeyCorp | 2,983 | 36,333 | ||||||
Citizens Financial Group, Inc. | 1,438 | 36,295 | ||||||
Toronto-Dominion Bank | 810 | 36,134 | ||||||
Regions Financial Corp. | 3,119 | 34,683 | ||||||
Popular, Inc. | 882 | 32,784 | ||||||
Huntington Bancshares, Inc. | 3,524 | 31,839 | ||||||
Commerce Bancshares, Inc. | 478 | 28,427 | ||||||
Signature Bank | 246 | 26,302 | ||||||
Zions Bancorp North America | 755 | 25,670 | ||||||
Comerica, Inc. | 656 | 24,994 | ||||||
East West Bancorp, Inc. | 677 | 24,535 | ||||||
TCF Financial Corp. | 772 | 22,712 | ||||||
First Horizon National Corp. | 1,940 | 19,322 | ||||||
Synovus Financial Corp. | 910 | 18,682 | ||||||
Wintrust Financial Corp. | 396 | 17,274 | ||||||
PacWest Bancorp | 851 | 16,773 | ||||||
Texas Capital Bancshares, Inc.* | 431 | 13,305 | ||||||
Total Banks | 1,879,837 | |||||||
Insurance - 21.6% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 1,302 | 232,420 | ||||||
Marsh & McLennan Companies, Inc. | 772 | 82,890 | ||||||
Progressive Corp. | 945 | 75,704 | ||||||
Chubb Ltd. | 566 | 71,667 | ||||||
Willis Towers Watson plc | 329 | 64,797 | ||||||
MetLife, Inc. | 1,724 | 62,960 | ||||||
Allstate Corp. | 629 | 61,007 | ||||||
Travelers Companies, Inc. | 521 | 59,420 | ||||||
American International Group, Inc. | 1,817 | 56,654 | ||||||
Aflac, Inc. | 1,546 | 55,702 | ||||||
Prudential Financial, Inc. | 879 | 53,531 | ||||||
Aon plc — Class A | 270 | 52,002 |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
FINANCIAL SERVICES FUND |
| Shares | Value | ||||||
Arthur J Gallagher & Co. | 487 | $ | 47,478 | |||||
Arch Capital Group Ltd.* | 1,410 | 40,396 | ||||||
Hartford Financial Services Group, Inc. | 1,042 | 40,169 | ||||||
Principal Financial Group, Inc. | 913 | 37,926 | ||||||
Erie Indemnity Co. — Class A | 196 | 37,612 | ||||||
Brown & Brown, Inc. | 921 | 37,540 | ||||||
Markel Corp.* | 40 | 36,927 | ||||||
Everest Re Group Ltd. | 178 | 36,704 | ||||||
Cincinnati Financial Corp. | 564 | 36,113 | ||||||
Loews Corp. | 1,017 | 34,873 | ||||||
RenaissanceRe Holdings Ltd. | 200 | 34,206 | ||||||
Equitable Holdings, Inc. | 1,688 | 32,562 | ||||||
Athene Holding Ltd. — Class A* | 1,039 | 32,406 | ||||||
Lincoln National Corp. | 771 | 28,365 | ||||||
Fidelity National Financial, Inc. | 905 | 27,747 | ||||||
Assurant, Inc. | 268 | 27,682 | ||||||
Voya Financial, Inc. | 578 | 26,964 | ||||||
Reinsurance Group of America, Inc. — Class A | 320 | 25,101 | ||||||
Unum Group | 1,214 | 20,140 | ||||||
eHealth, Inc.* | 177 | 17,388 | ||||||
Brighthouse Financial, Inc.* | 616 | 17,137 | ||||||
Total Insurance | 1,604,190 | |||||||
Diversified Financial Services - 13.0% | ||||||||
BlackRock, Inc. — Class A | 190 | 103,377 | ||||||
American Express Co. | 1,002 | 95,390 | ||||||
CME Group, Inc. — Class A | 505 | 82,083 | ||||||
Intercontinental Exchange, Inc. | 857 | 78,501 | ||||||
Charles Schwab Corp. | 2,089 | 70,483 | ||||||
T. Rowe Price Group, Inc. | 475 | 58,663 | ||||||
Capital One Financial Corp. | 912 | 57,082 | ||||||
Nasdaq, Inc. | 410 | 48,983 | ||||||
Ameriprise Financial, Inc. | 315 | 47,263 | ||||||
Discover Financial Services | 851 | 42,627 | ||||||
Synchrony Financial | 1,759 | 38,979 | ||||||
Franklin Resources, Inc. | 1,657 | 34,747 | ||||||
Cboe Global Markets, Inc. | 371 | 34,607 | ||||||
Raymond James Financial, Inc. | 486 | 33,451 | ||||||
SEI Investments Co. | 580 | 31,888 | ||||||
Ally Financial, Inc. | 1,539 | 30,518 | ||||||
LPL Financial Holdings, Inc. | 355 | 27,832 | ||||||
Invesco Ltd. | 2,244 | 24,145 | ||||||
Legg Mason, Inc. | 470 | 23,383 | ||||||
Total Diversified Financial Services | 964,002 | |||||||
Private Equity - 3.6% | ||||||||
Blackstone Group, Inc. — Class A | 1,602 | 90,769 | ||||||
KKR & Company, Inc. — Class A | 1,804 | 55,708 | ||||||
Apollo Global Management, Inc. | 988 | 49,321 | ||||||
Brookfield Asset Management, Inc. — Class A | 1,042 | 34,282 | ||||||
Carlyle Group, Inc. | 1,180 | 32,922 | ||||||
Total Private Equity | 263,002 | |||||||
Commercial Services - 3.1% | ||||||||
S&P Global, Inc. | 302 | 99,503 | ||||||
Moody’s Corp. | 291 | 79,946 | ||||||
MarketAxess Holdings, Inc. | 103 | 51,595 | ||||||
Total Commercial Services | 231,044 | |||||||
Internet - 1.1% | ||||||||
TD Ameritrade Holding Corp. | 1,305 | 47,476 | ||||||
E*TRADE Financial Corp. | 753 | 37,446 | ||||||
Total Internet | 84,922 | |||||||
Software - 0.8% | ||||||||
MSCI, Inc. — Class A | 176 | 58,752 | ||||||
Savings & Loans - 0.7% | ||||||||
People’s United Financial, Inc. | 2,116 | 24,482 | ||||||
New York Community Bancorp, Inc. | 2,331 | 23,776 | ||||||
Total Savings & Loans | 48,258 | |||||||
Media - 0.5% | ||||||||
FactSet Research Systems, Inc. | 119 | 39,088 | ||||||
Total Common Stocks | ||||||||
(Cost $4,690,677) | 7,404,077 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.5% | ||||||||
J.P. Morgan Securities LLC | $ | 22,452 | 22,452 | |||||
BofA Securities, Inc. | 9,298 | 9,298 | ||||||
Barclays Capital, Inc. | 8,740 | 8,740 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $40,490) | 40,490 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 0.5% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 38,807 | 38,807 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $38,807) | 38,807 | |||||||
Total Investments - 100.9% | ||||||||
(Cost $4,769,974) | $ | 7,483,374 | ||||||
Other Assets & Liabilities, net - (0.9)% | (68,153 | ) | ||||||
Total Net Assets - 100.0% | $ | 7,415,221 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
FINANCIAL SERVICES 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, 2020 — 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, 2020. |
ADR — American Depositary Receipt | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 7,404,077 | $ | — | $ | — | $ | 7,404,077 | ||||||||
Repurchase Agreements | — | 40,490 | — | 40,490 | ||||||||||||
Securities Lending Collateral | 38,807 | — | — | 38,807 | ||||||||||||
Total Assets | $ | 7,442,884 | $ | 40,490 | $ | — | $ | 7,483,374 |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
FINANCIAL SERVICES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments, at value - including $37,655 of securities loaned (cost $4,729,484) | $ | 7,442,884 | ||
Repurchase agreements, at value (cost $40,490) | 40,490 | |||
Cash | 85 | |||
Receivables: | ||||
Dividends | 14,028 | |||
Securities lending income | 17 | |||
Fund shares sold | 3 | |||
Total assets | 7,497,507 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 38,807 | |||
Fund shares redeemed | 22,466 | |||
Management fees | 4,531 | |||
Transfer agent and administrative fees | 1,434 | |||
Investor service fees | 1,333 | |||
Portfolio accounting fees | 533 | |||
Trustees’ fees* | 130 | |||
Miscellaneous | 13,052 | |||
Total liabilities | 82,286 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 7,415,221 | ||
Net assets consist of: | ||||
Paid in capital | $ | 5,664,081 | ||
Total distributable earnings (loss) | 1,751,140 | |||
Net assets | $ | 7,415,221 | ||
Capital shares outstanding | 101,725 | |||
Net asset value per share | $ | 72.89 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $91) | $ | 99,393 | ||
Interest | 188 | |||
Income from securities lending, net | 26 | |||
Total investment income | 99,607 | |||
Expenses: | ||||
Management fees | 30,223 | |||
Investor service fees | 8,889 | |||
Transfer agent and administrative fees | 9,565 | |||
Professional fees | 7,353 | |||
Portfolio accounting fees | 3,556 | |||
Trustees’ fees* | 1,060 | |||
Custodian fees | 583 | |||
Miscellaneous | 3,710 | |||
Total expenses | 64,939 | |||
Net investment income | 34,668 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 201,237 | |||
Net realized gain | 201,237 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (2,085,280 | ) | ||
Net change in unrealized appreciation (depreciation) | (2,085,280 | ) | ||
Net realized and unrealized loss | (1,884,043 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,849,375 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 34,668 | $ | 81,315 | ||||
Net realized gain on investments | 201,237 | 348,506 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (2,085,280 | ) | 1,713,291 | |||||
Net increase (decrease) in net assets resulting from operations | (1,849,375 | ) | 2,143,112 | |||||
Distributions to shareholders | — | (507,612 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 13,281,154 | 25,665,558 | ||||||
Distributions reinvested | — | 507,612 | ||||||
Cost of shares redeemed | (15,343,493 | ) | (23,580,143 | ) | ||||
Net increase (decrease) from capital share transactions | (2,062,339 | ) | 2,593,027 | |||||
Net increase (decrease) in net assets | (3,911,714 | ) | 4,228,527 | |||||
Net assets: | ||||||||
Beginning of period | 11,326,935 | 7,098,408 | ||||||
End of period | $ | 7,415,221 | $ | 11,326,935 | ||||
Capital share activity: | ||||||||
Shares sold | 177,396 | 302,628 | ||||||
Shares issued from reinvestment of distributions | — | 6,012 | ||||||
Shares redeemed | (201,819 | ) | (279,122 | ) | ||||
Net increase (decrease) in shares | (24,423 | ) | 29,518 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 89.79 | $ | 73.46 | $ | 84.47 | $ | 73.42 | $ | 64.46 | $ | 67.34 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .38 | .70 | .45 | .77 | — | c | .72 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (17.28 | ) | 19.67 | (10.74 | ) | 10.63 | 9.32 | (3.36 | ) | |||||||||||||||
Total from investment operations | (16.90 | ) | 20.37 | (10.29 | ) | 11.40 | 9.32 | (2.64 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.71 | ) | (.72 | ) | (.35 | ) | (.36 | ) | (.24 | ) | |||||||||||||
Net realized gains | — | (3.33 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (4.04 | ) | (.72 | ) | (.35 | ) | (.36 | ) | (.24 | ) | |||||||||||||
Net asset value, end of period | $ | 72.89 | $ | 89.79 | $ | 73.46 | $ | 84.47 | $ | 73.42 | $ | 64.46 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | (18.82 | %) | 28.08 | % | (12.28 | %) | 15.57 | % | 15.83 | % | (3.99 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,415 | $ | 11,327 | $ | 7,098 | $ | 16,357 | $ | 16,230 | $ | 13,963 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.98 | % | 0.83 | % | 0.54 | % | 1.00 | % | — | f | 1.09 | % | ||||||||||||
Total expenses | 1.83 | % | 1.82 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 161 | % | 218 | % | 403 | % | 364 | % | 329 | % | 213 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 years 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, 2020 |
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 | 3.3% |
UnitedHealth Group, Inc. | 2.9% |
Merck & Company, Inc. | 2.4% |
Pfizer, Inc. | 2.3% |
AbbVie, Inc. | 2.3% |
Abbott Laboratories | 2.2% |
Eli Lilly & Co. | 2.2% |
Thermo Fisher Scientific, Inc. | 2.1% |
Bristol-Myers Squibb Co. | 2.1% |
Amgen, Inc. | 2.0% |
Top Ten Total | 23.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Health Care Fund | 2.00% | 11.06% | 5.09% | 13.71% |
S&P 500 Health Care Index | (0.81%) | 10.90% | 8.14% | 15.72% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
HEALTH CARE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.8% | ||||||||
Pharmaceuticals - 32.6% | ||||||||
Johnson & Johnson | 4,227 | $ | 594,443 | |||||
Merck & Company, Inc. | 5,667 | 438,229 | ||||||
Pfizer, Inc. | 12,783 | 418,004 | ||||||
AbbVie, Inc. | 4,200 | 412,356 | ||||||
Eli Lilly & Co. | 2,390 | 392,390 | ||||||
Bristol-Myers Squibb Co. | 6,310 | 371,028 | ||||||
CVS Health Corp. | 4,447 | 288,921 | ||||||
Becton Dickinson and Co. | 1,092 | 261,283 | ||||||
Cigna Corp. | 1,378 | 258,582 | ||||||
Zoetis, Inc. | 1,825 | 250,098 | ||||||
DexCom, Inc.* | 472 | 191,349 | ||||||
McKesson Corp. | 1,014 | 155,568 | ||||||
AmerisourceBergen Corp. — Class A | 1,401 | 141,179 | ||||||
AstraZeneca plc ADR | 2,299 | 121,594 | ||||||
Cardinal Health, Inc. | 2,319 | 121,029 | ||||||
GlaxoSmithKline plc ADR | 2,816 | 114,865 | ||||||
Jazz Pharmaceuticals plc* | 1,034 | 114,091 | ||||||
Novartis AG ADR | 1,260 | 110,048 | ||||||
Horizon Therapeutics plc* | 1,947 | 108,214 | ||||||
Sarepta Therapeutics, Inc.* | 673 | 107,909 | ||||||
Alkermes plc* | 5,539 | 107,484 | ||||||
Neurocrine Biosciences, Inc.* | 856 | 104,432 | ||||||
Novo Nordisk A/S ADR | 1,550 | 101,494 | ||||||
Canopy Growth Corp.*,1 | 5,598 | 90,464 | ||||||
Elanco Animal Health, Inc.* | 4,174 | 89,532 | ||||||
Mylan N.V.* | 5,475 | 88,038 | ||||||
GW Pharmaceuticals plc ADR*,1 | 714 | 87,622 | ||||||
PRA Health Sciences, Inc.* | 790 | 76,859 | ||||||
Bausch Health Companies, Inc.* | 4,109 | 75,154 | ||||||
Global Blood Therapeutics, Inc.* | 962 | 60,731 | ||||||
Total Pharmaceuticals | 5,852,990 | |||||||
Healthcare-Products - 28.2% | ||||||||
Abbott Laboratories | 4,371 | 399,641 | ||||||
Thermo Fisher Scientific, Inc. | 1,053 | 381,544 | ||||||
Danaher Corp. | 1,976 | 349,416 | ||||||
Medtronic plc | 2,782 | 255,109 | ||||||
Stryker Corp. | 1,381 | 248,842 | ||||||
Intuitive Surgical, Inc.* | 436 | 248,446 | ||||||
Boston Scientific Corp.* | 6,159 | 216,243 | ||||||
Baxter International, Inc. | 2,438 | 209,912 | ||||||
Edwards Lifesciences Corp.* | 2,926 | 202,216 | ||||||
ResMed, Inc. | 895 | 171,840 | ||||||
IDEXX Laboratories, Inc.* | 515 | 170,032 | ||||||
Zimmer Biomet Holdings, Inc. | 1,257 | 150,036 | ||||||
Align Technology, Inc.* | 534 | 146,551 | ||||||
West Pharmaceutical Services, Inc. | 577 | 131,077 | ||||||
Teleflex, Inc. | 352 | 128,121 | ||||||
Hologic, Inc.* | 2,162 | 123,234 | ||||||
Cooper Companies, Inc. | 415 | 117,711 | ||||||
Insulet Corp.* | 586 | 113,836 | ||||||
STERIS plc | 737 | 113,085 | ||||||
Masimo Corp.* | 490 | 111,715 | ||||||
Wright Medical Group N.V.* | 3,568 | 106,041 | ||||||
Novocure Ltd.* | 1,765 | 104,665 | ||||||
Varian Medical Systems, Inc.* | 854 | 104,632 | ||||||
Bio-Techne Corp. | 383 | 101,139 | ||||||
ABIOMED, Inc.* | 417 | 100,731 | ||||||
Quidel Corp.* | 442 | 98,893 | ||||||
Dentsply Sirona, Inc. | 2,207 | 97,240 | ||||||
Henry Schein, Inc.* | 1,530 | 89,337 | ||||||
Repligen Corp.* | 676 | 83,560 | ||||||
Tandem Diabetes Care, Inc.* | 810 | 80,125 | ||||||
Envista Holdings Corp.* | 2,705 | 57,048 | ||||||
NuVasive, Inc.* | 936 | 52,098 | ||||||
Total Healthcare-Products | 5,064,116 | |||||||
Biotechnology - 21.1% | ||||||||
Amgen, Inc. | 1,557 | 367,234 | ||||||
Gilead Sciences, Inc. | 4,043 | 311,068 | ||||||
Vertex Pharmaceuticals, Inc.* | 950 | 275,795 | ||||||
Regeneron Pharmaceuticals, Inc.* | 410 | 255,697 | ||||||
Illumina, Inc.* | 625 | 231,469 | ||||||
Biogen, Inc.* | 810 | 216,716 | ||||||
Seattle Genetics, Inc.* | 1,018 | 172,979 | ||||||
Moderna, Inc.* | 2,377 | 152,627 | ||||||
Incyte Corp.* | 1,463 | 152,108 | ||||||
Alexion Pharmaceuticals, Inc.* | 1,351 | 151,636 | ||||||
BioMarin Pharmaceutical, Inc.* | 1,227 | 151,338 | ||||||
Alnylam Pharmaceuticals, Inc.* | 868 | 128,559 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 252 | 113,775 | ||||||
Exact Sciences Corp.* | 1,306 | 113,544 | ||||||
Amarin Corporation plc ADR*,1 | 14,723 | 101,883 | ||||||
Immunomedics, Inc.* | 2,564 | 90,868 | ||||||
Ionis Pharmaceuticals, Inc.* | 1,516 | 89,383 | ||||||
Guardant Health, Inc.* | 1,087 | 88,188 | ||||||
Exelixis, Inc.* | 3,636 | 86,319 | ||||||
ACADIA Pharmaceuticals, Inc.* | 1,710 | 82,884 | ||||||
United Therapeutics Corp.* | 612 | 74,052 | ||||||
Mirati Therapeutics, Inc.* | 612 | 69,872 | ||||||
Arrowhead Pharmaceuticals, Inc.* | 1,610 | 69,536 | ||||||
Nektar Therapeutics* | 2,784 | 64,477 | ||||||
Bluebird Bio, Inc.* | 1,002 | 61,162 | ||||||
Iovance Biotherapeutics, Inc.* | 2,164 | 59,402 | ||||||
Intercept Pharmaceuticals, Inc.* | 653 | 31,285 | ||||||
Sage Therapeutics, Inc.* | 534 | 22,204 | ||||||
Total Biotechnology | 3,786,060 | |||||||
Healthcare-Services - 13.0% | ||||||||
UnitedHealth Group, Inc. | 1,777 | 524,126 | ||||||
Anthem, Inc. | 959 | 252,198 | ||||||
Humana, Inc. | 582 | 225,670 | ||||||
Centene Corp.* | 2,952 | 187,600 | ||||||
HCA Healthcare, Inc. | 1,797 | 174,417 | ||||||
IQVIA Holdings, Inc.* | 1,161 | 164,723 | ||||||
Laboratory Corporation of America Holdings* | 751 | 124,749 | ||||||
Quest Diagnostics, Inc. | 1,092 | 124,444 | ||||||
Teladoc Health, Inc.* | 612 | 116,794 | ||||||
Molina Healthcare, Inc.* | 575 | 102,338 | ||||||
DaVita, Inc.* | 1,230 | 97,342 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
HEALTH CARE FUND |
| Shares | Value | ||||||
Universal Health Services, Inc. — Class B | 913 | $ | 84,809 | |||||
Amedisys, Inc.* | 397 | 78,820 | ||||||
LHC Group, Inc.* | 428 | 74,609 | ||||||
Total Healthcare-Services | 2,332,639 | |||||||
Electronics - 2.8% | ||||||||
Agilent Technologies, Inc. | 1,838 | 162,424 | ||||||
Mettler-Toledo International, Inc.* | 172 | 138,555 | ||||||
PerkinElmer, Inc. | 1,051 | 103,092 | ||||||
Waters Corp.* | 550 | 99,220 | ||||||
Total Electronics | 503,291 | |||||||
Software - 1.8% | ||||||||
Veeva Systems, Inc. — Class A* | 801 | 187,770 | ||||||
Cerner Corp. | 2,054 | 140,802 | ||||||
Total Software | 328,572 | |||||||
Commercial Services - 0.3% | ||||||||
HealthEquity, Inc.* | 1,062 | 62,308 | ||||||
Total Common Stocks | ||||||||
(Cost $7,411,522) | 17,929,976 |
Face Amount | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
J.P. Morgan Securities LLC issued 06/30/20 at 0.07% due 07/01/20 | $ | 67,640 | 67,640 | |||||
BofA Securities, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 28,013 | 28,013 | ||||||
Barclays Capital, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 26,332 | 26,332 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $121,985) | 121,985 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 196,954 | 196,954 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $196,954) | 196,954 | |||||||
Total Investments - 101.6% | ||||||||
(Cost $7,730,461) | $ | 18,248,915 | ||||||
Other Assets & Liabilities, net - (1.6)% | (292,731 | ) | ||||||
Total Net Assets - 100.0% | $ | 17,956,184 |
* | 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, 2020 — 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 17,929,976 | $ | — | $ | — | $ | 17,929,976 | ||||||||
Repurchase Agreements | — | 121,985 | — | 121,985 | ||||||||||||
Securities Lending Collateral | 196,954 | — | — | 196,954 | ||||||||||||
Total Assets | $ | 18,126,930 | $ | 121,985 | $ | — | $ | 18,248,915 |
58 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HEALTH CARE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments, at value - including $192,715 of securities loaned (cost $7,608,476) | $ | 18,126,930 | ||
Repurchase agreements, at value (cost $121,985) | 121,985 | |||
Receivables: | ||||
Dividends | 12,458 | |||
Fund shares sold | 6,281 | |||
Securities lending income | 1,524 | |||
Foreign tax reclaims | 1,306 | |||
Total assets | 18,270,484 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 196,954 | |||
Fund shares redeemed | 61,639 | |||
Management fees | 13,778 | |||
Transfer agent and administrative fees | 4,360 | |||
Investor service fees | 4,052 | |||
Portfolio accounting fees | 1,621 | |||
Trustees’ fees* | 313 | |||
Miscellaneous | 31,583 | |||
Total liabilities | 314,300 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 17,956,184 | ||
Net assets consist of: | ||||
Paid in capital | $ | 7,397,077 | ||
Total distributable earnings (loss) | 10,559,107 | |||
Net assets | $ | 17,956,184 | ||
Capital shares outstanding | 235,082 | |||
Net asset value per share | $ | 76.38 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $549) | $ | 103,517 | ||
Interest | 395 | |||
Income from securities lending, net | 9,627 | |||
Total investment income | 113,539 | |||
Expenses: | ||||
Management fees | 76,269 | |||
Investor service fees | 22,432 | |||
Transfer agent and administrative fees | 24,137 | |||
Professional fees | 17,320 | |||
Portfolio accounting fees | 8,973 | |||
Trustees’ fees* | 2,064 | |||
Custodian fees | 1,411 | |||
Miscellaneous | 11,816 | |||
Total expenses | 164,422 | |||
Net investment loss | (50,883 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,027,721 | |||
Net realized gain | 1,027,721 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (840,697 | ) | ||
Net change in unrealized appreciation (depreciation) | (840,697 | ) | ||
Net realized and unrealized gain | 187,024 | |||
Net increase in net assets resulting from operations | $ | 136,141 |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (50,883 | ) | $ | (112,565 | ) | ||
Net realized gain on investments | 1,027,721 | 2,731,701 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (840,697 | ) | 1,229,445 | |||||
Net increase in net assets resulting from operations | 136,141 | 3,848,581 | ||||||
Distributions to shareholders | — | (408,723 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 16,038,286 | 29,242,516 | ||||||
Distributions reinvested | — | 408,723 | ||||||
Cost of shares redeemed | (17,260,614 | ) | (34,485,945 | ) | ||||
Net decrease from capital share transactions | (1,222,328 | ) | (4,834,706 | ) | ||||
Net decrease in net assets | (1,086,187 | ) | (1,394,848 | ) | ||||
Net assets: | ||||||||
Beginning of period | 19,042,371 | 20,437,219 | ||||||
End of period | $ | 17,956,184 | $ | 19,042,371 | ||||
Capital share activity: | ||||||||
Shares sold | 218,491 | 427,219 | ||||||
Shares issued from reinvestment of distributions | — | 5,979 | ||||||
Shares redeemed | (237,729 | ) | (506,488 | ) | ||||
Net decrease in shares | (19,238 | ) | (73,290 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 74.88 | $ | 62.38 | $ | 62.43 | $ | 52.62 | $ | 60.47 | $ | 58.82 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.21 | ) | (.40 | ) | (.48 | ) | (.44 | ) | (.37 | ) | (.30 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.71 | 14.35 | 1.33 | d | 12.39 | (5.36 | ) | 3.11 | ||||||||||||||||
Total from investment operations | 1.50 | 13.95 | .85 | 11.95 | (5.73 | ) | 2.81 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (1.45 | ) | (.90 | ) | (2.14 | ) | (2.12 | ) | (1.16 | ) | |||||||||||||
Total distributions | — | (1.45 | ) | (.90 | ) | (2.14 | ) | (2.12 | ) | (1.16 | ) | |||||||||||||
Net asset value, end of period | $ | 76.38 | $ | 74.88 | $ | 62.38 | $ | 62.43 | $ | 52.62 | $ | 60.47 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 2.00 | % | 22.57 | % | 1.25 | % | 22.86 | % | (9.70 | %) | 4.53 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 17,956 | $ | 19,042 | $ | 20,437 | $ | 22,657 | $ | 18,778 | $ | 36,849 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.57 | %) | (0.58 | %) | (0.72 | %) | (0.73 | %) | (0.67 | %) | (0.47 | %) | ||||||||||||
Total expenses | 1.83 | % | 1.82 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.59 | % | ||||||||||||
Portfolio turnover rate | 87 | % | 150 | % | 194 | % | 156 | % | 146 | % | 154 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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. | 8.1% |
Alphabet, Inc. — Class A | 6.7% |
Facebook, Inc. — Class A | 5.3% |
PayPal Holdings, Inc. | 3.4% |
Cisco Systems, Inc. | 3.3% |
Netflix, Inc. | 3.3% |
salesforce.com, Inc. | 3.0% |
Alibaba Group Holding Ltd. ADR | 2.8% |
Booking Holdings, Inc. | 1.9% |
Activision Blizzard, Inc. | 1.8% |
Top Ten Total | 39.6% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Internet Fund | 23.27% | 25.19% | 16.64% | 17.35% |
S&P 500 Information Technology Index | 14.95% | 35.90% | 23.41% | 20.48% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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. |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
INTERNET FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.7% | ||||||||
Internet - 61.7% | ||||||||
Amazon.com, Inc.* | 377 | $ | 1,040,075 | |||||
Alphabet, Inc. — Class A* | 606 | 859,338 | ||||||
Facebook, Inc. — Class A* | 3,033 | 688,703 | ||||||
Netflix, Inc.* | 947 | 430,923 | ||||||
Alibaba Group Holding Ltd. ADR* | 1,663 | 358,709 | ||||||
Booking Holdings, Inc.* | 152 | 242,036 | ||||||
Uber Technologies, Inc.* | 6,912 | 214,825 | ||||||
eBay, Inc. | 3,575 | 187,509 | ||||||
Snap, Inc. — Class A* | 7,761 | 182,306 | ||||||
JD.com, Inc. ADR* | 2,935 | 176,628 | ||||||
Shopify, Inc. — Class A* | 184 | 174,653 | ||||||
Match Group, Inc.*,1 | 1,604 | 171,708 | ||||||
IAC/InterActiveCorp* | 497 | 160,730 | ||||||
Baidu, Inc. ADR* | 1,328 | 159,214 | ||||||
Okta, Inc.* | 762 | 152,575 | ||||||
VeriSign, Inc.* | 720 | 148,918 | ||||||
Twitter, Inc.* | 4,636 | 138,106 | ||||||
MercadoLibre, Inc.* | 137 | 135,050 | ||||||
Wayfair, Inc. — Class A* | 663 | 131,015 | ||||||
TD Ameritrade Holding Corp. | 3,534 | 128,567 | ||||||
Chewy, Inc. — Class A* | 2,812 | 125,668 | ||||||
Pinduoduo, Inc. ADR* | 1,440 | 123,610 | ||||||
Etsy, Inc.* | 1,117 | 118,659 | ||||||
Trip.com Group Ltd. ADR* | 4,476 | 116,018 | ||||||
Wix.com Ltd.* | 422 | 108,125 | ||||||
Pinterest, Inc. — Class A* | 4,776 | 105,884 | ||||||
Zillow Group, Inc. — Class C*,1 | 1,817 | 104,677 | ||||||
Expedia Group, Inc. | 1,245 | 102,339 | ||||||
E*TRADE Financial Corp. | 2,044 | 101,648 | ||||||
GoDaddy, Inc. — Class A* | 1,384 | 101,489 | ||||||
F5 Networks, Inc.* | 640 | 89,267 | ||||||
Vipshop Holdings Ltd. ADR* | 4,475 | 89,097 | ||||||
Weibo Corp. ADR*,1 | 2,624 | 88,166 | ||||||
Momo, Inc. ADR | 4,989 | 87,208 | ||||||
Baozun, Inc. ADR*,1 | 2,257 | 86,782 | ||||||
JOYY, Inc. ADR* | 968 | 85,716 | ||||||
Grubhub, Inc.* | 1,162 | 81,689 | ||||||
Autohome, Inc. ADR | 1,065 | 80,408 | ||||||
Anaplan, Inc.* | 1,624 | 73,583 | ||||||
Stamps.com, Inc.* | 298 | 54,740 | ||||||
Stitch Fix, Inc. — Class A*,1 | 1,995 | 49,755 | ||||||
Cargurus, Inc.* | 1,940 | 49,179 | ||||||
TripAdvisor, Inc. | 2,556 | 48,590 | ||||||
Total Internet | 7,953,885 | |||||||
Software - 23.3% | ||||||||
salesforce.com, Inc.* | 2,071 | 387,960 | ||||||
Activision Blizzard, Inc. | 3,050 | 231,495 | ||||||
Electronic Arts, Inc.* | 1,429 | 188,700 | ||||||
Veeva Systems, Inc. — Class A* | 781 | 183,082 | ||||||
DocuSign, Inc.* | 1,020 | 175,654 | ||||||
Twilio, Inc. — Class A* | 767 | 168,295 | ||||||
NetEase, Inc. ADR | 317 | 136,114 | ||||||
Coupa Software, Inc.* | 481 | 133,256 | ||||||
Akamai Technologies, Inc.* | 1,223 | 130,971 | ||||||
Citrix Systems, Inc. | 877 | 129,717 | ||||||
Take-Two Interactive Software, Inc.* | 855 | 119,332 | ||||||
MongoDB, Inc.* | 505 | 114,302 | ||||||
Bilibili, Inc. ADR* | 2,253 | 104,359 | ||||||
Sea Ltd. ADR* | 946 | 101,449 | ||||||
HubSpot, Inc.* | 435 | 97,592 | ||||||
Dropbox, Inc. — Class A* | 4,048 | 88,125 | ||||||
HUYA, Inc. ADR* | 4,461 | 83,287 | ||||||
Five9, Inc.* | 747 | 82,671 | ||||||
Smartsheet, Inc. — Class A* | 1,461 | 74,394 | ||||||
Nutanix, Inc. — Class A* | 2,846 | 67,464 | ||||||
New Relic, Inc.* | 902 | 62,148 | ||||||
J2 Global, Inc.* | 795 | 50,252 | ||||||
Pluralsight, Inc. — Class A* | 2,770 | 49,999 | ||||||
Cornerstone OnDemand, Inc.* | 1,249 | 48,161 | ||||||
Total Software | 3,008,779 | |||||||
Telecommunications - 9.1% | ||||||||
Cisco Systems, Inc. | 9,258 | 431,793 | ||||||
Motorola Solutions, Inc. | 1,048 | 146,856 | ||||||
Arista Networks, Inc.* | 573 | 120,347 | ||||||
GDS Holdings Ltd. ADR* | 1,288 | 102,602 | ||||||
Ciena Corp.* | 1,635 | 88,552 | ||||||
Juniper Networks, Inc. | 3,601 | 82,319 | ||||||
LogMeIn, Inc. | 719 | 60,950 | ||||||
Viavi Solutions, Inc.* | 4,080 | 51,979 | ||||||
ViaSat, Inc.* | 1,186 | 45,507 | ||||||
CommScope Holding Company, Inc.* | 4,339 | 36,144 | ||||||
Total Telecommunications | 1,167,049 | |||||||
Commercial Services - 5.0% | ||||||||
PayPal Holdings, Inc.* | 2,508 | 436,969 | ||||||
CoStar Group, Inc.* | 226 | 160,612 | ||||||
2U, Inc.* | 1,290 | 48,968 | ||||||
Total Commercial Services | 646,549 | |||||||
Computers - 0.6% | ||||||||
Lumentum Holdings, Inc.* | 978 | 79,638 | ||||||
Total Common Stocks | ||||||||
(Cost $5,947,321) | 12,855,900 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
INTERNET FUND |
Face Amount | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
J.P. Morgan Securities LLC issued 06/30/20 at 0.07% due 07/01/20 | $ | 41,478 | $ | 41,478 | ||||
BofA Securities, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 17,178 | 17,178 | ||||||
Barclays Capital, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 16,147 | 16,147 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $74,803) | 74,803 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.4% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 313,310 | $ | 313,310 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $313,310) | 313,310 | |||||||
Total Investments - 102.7% | ||||||||
(Cost $6,335,434) | $ | 13,244,013 | ||||||
Other Assets & Liabilities, net - (2.7)% | (348,131 | ) | ||||||
Total Net Assets - 100.0% | $ | 12,895,882 |
* | 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, 2020 — 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 12,855,900 | $ | — | $ | — | $ | 12,855,900 | ||||||||
Repurchase Agreements | — | 74,803 | — | 74,803 | ||||||||||||
Securities Lending Collateral | 313,310 | — | — | 313,310 | ||||||||||||
Total Assets | $ | 13,169,210 | $ | 74,803 | $ | — | $ | 13,244,013 |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INTERNET FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments, at value - including $308,636 of securities loaned (cost $6,260,631) | $ | 13,169,210 | ||
Repurchase agreements, at value (cost $74,803) | 74,803 | |||
Receivables: | ||||
Securities lending income | 1,350 | |||
Dividends | 643 | |||
Total assets | 13,246,006 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 313,310 | |||
Management fees | 9,036 | |||
Fund shares redeemed | 3,995 | |||
Transfer agent and administrative fees | 2,860 | |||
Investor service fees | 2,658 | |||
Portfolio accounting fees | 1,063 | |||
Trustees’ fees* | 168 | |||
Miscellaneous | 17,034 | |||
Total liabilities | 350,124 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 12,895,882 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,408,473 | ||
Total distributable earnings (loss) | 6,487,409 | |||
Net assets | $ | 12,895,882 | ||
Capital shares outstanding | 100,571 | |||
Net asset value per share | $ | 128.23 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $339) | $ | 14,758 | ||
Interest | 233 | |||
Income from securities lending, net | 3,995 | |||
Total investment income | 18,986 | |||
Expenses: | ||||
Management fees | 41,158 | |||
Investor service fees | 12,105 | |||
Transfer agent and administrative fees | 13,025 | |||
Professional fees | 9,185 | |||
Portfolio accounting fees | 4,842 | |||
Trustees’ fees* | 1,021 | |||
Custodian fees | 752 | |||
Miscellaneous | 6,688 | |||
Total expenses | 88,776 | |||
Net investment loss | (69,790 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 245,174 | |||
Net realized gain | 245,174 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 2,235,364 | |||
Net change in unrealized appreciation (depreciation) | 2,235,364 | |||
Net realized and unrealized gain | 2,480,538 | |||
Net increase in net assets resulting from operations | $ | 2,410,748 |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (69,790 | ) | $ | (136,787 | ) | ||
Net realized gain on investments | 245,174 | 905,118 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 2,235,364 | 1,132,812 | ||||||
Net increase in net assets resulting from operations | 2,410,748 | 1,901,143 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 11,799,097 | 32,250,493 | ||||||
Cost of shares redeemed | (9,660,939 | ) | (33,904,028 | ) | ||||
Net increase (decrease) from capital share transactions | 2,138,158 | (1,653,535 | ) | |||||
Net increase in net assets | 4,548,906 | 247,608 | ||||||
Net assets: | ||||||||
Beginning of period | 8,346,976 | 8,099,368 | ||||||
End of period | $ | 12,895,882 | $ | 8,346,976 | ||||
Capital share activity: | ||||||||
Shares sold | 109,002 | 323,776 | ||||||
Shares redeemed | (88,678 | ) | (341,225 | ) | ||||
Net increase (decrease) in shares | 20,324 | (17,449 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 104.02 | $ | 82.90 | $ | 86.84 | $ | 65.13 | $ | 70.60 | $ | 79.11 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.78 | ) | (1.41 | ) | (1.25 | ) | (.79 | ) | (.14 | ) | (.76 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 24.99 | 22.53 | (1.23 | ) | 22.88 | (3.30 | ) | 7.29 | ||||||||||||||||
Total from investment operations | 24.21 | 21.12 | (2.48 | ) | 22.09 | (3.44 | ) | 6.53 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (1.46 | ) | (.38 | ) | (2.03 | ) | (15.04 | ) | ||||||||||||||
Total distributions | — | — | (1.46 | ) | (.38 | ) | (2.03 | ) | (15.04 | ) | ||||||||||||||
Net asset value, end of period | $ | 128.23 | $ | 104.02 | $ | 82.90 | $ | 86.84 | $ | 65.13 | $ | 70.60 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 23.27 | % | 25.48 | % | (3.20 | %) | 33.96 | % | 4.44 | % | 8.36 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,896 | $ | 8,347 | $ | 8,099 | $ | 8,943 | $ | 8,485 | $ | 13,036 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.44 | %) | (1.42 | %) | (1.29 | %) | (1.01 | %) | (0.78 | %) | (1.03 | %) | ||||||||||||
Total expenses | 1.83 | % | 1.82 | % | 1.72 | % | 1.71 | % | 1.66 | % | 1.61 | % | ||||||||||||
Portfolio turnover rate | 95 | % | 319 | % | 485 | % | 365 | % | 384 | % | 363 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 years 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, 2020 |
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) | |
Netflix, Inc. | 4.4% |
Walt Disney Co. | 4.3% |
Comcast Corp. — Class A | 4.1% |
McDonald’s Corp. | 3.6% |
Charter Communications, Inc. — Class A | 3.3% |
Philip Morris International, Inc. | 3.1% |
Starbucks Corp. | 2.8% |
Altria Group, Inc. | 2.6% |
Activision Blizzard, Inc. | 2.4% |
Electronic Arts, Inc. | 1.9% |
Top Ten Total | 32.5% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Leisure Fund | (12.93%) | (7.37%) | 4.28% | 12.20% |
S&P 500 Consumer Discretionary Index | 7.23% | 12.59% | 13.21% | 18.19% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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, 2020 |
LEISURE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.3% | ||||||||
Media - 22.9% | ||||||||
Walt Disney Co. | 1,306 | $ | 145,632 | |||||
Comcast Corp. — Class A | 3,598 | 140,250 | ||||||
Charter Communications, Inc. — Class A* | 224 | 114,249 | ||||||
Liberty Broadband Corp. — Class C* | 395 | 48,964 | ||||||
DISH Network Corp. — Class A* | 1,237 | 42,689 | ||||||
Fox Corp. — Class A | 1,502 | 40,284 | ||||||
Discovery, Inc. — Class A*,1 | 1,836 | 38,739 | ||||||
ViacomCBS, Inc. — Class B | 1,648 | 38,431 | ||||||
Altice USA, Inc. — Class A* | 1,645 | 37,078 | ||||||
News Corp. — Class A | 2,395 | 28,405 | ||||||
New York Times Co. — Class A | 666 | 27,992 | ||||||
Nexstar Media Group, Inc. — Class A | 238 | 19,918 | ||||||
World Wrestling Entertainment, Inc. — Class A | 437 | 18,988 | ||||||
TEGNA, Inc. | 1,474 | 16,420 | ||||||
Sinclair Broadcast Group, Inc. — Class A | 669 | 12,350 | ||||||
AMC Networks, Inc. — Class A* | 461 | 10,783 | ||||||
Total Media | 781,172 | |||||||
Retail - 19.3% | ||||||||
McDonald’s Corp. | 667 | 123,041 | ||||||
Starbucks Corp. | 1,319 | 97,065 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 55 | 57,880 | ||||||
Yum! Brands, Inc. | 617 | 53,623 | ||||||
Domino’s Pizza, Inc. | 109 | 40,269 | ||||||
Darden Restaurants, Inc. | 444 | 33,642 | ||||||
Restaurant Brands International, Inc. | 588 | 32,122 | ||||||
Yum China Holdings, Inc. | 631 | 30,332 | ||||||
Dunkin’ Brands Group, Inc. | 382 | 24,918 | ||||||
Wingstop, Inc. | 169 | 23,486 | ||||||
Wendy’s Co. | 1,061 | 23,109 | ||||||
Texas Roadhouse, Inc. — Class A | 381 | 20,029 | ||||||
Cracker Barrel Old Country Store, Inc. | 153 | 16,969 | ||||||
Papa John’s International, Inc. | 211 | 16,756 | ||||||
Shake Shack, Inc. — Class A* | 286 | 15,152 | ||||||
Jack in the Box, Inc. | 187 | 13,855 | ||||||
Brinker International, Inc. | 442 | 10,608 | ||||||
Cheesecake Factory, Inc.1 | 453 | 10,383 | ||||||
Bloomin’ Brands, Inc. | 907 | 9,669 | ||||||
Dave & Buster’s Entertainment, Inc.1 | 557 | 7,425 | ||||||
Total Retail | 660,333 | |||||||
Lodging - 12.0% | ||||||||
Las Vegas Sands Corp. | 1,345 | 61,251 | ||||||
Marriott International, Inc. — Class A | 622 | 53,324 | ||||||
Hilton Worldwide Holdings, Inc. | 625 | 45,906 | ||||||
Caesars Entertainment Corp.* | 2,541 | 30,822 | ||||||
MGM Resorts International | 1,746 | 29,333 | ||||||
Wynn Resorts Ltd. | 371 | 27,636 | ||||||
Huazhu Group Ltd. ADR | 750 | 26,288 | ||||||
Melco Resorts & Entertainment Ltd. ADR | 1,609 | 24,972 | ||||||
Hyatt Hotels Corp. — Class A | 449 | 22,580 | ||||||
Choice Hotels International, Inc. | 267 | 21,066 | ||||||
Wyndham Hotels & Resorts, Inc. | 468 | 19,946 | ||||||
Boyd Gaming Corp. | 768 | 16,051 | ||||||
Wyndham Destinations, Inc. | 565 | 15,922 | ||||||
Hilton Grand Vacations, Inc.* | 671 | 13,118 | ||||||
Total Lodging | 408,215 | |||||||
Software - 9.5% | ||||||||
Activision Blizzard, Inc. | 1,065 | 80,834 | ||||||
Electronic Arts, Inc.* | 499 | 65,893 | ||||||
NetEase, Inc. ADR | 111 | 47,661 | ||||||
Take-Two Interactive Software, Inc.* | 299 | 41,731 | ||||||
Bilibili, Inc. ADR* | 691 | 32,007 | ||||||
Sea Ltd. ADR* | 298 | 31,958 | ||||||
HUYA, Inc. ADR* | 1,291 | 24,103 | ||||||
Total Software | 324,187 | |||||||
Leisure Time - 7.6% | ||||||||
Peloton Interactive, Inc. — Class A* | 775 | 44,772 | ||||||
Carnival Corp.1 | 2,105 | 34,564 | ||||||
Royal Caribbean Cruises Ltd.1 | 623 | 31,337 | ||||||
Polaris, Inc. | 274 | 25,359 | ||||||
Brunswick Corp. | 388 | 24,836 | ||||||
Planet Fitness, Inc. — Class A* | 385 | 23,320 | ||||||
YETI Holdings, Inc.* | 500 | 21,365 | ||||||
Norwegian Cruise Line Holdings Ltd.*,1 | 1,219 | 20,028 | ||||||
Harley-Davidson, Inc. | 834 | 19,824 | ||||||
Callaway Golf Co. | 791 | 13,850 | ||||||
Total Leisure Time | 259,255 | |||||||
Internet - 7.5% | ||||||||
Netflix, Inc.* | 331 | 150,618 | ||||||
Spotify Technology S.A.* | 156 | 40,278 | ||||||
Roku, Inc.* | 312 | 36,357 | ||||||
iQIYI, Inc. ADR* | 1,299 | 30,124 | ||||||
Total Internet | 257,377 | |||||||
Agriculture - 6.5% | ||||||||
Philip Morris International, Inc. | 1,527 | 106,982 | ||||||
Altria Group, Inc. | 2,229 | 87,488 | ||||||
British American Tobacco plc ADR | 671 | 26,048 | ||||||
Total Agriculture | 220,518 | |||||||
Entertainment - 6.0% | ||||||||
Live Nation Entertainment, Inc.* | 706 | 31,297 | ||||||
Vail Resorts, Inc. | 158 | 28,780 | ||||||
Churchill Downs, Inc. | 181 | 24,100 | ||||||
Eldorado Resorts, Inc.*,1 | 537 | 21,512 | ||||||
Penn National Gaming, Inc.* | 702 | 21,439 | ||||||
Marriott Vacations Worldwide Corp. | 231 | 18,991 | ||||||
International Game Technology plc | 1,619 | 14,409 | ||||||
Six Flags Entertainment Corp. | 641 | 12,314 | ||||||
Scientific Games Corp. — Class A* | 788 | 12,183 | ||||||
SeaWorld Entertainment, Inc.* | 719 | 10,648 | ||||||
Cinemark Holdings, Inc. | 908 | 10,487 | ||||||
Total Entertainment | 206,160 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
LEISURE FUND |
| Shares | Value | ||||||
Beverages - 5.7% | ||||||||
Constellation Brands, Inc. — Class A | 338 | $ | 59,133 | |||||
Brown-Forman Corp. — Class B | 885 | 56,339 | ||||||
Molson Coors Beverage Co. — Class B | 797 | 27,385 | ||||||
Boston Beer Company, Inc. — Class A* | 51 | 27,369 | ||||||
Anheuser-Busch InBev S.A. ADR | 526 | 25,932 | ||||||
Total Beverages | 196,158 | |||||||
Toys, Games & Hobbies - 1.6% | ||||||||
Hasbro, Inc. | 457 | 34,252 | ||||||
Mattel, Inc.* | 1,999 | 19,330 | ||||||
Total Toys, Games & Hobbies | 53,582 | |||||||
Food Service - 0.7% | ||||||||
Aramark | 1,049 | 23,676 | ||||||
Total Common Stocks | ||||||||
(Cost $1,940,394) | 3,390,633 | |||||||
RIGHTS††† - 0.0% | ||||||||
Media - 0.0% | ||||||||
Nexstar Media Group, Inc.*,2 | 1,910 | — | ||||||
Total Rights | ||||||||
(Cost $—) | — |
Face Amount | Value | |||||||
REPURCHASE AGREEMENTS††,3 - 0.8% | ||||||||
J.P. Morgan Securities LLC issued 06/30/20 at 0.07% due 07/01/20 | $ | 15,525 | 15,525 | |||||
BofA Securities, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 6,430 | 6,430 | ||||||
Barclays Capital, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 6,044 | 6,044 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $27,999) | 27,999 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,4 - 3.6% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%5 | 121,790 | 121,790 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $121,790) | 121,790 | |||||||
Total Investments - 103.7% | ||||||||
(Cost $2,090,183) | $ | 3,540,422 | ||||||
Other Assets & Liabilities, net - (3.7)% | (127,577 | ) | ||||||
Total Net Assets - 100.0% | $ | 3,412,845 |
* | 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, 2020 — See Note 7. |
2 | Security was fair valued by the Valuation Committee at December 31, 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, 2020. |
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, 2020 |
LEISURE FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 3,390,633 | $ | — | $ | — | $ | 3,390,633 | ||||||||
Rights | — | — | — | * | — | |||||||||||
Repurchase Agreements | — | 27,999 | — | 27,999 | ||||||||||||
Securities Lending Collateral | 121,790 | — | — | 121,790 | ||||||||||||
Total Assets | $ | 3,512,423 | $ | 27,999 | $ | — | $ | 3,540,422 |
* | 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, 2020 |
Assets: | ||||
Investments, at value - including $118,271 of securities loaned (cost $2,062,184) | $ | 3,512,423 | ||
Repurchase agreements, at value (cost $27,999) | 27,999 | |||
Cash | 312 | |||
Receivables: | ||||
Dividends | 5,893 | |||
Foreign tax reclaims | 453 | |||
Securities lending income | 199 | |||
Total assets | 3,547,279 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 121,790 | |||
Management fees | 2,599 | |||
Transfer agent and administrative fees | 823 | |||
Investor service fees | 764 | |||
Fund shares redeemed | 762 | |||
Portfolio accounting fees | 306 | |||
Trustees’ fees* | 73 | |||
Miscellaneous | 7,317 | |||
Total liabilities | 134,434 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 3,412,845 | ||
Net assets consist of: | ||||
Paid in capital | $ | 2,037,959 | ||
Total distributable earnings (loss) | 1,374,886 | |||
Net assets | $ | 3,412,845 | ||
Capital shares outstanding | 36,969 | |||
Net asset value per share | $ | 92.32 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $253) | $ | 27,078 | ||
Interest | 114 | |||
Income from securities lending, net | 423 | |||
Total investment income | 27,615 | |||
Expenses: | ||||
Management fees | 16,223 | |||
Investor service fees | 4,771 | |||
Transfer agent and administrative fees | 5,134 | |||
Professional fees | 3,729 | |||
Portfolio accounting fees | 1,909 | |||
Trustees’ fees* | 608 | |||
Custodian fees | 319 | |||
Line of credit fees | 68 | |||
Miscellaneous | 2,173 | |||
Total expenses | 34,934 | |||
Net investment loss | (7,319 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 128,461 | |||
Net realized gain | 128,461 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (773,819 | ) | ||
Net change in unrealized appreciation (depreciation) | (773,819 | ) | ||
Net realized and unrealized loss | (645,358 | ) | ||
Net decrease in net assets resulting from operations | $ | (652,677 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (7,319 | ) | $ | (5,480 | ) | ||
Net realized gain on investments | 128,461 | 694,051 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (773,819 | ) | 789,745 | |||||
Net increase (decrease) in net assets resulting from operations | (652,677 | ) | 1,478,316 | |||||
Distributions to shareholders | — | (66,975 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,721,732 | 14,129,615 | ||||||
Distributions reinvested | — | 66,975 | ||||||
Cost of shares redeemed | (6,191,780 | ) | (12,636,946 | ) | ||||
Net increase (decrease) from capital share transactions | (2,470,048 | ) | 1,559,644 | |||||
Net increase (decrease) in net assets | (3,122,725 | ) | 2,970,985 | |||||
Net assets: | ||||||||
Beginning of period | 6,535,570 | 3,564,585 | ||||||
End of period | $ | 3,412,845 | $ | 6,535,570 | ||||
Capital share activity: | ||||||||
Shares sold | 40,856 | 145,839 | ||||||
Shares issued from reinvestment of distributions | — | 664 | ||||||
Shares redeemed | (65,523 | ) | (127,808 | ) | ||||
Net increase (decrease) in shares | (24,667 | ) | 18,695 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 106.03 | $ | 83.01 | $ | 98.33 | $ | 82.21 | $ | 76.44 | $ | 87.81 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.18 | ) | (.09 | ) | .23 | .24 | .18 | .28 | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (13.53 | ) | 24.33 | (13.07 | ) | 16.28 | 7.07 | .87 | ||||||||||||||||
Total from investment operations | (13.71 | ) | 24.24 | (12.84 | ) | 16.52 | 7.25 | 1.15 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.24 | ) | (.26 | ) | (.22 | ) | (.37 | ) | (.07 | ) | |||||||||||||
Net realized gains | — | (.98 | ) | (2.22 | ) | (.18 | ) | (1.11 | ) | (12.45 | ) | |||||||||||||
Total distributions | — | (1.22 | ) | (2.48 | ) | (.40 | ) | (1.48 | ) | (12.52 | ) | |||||||||||||
Net asset value, end of period | $ | 92.32 | $ | 106.03 | $ | 83.01 | $ | 98.33 | $ | 82.21 | $ | 76.44 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (12.93 | %) | 29.28 | % | (13.44 | %) | 20.11 | % | 9.56 | % | 0.30 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,413 | $ | 6,536 | $ | 3,565 | $ | 9,427 | $ | 8,791 | $ | 13,764 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.38 | %) | (0.09 | %) | 0.24 | % | 0.26 | % | 0.23 | % | 0.34 | % | ||||||||||||
Total expenses | 1.83 | % | 1.83 | % | 1.71 | % | 1.70 | % | 1.66 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 118 | % | 224 | % | 239 | % | 303 | % | 530 | % | 288 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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 Corp. | 8.0% |
Barrick Gold Corp. | 7.9% |
Franco-Nevada Corp. | 5.9% |
Wheaton Precious Metals Corp. | 5.1% |
Freeport-McMoRan, Inc. | 4.7% |
Agnico Eagle Mines Ltd. | 4.6% |
AngloGold Ashanti Ltd. ADR | 4.2% |
VanEck Vectors Junior Gold Miners ETF | 4.0% |
Kirkland Lake Gold Ltd. | 3.9% |
Kinross Gold Corp. | 3.5% |
Top Ten Total | 51.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Precious Metals Fund | 20.68% | 52.93% | 15.46% | (1.86%) |
S&P 500 Materials Index | (6.92%) | (1.11%) | 5.44% | 9.85% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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, 2020 |
PRECIOUS METALS FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 95.5% | ||||||||
Mining - 95.5% | ||||||||
Newmont Corp. | 29,936 | $ | 1,848,249 | |||||
Barrick Gold Corp. | 67,773 | 1,825,805 | ||||||
Franco-Nevada Corp. | 9,648 | 1,347,247 | ||||||
Wheaton Precious Metals Corp. | 26,705 | 1,176,355 | ||||||
Freeport-McMoRan, Inc. | 92,565 | 1,070,977 | ||||||
Agnico Eagle Mines Ltd. | 16,398 | 1,050,456 | ||||||
AngloGold Ashanti Ltd. ADR | 32,701 | 964,352 | ||||||
Kirkland Lake Gold Ltd. | 21,668 | 893,588 | ||||||
Kinross Gold Corp.* | 111,122 | 802,301 | ||||||
Gold Fields Ltd. ADR | 84,597 | 795,212 | ||||||
Royal Gold, Inc. | 6,103 | 758,725 | ||||||
Pan American Silver Corp. | 22,663 | 688,728 | ||||||
B2Gold Corp. | 115,094 | 654,885 | ||||||
Sibanye Stillwater Ltd. ADR* | 72,341 | 625,750 | ||||||
Yamana Gold, Inc. | 110,653 | 604,165 | ||||||
Alamos Gold, Inc. — Class A | 57,171 | 536,264 | ||||||
Novagold Resources, Inc.* | 50,495 | 463,544 | ||||||
SSR Mining, Inc.* | 20,856 | 444,858 | ||||||
Harmony Gold Mining Company Ltd. ADR* | 104,082 | 434,022 | ||||||
Equinox Gold Corp.* | 37,821 | 424,352 | ||||||
First Majestic Silver Corp.*,1 | 39,417 | 392,199 | ||||||
IAMGOLD Corp.* | 96,822 | 382,447 | ||||||
Hecla Mining Co. | 110,728 | 362,080 | ||||||
Sandstorm Gold Ltd.* | 37,584 | 361,558 | ||||||
Eldorado Gold Corp.* | 35,548 | 344,816 | ||||||
Osisko Gold Royalties Ltd. | 34,098 | 340,980 | ||||||
Pretium Resources, Inc.* | 38,884 | 326,626 | ||||||
MAG Silver Corp.* | 22,036 | 310,708 | ||||||
Coeur Mining, Inc.* | 59,487 | 302,194 | ||||||
SilverCrest Metals, Inc.*,1 | 31,574 | 289,218 | ||||||
Seabridge Gold, Inc.*,1 | 16,437 | 288,305 | ||||||
Fortuna Silver Mines, Inc.*,1 | 52,192 | 265,657 | ||||||
Silvercorp Metals, Inc.1 | 48,227 | 258,979 | ||||||
Endeavour Silver Corp.* | 70,128 | 159,892 | ||||||
Gold Resource Corp. | 34,487 | 141,741 | ||||||
Total Mining | 21,937,235 | |||||||
Total Common Stocks | ||||||||
(Cost $8,724,199) | 21,937,235 | |||||||
EXCHANGE-TRADED FUNDS† - 4.0% | ||||||||
VanEck Vectors Junior Gold Miners ETF | 18,408 | 912,668 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $403,795) | 912,668 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
J.P. Morgan Securities LLC | $ | 81,042 | 81,042 | |||||
BofA Securities, Inc. | 33,563 | 33,563 | ||||||
Barclays Capital, Inc. | 31,549 | 31,549 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $146,154) | 146,154 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 3.2% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 740,254 | 740,254 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $740,254) | 740,254 | |||||||
Total Investments - 103.3% | ||||||||
(Cost $10,014,402) | $ | 23,736,311 | ||||||
Other Assets & Liabilities, net - (3.3)% | (754,103 | ) | ||||||
Total Net Assets - 100.0% | $ | 22,982,208 |
* | 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, 2020 — 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, 2020. |
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, 2020 |
PRECIOUS METALS FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 21,937,235 | $ | — | $ | — | $ | 21,937,235 | ||||||||
Exchange-Traded Funds | 912,668 | — | — | 912,668 | ||||||||||||
Repurchase Agreements | — | 146,154 | — | 146,154 | ||||||||||||
Securities Lending Collateral | 740,254 | — | — | 740,254 | ||||||||||||
Total Assets | $ | 23,590,157 | $ | 146,154 | $ | — | $ | 23,736,311 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
PRECIOUS METALS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2020 |
Assets: | ||||
Investments, at value - including $755,512 of securities loaned (cost $9,868,248) | $ | 23,590,157 | ||
Repurchase agreements, at value (cost $146,154) | 146,154 | |||
Cash | 696 | |||
Receivables: | ||||
Fund shares sold | 684,934 | |||
Dividends | 6,642 | |||
Foreign tax reclaims | 1,045 | |||
Securities lending income | 145 | |||
Total assets | 24,429,773 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 740,254 | |||
Securities purchased | 491,729 | |||
Deferred foreign capital gain taxes | 86,192 | |||
Fund shares redeemed | 71,845 | |||
Management fees | 12,645 | |||
Transfer agent and administrative fees | 4,535 | |||
Investor service fees | 4,215 | |||
Portfolio accounting fees | 1,686 | |||
Trustees’ fees* | 339 | |||
Miscellaneous | 34, 125 | |||
Total liabilities | 1,447,565 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 22,982,208 | ||
Net assets consist of: | ||||
Paid in capital | $ | 31,135,031 | ||
Total distributable earnings (loss) | (8,152,823 | ) | ||
Net assets | $ | 22,982,208 | ||
Capital shares outstanding | 518,205 | |||
Net asset value per share | $ | 44.35 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $9,934) | $ | 76,713 | ||
Interest | 854 | |||
Income from securities lending, net | 4,581 | |||
Total investment income | 82,148 | |||
Expenses: | ||||
Management fees | 78,606 | |||
Investor service fees | 26,202 | |||
Transfer agent and administrative fees | 28,193 | |||
Professional fees | 21,481 | |||
Portfolio accounting fees | 10,481 | |||
Trustees’ fees* | 2,164 | |||
Custodian fees | 1,609 | |||
Line of credit fees | 23 | |||
Miscellaneous | 12,593 | |||
Total expenses | 181,352 | |||
Net investment loss | (99,204 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 1,282,206 | |||
Net realized gain | 1,282,206 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 483,884 | |||
Net change in unrealized appreciation (depreciation) | 483,884 | |||
Net realized and unrealized gain | 1,766,090 | |||
Net increase in net assets resulting from operations | $ | 1,666,886 |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (99,204 | ) | $ | (127,420 | ) | ||
Net realized gain on investments | 1,282,206 | 1,970,211 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 483,884 | 6,254,702 | ||||||
Net increase in net assets resulting from operations | 1,666,886 | 8,097,493 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 27,671,548 | 40,583,255 | ||||||
Cost of shares redeemed | (31,238,329 | ) | (40,430,808 | ) | ||||
Net increase (decrease) from capital share transactions | (3,566,781 | ) | 152,447 | |||||
Net increase (decrease) in net assets | (1,899,895 | ) | 8,249,940 | |||||
Net assets: | ||||||||
Beginning of period | 24,882,103 | 16,632,163 | ||||||
End of period | $ | 22,982,208 | $ | 24,882,103 | ||||
Capital share activity: | ||||||||
Shares sold | 762,159 | 1,383,313 | ||||||
Shares redeemed | (921,097 | ) | (1,395,240 | ) | ||||
Net decrease in shares | (158,938 | ) | (11,927 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.75 | $ | 24.14 | $ | 30.30 | $ | 29.72 | $ | 17.95 | $ | 27.60 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.17 | ) | (.20 | ) | (.23 | ) | (.29 | ) | (.29 | ) | (.12 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 7.77 | 12.81 | (4.68 | ) | 2.29 | 12.06 | (8.01 | ) | ||||||||||||||||
Total from investment operations | 7.60 | 12.61 | (4.91 | ) | 2.00 | 11.77 | (8.13 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (1.25 | ) | (1.42 | ) | — | (1.52 | ) | |||||||||||||||
Total distributions | — | — | (1.25 | ) | (1.42 | ) | — | (1.52 | ) | |||||||||||||||
Net asset value, end of period | $ | 44.35 | $ | 36.75 | $ | 24.14 | $ | 30.30 | $ | 29.72 | $ | 17.95 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 20.68 | % | 52.24 | % | (16.61 | %) | 7.08 | % | 65.52 | % | (30.37 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 22,982 | $ | 24,882 | $ | 16,632 | $ | 30,201 | $ | 22,672 | $ | 16,201 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.95 | %) | (0.69 | %) | (0.87 | %) | (0.93 | %) | (0.90 | %) | (0.50 | %) | ||||||||||||
Total expensesd | 1.73 | % | 1.72 | % | 1.67 | % | 1.61 | % | 1.56 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 107 | % | 180 | % | 639 | % | 691 | % | 298 | % | 203 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 | 3.9% |
Crown Castle International Corp. | 3.0% |
Prologis, Inc. | 3.0% |
Equinix, Inc. | 2.8% |
Digital Realty Trust, Inc. | 2.2% |
SBA Communications Corp. | 2.2% |
Public Storage | 2.1% |
AvalonBay Communities, Inc. | 1.7% |
Equity Residential | 1.6% |
Simon Property Group, Inc. | 1.6% |
Top Ten Total | 24.1% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Real Estate Fund | (18.59%) | (12.59%) | 2.64% | 7.03% |
MSCI U.S. REIT Index | (18.45%) | (12.87%) | 4.08% | 9.06% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 500 Index and the MSCI U.S. REIT Index are unmanaged indices and, unlike the Fund, have no management fees or operating expenses to reduce their reported returns. |
† | 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, 2020 |
REAL ESTATE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 100.0% | ||||||||
REITs - 96.5% | ||||||||
REITs-Diversified - 24.1% | ||||||||
American Tower Corp. — Class A | 1,063 | $ | 274,828 | |||||
Crown Castle International Corp. | 1,279 | 214,041 | ||||||
Equinix, Inc. | 286 | 200,858 | ||||||
Digital Realty Trust, Inc. | 1,115 | 158,453 | ||||||
SBA Communications Corp. | 512 | 152,535 | ||||||
Weyerhaeuser Co. | 4,603 | 103,383 | ||||||
Duke Realty Corp. | 2,540 | 89,891 | ||||||
WP Carey, Inc. | 1,266 | 85,645 | ||||||
VICI Properties, Inc. | 4,003 | 80,821 | ||||||
Gaming and Leisure Properties, Inc. | 1,956 | 67,661 | ||||||
CoreSite Realty Corp. | 518 | 62,709 | ||||||
Lamar Advertising Co. — Class A | 936 | 62,487 | ||||||
PotlatchDeltic Corp. | 1,088 | 41,377 | ||||||
EPR Properties | 1,138 | 37,702 | ||||||
Outfront Media, Inc. | 2,468 | 34,972 | ||||||
New Residential Investment Corp. | 4,003 | 29,742 | ||||||
Total REITs-Diversified | 1,697,105 | |||||||
REITs-Apartments - 12.2% | ||||||||
AvalonBay Communities, Inc. | 757 | 117,062 | ||||||
Equity Residential | 1,964 | 115,522 | ||||||
Invitation Homes, Inc. | 3,555 | 97,869 | ||||||
Essex Property Trust, Inc. | 417 | 95,564 | ||||||
Mid-America Apartment Communities, Inc. | 794 | 91,048 | ||||||
UDR, Inc. | 2,244 | 83,881 | ||||||
Camden Property Trust | 830 | 75,713 | ||||||
American Homes 4 Rent — Class A | 2,670 | 71,823 | ||||||
Apartment Investment & Management Co. — Class A | 1,562 | 58,794 | ||||||
American Campus Communities, Inc. | 1,536 | 53,699 | ||||||
Total REITs-Apartments | 860,975 | |||||||
REITs-Office Property - 11.1% | ||||||||
Alexandria Real Estate Equities, Inc. | 688 | 111,628 | ||||||
Boston Properties, Inc. | 1,031 | 93,182 | ||||||
Vornado Realty Trust | 1,739 | 66,447 | ||||||
Kilroy Realty Corp. | 1,056 | 61,987 | ||||||
Douglas Emmett, Inc. | 1,917 | 58,775 | ||||||
Cousins Properties, Inc. | 1,757 | 52,411 | ||||||
Equity Commonwealth | 1,570 | 50,554 | ||||||
JBG SMITH Properties | 1,686 | 49,855 | ||||||
Highwoods Properties, Inc. | 1,319 | 49,238 | ||||||
Hudson Pacific Properties, Inc. | 1,945 | 48,936 | ||||||
SL Green Realty Corp. | 940 | 46,333 | ||||||
Brandywine Realty Trust | 3,260 | 35,501 | ||||||
Paramount Group, Inc. | 4,237 | 32,667 | ||||||
Empire State Realty Trust, Inc. — Class A | 4,064 | 28,448 | ||||||
Total REITs-Office Property | 785,962 | |||||||
REITs-Health Care - 9.5% | ||||||||
Welltower, Inc. | 2,193 | 113,488 | ||||||
Healthpeak Properties, Inc. | 3,500 | 96,460 | ||||||
Ventas, Inc. | 2,467 | 90,342 | ||||||
Medical Properties Trust, Inc. | 4,148 | 77,982 | ||||||
Omega Healthcare Investors, Inc. | 2,113 | 62,819 | ||||||
Healthcare Trust of America, Inc. — Class A | 2,229 | 59,113 | ||||||
Healthcare Realty Trust, Inc. | 1,659 | 48,592 | ||||||
Physicians Realty Trust | 2,647 | 46,375 | ||||||
Sabra Health Care REIT, Inc. | 2,887 | 41,659 | ||||||
CareTrust REIT, Inc. | 1,788 | 30,682 | ||||||
Total REITs-Health Care | 667,512 | |||||||
REITs-Warehouse/Industries - 9.3% | ||||||||
Prologis, Inc. | 2,242 | 209,246 | ||||||
CyrusOne, Inc. | 1,008 | 73,332 | ||||||
Americold Realty Trust | 1,886 | 68,462 | ||||||
Rexford Industrial Realty, Inc. | 1,387 | 57,463 | ||||||
First Industrial Realty Trust, Inc. | 1,466 | 56,353 | ||||||
EastGroup Properties, Inc. | 465 | 55,154 | ||||||
STAG Industrial, Inc. | 1,805 | 52,923 | ||||||
QTS Realty Trust, Inc. — Class A | 809 | 51,849 | ||||||
Innovative Industrial Properties, Inc.1 | 351 | 30,895 | ||||||
Total REITs-Warehouse/Industries | 655,677 | |||||||
REITs-Storage - 5.8% | ||||||||
Public Storage | 757 | 145,261 | ||||||
Extra Space Storage, Inc. | 931 | 85,996 | ||||||
Iron Mountain, Inc. | 2,651 | 69,191 | ||||||
CubeSmart | 2,114 | 57,057 | ||||||
Life Storage, Inc. | 563 | 53,457 | ||||||
Total REITs-Storage | 410,962 | |||||||
REITs-Hotels - 5.2% | ||||||||
MGM Growth Properties LLC — Class A | 2,705 | 73,603 | ||||||
Host Hotels & Resorts, Inc. | 6,094 | 65,754 | ||||||
Park Hotels & Resorts, Inc. | 3,725 | 36,840 | ||||||
Apple Hospitality REIT, Inc. | 3,730 | 36,032 | ||||||
Ryman Hospitality Properties, Inc. | 989 | 34,219 | ||||||
Pebblebrook Hotel Trust | 2,442 | 33,358 | ||||||
Sunstone Hotel Investors, Inc. | 4,070 | 33,170 | ||||||
RLJ Lodging Trust | 3,215 | 30,350 | ||||||
Service Properties Trust | 3,379 | 23,957 | ||||||
Total REITs-Hotels | 367,283 | |||||||
REITs-Single Tenant - 5.0% | ||||||||
Realty Income Corp. | 1,859 | 110,610 | ||||||
National Retail Properties, Inc. | 1,713 | 60,777 | ||||||
STORE Capital Corp. | 2,505 | 59,644 | ||||||
Spirit Realty Capital, Inc. | 1,382 | 48,177 | ||||||
Agree Realty Corp. | 720 | 47,311 | ||||||
Essential Properties Realty Trust, Inc. | 1,856 | 27,543 | ||||||
Total REITs-Single Tenant | 354,062 | |||||||
REITs-Shopping Centers - 4.8% | ||||||||
Regency Centers Corp. | 1,531 | 70,258 | ||||||
Federal Realty Investment Trust | 753 | 64,163 | ||||||
Kimco Realty Corp. | 4,547 | 58,383 | ||||||
Brixmor Property Group, Inc. | 3,821 | 48,985 |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
REAL ESTATE FUND |
| Shares | Value | ||||||
Weingarten Realty Investors | 2,072 | $ | 39,223 | |||||
Urban Edge Properties | 2,619 | 31,088 | ||||||
Retail Opportunity Investments Corp. | 2,536 | 28,733 | ||||||
Total REITs-Shopping Centers | 340,833 | |||||||
REITs-Mortgage - 3.9% | ||||||||
Annaly Capital Management, Inc. | 11,473 | 75,263 | ||||||
AGNC Investment Corp. | 5,235 | 67,531 | ||||||
Starwood Property Trust, Inc. | 3,411 | 51,029 | ||||||
Blackstone Mortgage Trust, Inc. — Class A | 1,918 | 46,205 | ||||||
Chimera Investment Corp. | 3,392 | 32,597 | ||||||
Total REITs-Mortgage | 272,625 | |||||||
REITs-Regional Malls - 3.1% | ||||||||
Simon Property Group, Inc. | 1,666 | 113,921 | ||||||
Taubman Centers, Inc. | 1,030 | 38,893 | ||||||
Macerich Co.1 | 3,107 | 27,870 | ||||||
Tanger Factory Outlet Centers, Inc.1 | 2,852 | 20,335 | ||||||
Brookfield Property REIT, Inc. — Class A1 | 1,798 | 17,908 | ||||||
Total REITs-Regional Malls | 218,927 | |||||||
REITs-Manufactured Homes - 2.5% | ||||||||
Sun Communities, Inc. | 665 | 90,227 | ||||||
Equity LifeStyle Properties, Inc. | 1,356 | 84,723 | ||||||
Total REITs-Manufactured Homes | 174,950 | |||||||
Total REITs | 6,806,873 | |||||||
Real Estate - 3.5% | ||||||||
Real Estate Management/Services - 2.9% | ||||||||
CBRE Group, Inc. — Class A* | 2,128 | 96,228 | ||||||
Jones Lang LaSalle, Inc. | 565 | 58,455 | ||||||
Redfin Corp.* | 1,279 | 53,603 | ||||||
Total Real Estate Management/Services | 208,286 | |||||||
Real Estate Operations/Development - 0.6% | ||||||||
Howard Hughes Corp.* | 786 | 40,833 | ||||||
Total Real Estate | 249,119 | |||||||
Total Common Stocks | ||||||||
(Cost $3,696,633) | 7,055,992 |
Face Amount | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 0.8% | ||||||||
J.P. Morgan Securities LLC issued 06/30/20 at 0.07% due 07/01/20 | $ | 29,819 | 29,819 | |||||
BofA Securities, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 12,349 | 12,349 | ||||||
Barclays Capital, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 11,609 | 11,609 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $53,777) | 53,777 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 74,062 | 74,062 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $74,062) | 74,062 | |||||||
Total Investments - 101.9% | ||||||||
(Cost $3,824,472) | $ | 7,183,831 | ||||||
Other Assets & Liabilities, net - (1.9)% | (132,330 | ) | ||||||
Total Net Assets - 100.0% | $ | 7,051,501 |
* | 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, 2020 — 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, 2020. |
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, 2020 |
REAL ESTATE FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 7,055,992 | $ | — | $ | — | $ | 7,055,992 | ||||||||
Repurchase Agreements | — | 53,777 | — | 53,777 | ||||||||||||
Securities Lending Collateral | 74,062 | — | — | 74,062 | ||||||||||||
Total Assets | $ | 7,130,054 | $ | 53,777 | $ | — | $ | 7,183,831 |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
REAL ESTATE FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2020 |
Assets: | ||||
Investments, at value - including $71,445 of securities loaned (cost $3,770,695) | $ | 7,130,054 | ||
Repurchase agreements, at value (cost $53,777) | 53,777 | |||
Receivables: | ||||
Securities sold | 88,620 | |||
Dividends | 33,867 | |||
Securities lending income | 156 | |||
Total assets | 7,306,474 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 154,373 | |||
Return of securities lending collateral | 74,062 | |||
Management fees | 5,408 | |||
Transfer agent and administrative fees | 1,712 | |||
Investor service fees | 1,591 | |||
Portfolio accounting fees | 636 | |||
Trustees’ fees* | 170 | |||
Miscellaneous | 17,021 | |||
Total liabilities | 254,973 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 7,051,501 | ||
Net assets consist of: | ||||
Paid in capital | $ | 5,067,837 | ||
Total distributable earnings (loss) | 1,983,664 | |||
Net assets | $ | 7,051,501 | ||
Capital shares outstanding | 199,288 | |||
Net asset value per share | $ | 35.38 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends | $ | 116,820 | ||
Interest | 210 | |||
Income from securities lending, net | 918 | |||
Total investment income | 117,948 | |||
Expenses: | ||||
Management fees | 35,450 | |||
Investor service fees | 10,426 | |||
Transfer agent and administrative fees | 11,219 | |||
Professional fees | 8,021 | |||
Portfolio accounting fees | 4,170 | |||
Trustees’ fees* | 1,465 | |||
Custodian fees | 713 | |||
Miscellaneous | 4,791 | |||
Total expenses | 76,255 | |||
Net investment income | 41,693 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 364,043 | |||
Net realized gain | 364,043 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (2,435,490 | ) | ||
Net change in unrealized appreciation (depreciation) | (2,435,490 | ) | ||
Net realized and unrealized loss | (2,071,447 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,029,754 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 85 |
REAL ESTATE FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 41,693 | $ | 233,633 | ||||
Net realized gain on investments | 364,043 | 364,242 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (2,435,490 | ) | 2,250,263 | |||||
Net increase (decrease) in net assets resulting from operations | (2,029,754 | ) | 2,848,138 | |||||
Distributions to shareholders | — | (392,655 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 7,448,276 | 36,309,780 | ||||||
Distributions reinvested | — | 392,655 | ||||||
Cost of shares redeemed | (10,615,963 | ) | (39,616,537 | ) | ||||
Net decrease from capital share transactions | (3,167,687 | ) | (2,914,102 | ) | ||||
Net decrease in net assets | (5,197,441 | ) | (458,619 | ) | ||||
Net assets: | ||||||||
Beginning of period | 12,248,942 | 12,707,561 | ||||||
End of period | $ | 7,051,501 | $ | 12,248,942 | ||||
Capital share activity: | ||||||||
Shares sold | 194,239 | 875,959 | ||||||
Shares issued from reinvestment of distributions | — | 9,631 | ||||||
Shares redeemed | (276,806 | ) | (956,810 | ) | ||||
Net decrease in shares | (82,567 | ) | (71,220 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 43.46 | $ | 35.99 | $ | 39.22 | $ | 37.72 | $ | 34.50 | $ | 36.41 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .19 | .68 | .64 | .36 | .63 | .53 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (8.27 | ) | 8.03 | (3.48 | ) | 2.11 | 2.88 | (1.44 | ) | |||||||||||||||
Total from investment operations | (8.08 | ) | 8.71 | (2.84 | ) | 2.47 | 3.51 | (.91 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.83 | ) | (.39 | ) | (.97 | ) | (.29 | ) | (1.00 | ) | |||||||||||||
Net realized gains | — | (.41 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (1.24 | ) | (.39 | ) | (.97 | ) | (.29 | ) | (1.00 | ) | |||||||||||||
Net asset value, end of period | $ | 35.38 | $ | 43.46 | $ | 35.99 | $ | 39.22 | $ | 37.72 | $ | 34.50 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (18.59 | %) | 24.43 | % | (7.33 | %) | 6.65 | % | 10.15 | % | (2.52 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 7,052 | $ | 12,249 | $ | 12,708 | $ | 10,261 | $ | 11,509 | $ | 16,324 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.00 | % | 1.62 | % | 1.67 | % | 0.93 | % | 1.73 | % | 1.46 | % | ||||||||||||
Total expenses | 1.83 | % | 1.82 | % | 1.73 | % | 1.70 | % | 1.65 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 78 | % | 225 | % | 313 | % | 331 | % | 279 | % | 259 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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. | 11.2% |
Walmart, Inc. | 5.6% |
Home Depot, Inc. | 4.9% |
Costco Wholesale Corp. | 4.2% |
Alibaba Group Holding Ltd. ADR | 3.8% |
Lowe’s Companies, Inc. | 3.6% |
Booking Holdings, Inc. | 2.9% |
Target Corp. | 2.8% |
TJX Companies, Inc. | 2.7% |
Dollar General Corp. | 2.5% |
Top Ten Total | 44.2% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Retailing Fund | 9.18% | 16.83% | 6.99% | 13.30% |
S&P 500 Consumer Discretionary Index | 7.23% | 12.59% | 13.21% | 18.19% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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, 2020 |
RETAILING FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.8% | ||||||||
Retail - 58.9% | ||||||||
Walmart, Inc. | 2,290 | $ | 274,296 | |||||
Home Depot, Inc. | 969 | 242,744 | ||||||
Costco Wholesale Corp. | 678 | 205,576 | ||||||
Lowe’s Companies, Inc. | 1,328 | 179,439 | ||||||
Target Corp. | 1,157 | 138,759 | ||||||
TJX Companies, Inc. | 2,671 | 135,046 | ||||||
Dollar General Corp. | 638 | 121,545 | ||||||
Walgreens Boots Alliance, Inc. | 2,559 | 108,476 | ||||||
O’Reilly Automotive, Inc.* | 233 | 98,249 | ||||||
Ross Stores, Inc. | 1,121 | 95,554 | ||||||
AutoZone, Inc.* | 81 | 91,378 | ||||||
Best Buy Company, Inc. | 996 | 86,921 | ||||||
Dollar Tree, Inc.* | 895 | 82,949 | ||||||
Tractor Supply Co. | 534 | 70,376 | ||||||
Tiffany & Co. | 561 | 68,408 | ||||||
CarMax, Inc.* | 717 | 64,207 | ||||||
Genuine Parts Co. | 716 | 62,263 | ||||||
Burlington Stores, Inc.* | 315 | 62,033 | ||||||
Ulta Beauty, Inc.* | 287 | 58,382 | ||||||
Advance Auto Parts, Inc. | 383 | 54,558 | ||||||
Carvana Co.*,1 | 399 | 47,960 | ||||||
Williams-Sonoma, Inc. | 531 | 43,547 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 439 | 42,868 | ||||||
Five Below, Inc.* | 397 | 42,443 | ||||||
Floor & Decor Holdings, Inc. — Class A* | 736 | 42,430 | ||||||
BJ’s Wholesale Club Holdings, Inc.* | 1,121 | 41,780 | ||||||
Gap, Inc. | 3,245 | 40,952 | ||||||
RH* | 153 | 38,082 | ||||||
L Brands, Inc. | 2,343 | 35,075 | ||||||
Dick’s Sporting Goods, Inc. | 825 | 34,040 | ||||||
Foot Locker, Inc. | 1,051 | 30,647 | ||||||
Kohl’s Corp. | 1,457 | 30,262 | ||||||
National Vision Holdings, Inc.* | 892 | 27,224 | ||||||
Nordstrom, Inc.1 | 1,648 | 25,528 | ||||||
American Eagle Outfitters, Inc. | 2,014 | 21,953 | ||||||
Urban Outfitters, Inc.* | 1,283 | 19,527 | ||||||
Abercrombie & Fitch Co. — Class A | 1,298 | 13,811 | ||||||
Children’s Place, Inc.1 | 338 | 12,648 | ||||||
Signet Jewelers Ltd. | 1,176 | 12,078 | ||||||
Total Retail | 2,904,014 | |||||||
Internet - 37.0% | ||||||||
Amazon.com, Inc.* | 201 | 554,523 | ||||||
Alibaba Group Holding Ltd. ADR* | 868 | 187,228 | ||||||
Booking Holdings, Inc.* | 90 | 143,311 | ||||||
eBay, Inc. | 2,095 | 109,883 | ||||||
JD.com, Inc. ADR* | 1,557 | 93,700 | ||||||
Wayfair, Inc. — Class A* | 386 | 76,277 | ||||||
Chewy, Inc. — Class A* | 1,636 | 73,113 | ||||||
MercadoLibre, Inc.* | 74 | 72,947 | ||||||
Etsy, Inc.* | 650 | 69,049 | ||||||
Pinduoduo, Inc. ADR* | 775 | 66,526 | ||||||
Trip.com Group Ltd. ADR* | 2,412 | 62,519 | ||||||
Expedia Group, Inc. | 723 | 59,431 | ||||||
Farfetch Ltd. — Class A* | 2,999 | 51,793 | ||||||
Vipshop Holdings Ltd. ADR* | 2,438 | 48,541 | ||||||
Baozun, Inc. ADR*,1 | 1,236 | 47,524 | ||||||
Grubhub, Inc.* | 675 | 47,452 | ||||||
Stamps.com, Inc.* | 173 | 31,778 | ||||||
Stitch Fix, Inc. — Class A*,1 | 1,160 | 28,930 | ||||||
Total Internet | 1,824,525 | |||||||
Distribution & Wholesale - 2.2% | ||||||||
Pool Corp. | 216 | 58,724 | ||||||
LKQ Corp.* | 1,944 | 50,933 | ||||||
Total Distribution & Wholesale | 109,657 | |||||||
Commercial Services - 1.1% | ||||||||
Aaron’s, Inc. | 704 | 31,961 | ||||||
Monro, Inc. | 423 | 23,240 | ||||||
Total Commercial Services | 55,201 | |||||||
Oil & Gas - 0.6% | ||||||||
Murphy USA, Inc.* | 285 | 32,088 | ||||||
Total Common Stocks | ||||||||
(Cost $3,448,182) | 4,925,485 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 1.2% | ||||||||
J.P. Morgan Securities LLC | $ | 31,724 | 31,724 | |||||
BofA Securities, Inc. | 13,138 | 13,138 | ||||||
Barclays Capital, Inc. | 12,350 | 12,350 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $57,212) | 57,212 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.5% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 122,413 | 122,413 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $122,413) | 122,413 | |||||||
Total Investments - 103.5% | ||||||||
(Cost $3,627,807) | $ | 5,105,110 | ||||||
Other Assets & Liabilities, net - (3.5)% | (174,786 | ) | ||||||
Total Net Assets - 100.0% | $ | 4,930,324 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 89 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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, 2020 — 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 4,925,485 | $ | — | $ | — | $ | 4,925,485 | ||||||||
Repurchase Agreements | — | 57,212 | — | 57,212 | ||||||||||||
Securities Lending Collateral | 122,413 | — | — | 122,413 | ||||||||||||
Total Assets | $ | 5,047,898 | $ | 57,212 | $ | — | $ | 5,105,110 |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RETAILING FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2020 |
Assets: | ||||
Investments, at value - including $119,078 of securities loaned (cost $3,570,595) | $ | 5,047,898 | ||
Repurchase agreements, at value (cost $57,212) | 57,212 | |||
Receivables: | ||||
Fund shares sold | 55,698 | |||
Dividends | 1,374 | |||
Securities lending income | 106 | |||
Total assets | 5,162,288 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 122,413 | |||
Securities purchased | 74,394 | |||
Fund shares redeemed | 22,925 | |||
Management fees | 3,181 | |||
Transfer agent and administrative fees | 1,007 | |||
Investor service fees | 935 | |||
Portfolio accounting fees | 374 | |||
Trustees’ fees* | 66 | |||
Miscellaneous | 6,669 | |||
Total liabilities | 231,964 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 4,930,324 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,787,544 | ||
Total distributable earnings (loss) | 1,142,780 | |||
Net assets | $ | 4,930,324 | ||
Capital shares outstanding | 50,415 | |||
Net asset value per share | $ | 97.79 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $81) | $ | 16,262 | ||
Interest | 82 | |||
Income from securities lending, net | 530 | |||
Total investment income | 16,874 | |||
Expenses: | ||||
Management fees | 13,903 | |||
Investor service fees | 4,089 | |||
Transfer agent and administrative fees | 4,400 | |||
Professional fees | 2,919 | |||
Portfolio accounting fees | 1,635 | |||
Trustees’ fees* | 505 | |||
Custodian fees | 273 | |||
Miscellaneous | 2,226 | |||
Total expenses | 29,950 | |||
Net investment loss | (13,076 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 357,963 | |||
Net realized gain | 357,963 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 13,083 | |||
Net change in unrealized appreciation (depreciation) | 13,083 | |||
Net realized and unrealized gain | 371,046 | |||
Net increase in net assets resulting from operations | $ | 357,970 |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (13,076 | ) | $ | (27,909 | ) | ||
Net realized gain on investments | 357,963 | 739,136 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 13,083 | 364,817 | ||||||
Net increase in net assets resulting from operations | 357,970 | 1,076,044 | ||||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,301,601 | 8,919,934 | ||||||
Cost of shares redeemed | (2,354,439 | ) | (13,159,008 | ) | ||||
Net increase (decrease) from capital share transactions | 947,162 | (4,239,074 | ) | |||||
Net increase (decrease) in net assets | 1,305,132 | (3,163,030 | ) | |||||
Net assets: | ||||||||
Beginning of period | 3,625,192 | 6,788,222 | ||||||
End of period | $ | 4,930,324 | $ | 3,625,192 | ||||
Capital share activity: | ||||||||
Shares sold | 36,151 | 105,149 | ||||||
Shares redeemed | (26,211 | ) | (159,017 | ) | ||||
Net increase (decrease) in shares | 9,940 | (53,868 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 89.57 | $ | 71.95 | $ | 74.37 | $ | 65.91 | $ | 69.96 | $ | 77.68 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.35 | ) | (.45 | ) | (.30 | ) | .02 | (.05 | ) | (.16 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | 8.57 | 18.07 | (2.11 | ) | 8.44 | (2.93 | ) | (.20 | ) | |||||||||||||||
Total from investment operations | 8.22 | 17.62 | (2.41 | ) | 8.46 | (2.98 | ) | (.36 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.01 | ) | — | — | — | |||||||||||||||||
Net realized gains | — | — | — | — | (1.07 | ) | (7.36 | ) | ||||||||||||||||
Total distributions | — | — | (.01 | ) | — | (1.07 | ) | (7.36 | ) | |||||||||||||||
Net asset value, end of period | $ | 97.79 | $ | 89.57 | $ | 71.95 | $ | 74.37 | $ | 65.91 | $ | 69.96 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 9.18 | % | 24.49 | % | (3.23 | %) | 12.82 | % | 0.30 | % | (1.33 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,930 | $ | 3,625 | $ | 6,788 | $ | 7,849 | $ | 5,278 | $ | 8,328 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.80 | %) | (0.54 | %) | (0.37 | %) | 0.03 | % | (0.25 | %) | (0.19 | %) | ||||||||||||
Total expenses | 1.83 | % | 1.83 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 82 | % | 173 | % | 260 | % | 447 | % | 668 | % | 225 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 years 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, 2020 |
TECHNOLOGY FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies that are involved in the technology sector, including computer software and service companies, semiconductor manufacturers, networking and telecommunications equipment manufacturers, PC hardware and peripherals companies (“Technology Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: May 2, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Apple, Inc. | 4.8% |
Microsoft Corp. | 4.7% |
Alphabet, Inc. — Class A | 3.7% |
Facebook, Inc. — Class A | 3.0% |
Visa, Inc. — Class A | 2.3% |
Mastercard, Inc. — Class A | 2.0% |
Intel Corp. | 1.9% |
NVIDIA Corp. | 1.8% |
Adobe, Inc. | 1.7% |
PayPal Holdings, Inc. | 1.7% |
Top Ten Total | 27.6% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Technology Fund | 13.23% | 25.79% | 17.85% | 15.93% |
S&P 500 Information Technology Index | 14.95% | 35.90% | 23.41% | 20.48% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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, 2020 |
TECHNOLOGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.2% | ||||||||
Software - 31.7% | ||||||||
Microsoft Corp. | 4,473 | $ | 910,300 | |||||
Adobe, Inc.* | 769 | 334,753 | ||||||
Oracle Corp. | 5,432 | 300,227 | ||||||
salesforce.com, Inc.* | 1,558 | 291,860 | ||||||
Intuit, Inc. | 689 | 204,075 | ||||||
Fidelity National Information Services, Inc. | 1,513 | 202,878 | ||||||
ServiceNow, Inc.* | 498 | 201,720 | ||||||
Zoom Video Communications, Inc. — Class A* | 774 | 196,240 | ||||||
VMware, Inc. — Class A* | 1,228 | 190,168 | ||||||
Fiserv, Inc.* | 1,827 | 178,352 | ||||||
Activision Blizzard, Inc. | 2,296 | 174,266 | ||||||
Autodesk, Inc.* | 692 | 165,519 | ||||||
Workday, Inc. — Class A* | 797 | 149,326 | ||||||
Electronic Arts, Inc.* | 1,076 | 142,086 | ||||||
DocuSign, Inc.* | 769 | 132,430 | ||||||
Splunk, Inc.* | 664 | 131,937 | ||||||
NetEase, Inc. ADR | 298 | 127,955 | ||||||
Twilio, Inc. — Class A* | 578 | 126,825 | ||||||
Synopsys, Inc.* | 643 | 125,385 | ||||||
Paychex, Inc. | 1,581 | 119,761 | ||||||
Cadence Design Systems, Inc.* | 1,244 | 119,374 | ||||||
Atlassian Corporation plc — Class A* | 650 | 117,176 | ||||||
ANSYS, Inc.* | 391 | 114,066 | ||||||
RingCentral, Inc. — Class A* | 393 | 112,009 | ||||||
Sea Ltd. ADR* | 980 | 105,095 | ||||||
Coupa Software, Inc.* | 362 | 100,288 | ||||||
Akamai Technologies, Inc.* | 921 | 98,630 | ||||||
Citrix Systems, Inc. | 660 | 97,621 | ||||||
Paycom Software, Inc.* | 307 | 95,087 | ||||||
Take-Two Interactive Software, Inc.* | 645 | 90,023 | ||||||
Slack Technologies, Inc. — Class A* | 2,857 | 88,824 | ||||||
Jack Henry & Associates, Inc. | 469 | 86,310 | ||||||
MongoDB, Inc.* | 381 | 86,236 | ||||||
SS&C Technologies Holdings, Inc. | 1,488 | 84,042 | ||||||
Alteryx, Inc. — Class A* | 448 | 73,597 | ||||||
PTC, Inc.* | 875 | 68,066 | ||||||
Dropbox, Inc. — Class A* | 3,048 | 66,355 | ||||||
Five9, Inc.* | 563 | 62,307 | ||||||
Nutanix, Inc. — Class A* | 2,144 | 50,824 | ||||||
Total Software | 6,121,993 | |||||||
Semiconductors - 19.6% | ||||||||
Intel Corp. | 6,096 | 364,724 | ||||||
NVIDIA Corp. | 935 | 355,216 | ||||||
Broadcom, Inc. | 807 | 254,697 | ||||||
Texas Instruments, Inc. | 1,955 | 248,226 | ||||||
QUALCOMM, Inc. | 2,560 | 233,498 | ||||||
Advanced Micro Devices, Inc.* | 3,386 | 178,137 | ||||||
Micron Technology, Inc.* | 3,412 | 175,786 | ||||||
Applied Materials, Inc. | 2,810 | 169,864 | ||||||
Lam Research Corp. | 490 | 158,495 | ||||||
Analog Devices, Inc. | 1,251 | 153,423 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. ADR | 2,375 | 134,829 | ||||||
NXP Semiconductor N.V. | 1,167 | 133,085 | ||||||
KLA Corp. | 649 | 126,218 | ||||||
ASML Holding N.V. — Class G | 326 | 119,978 | ||||||
Microchip Technology, Inc. | 1,112 | 117,105 | ||||||
Xilinx, Inc. | 1,167 | 114,821 | ||||||
Marvell Technology Group Ltd. | 3,201 | 112,227 | ||||||
Skyworks Solutions, Inc. | 828 | 105,868 | ||||||
Maxim Integrated Products, Inc. | 1,516 | 91,885 | ||||||
Teradyne, Inc. | 1,036 | 87,552 | ||||||
Qorvo, Inc.* | 740 | 81,792 | ||||||
Monolithic Power Systems, Inc. | 326 | 77,262 | ||||||
IPG Photonics Corp.* | 414 | 66,401 | ||||||
ON Semiconductor Corp.* | 3,323 | 65,862 | ||||||
Cree, Inc.* | 982 | 58,125 | ||||||
Total Semiconductors | 3,785,076 | |||||||
Internet - 16.3% | ||||||||
Alphabet, Inc. — Class A* | 502 | 711,861 | ||||||
Facebook, Inc. — Class A* | 2,512 | 570,400 | ||||||
Shopify, Inc. — Class A* | 162 | 153,770 | ||||||
Baidu, Inc. ADR* | 1,154 | 138,353 | ||||||
Snap, Inc. — Class A* | 5,844 | 137,276 | ||||||
Match Group, Inc.*,1 | 1,207 | 129,209 | ||||||
IAC/InterActiveCorp* | 376 | 121,598 | ||||||
Okta, Inc.* | 574 | 114,932 | ||||||
VeriSign, Inc.* | 542 | 112,102 | ||||||
Palo Alto Networks, Inc.* | 467 | 107,256 | ||||||
Twitter, Inc.* | 3,490 | 103,967 | ||||||
Weibo Corp. ADR*,1 | 2,825 | 94,920 | ||||||
CDW Corp. | 797 | 92,595 | ||||||
Momo, Inc. ADR | 5,241 | 91,613 | ||||||
Pinterest, Inc. — Class A* | 3,597 | 79,746 | ||||||
Zillow Group, Inc. — Class C*,1 | 1,368 | 78,811 | ||||||
NortonLifeLock, Inc. | 3,937 | 78,071 | ||||||
Zendesk, Inc.* | 849 | 75,162 | ||||||
F5 Networks, Inc.* | 483 | 67,369 | ||||||
Proofpoint, Inc.* | 536 | 59,560 | ||||||
TripAdvisor, Inc. | 1,925 | 36,594 | ||||||
Total Internet | 3,155,165 | |||||||
Computers - 13.7% | ||||||||
Apple, Inc. | 2,541 | 926,957 | ||||||
International Business Machines Corp. | 1,936 | 233,811 | ||||||
Accenture plc — Class A | 792 | 170,058 | ||||||
Dell Technologies, Inc. — Class C* | 2,863 | 157,293 | ||||||
Cognizant Technology Solutions Corp. — Class A | 2,283 | 129,720 | ||||||
HP, Inc. | 6,632 | 115,596 | ||||||
Fortinet, Inc.* | 790 | 108,443 | ||||||
Check Point Software Technologies Ltd.* | 988 | 106,141 | ||||||
Crowdstrike Holdings, Inc. — Class A* | 1,040 | 104,302 | ||||||
Western Digital Corp. | 1,934 | 85,386 | ||||||
Zscaler, Inc.* | 753 | 82,453 | ||||||
Leidos Holdings, Inc. | 870 | 81,493 | ||||||
Seagate Technology plc | 1,669 | 80,796 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
TECHNOLOGY FUND |
| Shares | Value | ||||||
Hewlett Packard Enterprise Co. | 8,104 | $ | 78,852 | |||||
NetApp, Inc. | 1,656 | 73,477 | ||||||
Lumentum Holdings, Inc.* | 736 | 59,932 | ||||||
DXC Technology Co. | 2,926 | 48,279 | ||||||
Total Computers | 2,642,989 | |||||||
Commercial Services - 5.1% | ||||||||
PayPal Holdings, Inc.* | 1,888 | 328,946 | ||||||
Automatic Data Processing, Inc. | 1,213 | 180,604 | ||||||
Square, Inc. — Class A* | 1,520 | 159,509 | ||||||
Global Payments, Inc. | 933 | 158,255 | ||||||
FleetCor Technologies, Inc.* | 408 | 102,624 | ||||||
Euronet Worldwide, Inc.* | 523 | 50,114 | ||||||
Total Commercial Services | 980,052 | |||||||
Diversified Financial Services - 4.6% | ||||||||
Visa, Inc. — Class A | 2,289 | 442,166 | ||||||
Mastercard, Inc. — Class A | 1,310 | 387,367 | ||||||
Western Union Co. | 3,164 | 68,406 | ||||||
Total Diversified Financial Services | 897,939 | |||||||
Telecommunications - 3.6% | ||||||||
Cisco Systems, Inc. | 6,971 | 325,127 | ||||||
Motorola Solutions, Inc. | 790 | 110,703 | ||||||
Corning, Inc. | 3,809 | 98,653 | ||||||
Arista Networks, Inc.* | 431 | 90,523 | ||||||
Juniper Networks, Inc. | 2,712 | 61,996 | ||||||
Total Telecommunications | 687,002 | |||||||
Electronics - 2.4% | ||||||||
Amphenol Corp. — Class A | 1,261 | 120,816 | ||||||
TE Connectivity Ltd. | 1,333 | 108,706 | ||||||
Keysight Technologies, Inc.* | 986 | 99,369 | ||||||
Trimble, Inc.* | 1,745 | 75,367 | ||||||
FLIR Systems, Inc. | 1,328 | 53,877 | ||||||
Total Electronics | 458,135 | |||||||
Energy-Alternate Sources - 1.0% | ||||||||
SolarEdge Technologies, Inc.* | 679 | 94,232 | ||||||
Enphase Energy, Inc.* | 1,106 | 52,612 | ||||||
First Solar, Inc.* | 1,041 | 51,530 | ||||||
Total Energy-Alternate Sources | 198,374 | |||||||
Advertising - 0.5% | ||||||||
Trade Desk, Inc. — Class A* | 244 | 99,186 | ||||||
Office & Business Equipment - 0.4% | ||||||||
Zebra Technologies Corp. — Class A* | 324 | 82,928 | ||||||
Electrical Components & Equipment - 0.3% | ||||||||
Universal Display Corp. | 401 | 59,998 | ||||||
Total Common Stocks | ||||||||
(Cost 7,663,624) | 19,168,837 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.3% | ||||||||
J.P. Morgan Securities LLC | $ | 28,030 | 28,030 | |||||
BofA Securities, Inc. | 11,608 | 11,608 | ||||||
Barclays Capital, Inc. | 10,912 | 10,912 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $50,550) | 50,550 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.1% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 210,430 | 210,430 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $210,430) | 210,430 | |||||||
Total Investments - 100.6% | ||||||||
(Cost $7,924,604) | $ | 19,429,817 | ||||||
Other Assets & Liabilities, net - (0.6)% | (116,589 | ) | ||||||
Total Net Assets - 100.0% | $ | 19,313,228 |
* | 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, 2020 — 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, 2020. |
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, 2020 |
TECHNOLOGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 19,168,837 | $ | — | $ | — | $ | 19,168,837 | ||||||||
Repurchase Agreements | — | 50,550 | — | 50,550 | ||||||||||||
Securities Lending Collateral | 210,430 | — | — | 210,430 | ||||||||||||
Total Assets | $ | 19,379,267 | $ | 50,550 | $ | — | $ | 19,429,817 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
TECHNOLOGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2020 |
Assets: | ||||
Investments, at value - including $207,829 of securities loaned (cost $7,874,054) | $ | 19,379,267 | ||
Repurchase agreements, at value (cost $50,550) | 50,550 | |||
Cash | 51,765 | |||
Receivables: | ||||
Fund shares sold | 469,617 | |||
Dividends | 7,204 | |||
Securities lending income | 844 | |||
Foreign tax reclaims | 496 | |||
Total assets | 19,959,743 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 210,430 | |||
Securities purchased | 195,596 | |||
Fund shares redeemed | 183,919 | |||
Management fees | 13,476 | |||
Transfer agent and administrative fees | 4,265 | |||
Investor service fees | 3,964 | |||
Portfolio accounting fees | 1,585 | |||
Trustees’ fees* | 328 | |||
Miscellaneous | 32,952 | |||
Total liabilities | 646,515 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 19,313,228 | ||
Net assets consist of: | ||||
Paid in capital | $ | 6,447,643 | ||
Total distributable earnings (loss) | 12,865,585 | |||
Net assets | $ | 19,313,228 | ||
Capital shares outstanding | 135,491 | |||
Net asset value per share | $ | 142.54 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $261) | $ | 144,709 | ||
Interest | 484 | |||
Income from securities lending, net | 2,573 | |||
Total investment income | 147,766 | |||
Expenses: | ||||
Management fees | 79,769 | |||
Investor service fees | 23,461 | |||
Transfer agent and administrative fees | 25,244 | |||
Professional fees | 18,578 | |||
Portfolio accounting fees | 9,385 | |||
Trustees’ fees* | 2,365 | |||
Custodian fees | 1,492 | |||
Line of credit fees | 28 | |||
Miscellaneous | 11,312 | |||
Total expenses | 171,634 | |||
Net investment loss | (23,868 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 2,241,978 | |||
Net realized gain | 2,241,978 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (975,535 | ) | ||
Net change in unrealized appreciation (depreciation) | (975,535 | ) | ||
Net realized and unrealized gain | 1,266,443 | |||
Net increase in net assets resulting from operations | $ | 1,242,575 |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (23,868 | ) | $ | (172,906 | ) | ||
Net realized gain on investments | 2,241,978 | 1,446,636 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (975,535 | ) | 5,145,477 | |||||
Net increase in net assets resulting from operations | 1,242,575 | 6,419,207 | ||||||
Distributions to shareholders | — | (782,667 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 23,048,537 | 42,992,140 | ||||||
Distributions reinvested | — | 782,667 | ||||||
Cost of shares redeemed | (27,416,677 | ) | (43,033,120 | ) | ||||
Net increase (decrease) from capital share transactions | (4,368,140 | ) | 741,687 | |||||
Net increase (decrease) in net assets | (3,125,565 | ) | 6,378,227 | |||||
Net assets: | ||||||||
Beginning of period | 22,438,793 | 16,060,566 | ||||||
End of period | $ | 19,313,228 | $ | 22,438,793 | ||||
Capital share activity: | ||||||||
Shares sold | 182,085 | 379,634 | ||||||
Shares issued from reinvestment of distributions | — | 6,598 | ||||||
Shares redeemed | (224,849 | ) | (380,533 | ) | ||||
Net increase (decrease) in shares | (42,764 | ) | 5,699 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 125.88 | $ | 93.07 | $ | 96.71 | $ | 74.88 | $ | 71.70 | $ | 71.28 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.16 | ) | (.90 | ) | (.63 | ) | (.56 | ) | (.21 | ) | (.32 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 16.82 | 37.66 | (.43 | ) | 24.71 | 7.78 | 1.13 | |||||||||||||||||
Total from investment operations | 16.66 | 36.76 | (1.06 | ) | 24.15 | 7.57 | .81 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (3.95 | ) | (2.58 | ) | (2.32 | ) | (4.39 | ) | (.39 | ) | |||||||||||||
Total distributions | — | (3.95 | ) | (2.58 | ) | (2.32 | ) | (4.39 | ) | (.39 | ) | |||||||||||||
Net asset value, end of period | $ | 142.54 | $ | 125.88 | $ | 93.07 | $ | 96.71 | $ | 74.88 | $ | 71.70 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 13.23 | % | 39.75 | % | (1.49 | %) | 32.63 | % | 11.07 | % | 1.11 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 19,313 | $ | 22,439 | $ | 16,061 | $ | 22,940 | $ | 18,156 | $ | 19,042 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.25 | %) | (0.79 | %) | (0.60 | %) | (0.64 | %) | (0.29 | %) | (0.45 | %) | ||||||||||||
Total expenses | 1.83 | % | 1.82 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 94 | % | 188 | % | 178 | % | 200 | % | 321 | % | 142 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
TELECOMMUNICATIONS FUND
OBJECTIVE: Seeks to provide capital appreciation by investing in companies engaged in the development, manufacture, or sale of communications services or communications equipment (“Telecommunications Companies”).
Holdings Diversification (Market Exposure as % of Net Assets)
“Holdings Diversification (Market Exposure as % of Net Assets)” excludes any temporary cash investments.
Inception Date: July 27, 2001 |
Ten Largest Holdings (% of Total Net Assets) | |
Verizon Communications, Inc. | 11.6% |
AT&T, Inc. | 11.5% |
Cisco Systems, Inc. | 11.1% |
T-Mobile US, Inc. | 8.6% |
Motorola Solutions, Inc. | 4.2% |
Arista Networks, Inc. | 3.5% |
Ubiquiti, Inc. | 2.9% |
CenturyLink, Inc. | 2.9% |
F5 Networks, Inc. | 2.6% |
Ciena Corp. | 2.6% |
Top Ten Total | 61.5% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Telecommunications Fund | (2.22%) | (0.35%) | 4.04% | 5.26% |
S&P 500 Telecommunication Services Index | (0.31%) | 11.08% | 7.18% | 10.58% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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, 2020 |
TELECOMMUNICATIONS FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.3% | ||||||||
Telecommunications - 87.8% | ||||||||
Verizon Communications, Inc. | 5,144 | $ | 283,589 | |||||
AT&T, Inc. | 9,247 | 279,537 | ||||||
Cisco Systems, Inc. | 5,822 | 271,538 | ||||||
T-Mobile US, Inc.* | 2,023 | 210,695 | ||||||
Motorola Solutions, Inc. | 739 | 103,556 | ||||||
Arista Networks, Inc.* | 404 | 84,852 | ||||||
Ubiquiti, Inc. | 410 | 71,570 | ||||||
CenturyLink, Inc. | 7,063 | 70,842 | ||||||
Ciena Corp.* | 1,152 | 62,392 | ||||||
GCI Liberty, Inc. — Class A* | 833 | 59,243 | ||||||
Juniper Networks, Inc. | 2,537 | 57,996 | ||||||
Iridium Communications, Inc.* | 1,501 | 38,185 | ||||||
Viavi Solutions, Inc.* | 2,874 | 36,615 | ||||||
Acacia Communications, Inc.* | 529 | 35,544 | ||||||
America Movil SAB de CV — Class L ADR | 2,727 | 34,606 | ||||||
Vonage Holdings Corp.* | 3,403 | 34,234 | ||||||
EchoStar Corp. — Class A* | 1,221 | 34,139 | ||||||
Vodafone Group plc ADR | 2,129 | 33,936 | ||||||
China Mobile Ltd. ADR | 995 | 33,472 | ||||||
Shenandoah Telecommunications Co. | 665 | 32,778 | ||||||
BCE, Inc. | 776 | 32,414 | ||||||
Telephone & Data Systems, Inc. | 1,618 | 32,166 | ||||||
ViaSat, Inc.* | 836 | 32,077 | ||||||
InterDigital, Inc. | 510 | 28,881 | ||||||
TELUS Corp. | 1,718 | 28,811 | ||||||
Rogers Communications, Inc. — Class B | 707 | 28,414 | ||||||
Telefonica Brasil S.A. ADR | 3,183 | 28,201 | ||||||
CommScope Holding Company, Inc.* | 3,056 | 25,456 | ||||||
NETGEAR, Inc.* | 733 | 18,977 | ||||||
Plantronics, Inc. | 1,195 | 17,543 | ||||||
Total Telecommunications | 2,142,259 | |||||||
Internet - 4.9% | ||||||||
F5 Networks, Inc.* | 451 | 62,906 | ||||||
Cogent Communications Holdings, Inc. | 525 | 40,614 | ||||||
Boingo Wireless, Inc.* | 1,244 | 16,570 | ||||||
Total Internet | 120,090 | |||||||
Computers - 3.5% | ||||||||
Lumentum Holdings, Inc.* | 689 | 56,105 | ||||||
NetScout Systems, Inc.* | 1,164 | 29,752 | ||||||
Total Computers | 85,857 | |||||||
Media - 1.6% | ||||||||
Liberty Global plc — Class C* | 1,800 | 38,718 | ||||||
Software - 1.5% | ||||||||
Bandwidth, Inc. — Class A* | 288 | 36,576 | ||||||
Total Common Stocks | ||||||||
(Cost $1,636,077) | 2,423,500 | |||||||
RIGHTS† - 0.0% | ||||||||
Telecommunications - 0.0% | ||||||||
T-Mobile US, Inc. | ||||||||
Expires 07/27/20* | 2,027 | 341 | ||||||
Total Rights | ||||||||
(Cost $—) | 341 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.6% | ||||||||
J.P. Morgan Securities LLC | $ | 7,564 | 7,564 | |||||
BofA Securities, Inc. | 3,132 | 3,132 | ||||||
Barclays Capital, Inc. | 2,945 | 2,945 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $13,641) | 13,641 | |||||||
Total Investments - 99.9% | ||||||||
(Cost $1,649,718) | $ | 2,437,482 | ||||||
Other Assets & Liabilities, net - 0.1% | 2,228 | |||||||
Total Net Assets - 100.0% | $ | 2,439,710 |
* | 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. |
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
TELECOMMUNICATIONS FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 2,423,500 | $ | — | $ | — | $ | 2,423,500 | ||||||||
Rights | 341 | — | 341 | |||||||||||||
Repurchase Agreements | — | 13,641 | — | 13,641 | ||||||||||||
Total Assets | $ | 2,423,841 | $ | 13,641 | $ | — | $ | 2,437,482 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
TELECOMMUNICATIONS FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2020 |
Assets: | ||||
Investments, at value (cost $1,636,077) | $ | 2,423,841 | ||
Repurchase agreements, at value (cost $13,641) | 13,641 | |||
Receivables: | ||||
Securities sold | 59,893 | |||
Dividends | 6,721 | |||
Fund shares sold | 1,899 | |||
Securities lending income | 4 | |||
Total assets | 2,505,999 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 57,996 | |||
Management fees | 1,825 | |||
Transfer agent and administrative fees | 577 | |||
Investor service fees | 537 | |||
Portfolio accounting fees | 215 | |||
Trustees’ fees* | 50 | |||
Miscellaneous | 5,089 | |||
Total liabilities | 66,289 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 2,439,710 | ||
Net assets consist of: | ||||
Paid in capital | $ | 2,501,938 | ||
Total distributable earnings (loss) | (62,228 | ) | ||
Net assets | $ | 2,439,710 | ||
Capital shares outstanding | 41,003 | |||
Net asset value per share | $ | 59.50 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $431) | $ | 40,380 | ||
Interest | 62 | |||
Income from securities lending, net | 13 | |||
Total investment income | 40,455 | |||
Expenses: | ||||
Management fees | 12,300 | |||
Investor service fees | 3,618 | |||
Transfer agent and administrative fees | 3,892 | |||
Professional fees | 2,849 | |||
Portfolio accounting fees | 1,447 | |||
Trustees’ fees* | 352 | |||
Custodian fees | 230 | |||
Line of credit fees | 19 | |||
Miscellaneous | 1,820 | |||
Total expenses | 26,527 | |||
Net investment income | 13,928 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (196,650 | ) | ||
Net realized loss | (196,650 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (92,638 | ) | ||
Net change in unrealized appreciation (depreciation) | (92,638 | ) | ||
Net realized and unrealized loss | (289,288 | ) | ||
Net decrease in net assets resulting from operations | $ | (275,360 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 13,928 | $ | 20,214 | ||||
Net realized loss on investments | (196,650 | ) | (59,780 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (92,638 | ) | 402,401 | |||||
Net increase (decrease) in net assets resulting from operations | (275,360 | ) | 362,835 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,866,078 | 8,496,767 | ||||||
Cost of shares redeemed | (3,401,052 | ) | (8,839,102 | ) | ||||
Net decrease from capital share transactions | (534,974 | ) | (342,335 | ) | ||||
Net increase (decrease) in net assets | (810,334 | ) | 20,500 | |||||
Net assets: | ||||||||
Beginning of period | 3,250,044 | 3,229,544 | ||||||
End of period | $ | 2,439,710 | $ | 3,250,044 | ||||
Capital share activity: | ||||||||
Shares sold | 48,792 | 143,164 | ||||||
Shares redeemed | (61,202 | ) | (149,841 | ) | ||||
Net decrease in shares | (12,410 | ) | (6,677 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 60.85 | $ | 53.75 | $ | 58.48 | $ | 57.03 | $ | 48.71 | $ | 53.12 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .28 | .37 | .57 | .37 | .45 | .42 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (1.63 | ) | 6.73 | (3.51 | ) | 2.86 | 8.03 | (3.94 | ) | |||||||||||||||
Total from investment operations | (1.35 | ) | 7.10 | (2.94 | ) | 3.23 | 8.48 | (3.52 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.47 | ) | (.77 | ) | (.16 | ) | (.89 | ) | ||||||||||||||
Net realized gains | — | — | (1.32 | ) | (1.01 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (1.79 | ) | (1.78 | ) | (.16 | ) | (.89 | ) | ||||||||||||||
Net asset value, end of period | $ | 59.50 | $ | 60.85 | $ | 53.75 | $ | 58.48 | $ | 57.03 | $ | 48.71 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (2.22 | %) | 13.21 | % | (5.29 | %) | 5.85 | % | 17.40 | % | (6.73 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,440 | $ | 3,250 | $ | 3,230 | $ | 3,514 | $ | 5,384 | $ | 2,329 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.96 | % | 0.63 | % | 0.97 | % | 0.65 | % | 0.86 | % | 0.80 | % | ||||||||||||
Total expenses | 1.83 | % | 1.82 | % | 1.73 | % | 1.70 | % | 1.66 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 115 | % | 263 | % | 365 | % | 372 | % | 410 | % | 232 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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) | |
Tesla, Inc. | 8.4% |
Union Pacific Corp. | 6.1% |
United Parcel Service, Inc. — Class B | 5.7% |
CSX Corp. | 4.2% |
Uber Technologies, Inc. | 4.1% |
Norfolk Southern Corp. | 3.9% |
FedEx Corp. | 3.5% |
General Motors Co. | 3.3% |
Old Dominion Freight Line, Inc. | 2.6% |
Southwest Airlines Co. | 2.5% |
Top Ten Total | 44.3% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Transportation Fund | (8.19%) | (1.28%) | 3.28% | 10.16% |
S&P 500 Industrials Index | (14.64%) | (9.02%) | 6.73% | 11.76% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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, 2020 |
TRANSPORTATION FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.7% | ||||||||
Transportation - 46.5% | ||||||||
Union Pacific Corp. | 1,024 | $ | 173,128 | |||||
United Parcel Service, Inc. — Class B | 1,450 | 161,211 | ||||||
CSX Corp. | 1,709 | 119,186 | ||||||
Norfolk Southern Corp. | 627 | 110,082 | ||||||
FedEx Corp. | 699 | 98,014 | ||||||
Old Dominion Freight Line, Inc. | 433 | 73,432 | ||||||
Kansas City Southern | 419 | 62,553 | ||||||
Expeditors International of Washington, Inc. | 774 | 58,855 | ||||||
J.B. Hunt Transport Services, Inc. | 484 | 58,245 | ||||||
CH Robinson Worldwide, Inc. | 678 | 53,603 | ||||||
XPO Logistics, Inc.* | 546 | 42,179 | ||||||
Knight-Swift Transportation Holdings, Inc. | 1,010 | 42,127 | ||||||
Canadian Pacific Railway Ltd. | 135 | 34,471 | ||||||
Landstar System, Inc. | 304 | 34,142 | ||||||
Canadian National Railway Co. | 385 | 34,099 | ||||||
ZTO Express Cayman, Inc. ADR | 873 | 32,048 | ||||||
Kirby Corp.* | 540 | 28,922 | ||||||
Werner Enterprises, Inc. | 644 | 28,033 | ||||||
Saia, Inc.* | 250 | 27,795 | ||||||
Ryder System, Inc. | 604 | 22,656 | ||||||
Hub Group, Inc. — Class A* | 427 | 20,436 | ||||||
Total Transportation | 1,315,217 | |||||||
Airlines - 14.5% | ||||||||
Southwest Airlines Co. | 2,095 | 71,607 | ||||||
Delta Air Lines, Inc. | 2,333 | 65,441 | ||||||
United Airlines Holdings, Inc.* | 1,394 | 48,246 | ||||||
American Airlines Group, Inc.1 | 2,638 | 34,479 | ||||||
Alaska Air Group, Inc. | 928 | 33,649 | ||||||
Copa Holdings S.A. — Class A | 615 | 31,094 | ||||||
Ryanair Holdings plc ADR* | 430 | 28,526 | ||||||
JetBlue Airways Corp.* | 2,419 | 26,367 | ||||||
Allegiant Travel Co. — Class A | 194 | 21,187 | ||||||
SkyWest, Inc. | 609 | 19,866 | ||||||
Spirit Airlines, Inc.*,1 | 1,068 | 19,010 | ||||||
Hawaiian Holdings, Inc. | 867 | 12,173 | ||||||
Total Airlines | 411,645 | |||||||
Auto Manufacturers - 14.0% | ||||||||
Tesla, Inc.* | 220 | 237,558 | ||||||
General Motors Co. | 3,736 | 94,521 | ||||||
Fiat Chrysler Automobiles N.V.* | 3,231 | 33,085 | ||||||
Ferrari N.V. | 184 | 31,466 | ||||||
Total Auto Manufacturers | 396,630 | |||||||
Auto Parts & Equipment - 11.9% | ||||||||
BorgWarner, Inc. | 1,284 | 45,325 | ||||||
Aptiv plc | 548 | 42,700 | ||||||
Lear Corp. | 384 | 41,864 | ||||||
Autoliv, Inc. | 495 | 31,933 | ||||||
Magna International, Inc. | 702 | 31,260 | ||||||
Delphi Technologies plc* | 2,198 | 31,234 | ||||||
Goodyear Tire & Rubber Co. | 2,684 | 24,008 | ||||||
Dorman Products, Inc.* | 357 | 23,944 | ||||||
Dana, Inc. | 1,827 | 22,271 | ||||||
Visteon Corp.* | 316 | 21,646 | ||||||
Adient plc* | 1,221 | 20,049 | ||||||
Total Auto Parts & Equipment | 336,234 | |||||||
Internet - 5.8% | ||||||||
Uber Technologies, Inc.* | 3,693 | 114,778 | ||||||
Lyft, Inc. — Class A* | 1,492 | 49,251 | ||||||
Total Internet | 164,029 | |||||||
Leisure Time - 2.2% | ||||||||
Fox Factory Holding Corp.* | 371 | 30,649 | ||||||
Harley-Davidson, Inc. | 1,277 | 30,354 | ||||||
Total Leisure Time | 61,003 | |||||||
Commercial Services - 2.1% | ||||||||
AMERCO | 130 | 39,285 | ||||||
Avis Budget Group, Inc.*,1 | 825 | 18,884 | ||||||
Total Commercial Services | 58,169 | |||||||
Electronics - 1.4% | ||||||||
Gentex Corp. | 1,558 | 40,149 | ||||||
Home Builders - 1.3% | ||||||||
Thor Industries, Inc. | 355 | 37,818 | ||||||
Total Common Stocks | ||||||||
(Cost $1,104,702) | 2,820,894 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.0% | ||||||||
J.P. Morgan Securities LLC | $ | 390 | 390 | |||||
BofA Securities, Inc. | 161 | 161 | ||||||
Barclays Capital, Inc. | 152 | 152 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $703) | 703 |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
TRANSPORTATION FUND |
Shares | Value | |||||||
SECURITIES LENDING COLLATERAL†,3 - 1.5% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 41,563 | $ | 41,563 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $41,563) | 41,563 | |||||||
Total Investments - 101.2% | ||||||||
(Cost $1,146,968) | $ | 2,863,160 | ||||||
Other Assets & Liabilities, net - (1.2)% | (32,965 | ) | ||||||
Total Net Assets - 100.0% | $ | 2,830,195 |
* | 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, 2020 — 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 2,820,894 | $ | — | $ | — | $ | 2,820,894 | ||||||||
Repurchase Agreements | — | 703 | — | 703 | ||||||||||||
Securities Lending Collateral | 41,563 | — | — | 41,563 | ||||||||||||
Total Assets | $ | 2,862,457 | $ | 703 | $ | — | $ | 2,863,160 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 109 |
TRANSPORTATION FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2020 |
Assets: | ||||
Investments, at value - including $40,015 of securities loaned (cost $1,146,265) | $ | 2,862,457 | ||
Repurchase agreements, at value (cost $703) | 703 | |||
Cash | 165 | |||
Receivables: | ||||
Securities sold | 34,828 | |||
Dividends | 1,127 | |||
Securities lending income | 242 | |||
Foreign tax reclaims | 72 | |||
Total assets | 2,899,594 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 41,563 | |||
Fund shares redeemed | 17,480 | |||
Management fees | 2,478 | |||
Transfer agent and administrative fees | 784 | |||
Investor service fees | 729 | |||
Portfolio accounting fees | 291 | |||
Trustees’ fees* | 60 | |||
Miscellaneous | 6,014 | |||
Total liabilities | 69,399 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 2,830,195 | ||
Net assets consist of: | ||||
Paid in capital | $ | 975,161 | ||
Total distributable earnings (loss) | 1,855,034 | |||
Net assets | $ | 2,830,195 | ||
Capital shares outstanding | 38,215 | |||
Net asset value per share | $ | 74.06 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $256) | $ | 24,022 | ||
Interest | 117 | |||
Income from securities lending, net | 506 | |||
Total investment income | 24,645 | |||
Expenses: | ||||
Management fees | 13,880 | |||
Investor service fees | 4,082 | |||
Transfer agent and administrative fees | 4,393 | |||
Professional fees | 3,258 | |||
Portfolio accounting fees | 1,633 | |||
Trustees’ fees* | 449 | |||
Custodian fees | 264 | |||
Line of credit fees | 28 | |||
Miscellaneous | 1,907 | |||
Total expenses | 29,894 | |||
Net investment loss | (5,249 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 328,885 | |||
Net realized gain | 328,885 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (621,077 | ) | ||
Net change in unrealized appreciation (depreciation) | (621,077 | ) | ||
Net realized and unrealized loss | (292,192 | ) | ||
Net decrease in net assets resulting from operations | $ | (297,441 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (5,249 | ) | $ | 4,820 | |||
Net realized gain on investments | 328,885 | 609,353 | ||||||
Net change in unrealized appreciation (depreciation) on investments | (621,077 | ) | 55,879 | |||||
Net increase (decrease) in net assets resulting from operations | (297,441 | ) | 670,052 | |||||
Distributions to shareholders | — | (2,551 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 4,191,826 | 11,677,900 | ||||||
Distributions reinvested | — | 2,551 | ||||||
Cost of shares redeemed | (5,787,309 | ) | (11,792,273 | ) | ||||
Net decrease from capital share transactions | (1,595,483 | ) | (111,822 | ) | ||||
Net increase (decrease) in net assets | (1,892,924 | ) | 555,679 | |||||
Net assets: | ||||||||
Beginning of period | 4,723,119 | 4,167,440 | ||||||
End of period | $ | 2,830,195 | $ | 4,723,119 | ||||
Capital share activity: | ||||||||
Shares sold | 56,760 | 151,678 | ||||||
Shares issued from reinvestment of distributions | — | 33 | ||||||
Shares redeemed | (77,095 | ) | (156,293 | ) | ||||
Net decrease in shares | (20,335 | ) | (4,582 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 80.67 | $ | 66.01 | $ | 86.15 | $ | 70.81 | $ | 100.87 | $ | 121.73 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.11 | ) | .09 | (.16 | ) | (.43 | ) | .16 | (.08 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (6.50 | ) | 14.60 | (16.55 | ) | 15.99 | (20.23 | ) | (16.78 | ) | ||||||||||||||
Total from investment operations | (6.61 | ) | 14.69 | (16.71 | ) | 15.56 | (20.07 | ) | (16.86 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | (.22 | ) | — | — | |||||||||||||||||
Net realized gains | — | (.03 | ) | (3.43 | ) | — | (9.99 | ) | (4.00 | ) | ||||||||||||||
Total distributions | — | (.03 | ) | (3.43 | ) | (.22 | ) | (9.99 | ) | (4.00 | ) | |||||||||||||
Net asset value, end of period | $ | 74.06 | $ | 80.67 | $ | 66.01 | $ | 86.15 | $ | 70.81 | $ | 100.87 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (8.19 | %) | 22.24 | % | (20.05 | %) | 22.02 | % | 15.43 | % | (14.09 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,830 | $ | 4,723 | $ | 4,167 | $ | 11,739 | $ | 12,883 | $ | 6,810 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.32 | %) | 0.11 | % | (0.19 | %) | (0.56 | %) | 0.73 | % | (0.06 | %) | ||||||||||||
Total expenses | 1.83 | % | 1.83 | % | 1.72 | % | 1.70 | % | 1.66 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 151 | % | 277 | % | 237 | % | 308 | % | 174 | % | 99 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 years 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, 2020 |
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. | 5.8% |
Dominion Energy, Inc. | 4.4% |
Duke Energy Corp. | 4.1% |
Southern Co. | 3.9% |
American Electric Power Company, Inc. | 3.4% |
Exelon Corp. | 3.2% |
Sempra Energy | 3.1% |
Xcel Energy, Inc. | 3.1% |
Eversource Energy | 2.9% |
WEC Energy Group, Inc. | 2.9% |
Top Ten Total | 36.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Utilities Fund | (14.37%) | (9.48%) | 7.17% | 9.01% |
S&P 500 Utilities Index | (11.14%) | (2.11%) | 10.17% | 11.31% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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, 2020 |
UTILITIES FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.5% | ||||||||
Electric - 81.9% | ||||||||
NextEra Energy, Inc. | 3,109 | $ | 746,689 | |||||
Dominion Energy, Inc. | 6,961 | 565,094 | ||||||
Duke Energy Corp. | 6,496 | 518,965 | ||||||
Southern Co. | 9,607 | 498,123 | ||||||
American Electric Power Company, Inc. | 5,472 | 435,790 | ||||||
Exelon Corp. | 11,223 | 407,283 | ||||||
Sempra Energy | 3,389 | 397,292 | ||||||
Xcel Energy, Inc. | 6,293 | 393,313 | ||||||
Eversource Energy | 4,459 | 371,301 | ||||||
WEC Energy Group, Inc. | 4,162 | 364,799 | ||||||
Public Service Enterprise Group, Inc. | 7,028 | 345,497 | ||||||
Consolidated Edison, Inc. | 4,689 | 337,280 | ||||||
DTE Energy Co. | 2,946 | 316,695 | ||||||
FirstEnergy Corp. | 8,071 | 312,993 | ||||||
Edison International | 5,661 | 307,449 | ||||||
PPL Corp. | 11,834 | 305,791 | ||||||
Entergy Corp. | 3,167 | 297,096 | ||||||
Ameren Corp. | 4,089 | 287,702 | ||||||
CMS Energy Corp. | 4,884 | 285,323 | ||||||
Avangrid, Inc. | 6,059 | 254,357 | ||||||
Evergy, Inc. | 4,259 | 252,516 | ||||||
Alliant Energy Corp. | 4,987 | 238,578 | ||||||
AES Corp. | 15,567 | 225,566 | ||||||
CenterPoint Energy, Inc. | 11,623 | 217,001 | ||||||
Vistra Energy Corp. | 10,864 | 202,288 | ||||||
Pinnacle West Capital Corp. | 2,675 | 196,051 | ||||||
NRG Energy, Inc. | 5,959 | 194,025 | ||||||
OGE Energy Corp. | 5,630 | 170,927 | ||||||
IDACORP, Inc. | 1,685 | 147,218 | ||||||
PG&E Corp.* | 15,690 | 139,170 | ||||||
Black Hills Corp. | 2,335 | 132,301 | ||||||
Portland General Electric Co. | 3,159 | 132,078 | ||||||
PNM Resources, Inc. | 3,192 | 122,701 | ||||||
ALLETE, Inc. | 2,123 | 115,937 | ||||||
El Paso Electric Co. | 1,730 | 115,910 | ||||||
NorthWestern Corp. | 2,116 | 115,364 | ||||||
Total Electric | 10,466,463 | |||||||
Gas - 10.9% | ||||||||
Atmos Energy Corp. | 2,429 | 241,880 | ||||||
NiSource, Inc. | 8,859 | 201,454 | ||||||
UGI Corp. | 5,577 | 177,349 | ||||||
ONE Gas, Inc. | 1,839 | 141,695 | ||||||
National Fuel Gas Co. | 3,272 | 137,195 | ||||||
Southwest Gas Holdings, Inc. | 1,964 | 135,614 | ||||||
Spire, Inc. | 1,950 | 128,134 | ||||||
New Jersey Resources Corp. | 3,852 | 125,768 | ||||||
South Jersey Industries, Inc. | 4,260 | 106,457 | ||||||
Total Gas | 1,395,546 | |||||||
Water - 4.4% | ||||||||
American Water Works Company, Inc. | 2,628 | 338,118 | ||||||
Essential Utilities, Inc. | 5,248 | 221,676 | ||||||
Total Water | 559,794 | |||||||
Building Materials - 1.2% | ||||||||
MDU Resources Group, Inc. | 6,768 | 150,114 | ||||||
Energy-Alternate Sources - 1.1% | ||||||||
TerraForm Power, Inc. — Class A | 7,730 | 142,541 | ||||||
Total Common Stocks | ||||||||
(Cost $7,336,550) | 12,714,458 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.5% | ||||||||
J.P. Morgan Securities LLC | $ | 38,182 | 38,182 | |||||
BofA Securities, Inc. | 15,813 | 15,813 | ||||||
Barclays Capital, Inc. | 14,864 | 14,864 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $68,859) | 68,859 | |||||||
Total Investments - 100.0% | ||||||||
(Cost $7,405,409) | $ | 12,783,317 | ||||||
Other Assets & Liabilities, net - 0.0% | (2,257 | ) | ||||||
Total Net Assets - 100.0% | $ | 12,781,060 |
* | 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, 2020 |
UTILITIES FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 12,714,458 | $ | — | $ | — | $ | 12,714,458 | ||||||||
Repurchase Agreements | — | 68,859 | — | 68,859 | ||||||||||||
Total Assets | $ | 12,714,458 | $ | 68,859 | $ | — | $ | 12,783,317 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 115 |
UTILITIES FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) | ||||
June 30, 2020 |
Assets: | ||||
Investments, at value (cost $7,336,550) | $ | 12,714,458 | ||
Repurchase agreements, at value (cost $68,859) | 68,859 | |||
Receivables: | ||||
Securities sold | 136,591 | |||
Dividends | 25,492 | |||
Total assets | 12,945,400 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 120,008 | |||
Management fees | 9,197 | |||
Transfer agent and administrative fees | 2,911 | |||
Investor service fees | 2,705 | |||
Portfolio accounting fees | 1,082 | |||
Trustees’ fees* | 281 | |||
Miscellaneous | 28,156 | |||
Total liabilities | 164,340 | |||
Commitments and contingent liabilities (Note 9) | — | |||
Net assets | $ | 12,781,060 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,730,863 | ||
Total distributable earnings (loss) | 4,050,197 | |||
Net assets | $ | 12,781,060 | ||
Capital shares outstanding | 442,154 | |||
Net asset value per share | $ | 28.91 |
STATEMENT OF OPERATIONS (Unaudited) | ||||
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $2) | $ | 255,683 | ||
Interest | 429 | |||
Total investment income | 256,112 | |||
Expenses: | ||||
Management fees | 64,721 | |||
Investor service fees | 19,036 | |||
Transfer agent and administrative fees | 20,482 | |||
Professional fees | 14,694 | |||
Portfolio accounting fees | 7,614 | |||
Trustees’ fees* | 2,218 | |||
Custodian fees | 1,249 | |||
Line of credit fees | 27 | |||
Miscellaneous | 9,212 | |||
Total expenses | 139,253 | |||
Net investment income | 116,859 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (485,558 | ) | ||
Net realized loss | (485,558 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (2,623,292 | ) | ||
Net change in unrealized appreciation (depreciation) | (2,623,292 | ) | ||
Net realized and unrealized loss | (3,108,850 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,991,991 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 116,859 | $ | 252,875 | ||||
Net realized gain (loss) on investments | (485,558 | ) | 700,342 | |||||
Net change in unrealized appreciation (depreciation) on investments | (2,623,292 | ) | 2,213,251 | |||||
Net increase (decrease) in net assets resulting from operations | (2,991,991 | ) | 3,166,468 | |||||
Distributions to shareholders | — | (49,561 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 16,974,247 | 37,710,438 | ||||||
Distributions reinvested | — | 49,561 | ||||||
Cost of shares redeemed | (17,236,125 | ) | (44,162,382 | ) | ||||
Net decrease from capital share transactions | (261,878 | ) | (6,402,383 | ) | ||||
Net decrease in net assets | (3,253,869 | ) | (3,285,476 | ) | ||||
Net assets: | ||||||||
Beginning of period | 16,034,929 | 19,320,405 | ||||||
End of period | $ | 12,781,060 | $ | 16,034,929 | ||||
Capital share activity: | ||||||||
Shares sold | 511,248 | 1,193,047 | ||||||
Shares issued from reinvestment of distributions | — | 1,558 | ||||||
Shares redeemed | (544,101 | ) | (1,399,094 | ) | ||||
Net decrease in shares | (32,853 | ) | (204,489 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 33.76 | $ | 28.43 | $ | 27.97 | $ | 26.24 | $ | 22.86 | $ | 25.35 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .24 | .39 | .43 | .42 | .36 | .39 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (5.09 | ) | 5.01 | .62 | d | 2.42 | 3.38 | (2.24 | ) | |||||||||||||||
Total from investment operations | (4.85 | ) | 5.40 | 1.05 | 2.84 | 3.74 | (1.85 | ) | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.07 | ) | (.46 | ) | (.55 | ) | (.17 | ) | (.64 | ) | |||||||||||||
Net realized gains | — | — | (.13 | ) | (.56 | ) | (.19 | ) | — | |||||||||||||||
Total distributions | — | (.07 | ) | (.59 | ) | (1.11 | ) | (.36 | ) | (.64 | ) | |||||||||||||
Net asset value, end of period | $ | 28.91 | $ | 33.76 | $ | 28.43 | $ | 27.97 | $ | 26.24 | $ | 22.86 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (14.37 | %) | 19.01 | % | 3.78 | % | 11.02 | % | 16.34 | % | (7.36 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,781 | $ | 16,035 | $ | 19,320 | $ | 14,670 | $ | 15,242 | $ | 17,064 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.53 | % | 1.22 | % | 1.54 | % | 1.48 | % | 1.39 | % | 1.66 | % | ||||||||||||
Total expenses | 1.83 | % | 1.82 | % | 1.73 | % | 1.70 | % | 1.65 | % | 1.61 | % | ||||||||||||
Portfolio turnover rate | 103 | % | 144 | % | 299 | % | 183 | % | 234 | % | 312 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 loss on investments for the year because of the sale and repurchase 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 (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately. At June 30, 2020, 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 (collectively, the “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 and other assets 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 119 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Equity securities listed or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
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.
Repurchase agreements are generally 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 Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income and foreign taxes on capital gains from sales of investments are included with the net realized gain (loss) on investments. Foreign taxes payable or deferred as of June 30, 2020, if any, are disclosed in the Funds’ Statement 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, if any. 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 0.08% at June 30, 2020.
(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 pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board has adopted an Investor Services Plan for which GFD and other firms that provide investor services (“Service Providers”) may receive compensation. The Funds will pay investor service fees to GFD at an annual rate not to exceed 0.25% of average daily net assets. GFD, in turn, will compensate Service Providers for providing such services, while retaining a portion of such payments to compensate itself for investor services it performs.
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI 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 maintains 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2020, 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 Tax | ||||||||||||
Banking Fund | $ | 3,225,792 | $ | — | $ | (34,795 | ) | $ | (34,795 | ) | ||||||
Basic Materials Fund | 3,827,293 | 1,524,336 | (39,219 | ) | 1,485,117 | |||||||||||
Biotechnology Fund | 13,556,099 | 11,925,378 | (237,575 | ) | 11,687,803 | |||||||||||
Consumer Products Fund | 10,396,285 | 4,409,606 | (106,796 | ) | 4,302,810 | |||||||||||
Electronics Fund | 4,086,289 | 4,651,626 | — | 4,651,626 | ||||||||||||
Energy Fund | 8,356,657 | — | (249,527 | ) | (249,527 | ) | ||||||||||
Energy Services Fund | 4,769,915 | — | (1,798,013 | ) | (1,798,013 | ) | ||||||||||
Financial Services Fund | 6,442,608 | 1,060,440 | (19,674 | ) | 1,040,766 | |||||||||||
Health Care Fund | 9,313,810 | 9,034,311 | (99,206 | ) | 8,935,105 | |||||||||||
Internet Fund | 7,359,468 | 5,917,616 | (33,071 | ) | 5,884,545 | |||||||||||
Leisure Fund | 2,613,726 | 945,242 | (18,546 | ) | 926,696 | |||||||||||
Precious Metals Fund | 15,627,371 | 8,108,940 | — | 8,108,940 | ||||||||||||
Real Estate Fund | 5,775,932 | 1,509,223 | (101,324 | ) | 1,407,899 | |||||||||||
Retailing Fund | 4,112,119 | 1,012,947 | (19,956 | ) | 992,991 | |||||||||||
Technology Fund | 9,207,146 | 10,261,402 | (38,731 | ) | 10,222,671 | |||||||||||
Telecommunications Fund | 2,297,759 | 172,999 | (33,276 | ) | 139,723 | |||||||||||
Transportation Fund | 1,432,783 | 1,430,377 | — | 1,430,377 | ||||||||||||
Utilities Fund | 9,150,853 | 3,679,463 | (46,999 | ) | 3,632,464 |
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, 2020, the cost of purchases and proceeds from sales of investment securities, excluding short-term investments, were as follows:
Fund | Purchases | Sales | ||||||
Banking Fund | $ | 8,660,122 | $ | 9,819,657 | ||||
Basic Materials Fund | 3,066,769 | 3,751,790 | ||||||
Biotechnology Fund | 19,521,692 | 18,398,034 | ||||||
Consumer Products Fund | 8,820,051 | 11,234,179 | ||||||
Electronics Fund | 6,329,668 | 9,384,335 | ||||||
Energy Fund | 13,167,073 | 12,166,635 | ||||||
Energy Services Fund | 14,372,381 | 13,077,775 | ||||||
Financial Services Fund | 12,216,279 | 14,181,675 | ||||||
Health Care Fund | 15,673,986 | 16,880,277 | ||||||
Internet Fund | 11,329,718 | 9,256,749 | ||||||
Leisure Fund | 4,524,884 | 6,992,393 | ||||||
Precious Metals Fund | 22,495,475 | 26,184,486 | ||||||
Real Estate Fund | 6,780,243 | 9,697,720 | ||||||
Retailing Fund | 3,804,719 | 2,833,198 | ||||||
Technology Fund | 17,697,708 | 21,955,045 | ||||||
Telecommunications Fund | 3,209,102 | 3,733,359 | ||||||
Transportation Fund | 4,971,000 | 6,557,154 | ||||||
Utilities Fund | 15,784,894 | 15,965,238 |
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, 2020, 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 | $ | 521,694 | $ | 1,030,278 | $ | (2,583 | ) | |||||
Basic Materials Fund | 169,296 | 558,666 | (3,485 | ) | ||||||||
Biotechnology Fund | 1,745,001 | 3,046,271 | 38,165 | |||||||||
Consumer Products Fund | 1,243,959 | 1,707,025 | 57,091 | |||||||||
Electronics Fund | 930,702 | 1,686,084 | 94,231 | |||||||||
Energy Fund | 3,025,894 | 1,633,286 | (298,102 | ) | ||||||||
Energy Services Fund | 2,135,291 | 1,557,635 | (107,810 | ) | ||||||||
Financial Services Fund | 3,359,732 | 3,534,181 | (44,746 | ) | ||||||||
Health Care Fund | 2,767,395 | 3,127,821 | 89,537 | |||||||||
Internet Fund | 1,876,696 | 1,741,039 | (11,893 | ) | ||||||||
Leisure Fund | 494,106 | 626,878 | 31,492 | |||||||||
Precious Metals Fund | 5,238,322 | 6,990,822 | 1,096,610 | |||||||||
Real Estate Fund | 1,434,188 | 1,206,223 | 77,110 | |||||||||
Retailing Fund | 556,507 | 317,934 | 44,726 | |||||||||
Technology Fund | 4,778,620 | 3,602,577 | 119,180 | |||||||||
Telecommunications Fund | 645,494 | 523,060 | (30,073 | ) | ||||||||
Transportation Fund | 461,316 | 1,929,616 | 105,107 | |||||||||
Utilities Fund | 3,333,103 | 4,824,030 | (202,949 | ) |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
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, 2020, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price |
| Collateral | Par Value | Fair Value | ||||||||||||
J.P. Morgan Securities LLC | U.S. Treasury Notes | |||||||||||||||||
0.07% | 1.88% - 2.75% | |||||||||||||||||
Due 07/01/20 | $ | 46,493,897 | $ | 46,493,987 | 12/15/20 - 05/31/23 | $ | 44,039,600 | $ | 47,423,795 | |||||||||
BofA Securities, Inc. | U.S. Treasury Note | |||||||||||||||||
0.07% | 1.88% | |||||||||||||||||
Due 07/01/20 | 19,255,227 | 19,255,265 | 07/31/22 | 18,827,600 | 19,640,334 | |||||||||||||
Barclays Capital, Inc. | U.S. Treasury Note | |||||||||||||||||
0.07% | 1.63% | |||||||||||||||||
Due 07/01/20 | 18,099,914 | 18,099,949 | 10/31/26 | 17,130,200 | 18,461,912 |
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.
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2020, 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 | $ | 17,404 | $ | (17,404 | ) | $ | — | $ | 18,091 | $ | — | $ | 18,091 | ||||||||||||
Basic Materials Fund | 119,081 | (119,081 | ) | — | 122,467 | — | 122,467 | ||||||||||||||||||
Biotechnology Fund | 355,527 | (355,527 | ) | — | 362,607 | — | 362,607 | ||||||||||||||||||
Electronics Fund | 82,477 | (82,477 | ) | — | 82,748 | — | 82,748 | ||||||||||||||||||
Energy Fund | 196,849 | (196,797 | ) | 52 | 196,797 | * | — | 196,797 | |||||||||||||||||
Energy Services Fund | 7,903 | (7,903 | ) | — | 8,340 | — | 8,340 | ||||||||||||||||||
Financial Services Fund | 37,655 | (37,655 | ) | — | 38,807 | — | 38,807 | ||||||||||||||||||
Health Care Fund | 192,715 | (192,715 | ) | — | 196,954 | — | 196,954 | ||||||||||||||||||
Internet Fund | 308,636 | (308,636 | ) | — | 313,310 | — | 313,310 | ||||||||||||||||||
Leisure Fund | 118,271 | (118,271 | ) | — | 121,790 | — | 121,790 | ||||||||||||||||||
Precious Metals Fund | 755,512 | (740,254 | ) | 15,258 | 740,254 | * | — | 740,254 | |||||||||||||||||
Real Estate Fund | 71,445 | (71,445 | ) | — | 74,062 | — | 74,062 | ||||||||||||||||||
Retailing Fund | 119,078 | (119,078 | ) | — | 122,413 | — | 122,413 | ||||||||||||||||||
Technology Fund | 207,829 | (207,829 | ) | — | 210,430 | — | 210,430 | ||||||||||||||||||
Transportation Fund | 40,015 | (40,015 | ) | — | 41,563 | — | 41,563 |
(a) | Actual collateral received by the Fund is generally greater than the amount shown due to overcollateralization. |
* | Subsequent to June 30, 2020, 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 expired on June 8, 2020. On March 30, 2020, the Board approved increasing the line of credit from $75,000,000 to $150,000,000. On June 8, 2020, the line of credit agreement was renewed at the increased $150,000,000 amount and expires on June 7, 2021. 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 1.84% for the period ended June 30, 2020. On June 30, 2020, the Basic Materials Fund borrowed $169,000 under this agreement. The remaining Funds did not have any borrowings outstanding under this agreement at June 30, 2020.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 125 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The average daily balances borrowed for the period ended June 30, 2020, were as follows:
Fund | Average Daily Balance | |||
Banking Fund | $ | 21,740 | ||
Basic Materials Fund | 25 | |||
Biotechnology Fund | 811 | |||
Consumer Products Fund | 2,710 | |||
Electronics Fund | 9,268 | |||
Energy Fund | 2,385 | |||
Energy Services Fund | 17,189 | |||
Financial Services Fund | 186 | |||
Health Care Fund | 230 | |||
Internet Fund | 503 | |||
Leisure Fund | 2,429 | |||
Precious Metals Fund | 820 | |||
Real Estate Fund | 142 | |||
Retailing Fund | 544 | |||
Technology Fund | 2,131 | |||
Telecommunications Fund | 735 | |||
Transportation Fund | 1,101 | |||
Utilities Fund | 776 |
Note 9 – Legal Proceedings
Tribune Company
Rydex Variable Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Variable Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Variable Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Variable Trust has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-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
126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court.
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 intended 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. 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. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. On June 22, 2020, the Court scheduled oral argument to occur on August 24, 2020.
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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 127 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
Note 10 – COVID-19 and Recent Developments
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
Note 11 – Subsequent Events
Share Splits
On May 18, 2020, the Board approved reverse share splits as follows:
Fund | Effective Date | Split Type |
Energy Fund | August 21, 2020 | One-for-Three Reverse Split |
Energy Services Fund | August 21, 2020 | One-for-Ten Reverse Split |
A reverse share split reduces the total number of the Funds’ outstanding shares and does not alter the rights or total value of a shareholder’s investment in the Funds.
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events other than the one disclosed above 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.
Report of the Rydex Variable Trust Contracts Review Committee
Rydex Variable Trust (the “Trust”) was organized as a Delaware statutory trust on June 11, 1998, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
● | Banking Fund* | ● | Basic Materials Fund* |
● | Biotechnology Fund* | ● | Commodities Strategy Fund |
● | Consumer Products Fund* | ● | Dow 2x Strategy Fund |
● | Electronics Fund* | ● | Energy Fund* |
● | Energy Services Fund* | ● | Europe 1.25x Strategy Fund |
● | Financial Services Fund* | ● | Global Managed Futures Strategy Fund** |
● | Government Long Bond 1.2x Strategy Fund | ● | Health Care Fund* |
● | High Yield Strategy Fund | ● | Internet Fund* |
● | Inverse Dow 2x Strategy Fund | ● | Inverse Government Long Bond Strategy Fund |
● | Inverse High Yield Strategy Fund*** | ● | Inverse Mid-Cap Strategy Fund |
● | Inverse NASDAQ-100 2x Strategy Fund*** | ● | Inverse NASDAQ-100 Strategy Fund |
● | Inverse Russell 2000 2x Strategy Fund*** | ● | Inverse Russell 2000 Strategy Fund |
● | Inverse S&P 500 2x Strategy Fund*** | ● | Inverse S&P 500 Strategy Fund |
● | Japan 2x Strategy Fund | ● | Leisure Fund* |
● | Long Short Equity Fund** | ● | Mid-Cap 1.5x Strategy Fund |
● | Multi-Hedge Strategies Fund** | ● | NASDAQ-100 2x Strategy Fund |
● | NASDAQ-100 Fund | ● | Nova Fund |
● | Precious Metals Fund* | ● | Real Estate Fund |
● | Retailing Fund* | ● | Russell 2000 1.5x Strategy Fund |
● | Russell 2000 2x Strategy Fund | ● | Russell 2000 Fund*** |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 129 |
OTHER INFORMATION (Unaudited)(continued) |
● | S&P 500 Fund*** | ● | 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 | ● | Strengthening Dollar 2x Strategy Fund |
● | Technology Fund* | ● | Telecommunications Fund* |
● | Transportation Fund* | ● | Utilities Fund* |
● | U.S. Government Money Market Fund | ● | Weakening Dollar 2x Strategy Fund |
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” |
*** | The Fund has been organized as a series of the Trust but has not commenced operations, and shares of the Fund are not currently offered to investors. Consequently, all references to “the Funds” or similar references hereafter should be understood as excluding such Fund. |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”). (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.1 At meetings held by videoconference and/or telephonically on April 20–21, 2020 (the “April Meeting”) and on May 15 and 18, 2020 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board receives throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a list of Funds for which no peer funds were identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
1 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief was originally limited to the period from March 13, 2020 to June 15, 2020 and was subsequently extended through August 15, 2020. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 18, 2020. |
130 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
OTHER INFORMATION (Unaudited)(continued) |
As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Fund (other than the Alternative Funds) (each, a “Tradable Fund” and collectively, the “Tradable Funds”)2 is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct objective performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, with respect to the Tradable Funds (other than U.S. Government Money Market Fund), in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for other similar funds in the Guggenheim fund complex.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal and regulatory risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, and the leveraged and inverse strategies offered. The Committee noted that the Tradable Funds allow frequent trading and unlimited exchange privileges and noted the magnitude of changes in each Fund’s assets during 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
2 | Note that the Tradable Funds include the Sector Funds and the Real Estate Fund. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 131 |
OTHER INFORMATION (Unaudited)(continued) |
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2019, as applicable, were received. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for other similar funds in the Guggenheim fund complex. The Committee also received certain updated performance information as of March 31, 2020.
With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences.
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining such Funds’ underperformance, as applicable, over the five-year, three-year and/or one-year periods ended December 31, 2019, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to the Commodities Strategy Fund and considered a comparison to a peer group identified in the FUSE report consisting of both actively-managed and index-based commodities funds, noting the limitations in the comparability of such peer group.
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OTHER INFORMATION (Unaudited)(continued) |
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year and three-year periods ended December 31, 2019, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar strategies that do not offer the same product features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining such Funds’ underperformance, as applicable, over the five-year, three-year and one-year periods ended December 31, 2019, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee considered more recent performance periods in circumstances in which enhancements were being made to the portfolio management processes or techniques employed for a Fund. The Committee observed that the Global Managed Futures Strategy Fund’s returns ranked in the first quartile of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Long Short Equity Fund: The Fund’s returns ranked in the 100th percentile of its performance universe for the five-year and three-year periods ended December 31, 2019. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s high positive allocation to value and short on growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee took into account management’s statement that, since 2018, the Fund’s investment team has implemented enhancements to a number of components of the investment model used for the Fund, including revising expected risk models and security selection models, expanding the number of industry models used and adding a macro overlay to better incorporate Guggenheim’s market views. The Committee also took note of improving performance, noting that one-year performance as of March 31, 2020 ranked in the 63rd percentile.
Multi-Hedge Strategies Fund: The Fund’s returns ranked in the 80th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the underperformance of its long short equity sleeve and its overall lower volatility and equity market beta relative to its peers. With respect to the Fund’s long short equity sleeve, the Committee noted management’s statement that the sleeve’s high positive allocation to value and short on growth have detracted from investment performance. The Committee took into account management’s statement that the Fund changed its underlying investment strategies to improve diversification amongst the strategies, target a higher and more stable risk profile and enhance risk-adjusted returns while providing continuity for shareholders. The Committee noted that, as of March 31, 2020, the five-year and three-year performance rankings improved to the 14th and 9th percentiles, respectively, and that one-year performance ranked in the 4th percentile.
After reviewing the foregoing and other related factors, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
(e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that, while Fund flows and profitability are evaluated, primary consideration is given to market competitiveness, support requirements and shareholder return and expense expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by the Adviser to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted that Guggenheim generally does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than retail fund counterparts to certain Funds, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that each Fund’s contractual advisory fee was equal to or lower than the contractual advisory fee charged to the peer fund. The Committee also considered each such Fund’s net effective management fee and total net expense ratio as compared to the peer fund.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, although the Fund’s total net expense ratio is higher than that of the comparable peer fund, the Fund’s contractual advisory fee and net effective management fee are lower than those of the peer fund and the Fund’s total net expense ratio is similar to that of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving its fees to the extent necessary to maintain the Fund’s stable net asset value.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar investment strategies, but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), the Committee made the following observations:
Global Managed Futures Strategy Fund: The Fund’s contractual advisory fee ranks in the second quartile (50th percentile) of its peer group. The Fund’s net effective management fee ranks in the first quartile (1st percentile) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (100th percentile) of its peer group. The Committee considered that the peer group is limited in size and is comprised of only three funds. The Committee noted the Adviser’s statement that the Fund’s total net expense ratio ranks more competitively when compared to the broader universe of funds.
Long Short Equity Fund: The Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank in the fourth quartile (80th, 80th and 100th percentiles, respectively) of its peer group. The Committee considered that the peer group is limited in size and is comprised of only six funds. The Committee noted that the Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank more competitively when compared to the broader universe of funds.
Multi-Hedge Strategies Fund: The Fund’s contractual advisory fee ranks in the fourth quartile (86th percentile) of its peer group. The Fund’s net effective management fee ranks in the third quartile (71st percentile) of its peer group. The Committee considered that the Fund’s total net expense ratio ranks in the third quartile (57th percentile) of its peer group. The Committee considered that the peer group is limited in size and is comprised of only eight funds. The Committee noted that the Fund’s contractual advisory fee ranks more competitively when compared to the broader universe of funds.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2019, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense
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OTHER INFORMATION (Unaudited)(concluded) |
waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2018. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented, and concluded that the profits were not unreasonable.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee noted the Adviser’s statements, including that Guggenheim believes it is appropriately sharing potential economies of scale and that costs continue to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things, and that, in this regard, management’s costs for providing services have increased in recent years without regard to asset levels.
With respect to the Tradable Funds, the Committee noted that the applicable breakpoint level for the Funds is applied at the product-suite level, rather than on a Fund level, as the Funds are designed for tactical advisors and provide unlimited trading privileges, with individual Fund assets fluctuating significantly throughout the year.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, among other things considered, the Committee determined that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee determined that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019 | Current: Private Investor (2001-present). | 157 | Current: Purpose Investments Funds (2013-present). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). | 156 | Current: Hunt Companies, Inc. (2019-present). |
Donald A. Chubb, Jr. (1946) | Trustee | Since 2019 | Current: Retired | 156 | Former: Midland Care, Inc. (2011-2016). |
Jerry B. Farley (1946) | Trustee | Since 2019 | Current: President, Washburn University (1997-present). | 156 | Current: CoreFirst Bank & Trust (2000-present). |
Roman Friedrich III (1946) | Trustee | Since 2019 | Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). | 156 | Former: Zincore Metals, Inc. (2009-2019). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Partner, Momkus LLC (2016-present). | 157 | Current: PPM Funds (9) (2018 - present); Edward-Elmhurst Healthcare System (2012-present). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016 (Trustee) | Current: Retired. | 156 | Current: 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). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEE |
|
|
|
| |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). | 156 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | 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). |
Margaux Misantone (1978) | AML Officer | Since 2017 | 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). |
William Rehder (1967) | Assistant Vice President | Since 2018 | Current: Managing Director, Guggenheim Investments (2002-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | 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). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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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
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GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(concluded) |
electronic transmissions can be completely secure. Our web site uses “http cookies”—tiny pieces of information that we ask your browser to store. We use cookies for session management and security features on the Guggenheim Investments web site. We do not use them to pull data from your hard drive, to learn your e-mail address, or to view data in cookies created by other web sites. We will not share the information in our cookies or give others access to it. See the legal information area on our web site for more details about web site security and privacy features.
How We Safeguard Your Personal Information and Data Retention
We restrict access to nonpublic personal information about you to our employees and in some cases to third parties (for example, the service providers described above) as permitted by law. We maintain strict physical, electronic and procedural safeguards that comply with federal standards to guard your nonpublic personal information.
We keep your information for no longer than necessary for the purposes for which it is processed. The length of time for which we retain information depends on the purposes for which we collected and use it and/or as required to comply with applicable laws. Information may persist in copies made for backup and business continuity purposes for additional time.
International Visitors
If you are not a resident of the United States, please be aware that your information may be transferred to, stored and processed in the United States where our servers are located and our databases are operated. The data protection and other laws of the United States and other countries might not be as comprehensive as those in your country.
In such cases, we ensure that a legal basis for such a transfer exists and that adequate protection is provided as required by applicable law, for example, by using standard contractual clauses or by transferring your data to a jurisdiction that has obtained an adequacy finding. Individuals whose data may be transferred on the basis of standard contractual clauses may contact us as described below.
We’ll Keep You Informed
If you have any questions or concerns about how we treat your personal data, we encourage you to consult with us first. You may also contact the relevant supervisory authority.
We reserve the right to modify this policy at any time and will inform you promptly of material changes. You may access our privacy policy from our web site at www.guggenheiminvestments.com. Should you have any questions regarding our privacy policy, contact us by email at CorporateDataPrivacy@GuggenheimPartners.com.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 143 |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Variable Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from December 1, 2018, through March 31, 2020. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
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6.30.2020
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-0620x1220 |
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 | 21 |
NASDAQ-100® FUND | 28 |
INVERSE NASDAQ-100® STRATEGY FUND | 36 |
S&P 500® 2x STRATEGY FUND | 42 |
NASDAQ-100® 2x STRATEGY FUND | 53 |
MID-CAP 1.5x STRATEGY FUND | 61 |
INVERSE MID-CAP STRATEGY FUND | 72 |
RUSSELL 2000® 2x STRATEGY FUND | 78 |
RUSSELL 2000® 1.5x STRATEGY FUND | 85 |
INVERSE RUSSELL 2000® STRATEGY FUND | 92 |
DOW 2x STRATEGY FUND | 98 |
INVERSE DOW 2x STRATEGY FUND | 105 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND | 112 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND | 118 |
HIGH YIELD STRATEGY FUND | 125 |
U.S. GOVERNMENT MONEY MARKET FUND | 132 |
NOTES TO FINANCIAL STATEMENTS | 138 |
OTHER INFORMATION | 157 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 164 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 170 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 173 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
| June 30, 2020 |
Dear Shareholder:
Security Investors, LLC (the “Investment Adviser”) is pleased to present the semi-annual shareholder report for a selection of our Funds (the “Fund” or “Funds”) that are part of the Rydex Variable Trust. This report covers performance of the Funds for the semi-annual period ended June 30, 2020.
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, 2020
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 the Rydex NASDAQ-100® Fund involves certain risks, which may include increased volatility due to the use of futures and the possibility that companies in which the Fund invests may not be commercially successful or may become obsolete more quickly. ● There are no assurances that any Rydex Fund will achieve its objective and/or strategy. This Fund is subject to active trading and tracking error risks, which may increase volatility, impact the Fund’s ability to achieve its investment objective and may decrease the Fund’s performance. ● This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus.
The Government Long Bond 1.2x Strategy and Inverse Government Long Bond Strategy funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, and (c) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● The Funds’ use of derivatives, such as futures, options and swap agreements, may expose the Funds’ shareholders to additional risks that they would
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| June 30, 2020 |
not be subject to if they invested directly in the securities underlying those derivatives. ● Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the Funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those Funds that use leverage as part of their investment strategy, may prevent a fund from correlating with the monthly, quarterly, annual or other period performance of its benchmark. Due to the compounding of daily returns, leveraged Funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. For those Funds that consistently apply leverage, the value of the fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged Funds’ holdings consistent with their strategies, as frequently as daily. ● In general, bond prices rise when interest rates fall, and vice versa. Moreover, while securities with longer maturities tend to produce higher yields, the price of longer maturity securities is also subject to greater fluctuations as a result of changes in interest rates. ● It is important to note that the Funds are not guaranteed by the U.S. government. ● There are no assurances that any Guggenheim fund will achieve its objective and/or strategy. These Funds are subject to active trading and tracking error risks, which may increase volatility, impact the Fund’s ability to achieve its investment objective, and may decrease the Fund’s performance. ● For more on these and other risks, please read the prospectus.
The High Yield Strategy Fund may not be suitable for all investors. ● The Fund’s use of derivatives such as futures, options, and swap agreements will expose the Fund to additional risks that it would not be subject to if it invested directly in the securities underlying those derivatives. ● A highly liquid secondary market may not exist for the credit default swaps the Fund invests in, and there can be no assurance that a highly liquid secondary market will develop. ● The Fund’s market value will change in response to interest rate changes and market conditions among other factors. ● You may have a gain or loss when you sell your shares. ● In general, bond prices rise when interest rates fall, and vice versa. ● The Fund’s exposure to the high yield bond market may subject the Fund to greater volatility because (i) it will be affected by the ability of high yield security issuers’ ability to make principal and interest payments and (ii) the prices of derivatives linked to high yield bonds may fluctuate unpredictably and not necessarily in relation to interest rates. ● It is important to note that the Fund is not guaranteed by the U.S. government. ● The Fund is subject to active trading risks that may increase volatility and impact its ability to achieve its investment objective. ● For more on these and other risks, please read the prospectus.
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. ● For more on these and other risks, please read the prospectus.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
ECONOMIC AND MARKET OVERVIEW (Unaudited) | June 30, 2020 |
The six-month period ended June 30, 2020, was an unprecedented time for markets. It was marked by extreme volatility, resulting from the COVID-19 pandemic, tempered by a swift and aggressive monetary policy response by the U.S. Federal Reserve (the “Fed”) and sweeping fiscal support that cushioned downside risk for the economy and especially for markets.
The mere announcement of the Fed’s Primary and Secondary Market Corporate Credit Facilities on March 23, 2020 and June 15, 2020, respectively, caused credit spreads, which had blown out dramatically, to stabilize and then tighten as the market interpreted the move as a backstop against defaults, with most credits trading in their 80th percentile since. With credit markets shored up, equity markets have regained almost all of their lost ground. The Standard & Poor’s 500® (“S&P 500®”) index, which began the year at 3,230, peaked at 3,386 on February 19, 2020 before plummeting to 2,237 on March 23, 2020, the day of the Fed’s first announced facility. By June 30, 2020, the index had recovered to 3,100. The total return for the six-months ended June 30, 2020 was -3.08%.
The U.S. budget deficit is approaching 25% of Gross Domestic Product (“GDP”), the highest since World War II, and the Fed has promised to use all available tools, including powerful new emergency credit market facilities, to support the recovery. But even this policy response cannot force consumers to spend, or businesses to invest, amid staggering uncertainty. Moreover, future rounds of fiscal stimulus may be needed to avoid a series of fiscal cliffs as temporary measures expire. Future stimulus could also be more politically contentious, especially with the November election approaching, social unrest increasing and markets cheering sequential improvement in the economic data. And as the events of the global financial crisis and the ensuing European debt crisis illustrated, the persistence of macro stress means the risk of a systemic credit event is elevated. As fragility builds, we are watching developments in emerging markets particularly closely as a potential catalyst for a broader, systemic shock.
Meanwhile, joblessness has surged, with the fall in U.S. employment in April 2020 alone representing a 40 standard deviation shock, erasing jobs gained during the preceding 21 years. Rehiring activity turned the labor market tide in May and June 2020, but as personal, small business and corporate bankruptcies mount, permanent damage is being done to the productive capacity of the economy, which may stunt a recovery.
Overshadowing everything is the COVID-19 pandemic, which caused a steeper plunge in U.S. output and employment in two months (in both cases roughly 16% un-annualized) than during the first two years of the Great Depression. Real GDP leads core inflation by about 18 months, suggesting that inflation may also fall sharply in coming quarters. Reopening measures have supported a strong uptick in economic activity since April, but we do not expect a genuine recovery will be possible until a vaccine has been developed, tested, approved, produced and administered across the globe. In the meantime, keeping the infection rate in check will require social distancing measures that stymie economic activity. Indeed, the premature easing of lockdowns and a lax adherence to social distancing guidelines are resulting in a resurgence of new infections in the United States, reflecting the combination of millions of cases and limited testing and tracing capabilities. Recent trends do not bode well for the fall, when the start of the school year could boost social interactions and the return of flu season might strain healthcare capacity.
For the six months ended June 30, 2020, the S&P 500® Index* returned -3.08%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -11.34%. The return of the MSCI Emerging Markets Index* was -9.78%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 6.14% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned -3.80%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.60% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2020 |
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.
Dow Jones Industrial Average® (“DJIA”) 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, 2019 and ending June 30, 2020.
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 | 1.69% | (10.12%) | $ 1,000.00 | $ 898.80 | $ 7.98 |
Inverse S&P 500® Strategy Fund | 1.84% | (7.20%) | 1,000.00 | 928.00 | 8.82 |
NASDAQ-100® Fund | 1.73% | 14.39% | 1,000.00 | 1,143.90 | 9.22 |
Inverse NASDAQ-100® Strategy Fund | 1.87% | (22.91%) | 1,000.00 | 770.90 | 8.23 |
S&P 500® 2x Strategy Fund | 1.83% | (18.77%) | 1,000.00 | 812.30 | 8.25 |
NASDAQ-100® 2x Strategy Fund | 1.87% | 19.95% | 1,000.00 | 1,199.50 | 10.23 |
Mid-Cap 1.5x Strategy Fund | 1.82% | (24.48%) | 1,000.00 | 755.20 | 7.94 |
Inverse Mid-Cap Strategy Fund | 1.84% | (0.05%) | 1,000.00 | 999.50 | 9.15 |
Russell 2000® 2x Strategy Fund | 1.86% | (36.42%) | 1,000.00 | 635.80 | 7.56 |
Russell 2000® 1.5x Strategy Fund | 1.85% | (24.89%) | 1,000.00 | 751.10 | 8.05 |
Inverse Russell 2000® Strategy Fund | 1.88% | (1.75%) | 1,000.00 | 982.50 | 9.27 |
Dow 2x Strategy Fund | 1.85% | (27.77%) | 1,000.00 | 722.30 | 7.92 |
Inverse Dow 2x Strategy Fund | 1.87% | (18.74%) | 1,000.00 | 812.60 | 8.43 |
Government Long Bond 1.2x Strategy Fund | 1.41% | 29.14% | 1,000.00 | 1,291.40 | 8.03 |
Inverse Government Long Bond Strategy Fund | 3.00% | (23.74%) | 1,000.00 | 762.60 | 13.15 |
High Yield Strategy Fund | 1.67% | (9.43%) | 1,000.00 | 905.70 | 7.91 |
U.S. Government Money Market Fund | 0.67% | 0.06% | 1,000.00 | 1,000.60 | 3.33 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
Nova Fund | 1.69% | 5.00% | $ 1,000.00 | $ 1,016.46 | $ 8.47 |
Inverse S&P 500® Strategy Fund | 1.84% | 5.00% | 1,000.00 | 1,015.71 | 9.22 |
NASDAQ-100® Fund | 1.73% | 5.00% | 1,000.00 | 1,016.26 | 8.67 |
Inverse NASDAQ-100® Strategy Fund | 1.87% | 5.00% | 1,000.00 | 1,015.56 | 9.37 |
S&P 500® 2x Strategy Fund | 1.83% | 5.00% | 1,000.00 | 1,015.76 | 9.17 |
NASDAQ-100® 2x Strategy Fund | 1.87% | 5.00% | 1,000.00 | 1,015.56 | 9.37 |
Mid-Cap 1.5x Strategy Fund | 1.82% | 5.00% | 1,000.00 | 1,015.81 | 9.12 |
Inverse Mid-Cap Strategy Fund | 1.84% | 5.00% | 1,000.00 | 1,015.71 | 9.22 |
Russell 2000® 2x Strategy Fund | 1.86% | 5.00% | 1,000.00 | 1,015.61 | 9.32 |
Russell 2000® 1.5x Strategy Fund | 1.85% | 5.00% | 1,000.00 | 1,015.66 | 9.27 |
Inverse Russell 2000® Strategy Fund | 1.88% | 5.00% | 1,000.00 | 1,015.51 | 9.42 |
Dow 2x Strategy Fund | 1.85% | 5.00% | 1,000.00 | 1,015.66 | 9.27 |
Inverse Dow 2x Strategy Fund | 1.87% | 5.00% | 1,000.00 | 1,015.56 | 9.37 |
Government Long Bond 1.2x Strategy Fund | 1.41% | 5.00% | 1,000.00 | 1,017.85 | 7.07 |
Inverse Government Long Bond Strategy Fund | 3.00% | 5.00% | 1,000.00 | 1,009.95 | 14.99 |
High Yield Strategy Fund | 1.67% | 5.00% | 1,000.00 | 1,016.56 | 8.37 |
U.S. Government Money Market Fund | 0.67% | 5.00% | 1,000.00 | 1,021.53 | 3.37 |
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 1.84%. 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 182/366 (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, 2019 to June 30, 2020. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 | 21.9% |
Guggenheim Strategy Fund II | 15.6% |
Microsoft Corp. | 2.2% |
Apple, Inc. | 2.2% |
Amazon.com, Inc. | 1.7% |
Facebook, Inc. — Class A | 0.8% |
Alphabet, Inc. — Class A | 0.6% |
Alphabet, Inc. — Class C | 0.6% |
Johnson & Johnson | 0.6% |
Berkshire Hathaway, Inc. — Class B | 0.5% |
Top Ten Total | 46.7% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Nova Fund | (10.12%) | 3.04% | 11.95% | 17.69% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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, 2020 |
NOVA FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 37.2% | ||||||||
Technology - 8.5% | ||||||||
Microsoft Corp. | 3,021 | $ | 614,804 | |||||
Apple, Inc. | 1,622 | 591,706 | ||||||
Intel Corp. | 1,686 | 100,873 | ||||||
NVIDIA Corp. | 245 | 93,078 | ||||||
Adobe, Inc.* | 192 | 83,579 | ||||||
salesforce.com, Inc.* | 359 | 67,251 | ||||||
Accenture plc — Class A | 254 | 54,539 | ||||||
Broadcom, Inc. | 159 | 50,182 | ||||||
Texas Instruments, Inc. | 365 | 46,344 | ||||||
Oracle Corp. | 829 | 45,819 | ||||||
International Business Machines Corp. | 354 | 42,753 | ||||||
QUALCOMM, Inc. | 448 | 40,862 | ||||||
Fidelity National Information Services, Inc. | 246 | 32,986 | ||||||
Intuit, Inc. | 104 | 30,804 | ||||||
ServiceNow, Inc.* | 76 | 30,785 | ||||||
Advanced Micro Devices, Inc.* | 466 | 24,516 | ||||||
Activision Blizzard, Inc. | 307 | 23,301 | ||||||
Micron Technology, Inc.* | 443 | 22,823 | ||||||
Applied Materials, Inc. | 365 | 22,064 | ||||||
Fiserv, Inc.* | 224 | 21,867 | ||||||
Autodesk, Inc.* | 87 | 20,809 | ||||||
Lam Research Corp. | 58 | 18,761 | ||||||
Analog Devices, Inc. | 147 | 18,028 | ||||||
Electronic Arts, Inc.* | 115 | 15,186 | ||||||
Cognizant Technology Solutions Corp. — Class A | 215 | 12,216 | ||||||
KLA Corp. | 62 | 12,058 | ||||||
Synopsys, Inc.* | 60 | 11,700 | ||||||
MSCI, Inc. — Class A | 34 | 11,350 | ||||||
Cadence Design Systems, Inc.* | 111 | 10,652 | ||||||
Microchip Technology, Inc. | 98 | 10,320 | ||||||
ANSYS, Inc.* | 34 | 9,919 | ||||||
HP, Inc. | 569 | 9,918 | ||||||
Paychex, Inc. | 127 | 9,620 | ||||||
Xilinx, Inc. | 97 | 9,544 | ||||||
Skyworks Solutions, Inc. | 66 | 8,439 | ||||||
Cerner Corp. | 121 | 8,294 | ||||||
Fortinet, Inc.* | 53 | 7,275 | ||||||
Akamai Technologies, Inc.* | 65 | 6,961 | ||||||
Citrix Systems, Inc. | 46 | 6,804 | ||||||
Maxim Integrated Products, Inc. | 106 | 6,425 | ||||||
Take-Two Interactive Software, Inc.* | 45 | 6,281 | ||||||
Paycom Software, Inc.* | 19 | 5,885 | ||||||
Broadridge Financial Solutions, Inc. | 46 | 5,805 | ||||||
Jack Henry & Associates, Inc. | 31 | 5,705 | ||||||
Tyler Technologies, Inc.* | 16 | 5,550 | ||||||
Zebra Technologies Corp. — Class A* | 21 | 5,375 | ||||||
Western Digital Corp. | 119 | 5,254 | ||||||
Qorvo, Inc.* | 46 | 5,084 | ||||||
Hewlett Packard Enterprise Co. | 512 | 4,982 | ||||||
Leidos Holdings, Inc. | 53 | 4,964 | ||||||
Seagate Technology plc | 90 | 4,357 | ||||||
NetApp, Inc. | 88 | 3,904 | ||||||
IPG Photonics Corp.* | 14 | 2,246 | ||||||
DXC Technology Co. | 101 | 1,666 | ||||||
Xerox Holdings Corp. | 73 | 1,116 | ||||||
Total Technology | 2,333,389 | |||||||
Consumer, Non-cyclical - 8.4% | ||||||||
Johnson & Johnson | 1,049 | 147,521 | ||||||
Procter & Gamble Co. | 986 | 117,896 | ||||||
UnitedHealth Group, Inc. | 378 | 111,491 | ||||||
PayPal Holdings, Inc.* | 468 | 81,540 | ||||||
Merck & Company, Inc. | 1,005 | 77,717 | ||||||
PepsiCo, Inc. | 553 | 73,140 | ||||||
Pfizer, Inc. | 2,212 | 72,332 | ||||||
AbbVie, Inc. | 702 | 68,922 | ||||||
Coca-Cola Co. | 1,539 | 68,762 | ||||||
Abbott Laboratories | 704 | 64,367 | ||||||
Thermo Fisher Scientific, Inc. | 157 | 56,887 | ||||||
Amgen, Inc. | 234 | 55,191 | ||||||
Eli Lilly & Co. | 335 | 55,000 | ||||||
Bristol-Myers Squibb Co. | 901 | 52,979 | ||||||
Medtronic plc | 534 | 48,968 | ||||||
Danaher Corp. | 251 | 44,384 | ||||||
Philip Morris International, Inc. | 620 | 43,437 | ||||||
Gilead Sciences, Inc. | 499 | 38,393 | ||||||
CVS Health Corp. | 520 | 33,784 | ||||||
S&P Global, Inc. | 96 | 31,630 | ||||||
Vertex Pharmaceuticals, Inc.* | 103 | 29,902 | ||||||
Altria Group, Inc. | 740 | 29,045 | ||||||
Mondelez International, Inc. — Class A | 568 | 29,042 | ||||||
Becton Dickinson and Co. | 117 | 27,995 | ||||||
Cigna Corp. | 147 | 27,585 | ||||||
Anthem, Inc. | 100 | 26,298 | ||||||
Intuitive Surgical, Inc.* | 46 | 26,212 | ||||||
Zoetis, Inc. | 189 | 25,901 | ||||||
Automatic Data Processing, Inc. | 171 | 25,460 | ||||||
Colgate-Palmolive Co. | 341 | 24,982 | ||||||
Regeneron Pharmaceuticals, Inc.* | 40 | 24,946 | ||||||
Stryker Corp. | 128 | 23,064 | ||||||
Illumina, Inc.* | 59 | 21,851 | ||||||
Humana, Inc. | 53 | 20,551 | ||||||
Global Payments, Inc. | 119 | 20,185 | ||||||
Boston Scientific Corp.* | 569 | 19,978 | ||||||
Kimberly-Clark Corp. | 136 | 19,224 | ||||||
Moody’s Corp. | 64 | 17,583 | ||||||
Baxter International, Inc. | 203 | 17,478 | ||||||
Biogen, Inc.* | 65 | 17,391 | ||||||
Edwards Lifesciences Corp.* | 247 | 17,070 | ||||||
Estee Lauder Companies, Inc. — Class A | 90 | 16,981 | ||||||
DexCom, Inc.* | 37 | 15,000 | ||||||
General Mills, Inc. | 241 | 14,858 | ||||||
Centene Corp.* | 231 | 14,680 | ||||||
IHS Markit Ltd. | 159 | 12,004 | ||||||
Constellation Brands, Inc. — Class A | 67 | 11,722 | ||||||
IDEXX Laboratories, Inc.* | 34 | 11,225 | ||||||
ResMed, Inc. | 58 | 11,136 | ||||||
Verisk Analytics, Inc. — Class A | 65 | 11,063 | ||||||
Sysco Corp. | 202 | 11,041 | ||||||
Clorox Co. | 50 | 10,969 |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
NOVA FUND |
| Shares | Value | ||||||
Kroger Co. | 313 | $ | 10,595 | |||||
Monster Beverage Corp.* | 149 | 10,329 | ||||||
HCA Healthcare, Inc. | 105 | 10,191 | ||||||
IQVIA Holdings, Inc.* | 71 | 10,073 | ||||||
Alexion Pharmaceuticals, Inc.* | 88 | 9,877 | ||||||
McKesson Corp. | 64 | 9,819 | ||||||
Zimmer Biomet Holdings, Inc. | 82 | 9,788 | ||||||
Cintas Corp. | 34 | 9,056 | ||||||
Archer-Daniels-Midland Co. | 221 | 8,818 | ||||||
McCormick & Company, Inc. | 49 | 8,791 | ||||||
FleetCor Technologies, Inc.* | 33 | 8,300 | ||||||
Equifax, Inc. | 48 | 8,250 | ||||||
Corteva, Inc. | 298 | 7,983 | ||||||
Align Technology, Inc.* | 29 | 7,959 | ||||||
Kraft Heinz Co. | 248 | 7,909 | ||||||
Hershey Co. | 59 | 7,648 | ||||||
Church & Dwight Company, Inc. | 98 | 7,575 | ||||||
MarketAxess Holdings, Inc. | 15 | 7,514 | ||||||
Incyte Corp.* | 72 | 7,486 | ||||||
Tyson Foods, Inc. — Class A | 117 | 6,986 | ||||||
Conagra Brands, Inc. | 194 | 6,823 | ||||||
Kellogg Co. | 100 | 6,606 | ||||||
West Pharmaceutical Services, Inc. | 29 | 6,588 | ||||||
Teleflex, Inc. | 18 | 6,552 | ||||||
Laboratory Corporation of America Holdings* | 39 | 6,478 | ||||||
Cardinal Health, Inc. | 116 | 6,054 | ||||||
Quest Diagnostics, Inc. | 53 | 6,040 | ||||||
AmerisourceBergen Corp. — Class A | 59 | 5,945 | ||||||
Hologic, Inc.* | 103 | 5,871 | ||||||
Cooper Companies, Inc. | 20 | 5,673 | ||||||
Hormel Foods Corp. | 112 | 5,406 | ||||||
STERIS plc | 34 | 5,217 | ||||||
JM Smucker Co. | 45 | 4,761 | ||||||
Brown-Forman Corp. — Class B | 73 | 4,647 | ||||||
Varian Medical Systems, Inc.* | 36 | 4,411 | ||||||
Gartner, Inc.* | 36 | 4,368 | ||||||
ABIOMED, Inc.* | 18 | 4,348 | ||||||
United Rentals, Inc.* | 29 | 4,322 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 9 | 4,063 | ||||||
Dentsply Sirona, Inc. | 87 | 3,833 | ||||||
Avery Dennison Corp. | 33 | 3,765 | ||||||
Lamb Weston Holdings, Inc. | 58 | 3,708 | ||||||
Henry Schein, Inc.* | 57 | 3,328 | ||||||
Campbell Soup Co. | 67 | 3,325 | ||||||
Mylan N.V.* | 206 | 3,312 | ||||||
Perrigo Company plc | 54 | 2,985 | ||||||
Universal Health Services, Inc. — Class B | 31 | 2,880 | ||||||
DaVita, Inc.* | 34 | 2,691 | ||||||
Molson Coors Beverage Co. — Class B | 75 | 2,577 | ||||||
Robert Half International, Inc. | 46 | 2,430 | ||||||
Rollins, Inc. | 56 | 2,374 | ||||||
Quanta Services, Inc. | 55 | 2,158 | ||||||
Nielsen Holdings plc | 142 | 2,110 | ||||||
H&R Block, Inc. | 77 | 1,100 | ||||||
Coty, Inc. — Class A | 119 | 532 | ||||||
Total Consumer, Non-cyclical | 2,298,991 | |||||||
Communications - 6.1% | ||||||||
Amazon.com, Inc.* | 167 | 460,723 | ||||||
Facebook, Inc. — Class A* | 958 | 217,533 | ||||||
Alphabet, Inc. — Class A* | 119 | 168,748 | ||||||
Alphabet, Inc. — Class C* | 116 | 163,979 | ||||||
Verizon Communications, Inc. | 1,648 | 90,854 | ||||||
AT&T, Inc. | 2,838 | 85,793 | ||||||
Walt Disney Co. | 719 | 80,176 | ||||||
Netflix, Inc.* | 175 | 79,632 | ||||||
Cisco Systems, Inc. | 1,689 | 78,775 | ||||||
Comcast Corp. — Class A | 1,814 | 70,710 | ||||||
Charter Communications, Inc. — Class A* | 60 | 30,602 | ||||||
Booking Holdings, Inc.* | 16 | 25,477 | ||||||
T-Mobile US, Inc.* | 227 | 23,642 | ||||||
eBay, Inc. | 263 | 13,794 | ||||||
Motorola Solutions, Inc. | 68 | 9,529 | ||||||
Twitter, Inc.* | 312 | 9,295 | ||||||
VeriSign, Inc.* | 40 | 8,273 | ||||||
Corning, Inc. | 302 | 7,822 | ||||||
CDW Corp. | 57 | 6,622 | ||||||
ViacomCBS, Inc. — Class B | 215 | 5,014 | ||||||
Omnicom Group, Inc. | 85 | 4,641 | ||||||
Expedia Group, Inc. | 54 | 4,439 | ||||||
Arista Networks, Inc.* | 21 | 4,411 | ||||||
E*TRADE Financial Corp. | 88 | 4,376 | ||||||
NortonLifeLock, Inc. | 216 | 4,283 | ||||||
CenturyLink, Inc. | 393 | 3,942 | ||||||
Fox Corp. — Class A | 136 | 3,647 | ||||||
DISH Network Corp. — Class A* | 102 | 3,520 | ||||||
F5 Networks, Inc.* | 24 | 3,348 | ||||||
Juniper Networks, Inc. | 132 | 3,017 | ||||||
Interpublic Group of Companies, Inc. | 155 | 2,660 | ||||||
Discovery, Inc. — Class C* | 126 | 2,427 | ||||||
News Corp. — Class A | 155 | 1,838 | ||||||
Fox Corp. — Class B | 63 | 1,691 | ||||||
Discovery, Inc. — Class A*,1 | 64 | 1,350 | ||||||
News Corp. — Class B | 48 | 574 | ||||||
Total Communications | 1,687,157 | |||||||
Financial - 5.4% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 774 | 138,167 | ||||||
Visa, Inc. — Class A | 672 | 129,810 | ||||||
JPMorgan Chase & Co. | 1,213 | 114,095 | ||||||
Mastercard, Inc. — Class A | 352 | 104,086 | ||||||
Bank of America Corp. | 3,110 | 73,863 | ||||||
American Tower Corp. — Class A REIT | 177 | 45,762 | ||||||
Citigroup, Inc. | 829 | 42,362 | ||||||
Wells Fargo & Co. | 1,486 | 38,042 | ||||||
BlackRock, Inc. — Class A | 61 | 33,189 | ||||||
Crown Castle International Corp. REIT | 166 | 27,780 | ||||||
Prologis, Inc. REIT | 294 | 27,439 | ||||||
American Express Co. | 263 | 25,038 | ||||||
Equinix, Inc. REIT | 35 | 24,581 | ||||||
Goldman Sachs Group, Inc. | 123 | 24,307 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
NOVA FUND |
| Shares | Value | ||||||
CME Group, Inc. — Class A | 143 | $ | 23,243 | |||||
Morgan Stanley | 477 | 23,039 | ||||||
Chubb Ltd. | 180 | 22,792 | ||||||
Marsh & McLennan Companies, Inc. | 203 | 21,796 | ||||||
Truist Financial Corp. | 537 | 20,164 | ||||||
U.S. Bancorp | 546 | 20,104 | ||||||
Intercontinental Exchange, Inc. | 218 | 19,969 | ||||||
Progressive Corp. | 233 | 18,666 | ||||||
PNC Financial Services Group, Inc. | 169 | 17,780 | ||||||
Aon plc — Class A | 92 | 17,719 | ||||||
Charles Schwab Corp. | 456 | 15,385 | ||||||
Digital Realty Trust, Inc. REIT | 107 | 15,206 | ||||||
SBA Communications Corp. REIT | 44 | 13,108 | ||||||
Bank of New York Mellon Corp. | 321 | 12,407 | ||||||
Allstate Corp. | 125 | 12,124 | ||||||
Travelers Companies, Inc. | 101 | 11,519 | ||||||
Public Storage REIT | 60 | 11,513 | ||||||
Capital One Financial Corp. | 181 | 11,329 | ||||||
T. Rowe Price Group, Inc. | 91 | 11,239 | ||||||
MetLife, Inc. | 307 | 11,212 | ||||||
American International Group, Inc. | 343 | 10,695 | ||||||
Aflac, Inc. | 286 | 10,304 | ||||||
Willis Towers Watson plc | 51 | 10,044 | ||||||
Prudential Financial, Inc. | 157 | 9,561 | ||||||
State Street Corp. | 140 | 8,897 | ||||||
AvalonBay Communities, Inc. REIT | 56 | 8,660 | ||||||
Welltower, Inc. REIT | 166 | 8,590 | ||||||
Simon Property Group, Inc. REIT | 122 | 8,342 | ||||||
Equity Residential REIT | 139 | 8,176 | ||||||
Realty Income Corp. REIT | 137 | 8,151 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 50 | 8,113 | ||||||
Arthur J Gallagher & Co. | 76 | 7,409 | ||||||
Ameriprise Financial, Inc. | 49 | 7,352 | ||||||
First Republic Bank | 68 | 7,207 | ||||||
Weyerhaeuser Co. REIT | 297 | 6,671 | ||||||
Northern Trust Corp. | 83 | 6,585 | ||||||
Discover Financial Services | 122 | 6,111 | ||||||
CBRE Group, Inc. — Class A* | 133 | 6,014 | ||||||
Essex Property Trust, Inc. REIT | 26 | 5,958 | ||||||
Healthpeak Properties, Inc. REIT | 214 | 5,898 | ||||||
Hartford Financial Services Group, Inc. | 143 | 5,513 | ||||||
Nasdaq, Inc. | 46 | 5,496 | ||||||
Ventas, Inc. REIT | 149 | 5,456 | ||||||
Fifth Third Bancorp | 283 | 5,456 | ||||||
M&T Bank Corp. | 51 | 5,302 | ||||||
Mid-America Apartment Communities, Inc. REIT | 46 | 5,275 | ||||||
Boston Properties, Inc. REIT | 58 | 5,242 | ||||||
Duke Realty Corp. REIT | 147 | 5,202 | ||||||
Synchrony Financial | 214 | 4,742 | ||||||
KeyCorp | 388 | 4,726 | ||||||
Extra Space Storage, Inc. REIT | 51 | 4,711 | ||||||
SVB Financial Group* | 21 | 4,526 | ||||||
UDR, Inc. REIT | 117 | 4,373 | ||||||
Citizens Financial Group, Inc. | 170 | 4,291 | ||||||
Regions Financial Corp. | 381 | 4,237 | ||||||
Principal Financial Group, Inc. | 101 | 4,195 | ||||||
Cboe Global Markets, Inc. | 44 | 4,104 | ||||||
Cincinnati Financial Corp. | 60 | 3,842 | ||||||
Huntington Bancshares, Inc. | 404 | 3,650 | ||||||
Western Union Co. | 164 | 3,546 | ||||||
Raymond James Financial, Inc. | 49 | 3,373 | ||||||
Everest Re Group Ltd. | 16 | 3,299 | ||||||
Loews Corp. | 96 | 3,292 | ||||||
W R Berkley Corp. | 56 | 3,208 | ||||||
Regency Centers Corp. REIT | 68 | 3,121 | ||||||
Host Hotels & Resorts, Inc. REIT | 281 | 3,032 | ||||||
Iron Mountain, Inc. REIT | 115 | 3,002 | ||||||
Globe Life, Inc. | 39 | 2,895 | ||||||
Lincoln National Corp. | 77 | 2,833 | ||||||
Assurant, Inc. | 24 | 2,479 | ||||||
Vornado Realty Trust REIT | 63 | 2,407 | ||||||
Federal Realty Investment Trust REIT | 28 | 2,386 | ||||||
Franklin Resources, Inc. | 110 | 2,307 | ||||||
Apartment Investment & Management Co. — Class A REIT | 59 | 2,221 | ||||||
Zions Bancorp North America | 65 | 2,210 | ||||||
Kimco Realty Corp. REIT | 172 | 2,208 | ||||||
Comerica, Inc. | 55 | 2,096 | ||||||
People’s United Financial, Inc. | 169 | 1,955 | ||||||
Invesco Ltd. | 150 | 1,614 | ||||||
SL Green Realty Corp. REIT | 30 | 1,479 | ||||||
Unum Group | 81 | 1,344 | ||||||
Total Financial | 1,484,219 | |||||||
Industrial - 2.9% | ||||||||
Union Pacific Corp. | 270 | 45,649 | ||||||
Honeywell International, Inc. | 279 | 40,341 | ||||||
Boeing Co. | 213 | 39,043 | ||||||
Raytheon Technologies Corp. | 586 | 36,109 | ||||||
Lockheed Martin Corp. | 98 | 35,762 | ||||||
3M Co. | 229 | 35,722 | ||||||
United Parcel Service, Inc. — Class B | 280 | 31,130 | ||||||
Caterpillar, Inc. | 216 | 27,324 | ||||||
General Electric Co. | 3,484 | 23,796 | ||||||
CSX Corp. | 305 | 21,271 | ||||||
Illinois Tool Works, Inc. | 114 | 19,933 | ||||||
Deere & Co. | 125 | 19,644 | ||||||
Northrop Grumman Corp. | 62 | 19,061 | ||||||
Norfolk Southern Corp. | 102 | 17,908 | ||||||
Waste Management, Inc. | 155 | 16,416 | ||||||
Roper Technologies, Inc. | 42 | 16,307 | ||||||
Emerson Electric Co. | 238 | 14,763 | ||||||
L3Harris Technologies, Inc. | 86 | 14,592 | ||||||
Eaton Corporation plc | 159 | 13,909 | ||||||
General Dynamics Corp. | 93 | 13,900 | ||||||
FedEx Corp. | 96 | 13,461 | ||||||
Amphenol Corp. — Class A | 118 | 11,305 | ||||||
Agilent Technologies, Inc. | 123 | 10,869 | ||||||
TE Connectivity Ltd. | 131 | 10,683 | ||||||
Johnson Controls International plc | 296 | 10,106 | ||||||
Rockwell Automation, Inc. | 46 | 9,798 | ||||||
Parker-Hannifin Corp. | 51 | 9,347 |
12 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
NOVA FUND |
| Shares | Value | ||||||
Otis Worldwide Corp. | 162 | $ | 9,211 | |||||
Ball Corp. | 130 | 9,034 | ||||||
TransDigm Group, Inc. | 20 | 8,841 | ||||||
Stanley Black & Decker, Inc. | 61 | 8,502 | ||||||
Trane Technologies plc | 95 | 8,453 | ||||||
AMETEK, Inc. | 91 | 8,133 | ||||||
Mettler-Toledo International, Inc.* | 10 | 8,055 | ||||||
Fortive Corp. | 118 | 7,984 | ||||||
Keysight Technologies, Inc.* | 74 | 7,458 | ||||||
Carrier Global Corp. | 324 | 7,199 | ||||||
Republic Services, Inc. — Class A | 84 | 6,892 | ||||||
Old Dominion Freight Line, Inc. | 38 | 6,444 | ||||||
Amcor plc | 627 | 6,401 | ||||||
Vulcan Materials Co. | 53 | 6,140 | ||||||
Kansas City Southern | 38 | 5,673 | ||||||
Garmin Ltd. | 58 | 5,655 | ||||||
Dover Corp. | 57 | 5,504 | ||||||
Masco Corp. | 105 | 5,272 | ||||||
Martin Marietta Materials, Inc. | 25 | 5,164 | ||||||
Expeditors International of Washington, Inc. | 66 | 5,019 | ||||||
IDEX Corp. | 30 | 4,741 | ||||||
Xylem, Inc. | 72 | 4,677 | ||||||
Teledyne Technologies, Inc.* | 15 | 4,664 | ||||||
Waters Corp.* | 25 | 4,510 | ||||||
Jacobs Engineering Group, Inc. | 52 | 4,410 | ||||||
PerkinElmer, Inc. | 44 | 4,316 | ||||||
CH Robinson Worldwide, Inc. | 54 | 4,269 | ||||||
Westinghouse Air Brake Technologies Corp. | 72 | 4,145 | ||||||
J.B. Hunt Transport Services, Inc. | 34 | 4,092 | ||||||
Ingersoll Rand, Inc.* | 138 | 3,881 | ||||||
Packaging Corporation of America | 38 | 3,792 | ||||||
Allegion plc | 37 | 3,782 | ||||||
Fortune Brands Home & Security, Inc. | 56 | 3,580 | ||||||
Snap-on, Inc. | 22 | 3,047 | ||||||
Textron, Inc. | 91 | 2,995 | ||||||
Westrock Co. | 103 | 2,911 | ||||||
Huntington Ingalls Industries, Inc. | 16 | 2,792 | ||||||
A O Smith Corp. | 54 | 2,544 | ||||||
Pentair plc | 66 | 2,508 | ||||||
Howmet Aerospace, Inc. | 153 | 2,425 | ||||||
FLIR Systems, Inc. | 52 | 2,110 | ||||||
Sealed Air Corp. | 62 | 2,037 | ||||||
Flowserve Corp. | 52 | 1,483 | ||||||
Total Industrial | 798,894 | |||||||
Consumer, Cyclical - 2.9% | ||||||||
Home Depot, Inc. | 428 | 107,218 | ||||||
Walmart, Inc. | 564 | 67,556 | ||||||
McDonald’s Corp. | 296 | 54,603 | ||||||
Costco Wholesale Corp. | 176 | 53,365 | ||||||
NIKE, Inc. — Class B | 494 | 48,437 | ||||||
Lowe’s Companies, Inc. | 301 | 40,671 | ||||||
Starbucks Corp. | 465 | 34,219 | ||||||
TJX Companies, Inc. | 477 | 24,117 | ||||||
Target Corp. | 199 | 23,866 | ||||||
Dollar General Corp. | 100 | 19,051 | ||||||
General Motors Co. | 501 | 12,675 | ||||||
O’Reilly Automotive, Inc.* | 30 | 12,650 | ||||||
Walgreens Boots Alliance, Inc. | 293 | 12,420 | ||||||
Ross Stores, Inc. | 142 | 12,104 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 10 | 10,524 | ||||||
Yum! Brands, Inc. | 120 | 10,429 | ||||||
PACCAR, Inc. | 138 | 10,329 | ||||||
Cummins, Inc. | 59 | 10,222 | ||||||
AutoZone, Inc.* | 9 | 10,153 | ||||||
Fastenal Co. | 228 | 9,768 | ||||||
Ford Motor Co. | 1,555 | 9,455 | ||||||
Marriott International, Inc. — Class A | 107 | 9,173 | ||||||
Dollar Tree, Inc.* | 94 | 8,712 | ||||||
Aptiv plc | 107 | 8,337 | ||||||
Hilton Worldwide Holdings, Inc. | 110 | 8,080 | ||||||
Best Buy Company, Inc. | 91 | 7,942 | ||||||
VF Corp. | 127 | 7,739 | ||||||
DR Horton, Inc. | 132 | 7,319 | ||||||
Southwest Airlines Co. | 214 | 7,314 | ||||||
Copart, Inc.* | 82 | 6,828 | ||||||
Lennar Corp. — Class A | 109 | 6,717 | ||||||
Delta Air Lines, Inc. | 226 | 6,339 | ||||||
Las Vegas Sands Corp. | 134 | 6,102 | ||||||
Tractor Supply Co. | 46 | 6,062 | ||||||
Domino’s Pizza, Inc. | 16 | 5,911 | ||||||
CarMax, Inc.* | 65 | 5,821 | ||||||
WW Grainger, Inc. | 17 | 5,341 | ||||||
Tiffany & Co. | 43 | 5,243 | ||||||
Genuine Parts Co. | 57 | 4,957 | ||||||
Ulta Beauty, Inc.* | 22 | 4,475 | ||||||
Advance Auto Parts, Inc. | 28 | 3,989 | ||||||
Darden Restaurants, Inc. | 52 | 3,940 | ||||||
Hasbro, Inc. | 51 | 3,822 | ||||||
United Airlines Holdings, Inc.* | 101 | 3,496 | ||||||
Royal Caribbean Cruises Ltd.1 | 68 | 3,421 | ||||||
PulteGroup, Inc. | 100 | 3,403 | ||||||
MGM Resorts International | 196 | 3,293 | ||||||
NVR, Inc.* | 1 | 3,259 | ||||||
Whirlpool Corp. | 25 | 3,238 | ||||||
LKQ Corp.* | 121 | 3,170 | ||||||
Carnival Corp.1 | 189 | 3,103 | ||||||
BorgWarner, Inc. | 83 | 2,930 | ||||||
Wynn Resorts Ltd. | 39 | 2,905 | ||||||
American Airlines Group, Inc.1 | 198 | 2,588 | ||||||
Live Nation Entertainment, Inc.* | 57 | 2,527 | ||||||
Mohawk Industries, Inc.* | 24 | 2,442 | ||||||
Newell Brands, Inc. | 152 | 2,414 | ||||||
Leggett & Platt, Inc. | 53 | 1,863 | ||||||
Alaska Air Group, Inc. | 49 | 1,777 | ||||||
Norwegian Cruise Line Holdings Ltd.*,1 | 102 | 1,676 | ||||||
Hanesbrands, Inc. | 139 | 1,569 | ||||||
Tapestry, Inc. | 110 | 1,461 | ||||||
L Brands, Inc. | 93 | 1,392 | ||||||
Ralph Lauren Corp. — Class A | 19 | 1,378 | ||||||
PVH Corp. | 28 | 1,345 | ||||||
Kohl’s Corp. | 63 | 1,309 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
NOVA FUND |
| Shares | Value | ||||||
Gap, Inc. | 85 | $ | 1,073 | |||||
Under Armour, Inc. — Class A* | 75 | 731 | ||||||
Under Armour, Inc. — Class C* | 78 | 690 | ||||||
Total Consumer, Cyclical | 792,448 | |||||||
Utilities - 1.1% | ||||||||
NextEra Energy, Inc. | 195 | 46,833 | ||||||
Dominion Energy, Inc. | 334 | 27,114 | ||||||
Duke Energy Corp. | 293 | 23,408 | ||||||
Southern Co. | 420 | 21,777 | ||||||
American Electric Power Company, Inc. | 197 | 15,689 | ||||||
Exelon Corp. | 388 | 14,081 | ||||||
Sempra Energy | 116 | 13,599 | ||||||
Xcel Energy, Inc. | 209 | 13,063 | ||||||
Eversource Energy | 134 | 11,158 | ||||||
WEC Energy Group, Inc. | 126 | 11,044 | ||||||
Public Service Enterprise Group, Inc. | 201 | 9,881 | ||||||
Consolidated Edison, Inc. | 133 | 9,567 | ||||||
American Water Works Company, Inc. | 72 | 9,263 | ||||||
FirstEnergy Corp. | 216 | 8,376 | ||||||
DTE Energy Co. | 77 | 8,277 | ||||||
Edison International | 150 | 8,147 | ||||||
PPL Corp. | 306 | 7,907 | ||||||
Entergy Corp. | 80 | 7,505 | ||||||
Ameren Corp. | 98 | 6,895 | ||||||
CMS Energy Corp. | 114 | 6,660 | ||||||
Evergy, Inc. | 90 | 5,336 | ||||||
Atmos Energy Corp. | 49 | 4,879 | ||||||
Alliant Energy Corp. | 99 | 4,736 | ||||||
CenterPoint Energy, Inc. | 217 | 4,051 | ||||||
AES Corp. | 265 | 3,840 | ||||||
NiSource, Inc. | 152 | 3,457 | ||||||
Pinnacle West Capital Corp. | 45 | 3,298 | ||||||
NRG Energy, Inc. | 97 | 3,158 | ||||||
Total Utilities | 312,999 | |||||||
Energy - 1.1% | ||||||||
Exxon Mobil Corp. | 1,684 | 75,308 | ||||||
Chevron Corp. | 743 | 66,298 | ||||||
ConocoPhillips | 427 | 17,943 | ||||||
Phillips 66 | 174 | 12,511 | ||||||
EOG Resources, Inc. | 232 | 11,753 | ||||||
Kinder Morgan, Inc. | 774 | 11,742 | ||||||
Schlumberger Ltd. | 553 | 10,169 | ||||||
Marathon Petroleum Corp. | 259 | 9,681 | ||||||
Valero Energy Corp. | 162 | 9,529 | ||||||
Williams Companies, Inc. | 483 | 9,187 | ||||||
Occidental Petroleum Corp. | 358 | 6,551 | ||||||
Pioneer Natural Resources Co. | 66 | 6,448 | ||||||
ONEOK, Inc. | 175 | 5,813 | ||||||
Hess Corp. | 104 | 5,388 | ||||||
Halliburton Co. | 349 | 4,530 | ||||||
Concho Resources, Inc. | 78 | 4,017 | ||||||
Baker Hughes Co. | 261 | 4,017 | ||||||
Cabot Oil & Gas Corp. — Class A | 159 | 2,732 | ||||||
Diamondback Energy, Inc. | 63 | 2,635 | ||||||
Apache Corp. | 150 | 2,025 | ||||||
Marathon Oil Corp. | 315 | 1,928 | ||||||
National Oilwell Varco, Inc. | 155 | 1,899 | ||||||
Devon Energy Corp. | 152 | 1,724 | ||||||
HollyFrontier Corp. | 59 | 1,723 | ||||||
Noble Energy, Inc. | 191 | 1,711 | ||||||
TechnipFMC plc | 167 | 1,142 | ||||||
Total Energy | 288,404 | |||||||
Basic Materials - 0.8% | ||||||||
Linde plc | 209 | 44,331 | ||||||
Air Products & Chemicals, Inc. | 88 | 21,248 | ||||||
Newmont Corp. | 320 | 19,757 | ||||||
Ecolab, Inc. | 98 | 19,497 | ||||||
Sherwin-Williams Co. | 32 | 18,491 | ||||||
DuPont de Nemours, Inc. | 292 | 15,514 | ||||||
Dow, Inc. | 295 | 12,024 | ||||||
PPG Industries, Inc. | 94 | 9,970 | ||||||
LyondellBasell Industries N.V. — Class A | 102 | 6,703 | ||||||
Freeport-McMoRan, Inc. | 578 | 6,688 | ||||||
International Paper Co. | 157 | 5,528 | ||||||
International Flavors & Fragrances, Inc.1 | 43 | 5,266 | ||||||
FMC Corp. | 52 | 5,180 | ||||||
Nucor Corp. | 120 | 4,969 | ||||||
Celanese Corp. — Class A | 47 | 4,058 | ||||||
Eastman Chemical Co. | 54 | 3,761 | ||||||
Albemarle Corp. | 42 | 3,243 | ||||||
CF Industries Holdings, Inc. | 85 | 2,392 | ||||||
Mosaic Co. | 139 | 1,739 | ||||||
Total Basic Materials | 210,359 | |||||||
Total Common Stocks | ||||||||
(Cost $8,972,258) | 10,206,860 | |||||||
RIGHTS† - 0.0% | ||||||||
Communications - 0.0% | ||||||||
T-Mobile US, Inc. | ||||||||
Expires 07/27/20* | 167 | 28 | ||||||
Total Rights | ||||||||
(Cost $—) | 28 | |||||||
MUTUAL FUNDS† - 37.5% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 606,776 | 6,019,221 | ||||||
Guggenheim Strategy Fund II2 | 173,348 | 4,286,895 | ||||||
Total Mutual Funds | ||||||||
(Cost $10,257,889) | 10,306,116 | |||||||
14 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
NOVA FUND |
| Face | Value | ||||||
U.S. TREASURY BILLS†† - 9.2% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 09/17/203,4 | $ | 2,500,000 | $ | 2,499,215 | ||||
0.15% due 07/23/204,5 | 25,000 | 24,998 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $2,524,158) | 2,524,213 | |||||||
REPURCHASE AGREEMENTS††,6 - 14.7% | ||||||||
J.P. Morgan Securities LLC | 2,231,552 | 2,231,552 | ||||||
BofA Securities, Inc. | 924,186 | 924,186 | ||||||
Barclays Capital, Inc. | 868,735 | 868,735 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $4,024,473) | 4,024,473 |
| Shares | |||||||
SECURITIES LENDING COLLATERAL†,7 - 0.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%8 | 7,788 | 7,788 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $7,788) | 7,788 | |||||||
Total Investments - 98.6% | ||||||||
(Cost $25,786,566) | $ | 27,069,478 | ||||||
Other Assets & Liabilities, net - 1.4% | 372,261 | |||||||
Total Net Assets - 100.0% | $ | 27,441,739 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P 500 Index Mini Futures Contracts | 35 | Sep 2020 | $ | 5,397,438 | $ | (52,189 | ) |
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 | 0.56% (1 Week USD LIBOR + 0.45%) | At Maturity | 07/28/20 | 4,872 | $ | 15,103,260 | $ | 444,481 | ||||||||||
BNP Paribas | S&P 500 Index | 0.73% (1 Month USD LIBOR + 0.55%) | At Maturity | 07/29/20 | 1,835 | 5,690,318 | 91,698 | ||||||||||||
Barclays Bank plc | S&P 500 Index | 0.56% (1 Week USD LIBOR + 0.45%) | At Maturity | 07/30/20 | 1,552 | 4,810,300 | 25,647 | ||||||||||||
$ | 25,603,878 | $ | 561,826 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 15 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
NOVA 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, 2020 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2020. |
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, 2020. |
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, 2020. |
LIBOR — London Interbank Offered Rate | |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 10,206,860 | $ | — | $ | — | $ | 10,206,860 | ||||||||
Rights | 28 | — | — | 28 | ||||||||||||
Mutual Funds | 10,306,116 | — | — | 10,306,116 | ||||||||||||
U.S. Treasury Bills | — | 2,524,213 | — | 2,524,213 | ||||||||||||
Repurchase Agreements | — | 4,024,473 | — | 4,024,473 | ||||||||||||
Securities Lending Collateral | 7,788 | — | — | 7,788 | ||||||||||||
Total Return Swap Agreements** | — | 561,826 | — | 561,826 | ||||||||||||
Total Assets | $ | 20,520,792 | $ | 7,110,512 | $ | — | $ | 27,631,304 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts** | $ | 52,189 | $ | — | $ | — | $ | 52,189 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
NOVA 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 11,694,627 | $ | 1,102,302 | $ | (8,500,000 | ) | $ | (40,261 | ) | $ | 30,227 | $ | 4,286,895 | 173,348 | $ | 52,906 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 9,690,414 | 12,952,426 | (16,700,000 | ) | 34,825 | 41,556 | 6,019,221 | 606,776 | 52,879 | |||||||||||||||||||||||
$ | 21,385,041 | $ | 14,054,728 | $ | (25,200,000 | ) | $ | (5,436 | ) | $ | 71,783 | $ | 10,306,116 | $ | 105,785 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 17 |
NOVA FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $7,544 of securities loaned (cost $11,504,204) | $ | 12,738,889 | ||
Investments in affiliated issuers, at value (cost $10,257,889) | 10,306,116 | |||
Repurchase agreements, at value (cost $4,024,473) | 4,024,473 | |||
Cash | 125 | |||
Segregated cash with broker | 395,126 | |||
Unrealized appreciation on OTC swap agreements | 561,826 | |||
Receivables: | ||||
Securities sold | 5,029,910 | |||
Variation margin on futures contracts | 63,963 | |||
Swap settlement | 47,769 | |||
Dividends | 21,175 | |||
Fund shares sold | 24 | |||
Securities lending income | 23 | |||
Interest | 8 | |||
Total assets | 33,189,427 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 3,636,261 | |||
Securities purchased | 2,012,749 | |||
Management fees | 18,524 | |||
Return of securities lending collateral | 7,788 | |||
Transfer agent and administrative fees | 7,186 | |||
Investor service fees | 6,678 | |||
Portfolio accounting fees | 2,671 | |||
Trustees’ fees* | 538 | |||
Miscellaneous | 55,293 | |||
Total liabilities | 5,747,688 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 27,441,739 | ||
Net assets consist of: | ||||
Paid in capital | $ | 28,145,385 | ||
Total distributable earnings (loss) | (703,646 | ) | ||
Net assets | $ | 27,441,739 | ||
Capital shares outstanding | 225,016 | |||
Net asset value per share | $ | 121.95 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 123,833 | ||
Dividends from securities of affiliated issuers | 105,785 | |||
Interest | 25,596 | |||
Income from securities lending, net | 70 | |||
Total investment income | 255.284 | |||
Expenses: | ||||
Management fees | 116,644 | |||
Investor service fees | 38,881 | |||
Transfer agent and administrative fees | 41,836 | |||
Professional fees | 32,060 | |||
Portfolio accounting fees | 15,552 | |||
Trustees’ fees* | 4,008 | |||
Custodian fees | 3,897 | |||
Line of credit fees | 458 | |||
Miscellaneous | 17,681 | |||
Total expenses | 271,017 | |||
Less: | ||||
Expenses waived by Adviser | (7,856 | ) | ||
Net expenses | 263,161 | |||
Net investment loss | (7,877 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (3,168,761 | ) | ||
Investments in affiliated issuers | (5,436 | ) | ||
Swap agreements | (1,960,525 | ) | ||
Futures contracts | (459,765 | ) | ||
Net realized loss | (5,594,487 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 623,402 | |||
Investments in affiliated issuers | 71,783 | |||
Swap agreements | 636,343 | |||
Futures contracts | (52,189 | ) | ||
Net change in unrealized appreciation (depreciation) | 1,279,339 | |||
Net realized and unrealized loss | (4,315,148 | ) | ||
Net decrease in net assets resulting from operations | $ | (4,323,025 | ) |
* | 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. |
NOVA FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (7,877 | ) | $ | 282,333 | |||
Net realized gain (loss) on investments | (5,594,487 | ) | 11,022,256 | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,279,339 | (439,154 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (4,323,025 | ) | 10,865,435 | |||||
Distributions to shareholders | — | (297,044 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 77,850,125 | 152,990,650 | ||||||
Distributions reinvested | — | 297,044 | ||||||
Cost of shares redeemed | (82,630,792 | ) | (159,619,797 | ) | ||||
Net decrease from capital share transactions | (4,780,667 | ) | (6,332,103 | ) | ||||
Net increase (decrease) in net assets | (9,103,692 | ) | 4,236,288 | |||||
Net assets: | ||||||||
Beginning of period | 36,545,431 | 32,309,143 | ||||||
End of period | $ | 27,441,739 | $ | 36,545,431 | ||||
Capital share activity: | ||||||||
Shares sold | 654,999 | 1,310,221 | ||||||
Shares issued from reinvestment of distributions | — | 2,415 | ||||||
Shares redeemed | (699,333 | ) | (1,384,986 | ) | ||||
Net decrease in shares | (44,334 | ) | (72,350 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 19 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 135.68 | $ | 94.55 | $ | 113.00 | $ | 89.58 | $ | 77.42 | $ | 77.97 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.03 | ) | .90 | .83 | .22 | .06 | (.12 | ) | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (13.70 | ) | 41.55 | (11.15 | ) | 27.62 | 12.10 | (.43 | ) | |||||||||||||||
Total from investment operations | (13.73 | ) | 42.45 | (10.32 | ) | 27.84 | 12.16 | (.55 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.32 | ) | (.21 | ) | (.05 | ) | — | — | |||||||||||||||
Net realized gains | — | — | (7.92 | ) | (4.37 | ) | — | — | ||||||||||||||||
Total distributions | — | (1.32 | ) | (8.13 | ) | (4.42 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 121.95 | $ | 135.68 | $ | 94.55 | $ | 113.00 | $ | 89.58 | $ | 77.42 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (10.12 | )% | 45.04 | % | (10.32 | %) | 31.78 | % | 15.72 | % | (0.72 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 27,442 | $ | 36,545 | $ | 32,309 | $ | 51,725 | $ | 38,768 | $ | 30,483 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.05 | %) | 0.77 | % | 0.73 | % | 0.22 | % | 0.04 | % | (0.15 | %) | ||||||||||||
Total expensesd | 1.74 | % | 1.72 | % | 1.62 | % | 1.61 | % | 1.56 | % | 1.51 | % | ||||||||||||
Net expensese | 1.69 | % | 1.66 | % | 1.61 | % | 1.61 | % | 1.56 | % | 1.51 | % | ||||||||||||
Portfolio turnover rate | 411 | % | 336 | % | 604 | % | 412 | % | 636 | % | 342 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 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, 2020 |
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 Ultra Short Duration Fund — Institutional Class | 28.4% |
Guggenheim Strategy Fund II | 18.5% |
Total | 46.9% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse S&P 500® Strategy Fund | (7.20%) | (15.87%) | (11.95%) | (15.08%) |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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 | 21 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
INVERSE S&P 500® STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 46.9% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 101,903 | $ | 1,010,881 | |||||
Guggenheim Strategy Fund II1 | 26,686 | 659,950 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,658,953) | 1,670,831 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 2.8% | ||||||||
Farmer Mac | ||||||||
0.23% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 09/01/202 | $ | 100,000 | 100,000 | |||||
Total Federal Agency Notes | ||||||||
(Cost $100,000) | 100,000 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 2.8% | ||||||||
Federal Home Loan Bank | ||||||||
1.56% due 07/02/203 | 100,000 | 99,996 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,996) | 99,996 |
REPURCHASE AGREEMENTS††,4 - 50.6% | ||||||||
J.P. Morgan Securities LLC | 1,001,702 | 1,001,702 | ||||||
BofA Securities, Inc. | 414,850 | 414,850 | ||||||
Barclays Capital, Inc. | 389,959 | 389,959 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,806,511) | 1,806,511 | |||||||
Total Investments - 103.1% | ||||||||
(Cost $3,665,460) | $ | 3,677,338 | ||||||
Other Assets & Liabilities, net - (3.1)% | (109,941 | ) | ||||||
Total Net Assets - 100.0% | $ | 3,567,397 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||||
S&P 500 Index Mini Futures Contracts | 1 | Sep 2020 | $ | 154,213 | $ | (2,279 | ) |
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 500 Index | (0.41)% (1 Week USD LIBOR + 0.30%) | At Maturity | 07/30/20 | 67 | $ | 206,627 | $ | (1,102 | ) | |||||||||
BNP Paribas | S&P 500 Index | (0.23)% (1 Month USD LIBOR + 0.05%) | At Maturity | 07/29/20 | 161 | 499,538 | (8,923 | ) | |||||||||||
Goldman Sachs International | S&P 500 Index | (0.46)% (1 Week USD LIBOR + 0.35%) | At Maturity | 07/28/20 | 869 | 2,695,414 | (79,326 | ) | |||||||||||
$ | 3,401,579 | $ | (89,351 | ) |
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
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, 2020. 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 1,670,831 | $ | — | $ | — | $ | 1,670,831 | ||||||||
Federal Agency Notes | — | 100,000 | — | 100,000 | ||||||||||||
Federal Agency Discount Notes | — | 99,996 | — | 99,996 | ||||||||||||
Repurchase Agreements | — | 1,806,511 | — | 1,806,511 | ||||||||||||
Total Assets | $ | 1,670,831 | $ | 2,006,507 | $ | — | $ | 3,677,338 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts** | $ | 2,279 | $ | — | $ | — | $ | 2,279 | ||||||||
Total Return Swap Agreements** | — | 89,351 | — | 89,351 | ||||||||||||
Total Liabilities | $ | 2,279 | $ | 89,351 | $ | — | $ | 91,630 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 404,003 | $ | 8,311,477 | $ | (8,050,000 | ) | $ | (5,956 | ) | $ | 426 | $ | 659,950 | 26,686 | $ | 11,500 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 454,324 | 10,861,189 | (10,302,000 | ) | (13,196 | ) | 10,564 | 1,010,881 | 101,903 | 11,210 | ||||||||||||||||||||||
$ | 858,327 | $ | 19,172,666 | $ | (18,352,000 | ) | $ | (19,152 | ) | $ | 10,990 | $ | 1,670,831 | $ | 22,710 |
24 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $199,996) | $ | 199,996 | ||
Investments in affiliated issuers, at value (cost $1,658,953) | 1,670,831 | |||
Repurchase agreements, at value (cost $1,806,511) | 1,806,511 | |||
Segregated cash with broker | 12,000 | |||
Receivables: | ||||
Dividends | 2,099 | |||
Interest | 23 | |||
Total assets | 3,691,460 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 89,351 | |||
Payable for: | ||||
Fund shares redeemed | 8,269 | |||
Swap settlement | 8,226 | |||
Management fees | 2,897 | |||
Securities purchased | 2,099 | |||
Variation margin on futures contracts | 1,828 | |||
Transfer agent and administrative fees | 933 | |||
Investor service fees | 867 | |||
Portfolio accounting fees | 347 | |||
Trustees’ fees* | 89 | |||
Miscellaneous | 9,157 | |||
Total liabilities | 124,063 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 3,567,397 | ||
Net assets consist of: | ||||
Paid in capital | $ | 20,033,631 | ||
Total distributable earnings (loss) | (16,466,234 | ) | ||
Net assets | $ | 3,567,397 | ||
Capital shares outstanding | 69,527 | |||
Net asset value per share | $ | 51.31 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 22,710 | ||
Interest | 12,664 | |||
Total investment income | 35,374 | |||
Expenses: | ||||
Management fees | 27,800 | |||
Investor service fees | 7,722 | |||
Transfer agent and administrative fees | 8,309 | |||
Professional fees | 6,358 | |||
Portfolio accounting fees | 3,089 | |||
Custodian fees | 458 | |||
Trustees’ fees* | 456 | |||
Miscellaneous | 4,161 | |||
Total expenses | 58,353 | |||
Less: | ||||
Expenses waived by Adviser | (1,616 | ) | ||
Net expenses | 56,737 | |||
Net investment loss | (21,363 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (19,152 | ) | ||
Swap agreements | (1,644,007 | ) | ||
Futures contracts | 12,842 | |||
Net realized loss | (1,650,317 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (5 | ) | ||
Investments in affiliated issuers | 10,990 | |||
Swap agreements | (89,808 | ) | ||
Futures contracts | (2,279 | ) | ||
Net change in unrealized appreciation (depreciation) | (81,102 | ) | ||
Net realized and unrealized loss | (1,731,419 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,752,782 | ) |
* | 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 | 25 |
INVERSE S&P 500® STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (21,363 | ) | $ | 25,204 | |||
Net realized loss on investments | (1,650,317 | ) | (883,052 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (81,102 | ) | 47,214 | |||||
Net decrease in net assets resulting from operations | (1,752,782 | ) | (810,634 | ) | ||||
Distributions to shareholders | — | (23,392 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 152,143,156 | 111,588,598 | ||||||
Distributions reinvested | — | 23,392 | ||||||
Cost of shares redeemed | (148,581,912 | ) | (113,432,091 | ) | ||||
Net increase (decrease) from capital share transactions | 3,561,244 | (1,820,101 | ) | |||||
Net increase (decrease) in net assets | 1,808,462 | (2,654,127 | ) | |||||
Net assets: | ||||||||
Beginning of period | 1,758,935 | 4,413,062 | ||||||
End of period | $ | 3,567,397 | $ | 1,758,935 | ||||
Capital share activity: | ||||||||
Shares sold | 2,733,498 | 1,815,183 | ||||||
Shares issued from reinvestment of distributions | — | 394 | ||||||
Shares redeemed | (2,695,785 | ) | (1,844,755 | ) | ||||
Net increase (decrease) in shares | 37,713 | (29,178 | ) |
26 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE S&P 500® STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 55.29 | $ | 72.35 | $ | 69.60 | $ | 84.21 | $ | 95.71 | $ | 100.13 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.19 | ) | .44 | .41 | (.11 | ) | (.11 | ) | (1.32 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (3.79 | ) | (16.97 | ) | 2.34 | (14.50 | ) | (11.39 | ) | (3.10 | ) | |||||||||||||
Total from investment operations | (3.98 | ) | (16.53 | ) | 2.75 | (14.61 | ) | (11.50 | ) | (4.42 | ) | |||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.53 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.53 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 51.31 | $ | 55.29 | $ | 72.35 | $ | 69.60 | $ | 84.21 | $ | 95.71 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (7.20 | %) | (22.91 | %) | 3.95 | % | (17.35 | %) | (12.01 | %) | (4.43 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,567 | $ | 1,759 | $ | 4,413 | $ | 2,573 | $ | 4,584 | $ | 9,497 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.69 | %) | 0.71 | % | 0.61 | % | (0.15 | %) | (0.69 | %) | (1.38 | %) | ||||||||||||
Total expensesd | 1.89 | % | 1.88 | % | 1.77 | % | 1.76 | % | 1.71 | % | 1.66 | % | ||||||||||||
Net expensese | 1.84 | % | 1.82 | % | 1.76 | % | 1.76 | % | 1.71 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 839 | % | 442 | % | 540 | % | 100 | % | 311 | % | 137 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 27 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 | 14.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 13.6% |
Apple, Inc. | 7.8% |
Microsoft Corp. | 7.7% |
Amazon.com, Inc. | 6.8% |
Facebook, Inc. — Class A | 2.7% |
Alphabet, Inc. — Class A | 2.4% |
Alphabet, Inc. — Class C | 2.4% |
Intel Corp. | 1.6% |
NVIDIA Corp. | 1.5% |
Top Ten Total | 61.3% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
NASDAQ-100® Fund | 14.39% | 29.61% | 17.40% | 18.67% |
NASDAQ-100 Index | 16.89% | 33.78% | 19.58% | 20.69% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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. |
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
NASDAQ-100® FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 65.0% | ||||||||
Technology - 29.3% | ||||||||
Apple, Inc. | 21,050 | $ | 7,679,040 | |||||
Microsoft Corp. | 36,829 | 7,495,070 | ||||||
Intel Corp. | 26,230 | 1,569,341 | ||||||
NVIDIA Corp. | 3,810 | 1,447,457 | ||||||
Adobe, Inc.* | 2,985 | 1,299,400 | ||||||
Broadcom, Inc. | 2,477 | 781,766 | ||||||
Texas Instruments, Inc. | 5,686 | 721,952 | ||||||
QUALCOMM, Inc. | 6,969 | 635,643 | ||||||
Intuit, Inc. | 1,616 | 478,643 | ||||||
Fiserv, Inc.* | 4,148 | 404,928 | ||||||
Advanced Micro Devices, Inc.* | 7,256 | 381,738 | ||||||
Activision Blizzard, Inc. | 4,773 | 362,271 | ||||||
Micron Technology, Inc.* | 6,890 | 354,973 | ||||||
Applied Materials, Inc. | 5,678 | 343,235 | ||||||
Autodesk, Inc.* | 1,358 | 324,820 | ||||||
Lam Research Corp. | 899 | 290,791 | ||||||
Analog Devices, Inc. | 2,283 | 279,987 | ||||||
Zoom Video Communications, Inc. — Class A* | 1,038 | 263,175 | ||||||
Electronic Arts, Inc.* | 1,788 | 236,105 | ||||||
Workday, Inc. — Class A* | 1,078 | 201,974 | ||||||
NetEase, Inc. ADR | 459 | 197,085 | ||||||
NXP Semiconductor N.V. | 1,728 | 197,061 | ||||||
Splunk, Inc.* | 983 | 195,322 | ||||||
DocuSign, Inc.* | 1,131 | 194,770 | ||||||
Cognizant Technology Solutions Corp. — Class A | 3,349 | 190,290 | ||||||
KLA Corp. | 961 | 186,895 | ||||||
Synopsys, Inc.* | 933 | 181,935 | ||||||
ASML Holding N.V. — Class G | 476 | 175,182 | ||||||
Paychex, Inc. | 2,222 | 168,317 | ||||||
Cadence Design Systems, Inc.* | 1,729 | 165,915 | ||||||
Microchip Technology, Inc. | 1,520 | 160,071 | ||||||
ANSYS, Inc.* | 530 | 154,617 | ||||||
Xilinx, Inc. | 1,506 | 148,175 | ||||||
Skyworks Solutions, Inc. | 1,034 | 132,207 | ||||||
Cerner Corp. | 1,886 | 129,285 | ||||||
Citrix Systems, Inc. | 765 | 113,151 | ||||||
Maxim Integrated Products, Inc. | 1,652 | 100,128 | ||||||
Take-Two Interactive Software, Inc.* | 706 | 98,536 | ||||||
Check Point Software Technologies Ltd.* | 886 | 95,183 | ||||||
Western Digital Corp. | 1,857 | 81,986 | ||||||
NetApp, Inc. | 1,370 | 60,787 | ||||||
Total Technology | 28,679,207 | |||||||
Communications - 21.7% | ||||||||
Amazon.com, Inc.* | 2,422 | 6,681,862 | ||||||
Facebook, Inc. — Class A* | 11,678 | 2,651,723 | ||||||
Alphabet, Inc. — Class A* | 1,672 | 2,370,980 | ||||||
Alphabet, Inc. — Class C* | 1,633 | 2,308,425 | ||||||
Netflix, Inc.* | 2,725 | 1,239,984 | ||||||
Cisco Systems, Inc. | 26,158 | 1,220,009 | ||||||
Comcast Corp. — Class A | 28,217 | 1,099,899 | ||||||
T-Mobile US, Inc.* | 7,656 | 797,373 | ||||||
Charter Communications, Inc. — Class A* | 1,279 | 652,341 | ||||||
Booking Holdings, Inc.* | 254 | 404,454 | ||||||
JD.com, Inc. ADR* | 5,751 | 346,095 | ||||||
MercadoLibre, Inc.* | 308 | 303,617 | ||||||
eBay, Inc. | 4,353 | 228,315 | ||||||
Baidu, Inc. ADR* | 1,703 | 204,173 | ||||||
Sirius XM Holdings, Inc. | 27,129 | 159,247 | ||||||
VeriSign, Inc.* | 715 | 147,883 | ||||||
CDW Corp. | 881 | 102,355 | ||||||
Trip.com Group Ltd. ADR* | 3,240 | 83,981 | ||||||
Expedia Group, Inc. | 839 | 68,966 | ||||||
Fox Corp. — Class A | 2,123 | 56,939 | ||||||
Liberty Global plc — Class C* | 2,549 | 54,829 | ||||||
Fox Corp. — Class B | 1,617 | 43,400 | ||||||
Liberty Global plc — Class A* | 1,129 | 24,680 | ||||||
Total Communications | 21,251,530 | |||||||
Consumer, Non-cyclical - 8.9% | ||||||||
PayPal Holdings, Inc.* | 7,274 | 1,267,349 | ||||||
PepsiCo, Inc. | 8,596 | 1,136,907 | ||||||
Amgen, Inc. | 3,644 | 859,474 | ||||||
Gilead Sciences, Inc. | 7,771 | 597,901 | ||||||
Vertex Pharmaceuticals, Inc.* | 1,606 | 466,238 | ||||||
Mondelez International, Inc. — Class A | 8,843 | 452,143 | ||||||
Intuitive Surgical, Inc.* | 722 | 411,417 | ||||||
Automatic Data Processing, Inc. | 2,663 | 396,494 | ||||||
Regeneron Pharmaceuticals, Inc.* | 624 | 389,157 | ||||||
Illumina, Inc.* | 911 | 337,389 | ||||||
Biogen, Inc.* | 1,011 | 270,493 | ||||||
Kraft Heinz Co. | 7,570 | 241,407 | ||||||
DexCom, Inc.* | 572 | 231,889 | ||||||
Monster Beverage Corp.* | 3,262 | 226,122 | ||||||
Seattle Genetics, Inc.* | 1,072 | 182,154 | ||||||
IDEXX Laboratories, Inc.* | 526 | 173,664 | ||||||
CoStar Group, Inc.* | 242 | 171,982 | ||||||
Cintas Corp. | 644 | 171,536 | ||||||
Verisk Analytics, Inc. — Class A | 1,005 | 171,051 | ||||||
Alexion Pharmaceuticals, Inc.* | 1,368 | 153,544 | ||||||
Incyte Corp.* | 1,346 | 139,944 | ||||||
BioMarin Pharmaceutical, Inc.* | 1,120 | 138,141 | ||||||
Align Technology, Inc.* | 488 | 133,927 | ||||||
Total Consumer, Non-cyclical | 8,720,323 | |||||||
Consumer, Cyclical - 4.4% | ||||||||
Tesla, Inc.* | 1,148 | 1,239,622 | ||||||
Costco Wholesale Corp. | 2,735 | 829,279 | ||||||
Starbucks Corp. | 7,238 | 532,644 | ||||||
Lululemon Athletica, Inc.* | 770 | 240,248 | ||||||
Walgreens Boots Alliance, Inc. | 5,435 | 230,390 | ||||||
O’Reilly Automotive, Inc.* | 460 | 193,968 | ||||||
Ross Stores, Inc. | 2,201 | 187,613 | ||||||
Marriott International, Inc. — Class A | 2,009 | 172,231 | ||||||
PACCAR, Inc. | 2,142 | 160,329 | ||||||
Fastenal Co. | 3,549 | 152,039 | ||||||
Dollar Tree, Inc.* | 1,469 | 136,147 | ||||||
Copart, Inc.* | 1,454 | 121,075 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
NASDAQ-100® FUND |
| Shares | Value | ||||||
Ulta Beauty, Inc.* | 349 | $ | 70,994 | |||||
Total Consumer, Cyclical | 4,266,579 | |||||||
Utilities - 0.4% | ||||||||
Exelon Corp. | 6,037 | 219,083 | ||||||
Xcel Energy, Inc. | 3,253 | 203,312 | ||||||
Total Utilities | 422,395 | |||||||
Industrial - 0.3% | ||||||||
CSX Corp. | 4,742 | 330,707 | ||||||
Total Common Stocks | ||||||||
(Cost $46,745,009) | 63,670,741 | |||||||
RIGHTS† - 0.0% | ||||||||
Communications - 0.0% | ||||||||
T-Mobile US, Inc. | ||||||||
Expires 07/27/20* | 7,656 | 1,286 | ||||||
Total Rights | ||||||||
(Cost $—) | 1,286 | |||||||
MUTUAL FUNDS† - 28.4% | ||||||||
Guggenheim Strategy Fund II1 | 587,684 | 14,533,414 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 1,342,036 | 13,312,997 | ||||||
Total Mutual Funds | ||||||||
(Cost $27,922,691) | 27,846,411 |
| Face | |||||||
U.S. TREASURY BILLS†† - 2.8% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 07/23/202,3 | $ | 2,111,000 | 2,110,842 | |||||
0.15% due 09/17/203,4 | 600,000 | 599,811 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $2,710,597) | 2,710,653 | |||||||
REPURCHASE AGREEMENTS††,5 - 3.6% | ||||||||
J.P. Morgan Securities LLC | 1,947,438 | 1,947,438 | ||||||
BofA Securities, Inc. | 806,522 | 806,522 | ||||||
Barclays Capital, Inc. | 758,131 | 758,131 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $3,512,091) | 3,512,091 | |||||||
Total Investments - 99.8% | ||||||||
(Cost $80,890,388) | $ | 97,741,182 | ||||||
Other Assets & Liabilities, net - 0.2% | 197,131 | |||||||
Total Net Assets - 100.0% | $ | 97,938,313 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 132 | Sep 2020 | $ | 26,753,100 | $ | 1,384,898 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
Goldman Sachs International | NASDAQ-100 Index | 0.66% (1 Week USD LIBOR + 0.55%) | At Maturity | 07/28/20 | 280 | $ | 2,846,957 | $ | 83,943 | ||||||||||
Barclays Bank plc | NASDAQ-100 Index | 0.61% (1 Week USD LIBOR + 0.50%) | At Maturity | 07/30/20 | 366 | 3,715,693 | 20,128 | ||||||||||||
BNP Paribas | NASDAQ-100 Index | 0.83% (1 Month USD LIBOR + 0.65%) | At Maturity | 07/29/20 | 102 | 1,035,747 | 15,720 | ||||||||||||
$ | 7,598,397 | $ | 119,791 |
30 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
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 | Affiliated issuer. |
2 | All or a portion of this security is pledged as futures collateral at June 30, 2020. |
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, 2020. |
5 | Repurchase Agreements — See Note 6. |
ADR — American Depositary Receipt | |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 63,670,741 | $ | — | $ | — | $ | 63,670,741 | ||||||||
Rights | 1,286 | — | — | 1,286 | ||||||||||||
Mutual Funds | 27,846,411 | — | — | 27,846,411 | ||||||||||||
U.S. Treasury Bills | — | 2,710,653 | — | 2,710,653 | ||||||||||||
Repurchase Agreements | — | 3,512,091 | — | 3,512,091 | ||||||||||||
Futures Contracts** | 1,384,898 | — | — | 1,384,898 | ||||||||||||
Total Return Swap Agreements** | — | 119,791 | — | 119,791 | ||||||||||||
Total Assets | $ | 92,903,336 | $ | 6,342,535 | $ | — | $ | 99,245,871 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 25,485,051 | $ | 800,900 | $ | (11,550,000 | ) | $ | (344,448 | ) | $ | 141,911 | $ | 14,533,414 | 587,684 | $ | 202,341 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 23,136,219 | 3,203,927 | (12,800,000 | ) | (237,322 | ) | 10,173 | 13,312,997 | 1,342,036 | 155,008 | ||||||||||||||||||||||
$ | 48,621,270 | $ | 4,004,827 | $ | (24,350,000 | ) | $ | (581,770 | ) | $ | 152,084 | $ | 27,846,411 | $ | 357,349 |
32 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $49,455,606) | $ | 66,382,680 | ||
Investments in affiliated issuers, at value (cost $27,922,691) | 27,846,411 | |||
Repurchase agreements, at value (cost $3,512,091) | 3,512,091 | |||
Unrealized appreciation on OTC swap agreements | 119,791 | |||
Receivables: | ||||
Variation margin on futures contracts | 422,400 | |||
Dividends | 46,218 | |||
Swap settlement | 437 | |||
Fund shares sold | 28 | |||
Interest | 7 | |||
Securities lending income | 3 | |||
Total assets | 98,330,066 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 102,034 | |||
Management fees | 54,112 | |||
Securities purchased | 31,896 | |||
Transfer agent and administrative fees | 20,331 | |||
Investor service fees | 18,895 | |||
Portfolio accounting fees | 7,558 | |||
Trustees’ fees* | 1,448 | |||
Miscellaneous | 155,479 | |||
Total liabilities | 391,753 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 97,938,313 | ||
Net assets consist of: | ||||
Paid in capital | $ | 57,979,087 | ||
Total distributable earnings (loss) | 39,959,226 | |||
Net assets | $ | 97,938,313 | ||
Capital shares outstanding | 1,752,323 | |||
Net asset value per share | $ | 55.89 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $130) | $ | 205,505 | ||
Dividends from securities of affiliated issuers | 357,349 | |||
Interest | 40,381 | |||
Income from securities lending, net | 35 | |||
Total investment income | 603,270 | |||
Expenses: | ||||
Management fees | 331,674 | |||
Investor service fees | 110,558 | |||
Transfer agent and administrative fees | 118,960 | |||
Professional fees | 88,122 | |||
Portfolio accounting fees | 44,223 | |||
Trustees’ fees* | 8,530 | |||
Custodian fees | 6,796 | |||
Interest expense | 7 | |||
Miscellaneous | 75,978 | |||
Total expenses | 784,848 | |||
Less: | ||||
Expenses waived by Adviser | (21,506 | ) | ||
Net expenses | 763,342 | |||
Net investment loss | (160,072 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 5,475,870 | |||
Investments in affiliated issuers | (581,770 | ) | ||
Swap agreements | 1,453,973 | |||
Futures contracts | 3,772,856 | |||
Net realized gain | 10,120,929 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 3,165,283 | |||
Investments in affiliated issuers | 152,084 | |||
Swap agreements | 127,713 | |||
Futures contracts | 832,865 | |||
Net change in unrealized appreciation (depreciation) | 4,277,945 | |||
Net realized and unrealized gain | 14,398,874 | |||
Net increase in net assets resulting from operations | $ | 14,238,802 |
* | 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 | 33 |
NASDAQ-100® FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (160,072 | ) | $ | 308,926 | |||
Net realized gain on investments | 10,120,929 | 21,372,288 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 4,277,945 | 710,012 | ||||||
Net increase in net assets resulting from operations | 14,238,802 | 22,391,226 | ||||||
Distributions to shareholders | — | (1,783,685 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 133,985,767 | 168,074,241 | ||||||
Distributions reinvested | — | 1,783,685 | ||||||
Cost of shares redeemed | (136,909,465 | ) | (164,457,984 | ) | ||||
Net increase (decrease) from capital share transactions | (2,923,698 | ) | 5,399,942 | |||||
Net increase in net assets | 11,315,104 | 26,007,483 | ||||||
Net assets: | ||||||||
Beginning of period | 86,623,209 | 60,615,726 | ||||||
End of period | $ | 97,938,313 | $ | 86,623,209 | ||||
Capital share activity: | ||||||||
Shares sold | 2,789,101 | 3,917,054 | ||||||
Shares issued from reinvestment of distributions | — | 39,646 | ||||||
Shares redeemed | (2,809,489 | ) | (3,842,054 | ) | ||||
Net increase (decrease) in shares | (20,388 | ) | 114,646 |
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
NASDAQ-100® FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 48.86 | $ | 36.56 | $ | 38.70 | $ | 31.89 | $ | 34.16 | $ | 33.70 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.09 | ) | .18 | .04 | (.11 | ) | (.11 | ) | (.16 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 7.12 | 13.20 | (.49 | ) | 9.73 | 1.92 | 2.90 | |||||||||||||||||
Total from investment operations | 7.03 | 13.38 | (.45 | ) | 9.62 | 1.81 | 2.74 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.05 | ) | — | — | — | — | |||||||||||||||||
Net realized gains | — | (1.03 | ) | (1.69 | ) | (2.81 | ) | (4.08 | ) | (2.28 | ) | |||||||||||||
Total distributions | — | (1.08 | ) | (1.69 | ) | (2.81 | ) | (4.08 | ) | (2.28 | ) | |||||||||||||
Net asset value, end of period | $ | 55.89 | $ | 48.86 | $ | 36.56 | $ | 38.70 | $ | 31.89 | $ | 34.16 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 14.39 | % | 36.86 | % | (1.81 | %) | 31.12 | % | 5.98 | % | 8.24 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 97,938 | $ | 86,623 | $ | 60,616 | $ | 76,862 | $ | 61,516 | $ | 98,543 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.36 | %) | 0.41 | % | 0.11 | % | (0.30 | %) | (0.34 | %) | (0.47 | %) | ||||||||||||
Total expensesd | 1.77 | % | 1.76 | % | 1.66 | % | 1.64 | % | 1.60 | % | 1.54 | % | ||||||||||||
Net expensese | 1.73 | % | 1.70 | % | 1.66 | % | 1.64 | % | 1.60 | % | 1.54 | % | ||||||||||||
Portfolio turnover rate | 98 | % | 61 | % | 80 | % | 101 | % | 284 | % | 241 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 | 35 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 | 20.9% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 20.3% |
Total | 41.2% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse NASDAQ-100® Strategy Fund | (22.91%) | (32.51%) | (19.48%) | (20.29%) |
NASDAQ-100 Index | 16.89% | 33.78% | 19.58% | 20.69% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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. |
36 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
INVERSE NASDAQ-100® STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 41.2% | ||||||||
Guggenheim Strategy Fund II1 | 4,505 | $ | 111,417 | |||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 10,864 | 107,775 | ||||||
Total Mutual Funds | ||||||||
(Cost $218,502) | 219,192 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 9.4% | ||||||||
Farmer Mac | ||||||||
0.23% (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 |
REPURCHASE AGREEMENTS††,3 - 51.6% | ||||||||
J.P. Morgan Securities LLC | 152,564 | 152,564 | ||||||
BofA Securities, Inc. | 63,183 | 63,183 | ||||||
Barclays Capital, Inc. | 59,392 | 59,392 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $275,139) | 275,139 | |||||||
Total Investments - 102.2% | ||||||||
(Cost $543,641) | $ | 544,331 | ||||||
Other Assets & Liabilities, net - (2.2)% | (11,528 | ) | ||||||
Total Net Assets - 100.0% | $ | 532,803 |
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 | (0.46)% (1 Week USD LIBOR + 0.35%) | At Maturity | 07/30/20 | 19 | $ | 195,771 | $ | (1,060 | ) | |||||||||
BNP Paribas | NASDAQ-100 Index | (0.33)% (1 Month USD LIBOR + 0.15%) | At Maturity | 07/29/20 | 21 | 213,750 | (3,242 | ) | |||||||||||
Goldman Sachs International | NASDAQ-100 Index | (0.36)% (1 Week USD LIBOR + 0.25%) | At Maturity | 07/28/20 | 12 | 117,623 | (3,560 | ) | |||||||||||
$ | 527,144 | $ | (7,862 | ) |
† | 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, 2020. 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, 2020. |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
INVERSE NASDAQ-100® STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 219,192 | $ | — | $ | — | $ | 219,192 | ||||||||
Federal Agency Notes | — | 50,000 | — | 50,000 | ||||||||||||
Repurchase Agreements | — | 275,139 | — | 275,139 | ||||||||||||
Total Assets | $ | 219,192 | $ | 325,139 | $ | — | $ | 544,331 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Total Return Swap Agreements** | $ | — | $ | 7,862 | $ | — | $ | 7,862 |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 142,166 | $ | 1,404,114 | $ | (1,410,000 | ) | $ | (25,214 | ) | $ | 351 | $ | 111,417 | 4,505 | $ | 4,124 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 137,548 | 1,628,759 | (1,640,000 | ) | (18,555 | ) | 23 | 107,775 | 10,864 | 3,769 | ||||||||||||||||||||||
$ | 279,714 | $ | 3,032,873 | $ | (3,050,000 | ) | $ | (43,769 | ) | $ | 374 | $ | 219,192 | $ | 7,893 |
38 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $50,000) | $ | 50,000 | ||
Investments in affiliated issuers, at value (cost $218,502) | 219,192 | |||
Repurchase agreements, at value (cost $275,139) | 275,139 | |||
Receivables: | ||||
Swap settlement | 976 | |||
Dividends | 363 | |||
Interest | 10 | |||
Total assets | 545,680 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 7,862 | |||
Payable for: | ||||
Management fees | 590 | |||
Securities purchased | 358 | |||
Transfer agent and administrative fees | 186 | |||
Investor service fees | 173 | |||
Portfolio accounting fees | 69 | |||
Fund shares redeemed | 56 | |||
Trustees’ fees* | 34 | |||
Miscellaneous | 3,549 | |||
Total liabilities | 12,877 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 532,803 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,302,727 | ||
Total distributable earnings (loss) | (7,769,924 | ) | ||
Net assets | $ | 532,803 | ||
Capital shares outstanding | 16,768 | |||
Net asset value per share | $ | 31.77 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 7,893 | ||
Interest | 3,265 | |||
Total investment income | 11,158 | |||
Expenses: | ||||
Management fees | 9,318 | |||
Investor service fees | 2,588 | |||
Transfer agent and administrative fees | 2,785 | |||
Professional fees | 1,948 | |||
Portfolio accounting fees | 1,035 | |||
Trustees’ fees* | 222 | |||
Custodian fees | 167 | |||
Miscellaneous | 1,853 | |||
Total expenses | 19,916 | |||
Less: | ||||
Expenses waived by Adviser | (508 | ) | ||
Net expenses | 19,408 | |||
Net investment loss | (8,250 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (43,769 | ) | ||
Swap agreements | (788,065 | ) | ||
Futures contracts | 59,207 | |||
Net realized loss | (772,627 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in affiliated issuers | 374 | |||
Swap agreements | (10,030 | ) | ||
Net change in unrealized appreciation (depreciation) | (9,656 | ) | ||
Net realized and unrealized loss | (782,283 | ) | ||
Net decrease in net assets resulting from operations | $ | (790,533 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 39 |
INVERSE NASDAQ-100® STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (8,250 | ) | $ | 12,149 | |||
Net realized loss on investments | (772,627 | ) | (980,799 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (9,656 | ) | 77,618 | |||||
Net decrease in net assets resulting from operations | (790,533 | ) | (891,032 | ) | ||||
Distributions to shareholders | — | (7,340 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 18,651,749 | 20,383,557 | ||||||
Distributions reinvested | — | 7,340 | ||||||
Cost of shares redeemed | (17,920,655 | ) | (26,715,526 | ) | ||||
Net increase (decrease) from capital share transactions | 731,094 | (6,324,629 | ) | |||||
Net decrease in net assets | (59,439 | ) | (7,223,001 | ) | ||||
Net assets: | ||||||||
Beginning of period | 592,242 | 7,815,243 | ||||||
End of period | $ | 532,803 | $ | 592,242 | ||||
Capital share activity: | ||||||||
Shares sold | 473,237 | 417,235 | ||||||
Shares issued from reinvestment of distributions | — | 162 | ||||||
Shares redeemed | (470,839 | ) | (538,614 | ) | ||||
Net increase (decrease) in shares | 2,398 | (121,217 | ) |
40 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE NASDAQ-100® STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 41.21 | $ | 57.64 | $ | 59.28 | $ | 78.68 | $ | 86.94 | $ | 99.74 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.16 | ) | .34 | .32 | (.11 | ) | (.18 | ) | (1.36 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (9.28 | ) | (16.47 | ) | (1.96 | )g | (19.29 | ) | (8.08 | ) | (11.44 | ) | ||||||||||||
Total from investment operations | (9.44 | ) | (16.13 | ) | (1.64 | ) | (19.40 | ) | (8.26 | ) | (12.80 | ) | ||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.30 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.30 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 31.77 | $ | 41.21 | $ | 57.64 | $ | 59.28 | $ | 78.68 | $ | 86.94 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (22.91 | %) | (28.01 | %) | (2.77 | %) | (24.66 | %) | (9.48 | %) | (12.87 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 533 | $ | 592 | $ | 7,815 | $ | 772 | $ | 2,652 | $ | 1,527 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.80 | %) | 0.70 | % | 0.58 | % | (0.17 | %) | (0.78 | %) | (1.47 | %) | ||||||||||||
Total expensesd | 1.92 | % | 1.92 | % | 1.83 | % | 1.79 | % | 1.74 | % | 1.70 | % | ||||||||||||
Net expensese | 1.87 | % | 1.84 | % | �� | 1.83 | % | 1.79 | % | 1.74 | % | 1.70 | % | |||||||||||
Portfolio turnover rate | 472 | % | 418 | % | 136 | % | 119 | % | 382 | % | 406 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 |
Ten Largest Holdings (% of Total Net Assets) | |
Guggenheim Ultra Short Duration Fund — Institutional Class | 20.9% |
Guggenheim Strategy Fund II | 15.0% |
Microsoft Corp. | 2.7% |
Apple, Inc. | 2.6% |
Amazon.com, Inc. | 2.1% |
Facebook, Inc. — Class A | 1.0% |
Alphabet, Inc. — Class A | 0.8% |
Alphabet, Inc. — Class C | 0.7% |
Johnson & Johnson | 0.7% |
Berkshire Hathaway, Inc. — Class B | 0.6% |
Top Ten Total | 47.1% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® 2x Strategy Fund | (18.77%) | (3.06%) | 13.53% | 22.06% |
S&P 500 Index | (3.08%) | 7.51% | 10.73% | 13.99% |
* | 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. |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
S&P 500® 2x STRATEGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 45.4% | ||||||||
Technology - 10.4% | ||||||||
Microsoft Corp. | 2,177 | $ | 443,041 | |||||
Apple, Inc. | 1,170 | 426,816 | ||||||
Intel Corp. | 1,215 | 72,693 | ||||||
NVIDIA Corp. | 177 | 67,244 | ||||||
Adobe, Inc.* | 138 | 60,073 | ||||||
salesforce.com, Inc.* | 258 | 48,331 | ||||||
Accenture plc — Class A | 182 | 39,079 | ||||||
Broadcom, Inc. | 115 | 36,295 | ||||||
Texas Instruments, Inc. | 263 | 33,393 | ||||||
Oracle Corp. | 598 | 33,051 | ||||||
International Business Machines Corp. | 255 | 30,796 | ||||||
QUALCOMM, Inc. | 323 | 29,461 | ||||||
Fidelity National Information Services, Inc. | 177 | 23,734 | ||||||
ServiceNow, Inc.* | 55 | 22,278 | ||||||
Intuit, Inc. | 75 | 22,214 | ||||||
Advanced Micro Devices, Inc.* | 336 | 17,677 | ||||||
Activision Blizzard, Inc. | 220 | 16,698 | ||||||
Micron Technology, Inc.* | 319 | 16,435 | ||||||
Applied Materials, Inc. | 263 | 15,898 | ||||||
Fiserv, Inc.* | 161 | 15,717 | ||||||
Autodesk, Inc.* | 63 | 15,069 | ||||||
Lam Research Corp. | 42 | 13,585 | ||||||
Analog Devices, Inc. | 105 | 12,877 | ||||||
Electronic Arts, Inc.* | 82 | 10,828 | ||||||
Cognizant Technology Solutions Corp. — Class A | 155 | 8,807 | ||||||
KLA Corp. | 45 | 8,752 | ||||||
Synopsys, Inc.* | 43 | 8,385 | ||||||
MSCI, Inc. — Class A | 24 | 8,012 | ||||||
Cadence Design Systems, Inc.* | 80 | 7,677 | ||||||
Microchip Technology, Inc. | 70 | 7,372 | ||||||
ANSYS, Inc.* | 25 | 7,293 | ||||||
HP, Inc. | 411 | 7,164 | ||||||
Paychex, Inc. | 91 | 6,893 | ||||||
Xilinx, Inc. | 69 | 6,789 | ||||||
Skyworks Solutions, Inc. | 48 | 6,137 | ||||||
Cerner Corp. | 87 | 5,964 | ||||||
Fortinet, Inc.* | 39 | 5,354 | ||||||
Akamai Technologies, Inc.* | 47 | 5,033 | ||||||
Citrix Systems, Inc. | 33 | 4,881 | ||||||
Maxim Integrated Products, Inc. | 77 | 4,667 | ||||||
Take-Two Interactive Software, Inc.* | 33 | 4,606 | ||||||
Broadridge Financial Solutions, Inc. | 33 | 4,164 | ||||||
Jack Henry & Associates, Inc. | 22 | 4,049 | ||||||
Paycom Software, Inc.* | 13 | 4,027 | ||||||
Zebra Technologies Corp. — Class A* | 15 | 3,839 | ||||||
Tyler Technologies, Inc.* | 11 | 3,816 | ||||||
Western Digital Corp. | 86 | 3,797 | ||||||
Qorvo, Inc.* | 33 | 3,648 | ||||||
Hewlett Packard Enterprise Co. | 369 | 3,590 | ||||||
Leidos Holdings, Inc. | 38 | 3,559 | ||||||
Seagate Technology plc | 65 | 3,147 | ||||||
NetApp, Inc. | 63 | 2,795 | ||||||
IPG Photonics Corp.* | 10 | 1,604 | ||||||
DXC Technology Co. | 73 | 1,205 | ||||||
Xerox Holdings Corp. | 53 | 811 | ||||||
Total Technology | 1,681,120 | |||||||
Consumer, Non-cyclical - 10.2% | ||||||||
Johnson & Johnson | 756 | 106,316 | ||||||
Procter & Gamble Co. | 710 | 84,895 | ||||||
UnitedHealth Group, Inc. | 272 | 80,226 | ||||||
PayPal Holdings, Inc.* | 337 | 58,716 | ||||||
Merck & Company, Inc. | 725 | 56,064 | ||||||
PepsiCo, Inc. | 398 | 52,639 | ||||||
Pfizer, Inc. | 1,595 | 52,157 | ||||||
AbbVie, Inc. | 506 | 49,679 | ||||||
Coca-Cola Co. | 1,110 | 49,595 | ||||||
Abbott Laboratories | 508 | 46,446 | ||||||
Thermo Fisher Scientific, Inc. | 112 | 40,582 | ||||||
Eli Lilly & Co. | 242 | 39,732 | ||||||
Amgen, Inc. | 168 | 39,625 | ||||||
Bristol-Myers Squibb Co. | 650 | 38,220 | ||||||
Medtronic plc | 385 | 35,304 | ||||||
Danaher Corp. | 181 | 32,006 | ||||||
Philip Morris International, Inc. | 446 | 31,247 | ||||||
Gilead Sciences, Inc. | 360 | 27,698 | ||||||
CVS Health Corp. | 375 | 24,364 | ||||||
S&P Global, Inc. | 69 | 22,734 | ||||||
Vertex Pharmaceuticals, Inc.* | 74 | 21,483 | ||||||
Mondelez International, Inc. — Class A | 410 | 20,963 | ||||||
Altria Group, Inc. | 534 | 20,959 | ||||||
Becton Dickinson and Co. | 85 | 20,338 | ||||||
Cigna Corp. | 106 | 19,891 | ||||||
Anthem, Inc. | 72 | 18,935 | ||||||
Intuitive Surgical, Inc.* | 33 | 18,804 | ||||||
Zoetis, Inc. | 136 | 18,637 | ||||||
Automatic Data Processing, Inc. | 123 | 18,313 | ||||||
Regeneron Pharmaceuticals, Inc.* | 29 | 18,086 | ||||||
Colgate-Palmolive Co. | 246 | 18,022 | ||||||
Stryker Corp. | 93 | 16,758 | ||||||
Illumina, Inc.* | 42 | 15,555 | ||||||
Global Payments, Inc. | 85 | 14,418 | ||||||
Boston Scientific Corp.* | 410 | 14,395 | ||||||
Humana, Inc. | 37 | 14,347 | ||||||
Kimberly-Clark Corp. | 98 | 13,852 | ||||||
Moody’s Corp. | 46 | 12,638 | ||||||
Biogen, Inc.* | 47 | 12,575 | ||||||
Baxter International, Inc. | 146 | 12,571 | ||||||
Edwards Lifesciences Corp.* | 178 | 12,302 | ||||||
Estee Lauder Companies, Inc. — Class A | 64 | 12,075 | ||||||
General Mills, Inc. | 173 | 10,666 | ||||||
Centene Corp.* | 166 | 10,549 | ||||||
DexCom, Inc.* | 26 | 10,540 | ||||||
IHS Markit Ltd. | 115 | 8,683 | ||||||
Constellation Brands, Inc. — Class A | 48 | 8,398 | ||||||
Verisk Analytics, Inc. — Class A | 47 | 7,999 | ||||||
Sysco Corp. | 146 | 7,980 | ||||||
IDEXX Laboratories, Inc.* | 24 | 7,924 | ||||||
Clorox Co. | 36 | 7,898 | ||||||
ResMed, Inc. | 41 | 7,872 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
S&P 500® 2x STRATEGY FUND |
| Shares | Value | ||||||
Kroger Co. | 226 | $ | 7,650 | |||||
Monster Beverage Corp.* | 107 | 7,417 | ||||||
HCA Healthcare, Inc. | 76 | 7,377 | ||||||
IQVIA Holdings, Inc.* | 51 | 7,236 | ||||||
Alexion Pharmaceuticals, Inc.* | 63 | 7,071 | ||||||
McKesson Corp. | 46 | 7,057 | ||||||
Zimmer Biomet Holdings, Inc. | 59 | 7,042 | ||||||
Cintas Corp. | 24 | 6,393 | ||||||
Archer-Daniels-Midland Co. | 159 | 6,344 | ||||||
McCormick & Company, Inc. | 35 | 6,279 | ||||||
FleetCor Technologies, Inc.* | 24 | 6,037 | ||||||
Equifax, Inc. | 34 | 5,844 | ||||||
Corteva, Inc. | 215 | 5,760 | ||||||
Kraft Heinz Co. | 179 | 5,708 | ||||||
MarketAxess Holdings, Inc. | 11 | 5,510 | ||||||
Align Technology, Inc.* | 20 | 5,489 | ||||||
Hershey Co. | 42 | 5,444 | ||||||
Church & Dwight Company, Inc. | 70 | 5,411 | ||||||
Incyte Corp.* | 52 | 5,406 | ||||||
Tyson Foods, Inc. — Class A | 83 | 4,956 | ||||||
Conagra Brands, Inc. | 140 | 4,924 | ||||||
West Pharmaceutical Services, Inc. | 21 | 4,771 | ||||||
Kellogg Co. | 72 | 4,756 | ||||||
Teleflex, Inc. | 13 | 4,732 | ||||||
Laboratory Corporation of America Holdings* | 27 | 4,485 | ||||||
AmerisourceBergen Corp. — Class A | 43 | 4,333 | ||||||
Cardinal Health, Inc. | 83 | 4,332 | ||||||
Quest Diagnostics, Inc. | 38 | 4,330 | ||||||
Hologic, Inc.* | 74 | 4,218 | ||||||
Cooper Companies, Inc. | 14 | 3,971 | ||||||
Hormel Foods Corp. | 80 | 3,862 | ||||||
STERIS plc | 23 | 3,529 | ||||||
JM Smucker Co. | 33 | 3,492 | ||||||
Brown-Forman Corp. — Class B | 52 | 3,310 | ||||||
ABIOMED, Inc.* | 13 | 3,140 | ||||||
United Rentals, Inc.* | 21 | 3,130 | ||||||
Varian Medical Systems, Inc.* | 25 | 3,063 | ||||||
Gartner, Inc.* | 25 | 3,033 | ||||||
Dentsply Sirona, Inc. | 63 | 2,776 | ||||||
Avery Dennison Corp. | 24 | 2,738 | ||||||
Bio-Rad Laboratories, Inc. — Class A* | 6 | 2,709 | ||||||
Lamb Weston Holdings, Inc. | 42 | 2,685 | ||||||
Campbell Soup Co. | 49 | 2,432 | ||||||
Henry Schein, Inc.* | 41 | 2,394 | ||||||
Mylan N.V.* | 148 | 2,380 | ||||||
Perrigo Company plc | 39 | 2,156 | ||||||
Universal Health Services, Inc. — Class B | 22 | 2,044 | ||||||
DaVita, Inc.* | 24 | 1,899 | ||||||
Molson Coors Beverage Co. — Class B | 53 | 1,821 | ||||||
Robert Half International, Inc. | 33 | 1,743 | ||||||
Rollins, Inc. | 39 | 1,653 | ||||||
Quanta Services, Inc. | 40 | 1,569 | ||||||
Nielsen Holdings plc | 102 | 1,516 | ||||||
H&R Block, Inc. | 55 | 785 | ||||||
Coty, Inc. — Class A | 85 | 380 | ||||||
Total Consumer, Non-cyclical | 1,653,193 | |||||||
Communications - 7.5% | ||||||||
Amazon.com, Inc.* | 120 | 331,059 | ||||||
Facebook, Inc. — Class A* | 690 | 156,678 | ||||||
Alphabet, Inc. — Class A* | 86 | 121,952 | ||||||
Alphabet, Inc. — Class C* | 84 | 118,743 | ||||||
Verizon Communications, Inc. | 1,188 | 65,494 | ||||||
AT&T, Inc. | 2,045 | 61,820 | ||||||
Walt Disney Co. | 519 | 57,874 | ||||||
Netflix, Inc.* | 126 | 57,335 | ||||||
Cisco Systems, Inc. | 1,217 | 56,761 | ||||||
Comcast Corp. — Class A | 1,308 | 50,986 | ||||||
Charter Communications, Inc. — Class A* | 43 | 21,932 | ||||||
Booking Holdings, Inc.* | 12 | 19,108 | ||||||
T-Mobile US, Inc.* | 163 | 16,976 | ||||||
eBay, Inc. | 189 | 9,913 | ||||||
Motorola Solutions, Inc. | 49 | 6,866 | ||||||
Twitter, Inc.* | 225 | 6,703 | ||||||
VeriSign, Inc.* | 29 | 5,998 | ||||||
Corning, Inc. | 218 | 5,646 | ||||||
CDW Corp. | 41 | 4,763 | ||||||
ViacomCBS, Inc. — Class B | 155 | 3,615 | ||||||
Omnicom Group, Inc. | 61 | 3,331 | ||||||
Arista Networks, Inc.* | 15 | 3,151 | ||||||
E*TRADE Financial Corp. | 63 | 3,133 | ||||||
Expedia Group, Inc. | 38 | 3,124 | ||||||
NortonLifeLock, Inc. | 156 | 3,094 | ||||||
CenturyLink, Inc. | 283 | 2,839 | ||||||
Fox Corp. — Class A | 98 | 2,628 | ||||||
DISH Network Corp. — Class A* | 74 | 2,554 | ||||||
F5 Networks, Inc.* | 17 | 2,371 | ||||||
Juniper Networks, Inc. | 94 | 2,149 | ||||||
Interpublic Group of Companies, Inc. | 112 | 1,922 | ||||||
Discovery, Inc. — Class C* | 90 | 1,733 | ||||||
News Corp. — Class A | 112 | 1,328 | ||||||
Fox Corp. — Class B | 45 | 1,208 | ||||||
Discovery, Inc. — Class A* | 46 | 970 | ||||||
News Corp. — Class B | 35 | 418 | ||||||
Total Communications | 1,216,175 | |||||||
Financial - 6.6% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 558 | 99,609 | ||||||
Visa, Inc. — Class A | 484 | 93,494 | ||||||
JPMorgan Chase & Co. | 875 | 82,303 | ||||||
Mastercard, Inc. — Class A | 254 | 75,108 | ||||||
Bank of America Corp. | 2,242 | 53,247 | ||||||
American Tower Corp. — Class A REIT | 126 | 32,576 | ||||||
Citigroup, Inc. | 598 | 30,558 | ||||||
Wells Fargo & Co. | 1,071 | 27,418 | ||||||
BlackRock, Inc. — Class A | 43 | 23,396 | ||||||
Crown Castle International Corp. REIT | 119 | 19,915 | ||||||
Prologis, Inc. REIT | 212 | 19,786 | ||||||
American Express Co. | 189 | 17,993 | ||||||
Goldman Sachs Group, Inc. | 89 | 17,588 | ||||||
Equinix, Inc. REIT | 25 | 17,557 |
44 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
S&P 500® 2x STRATEGY FUND |
| Shares | Value | ||||||
CME Group, Inc. — Class A | 103 | $ | 16,742 | |||||
Morgan Stanley | 344 | 16,615 | ||||||
Chubb Ltd. | 130 | 16,461 | ||||||
Marsh & McLennan Companies, Inc. | 146 | 15,676 | ||||||
Truist Financial Corp. | 386 | 14,494 | ||||||
U.S. Bancorp | 393 | 14,470 | ||||||
Intercontinental Exchange, Inc. | 157 | 14,381 | ||||||
Progressive Corp. | 168 | 13,459 | ||||||
PNC Financial Services Group, Inc. | 122 | 12,836 | ||||||
Aon plc — Class A | 66 | 12,712 | ||||||
Charles Schwab Corp. | 329 | 11,100 | ||||||
Digital Realty Trust, Inc. REIT | 77 | 10,942 | ||||||
SBA Communications Corp. REIT | 32 | 9,533 | ||||||
Bank of New York Mellon Corp. | 231 | 8,928 | ||||||
Allstate Corp. | 89 | 8,632 | ||||||
Travelers Companies, Inc. | 73 | 8,326 | ||||||
Public Storage REIT | 43 | 8,251 | ||||||
Capital One Financial Corp. | 131 | 8,199 | ||||||
MetLife, Inc. | 221 | 8,071 | ||||||
T. Rowe Price Group, Inc. | 65 | 8,027 | ||||||
American International Group, Inc. | 247 | 7,701 | ||||||
Aflac, Inc. | 206 | 7,422 | ||||||
Willis Towers Watson plc | 37 | 7,287 | ||||||
Prudential Financial, Inc. | 113 | 6,882 | ||||||
State Street Corp. | 101 | 6,419 | ||||||
Welltower, Inc. REIT | 120 | 6,210 | ||||||
AvalonBay Communities, Inc. REIT | 40 | 6,186 | ||||||
Simon Property Group, Inc. REIT | 88 | 6,017 | ||||||
Realty Income Corp. REIT | 99 | 5,891 | ||||||
Equity Residential REIT | 100 | 5,882 | ||||||
Alexandria Real Estate Equities, Inc. REIT | 36 | 5,841 | ||||||
Arthur J Gallagher & Co. | 54 | 5,264 | ||||||
Ameriprise Financial, Inc. | 35 | 5,251 | ||||||
First Republic Bank | 49 | 5,194 | ||||||
Weyerhaeuser Co. REIT | 213 | 4,784 | ||||||
Northern Trust Corp. | 60 | 4,760 | ||||||
Discover Financial Services | 87 | 4,358 | ||||||
CBRE Group, Inc. — Class A* | 96 | 4,341 | ||||||
Healthpeak Properties, Inc. REIT | 155 | 4,272 | ||||||
Essex Property Trust, Inc. REIT | 18 | 4,125 | ||||||
Hartford Financial Services Group, Inc. | 103 | 3,971 | ||||||
Nasdaq, Inc. | 33 | 3,943 | ||||||
Fifth Third Bancorp | 204 | 3,933 | ||||||
Ventas, Inc. REIT | 107 | 3,918 | ||||||
M&T Bank Corp. | 37 | 3,847 | ||||||
Mid-America Apartment Communities, Inc. REIT | 33 | 3,784 | ||||||
Duke Realty Corp. REIT | 106 | 3,751 | ||||||
Boston Properties, Inc. REIT | 41 | 3,706 | ||||||
Extra Space Storage, Inc. REIT | 37 | 3,418 | ||||||
Synchrony Financial | 154 | 3,413 | ||||||
KeyCorp | 279 | 3,398 | ||||||
SVB Financial Group* | 15 | 3,233 | ||||||
UDR, Inc. REIT | 85 | 3,177 | ||||||
Citizens Financial Group, Inc. | 122 | 3,079 | ||||||
Regions Financial Corp. | 275 | 3,058 | ||||||
Principal Financial Group, Inc. | 72 | 2,991 | ||||||
Cboe Global Markets, Inc. | 31 | 2,892 | ||||||
Cincinnati Financial Corp. | 43 | 2,753 | ||||||
Huntington Bancshares, Inc. | 291 | 2,629 | ||||||
Western Union Co. | 118 | 2,551 | ||||||
Raymond James Financial, Inc. | 35 | 2,409 | ||||||
Loews Corp. | 69 | 2,366 | ||||||
W R Berkley Corp. | 40 | 2,292 | ||||||
Everest Re Group Ltd. | 11 | 2,268 | ||||||
Regency Centers Corp. REIT | 48 | 2,203 | ||||||
Host Hotels & Resorts, Inc. REIT | 202 | 2,180 | ||||||
Iron Mountain, Inc. REIT | 83 | 2,166 | ||||||
Globe Life, Inc. | 28 | 2,078 | ||||||
Lincoln National Corp. | 55 | 2,023 | ||||||
Vornado Realty Trust REIT | 46 | 1,758 | ||||||
Assurant, Inc. | 17 | 1,756 | ||||||
Franklin Resources, Inc. | 79 | 1,657 | ||||||
Federal Realty Investment Trust REIT | 19 | 1,619 | ||||||
Apartment Investment & Management Co. — Class A REIT | 43 | 1,619 | ||||||
Zions Bancorp North America | 47 | 1,598 | ||||||
Kimco Realty Corp. REIT | 124 | 1,592 | ||||||
Comerica, Inc. | 40 | 1,524 | ||||||
People’s United Financial, Inc. | 122 | 1,412 | ||||||
Invesco Ltd. | 108 | 1,162 | ||||||
SL Green Realty Corp. REIT | 22 | 1,084 | ||||||
Unum Group | 58 | 962 | ||||||
Total Financial | 1,067,663 | |||||||
Industrial - 3.6% | ||||||||
Union Pacific Corp. | 195 | 32,969 | ||||||
Honeywell International, Inc. | 201 | 29,062 | ||||||
Boeing Co. | 153 | 28,045 | ||||||
Raytheon Technologies Corp. | 422 | 26,004 | ||||||
Lockheed Martin Corp. | 71 | 25,909 | ||||||
3M Co. | 165 | 25,738 | ||||||
United Parcel Service, Inc. — Class B | 202 | 22,458 | ||||||
Caterpillar, Inc. | 154 | 19,481 | ||||||
General Electric Co. | 2,511 | 17,150 | ||||||
CSX Corp. | 220 | 15,343 | ||||||
Illinois Tool Works, Inc. | 82 | 14,338 | ||||||
Deere & Co. | 90 | 14,143 | ||||||
Northrop Grumman Corp. | 45 | 13,835 | ||||||
Norfolk Southern Corp. | 73 | 12,817 | ||||||
Waste Management, Inc. | 111 | 11,756 | ||||||
Roper Technologies, Inc. | 30 | 11,648 | ||||||
Emerson Electric Co. | 171 | 10,607 | ||||||
L3Harris Technologies, Inc. | 62 | 10,520 | ||||||
Eaton Corporation plc | 115 | 10,060 | ||||||
General Dynamics Corp. | 67 | 10,014 | ||||||
FedEx Corp. | 69 | 9,675 | ||||||
Amphenol Corp. — Class A | 84 | 8,048 | ||||||
Agilent Technologies, Inc. | 88 | 7,776 | ||||||
TE Connectivity Ltd. | 94 | 7,666 | ||||||
Johnson Controls International plc | 214 | 7,306 | ||||||
Rockwell Automation, Inc. | 33 | 7,029 | ||||||
Parker-Hannifin Corp. | 37 | 6,781 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
S&P 500® 2x STRATEGY FUND |
| Shares | Value | ||||||
Otis Worldwide Corp. | 117 | $ | 6,653 | |||||
Ball Corp. | 93 | 6,463 | ||||||
TransDigm Group, Inc. | 14 | 6,189 | ||||||
Trane Technologies plc | 69 | 6,140 | ||||||
Stanley Black & Decker, Inc. | 43 | 5,993 | ||||||
AMETEK, Inc. | 66 | 5,898 | ||||||
Fortive Corp. | 85 | 5,751 | ||||||
Mettler-Toledo International, Inc.* | 7 | 5,639 | ||||||
Keysight Technologies, Inc.* | 54 | 5,442 | ||||||
Carrier Global Corp. | 234 | 5,200 | ||||||
Republic Services, Inc. — Class A | 60 | 4,923 | ||||||
Amcor plc | 452 | 4,615 | ||||||
Old Dominion Freight Line, Inc. | 27 | 4,579 | ||||||
Vulcan Materials Co. | 37 | 4,286 | ||||||
Garmin Ltd. | 42 | 4,095 | ||||||
Kansas City Southern | 27 | 4,031 | ||||||
Dover Corp. | 41 | 3,959 | ||||||
Masco Corp. | 75 | 3,766 | ||||||
Martin Marietta Materials, Inc. | 18 | 3,718 | ||||||
Expeditors International of Washington, Inc. | 48 | 3,650 | ||||||
IDEX Corp. | 22 | 3,477 | ||||||
Teledyne Technologies, Inc.* | 11 | 3,420 | ||||||
Xylem, Inc. | 52 | 3,378 | ||||||
Waters Corp.* | 18 | 3,247 | ||||||
PerkinElmer, Inc. | 32 | 3,139 | ||||||
Jacobs Engineering Group, Inc. | 37 | 3,138 | ||||||
CH Robinson Worldwide, Inc. | 39 | 3,083 | ||||||
Westinghouse Air Brake Technologies Corp. | 52 | 2,994 | ||||||
J.B. Hunt Transport Services, Inc. | 24 | 2,888 | ||||||
Ingersoll Rand, Inc.* | 99 | 2,784 | ||||||
Packaging Corporation of America | 27 | 2,695 | ||||||
Allegion plc | 26 | 2,658 | ||||||
Fortune Brands Home & Security, Inc. | 40 | 2,557 | ||||||
Snap-on, Inc. | 16 | 2,216 | ||||||
Textron, Inc. | 65 | 2,139 | ||||||
Westrock Co. | 74 | 2,091 | ||||||
Huntington Ingalls Industries, Inc. | 11 | 1,919 | ||||||
A O Smith Corp. | 39 | 1,838 | ||||||
Pentair plc | 47 | 1,785 | ||||||
Howmet Aerospace, Inc. | 110 | 1,743 | ||||||
FLIR Systems, Inc. | 38 | 1,542 | ||||||
Sealed Air Corp. | 45 | 1,478 | ||||||
Flowserve Corp. | 37 | 1,055 | ||||||
Total Industrial | 574,432 | |||||||
Consumer, Cyclical - 3.5% | ||||||||
Home Depot, Inc. | 309 | 77,408 | ||||||
Walmart, Inc. | 406 | 48,631 | ||||||
McDonald’s Corp. | 213 | 39,292 | ||||||
Costco Wholesale Corp. | 127 | 38,508 | ||||||
NIKE, Inc. — Class B | 356 | 34,906 | ||||||
Lowe’s Companies, Inc. | 217 | 29,321 | ||||||
Starbucks Corp. | 335 | 24,653 | ||||||
TJX Companies, Inc. | 343 | 17,342 | ||||||
Target Corp. | 143 | 17,150 | ||||||
Dollar General Corp. | 72 | 13,717 | ||||||
General Motors Co. | 362 | 9,158 | ||||||
Walgreens Boots Alliance, Inc. | 212 | 8,987 | ||||||
O’Reilly Automotive, Inc.* | 21 | 8,855 | ||||||
Ross Stores, Inc. | 101 | 8,609 | ||||||
AutoZone, Inc.* | 7 | 7,897 | ||||||
Yum! Brands, Inc. | 86 | 7,474 | ||||||
PACCAR, Inc. | 99 | 7,410 | ||||||
Chipotle Mexican Grill, Inc. — Class A* | 7 | 7,366 | ||||||
Cummins, Inc. | 42 | 7,277 | ||||||
Fastenal Co. | 164 | 7,026 | ||||||
Ford Motor Co. | 1,121 | 6,816 | ||||||
Marriott International, Inc. — Class A | 77 | 6,601 | ||||||
Dollar Tree, Inc.* | 68 | 6,302 | ||||||
Hilton Worldwide Holdings, Inc. | 79 | 5,802 | ||||||
Best Buy Company, Inc. | 65 | 5,672 | ||||||
VF Corp. | 91 | 5,546 | ||||||
Southwest Airlines Co. | 154 | 5,264 | ||||||
DR Horton, Inc. | 94 | 5,212 | ||||||
Copart, Inc.* | 59 | 4,913 | ||||||
Lennar Corp. — Class A | 78 | 4,807 | ||||||
Delta Air Lines, Inc. | 163 | 4,572 | ||||||
Las Vegas Sands Corp. | 96 | 4,372 | ||||||
Aptiv plc | 55 | 4,285 | ||||||
Tractor Supply Co. | 32 | 4,217 | ||||||
CarMax, Inc.* | 46 | 4,119 | ||||||
Domino’s Pizza, Inc. | 11 | 4,064 | ||||||
Tiffany & Co. | 31 | 3,780 | ||||||
WW Grainger, Inc. | 12 | 3,770 | ||||||
Genuine Parts Co. | 41 | 3,565 | ||||||
NVR, Inc.* | 1 | 3,259 | ||||||
Ulta Beauty, Inc.* | 16 | 3,255 | ||||||
Darden Restaurants, Inc. | 37 | 2,803 | ||||||
Advance Auto Parts, Inc. | 19 | 2,707 | ||||||
Hasbro, Inc. | 36 | 2,698 | ||||||
United Airlines Holdings, Inc.* | 72 | 2,492 | ||||||
Royal Caribbean Cruises Ltd.1 | 49 | 2,465 | ||||||
PulteGroup, Inc. | 72 | 2,450 | ||||||
MGM Resorts International | 142 | 2,386 | ||||||
Whirlpool Corp. | 18 | 2,331 | ||||||
LKQ Corp.* | 87 | 2,279 | ||||||
Carnival Corp. | 136 | 2,233 | ||||||
Wynn Resorts Ltd. | 28 | 2,086 | ||||||
BorgWarner, Inc. | 59 | 2,083 | ||||||
American Airlines Group, Inc. | 143 | 1,869 | ||||||
Live Nation Entertainment, Inc.* | 41 | 1,817 | ||||||
Newell Brands, Inc. | 109 | 1,731 | ||||||
Mohawk Industries, Inc.* | 17 | 1,730 | ||||||
Leggett & Platt, Inc. | 37 | 1,301 | ||||||
Alaska Air Group, Inc. | 35 | 1,269 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 74 | 1,216 | ||||||
Hanesbrands, Inc. | 100 | 1,129 | ||||||
Tapestry, Inc. | 79 | 1,049 | ||||||
Ralph Lauren Corp. — Class A | 14 | 1,015 | ||||||
L Brands, Inc. | 66 | 988 | ||||||
PVH Corp. | 20 | 961 | ||||||
Kohl’s Corp. | 45 | 935 |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
S&P 500® 2x STRATEGY FUND |
| Shares | Value | ||||||
Gap, Inc. | 60 | $ | 757 | |||||
Under Armour, Inc. — Class A* | 54 | 526 | ||||||
Under Armour, Inc. — Class C* | 56 | 495 | ||||||
Total Consumer, Cyclical | 568,981 | |||||||
Utilities - 1.4% | ||||||||
NextEra Energy, Inc. | 141 | 33,864 | ||||||
Dominion Energy, Inc. | 241 | 19,564 | ||||||
Duke Energy Corp. | 211 | 16,857 | ||||||
Southern Co. | 303 | 15,711 | ||||||
American Electric Power Company, Inc. | 142 | 11,309 | ||||||
Exelon Corp. | 280 | 10,161 | ||||||
Sempra Energy | 83 | 9,730 | ||||||
Xcel Energy, Inc. | 150 | 9,375 | ||||||
Eversource Energy | 97 | 8,077 | ||||||
WEC Energy Group, Inc. | 90 | 7,888 | ||||||
Public Service Enterprise Group, Inc. | 145 | 7,128 | ||||||
Consolidated Edison, Inc. | 96 | 6,905 | ||||||
American Water Works Company, Inc. | 51 | 6,562 | ||||||
FirstEnergy Corp. | 156 | 6,050 | ||||||
DTE Energy Co. | 55 | 5,912 | ||||||
Edison International | 108 | 5,865 | ||||||
PPL Corp. | 220 | 5,685 | ||||||
Entergy Corp. | 57 | 5,347 | ||||||
Ameren Corp. | 71 | 4,996 | ||||||
CMS Energy Corp. | 82 | 4,790 | ||||||
Evergy, Inc. | 65 | 3,854 | ||||||
Atmos Energy Corp. | 35 | 3,485 | ||||||
Alliant Energy Corp. | 71 | 3,397 | ||||||
CenterPoint Energy, Inc. | 156 | 2,913 | ||||||
AES Corp. | 191 | 2,768 | ||||||
NiSource, Inc. | 110 | 2,502 | ||||||
NRG Energy, Inc. | 70 | 2,279 | ||||||
Pinnacle West Capital Corp. | 31 | 2,272 | ||||||
Total Utilities | 225,246 | |||||||
Energy - 1.3% | ||||||||
Exxon Mobil Corp. | 1,214 | 54,290 | ||||||
Chevron Corp. | 536 | 47,827 | ||||||
ConocoPhillips | 308 | 12,942 | ||||||
Phillips 66 | 125 | 8,988 | ||||||
Kinder Morgan, Inc. | 558 | 8,465 | ||||||
EOG Resources, Inc. | 167 | 8,460 | ||||||
Schlumberger Ltd. | 398 | 7,319 | ||||||
Marathon Petroleum Corp. | 187 | 6,990 | ||||||
Valero Energy Corp. | 117 | 6,882 | ||||||
Williams Companies, Inc. | 348 | 6,619 | ||||||
Occidental Petroleum Corp. | 258 | 4,721 | ||||||
Pioneer Natural Resources Co. | 47 | 4,592 | ||||||
Hess Corp. | 75 | 3,886 | ||||||
Halliburton Co. | 252 | 3,271 | ||||||
Baker Hughes Co. | 188 | 2,893 | ||||||
Concho Resources, Inc. | 56 | 2,884 | ||||||
ONEOK, Inc. | 85 | 2,824 | ||||||
Cabot Oil & Gas Corp. — Class A | 114 | 1,959 | ||||||
Diamondback Energy, Inc. | 45 | 1,882 | ||||||
Apache Corp. | 108 | 1,458 | ||||||
Marathon Oil Corp. | 226 | 1,383 | ||||||
National Oilwell Varco, Inc. | 111 | 1,360 | ||||||
HollyFrontier Corp. | 43 | 1,256 | ||||||
Devon Energy Corp. | 110 | 1,247 | ||||||
Noble Energy, Inc. | 138 | 1,236 | ||||||
TechnipFMC plc | 120 | 821 | ||||||
Total Energy | 206,455 | |||||||
Basic Materials - 0.9% | ||||||||
Linde plc | 151 | 32,029 | ||||||
Air Products & Chemicals, Inc. | 63 | 15,212 | ||||||
Newmont Corp. | 230 | 14,200 | ||||||
Ecolab, Inc. | 70 | 13,926 | ||||||
Sherwin-Williams Co. | 23 | 13,291 | ||||||
DuPont de Nemours, Inc. | 211 | 11,210 | ||||||
Dow, Inc. | 213 | 8,682 | ||||||
PPG Industries, Inc. | 68 | 7,212 | ||||||
Freeport-McMoRan, Inc. | 417 | 4,825 | ||||||
LyondellBasell Industries N.V. — Class A | 73 | 4,798 | ||||||
International Paper Co. | 112 | 3,944 | ||||||
International Flavors & Fragrances, Inc.1 | 30 | 3,674 | ||||||
FMC Corp. | 36 | 3,586 | ||||||
Nucor Corp. | 86 | 3,561 | ||||||
Celanese Corp. — Class A | 34 | 2,936 | ||||||
Eastman Chemical Co. | 39 | 2,716 | ||||||
Albemarle Corp. | 31 | 2,393 | ||||||
CF Industries Holdings, Inc. | 61 | 1,716 | ||||||
Mosaic Co. | 100 | 1,251 | ||||||
Total Basic Materials | 151,162 | |||||||
Total Common Stocks | ||||||||
(Cost $6,973,542) | 7,344,427 | |||||||
RIGHTS† - 0.0% | ||||||||
Communications - 0.0% | ||||||||
T-Mobile US, Inc. Expires 07/27/20* | 95 | 16 | ||||||
Total Rights | ||||||||
(Cost $—) | 16 | |||||||
MUTUAL FUNDS† - 35.9% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 340,413 | 3,376,899 | ||||||
Guggenheim Strategy Fund II2 | 97,962 | 2,422,611 | ||||||
Total Mutual Funds | ||||||||
(Cost $5,683,340) | 5,799,510 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
S&P 500® 2x STRATEGY FUND |
| Face | Value | ||||||
U.S. TREASURY BILLS†† - 14.0% | ||||||||
U.S. Treasury Bills | ||||||||
0.16% due 09/17/203,4 | $ | 1,300,000 | $ | 1,299,592 | ||||
0.15% due 09/17/203,4 | 800,000 | 799,749 | ||||||
0.15% due 07/23/204 | 121,000 | 120,991 | ||||||
0.13% due 09/17/203,4 | 46,000 | 45,985 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $2,266,228) | 2,266,317 | |||||||
REPURCHASE AGREEMENTS††,5 - 10.0% | ||||||||
J.P. Morgan Securities LLC | 897,942 | 897,942 | ||||||
BofA Securities, Inc. | 371,879 | 371,879 | ||||||
Barclays Capital, Inc. | 349,566 | 349,566 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,619,387) | 1,619,387 |
| Shares | |||||||
SECURITIES LENDING COLLATERAL†,6 - 0.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%7 | 683 | 683 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $683) | 683 | |||||||
Total Investments - 105.3% | ||||||||
(Cost $16,543,180) | $ | 17,030,340 | ||||||
Other Assets & Liabilities, net - (5.3)% | (854,132 | ) | ||||||
Total Net Assets - 100.0% | $ | 16,176,208 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
BNP Paribas | S&P 500 Index | 0.73% (1 Month USD LIBOR + 0.55%) | At Maturity | 07/29/20 | 2,455 | $ | 7,610,472 | $ | 106,115 | ||||||||||
Barclays Bank plc | S&P 500 Index | 0.56% (1 Week USD LIBOR + 0.45%) | At Maturity | 07/30/20 | 5,415 | 16,788,346 | 89,511 | ||||||||||||
Goldman Sachs International | S&P 500 Index | 0.56% (1 Week USD LIBOR + 0.45%) | At Maturity | 07/28/20 | 189 | 584,986 | 17,215 | ||||||||||||
$ | 24,983,804 | $ | 212,841 |
* | 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, 2020 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7-day yield as of June 30, 2020. |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
REIT — Real Estate Investment Trust | |
See Sector Classification in Other Information section. |
48 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
S&P 500® 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 7,344,427 | $ | — | $ | — | $ | 7,344,427 | ||||||||
Rights | 16 | — | — | 16 | ||||||||||||
Mutual Funds | 5,799,510 | — | — | 5,799,510 | ||||||||||||
U.S. Treasury Bills | — | 2,266,317 | — | 2,266,317 | ||||||||||||
Repurchase Agreements | — | 1,619,387 | — | 1,619,387 | ||||||||||||
Securities Lending Collateral | 683 | — | — | 683 | ||||||||||||
Total ReturnSwap Agreements** | — | 212,841 | — | 212,841 | ||||||||||||
Total Assets | $ | 13,144,636 | $ | 4,098,545 | $ | — | $ | 17,243,181 |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 13,211,039 | $ | 3,490,240 | $ | (14,300,000 | ) | $ | (79,565 | ) | $ | 100,897 | $ | 2,422,611 | 97,962 | $ | 40,930 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 15,212,806 | 8,577,506 | (20,450,000 | ) | (20,814 | ) | 57,401 | 3,376,899 | 340,413 | 53,218 | ||||||||||||||||||||||
$ | 28,423,845 | $ | 12,067,746 | $ | (34,750,000 | ) | $ | (100,379 | ) | $ | 158,298 | $ | 5,799,510 | $ | 94,148 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
S&P 500® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $669 of securities loaned (cost $9,240,453) | $ | 9,611,443 | ||
Investments in affiliated issuers, at value (cost $5,683,340) | 5,799,510 | |||
Repurchase agreements, at value (cost $1,619,387) | 1,619,387 | |||
Cash | 22 | |||
Unrealized appreciation on OTC swap agreements | 212,841 | |||
Receivables: | ||||
Fund shares sold | 556,663 | |||
Dividends | 12,651 | |||
Securities lending income | 9 | |||
Interest | 3 | |||
Total assets | 17,812,529 | |||
Liabilities: | ||||
Payable for: | ||||
Securities purchased | 1,508,742 | |||
Swap settlement | 47,255 | |||
Management fees | 15,280 | |||
Transfer agent and administrative fees | 4,852 | |||
Investor service fees | 4,509 | |||
Portfolio accounting fees | 1,803 | |||
Return of securities lending collateral | 683 | |||
Fund shares redeemed | 576 | |||
Trustees’ fees* | 504 | |||
Miscellaneous | 52,117 | |||
Total liabilities | 1,636,321 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 16,176,208 | ||
Net assets consist of: | ||||
Paid in capital | $ | 26,206,697 | ||
Total distributable earnings (loss) | (10,030,489 | ) | ||
Net assets | $ | 16,176,208 | ||
Capital shares outstanding | 63,582 | |||
Net asset value per share | $ | 254.41 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 100,873 | ||
Dividends from securities of affiliated issuers | 94,148 | |||
Interest | 37,307 | |||
Income from securities lending, net | 80 | |||
Total investment income | 232,408 | |||
Expenses: | ||||
Management fees | 127,054 | |||
Investor service fees | 35,293 | |||
Transfer agent and administrative fees | 37,975 | |||
Professional fees | 29,933 | |||
Portfolio accounting fees | 14,117 | |||
Trustees’ fees* | 4,477 | |||
Custodian fees | 2,724 | |||
Line of credit fees | 214 | |||
Miscellaneous | 13,408 | |||
Total expenses | 265,195 | |||
Less: | ||||
Expenses waived by Adviser | (7,484 | ) | ||
Net expenses | 257,711 | |||
Net investment loss | (25,303 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (5,055,001 | ) | ||
Investments in affiliated issuers | (100,379 | ) | ||
Swap agreements | (6,245,413 | ) | ||
Futures contracts | (5,024,751 | ) | ||
Net realized loss | (16,425,544 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (212,583 | ) | ||
Investments in affiliated issuers | 158,298 | |||
Swap agreements | 320,422 | |||
Futures contracts | (436,792 | ) | ||
Net change in unrealized appreciation (depreciation) | (170,655 | ) | ||
Net realized and unrealized loss | (16,596,199 | ) | ||
Net decrease in net assets resulting from operations | $ | (16,621,502 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
S&P 500® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (25,303 | ) | $ | 253,532 | |||
Net realized gain (loss) on investments | (16,425,544 | ) | 18,903,348 | |||||
Net change in unrealized appreciation (depreciation) on investments | (170,655 | ) | 254,229 | |||||
Net increase (decrease) in net assets resulting from operations | (16,621,502 | ) | 19,411,109 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 231,076,792 | 197,656,279 | ||||||
Cost of shares redeemed | (252,474,839 | ) | (194,048,996 | ) | ||||
Net increase (decrease) from capital share transactions | (21,398,047 | ) | 3,607,283 | |||||
Net increase (decrease) in net assets | (38,019,549 | ) | 23,018,392 | |||||
Net assets: | ||||||||
Beginning of period | 54,195,757 | 31,177,365 | ||||||
End of period | $ | 16,176,208 | $ | 54,195,757 | ||||
Capital share activity: | ||||||||
Shares sold | 867,292 | 764,748 | ||||||
Shares redeemed | (976,745 | ) | (753,476 | ) | ||||
Net increase (decrease) in shares | (109,453 | ) | 11,272 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 51 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 313.21 | $ | 192.73 | $ | 244.38 | $ | 176.52 | $ | 165.22 | $ | 227.28 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.25 | ) | 1.59 | 1.48 | .13 | (.53 | ) | (1.11 | ) | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (58.55 | ) | 118.89 | (35.10 | ) | 75.18 | 32.62 | 1.42 | ||||||||||||||||
Total from investment operations | (58.80 | ) | 120.48 | (33.62 | ) | 75.31 | 32.09 | .31 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (.14 | ) | — | — | — | |||||||||||||||||
Net realized gains | — | — | (17.89 | ) | (7.45 | ) | (20.79 | ) | (62.37 | ) | ||||||||||||||
Total distributions | — | — | (18.03 | ) | (7.45 | ) | (20.79 | ) | (62.37 | ) | ||||||||||||||
Net asset value, end of period | $ | 254.41 | $ | 313.21 | $ | 192.73 | $ | 244.38 | $ | 176.52 | $ | 165.22 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (18.77 | %) | 62.51 | % | (15.41 | %) | 43.49 | % | 20.40 | % | (1.66 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,176 | $ | 54,196 | $ | 31,177 | $ | 36,513 | $ | 24,895 | $ | 21,167 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.18 | %) | 0.62 | % | 0.60 | % | 0.06 | % | (0.32 | %) | (0.55 | %) | ||||||||||||
Total expensesd | 1.88 | % | 1.87 | % | 1.77 | % | 1.76 | % | 1.71 | % | 1.66 | % | ||||||||||||
Net expensese | 1.83 | % | 1.80 | % | 1.77 | % | 1.76 | % | 1.71 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 798 | % | 248 | % | 424 | % | 282 | % | 578 | % | 558 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
52 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 | 13.1% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 12.3% |
Apple, Inc. | 6.5% |
Microsoft Corp. | 6.3% |
Amazon.com, Inc. | 5.6% |
Facebook, Inc. — Class A | 2.2% |
Alphabet, Inc. — Class A | 2.0% |
Alphabet, Inc. — Class C | 1.9% |
Intel Corp. | 1.3% |
NVIDIA Corp. | 1.2% |
Top Ten Total | 52.4% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
NASDAQ-100® 2x Strategy Fund | 19.95% | 51.73% | 31.39% | 36.16% |
NASDAQ-100 Index | 16.89% | 33.78% | 19.58% | 20.69% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The 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 | 53 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
NASDAQ-100® 2x STRATEGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 53.5% | ||||||||
Technology - 24.1% | ||||||||
Apple, Inc. | 19,602 | $ | 7,150,810 | |||||
Microsoft Corp. | 34,296 | 6,979,579 | ||||||
Intel Corp. | 24,425 | 1,461,348 | ||||||
NVIDIA Corp. | 3,548 | 1,347,921 | ||||||
Adobe, Inc.* | 2,779 | 1,209,727 | ||||||
Broadcom, Inc. | 2,306 | 727,797 | ||||||
Texas Instruments, Inc. | 5,295 | 672,306 | ||||||
QUALCOMM, Inc. | 6,490 | 591,953 | ||||||
Intuit, Inc. | 1,504 | 445,470 | ||||||
Fiserv, Inc.* | 3,862 | 377,008 | ||||||
Advanced Micro Devices, Inc.* | 6,756 | 355,433 | ||||||
Activision Blizzard, Inc. | 4,445 | 337,376 | ||||||
Micron Technology, Inc.* | 6,416 | 330,552 | ||||||
Applied Materials, Inc. | 5,287 | 319,599 | ||||||
Autodesk, Inc.* | 1,264 | 302,336 | ||||||
Lam Research Corp. | 837 | 270,736 | ||||||
Analog Devices, Inc. | 2,125 | 260,610 | ||||||
Zoom Video Communications, Inc. — Class A* | 967 | 245,173 | ||||||
Electronic Arts, Inc.* | 1,665 | 219,863 | ||||||
Workday, Inc. — Class A* | 1,004 | 188,109 | ||||||
NXP Semiconductor N.V. | 1,610 | 183,605 | ||||||
NetEase, Inc. ADR | 427 | 183,345 | ||||||
Splunk, Inc.* | 916 | 182,009 | ||||||
DocuSign, Inc.* | 1,056 | 181,854 | ||||||
Cognizant Technology Solutions Corp. — Class A | 3,119 | 177,221 | ||||||
KLA Corp. | 894 | 173,865 | ||||||
Synopsys, Inc.* | 870 | 169,650 | ||||||
ASML Holding N.V. — Class G | 443 | 163,037 | ||||||
Paychex, Inc. | 2,069 | 156,727 | ||||||
Cadence Design Systems, Inc.* | 1,611 | 154,592 | ||||||
Microchip Technology, Inc. | 1,415 | 149,014 | ||||||
ANSYS, Inc.* | 494 | 144,115 | ||||||
Xilinx, Inc. | 1,403 | 138,041 | ||||||
Skyworks Solutions, Inc. | 962 | 123,001 | ||||||
Cerner Corp. | 1,756 | 120,374 | ||||||
Citrix Systems, Inc. | 712 | 105,312 | ||||||
Maxim Integrated Products, Inc. | 1,538 | 93,218 | ||||||
Take-Two Interactive Software, Inc.* | 657 | 91,697 | ||||||
Check Point Software Technologies Ltd.* | 825 | 88,630 | ||||||
Western Digital Corp. | 1,729 | 76,335 | ||||||
NetApp, Inc. | 1,276 | 56,616 | ||||||
Total Technology | 26,705,964 | |||||||
Communications - 17.9% | ||||||||
Amazon.com, Inc.* | 2,256 | 6,223,898 | ||||||
Facebook, Inc. — Class A* | 10,874 | 2,469,159 | ||||||
Alphabet, Inc. — Class A* | 1,557 | 2,207,904 | ||||||
Alphabet, Inc. — Class C* | 1,520 | 2,148,687 | ||||||
Netflix, Inc.* | 2,537 | 1,154,437 | ||||||
Cisco Systems, Inc. | 24,358 | 1,136,057 | ||||||
Comcast Corp. — Class A | 26,276 | 1,024,238 | ||||||
T-Mobile US, Inc.* | 7,129 | 742,485 | ||||||
Charter Communications, Inc. — Class A* | 1,191 | 607,458 | ||||||
Booking Holdings, Inc.* | 236 | 375,792 | ||||||
JD.com, Inc. ADR* | 5,355 | 322,264 | ||||||
MercadoLibre, Inc.* | 287 | 282,916 | ||||||
eBay, Inc. | 4,054 | 212,632 | ||||||
Baidu, Inc. ADR* | 1,587 | 190,265 | ||||||
Sirius XM Holdings, Inc. | 25,263 | 148,294 | ||||||
VeriSign, Inc.* | 667 | 137,956 | ||||||
CDW Corp. | 821 | 95,384 | ||||||
Trip.com Group Ltd. ADR* | 3,017 | 78,201 | ||||||
Expedia Group, Inc. | 781 | 64,198 | ||||||
Fox Corp. — Class A | 1,977 | 53,023 | ||||||
Liberty Global plc — Class C* | 2,374 | 51,065 | ||||||
Fox Corp. — Class B | 1,506 | 40,421 | ||||||
Liberty Global plc — Class A* | 1,051 | 22,975 | ||||||
Total Communications | 19,789,709 | |||||||
Consumer, Non-cyclical - 7.3% | ||||||||
PayPal Holdings, Inc.* | 6,774 | 1,180,234 | ||||||
PepsiCo, Inc. | 8,004 | 1,058,609 | ||||||
Amgen, Inc. | 3,394 | 800,509 | ||||||
Gilead Sciences, Inc. | 7,236 | 556,738 | ||||||
Vertex Pharmaceuticals, Inc.* | 1,496 | 434,304 | ||||||
Mondelez International, Inc. — Class A | 8,235 | 421,055 | ||||||
Intuitive Surgical, Inc.* | 673 | 383,496 | ||||||
Automatic Data Processing, Inc. | 2,479 | 369,098 | ||||||
Regeneron Pharmaceuticals, Inc.* | 582 | 362,964 | ||||||
Illumina, Inc.* | 848 | 314,057 | ||||||
Biogen, Inc.* | 941 | 251,764 | ||||||
Kraft Heinz Co. | 7,049 | 224,793 | ||||||
DexCom, Inc.* | 533 | 216,078 | ||||||
Monster Beverage Corp.* | 3,038 | 210,594 | ||||||
Seattle Genetics, Inc.* | 999 | 169,750 | ||||||
IDEXX Laboratories, Inc.* | 490 | 161,778 | ||||||
CoStar Group, Inc.* | 225 | 159,901 | ||||||
Cintas Corp. | 600 | 159,816 | ||||||
Verisk Analytics, Inc. — Class A | 936 | 159,307 | ||||||
Alexion Pharmaceuticals, Inc.* | 1,274 | 142,994 | ||||||
Incyte Corp.* | 1,254 | 130,378 | ||||||
BioMarin Pharmaceutical, Inc.* | 1,043 | 128,644 | ||||||
Align Technology, Inc.* | 454 | 124,596 | ||||||
Total Consumer, Non-cyclical | 8,121,457 | |||||||
Consumer, Cyclical - 3.6% | ||||||||
Tesla, Inc.* | 1,069 | 1,154,317 | ||||||
Costco Wholesale Corp. | 2,547 | 772,276 | ||||||
Starbucks Corp. | 6,740 | 495,996 | ||||||
Lululemon Athletica, Inc.* | 717 | 223,711 | ||||||
Walgreens Boots Alliance, Inc. | 5,061 | 214,536 | ||||||
O’Reilly Automotive, Inc.* | 428 | 180,475 | ||||||
Ross Stores, Inc. | 2,050 | 174,742 | ||||||
Marriott International, Inc. — Class A | 1,871 | 160,401 | ||||||
PACCAR, Inc. | 1,994 | 149,251 | ||||||
Fastenal Co. | 3,305 | 141,586 | ||||||
Dollar Tree, Inc.* | 1,369 | 126,879 | ||||||
Copart, Inc.* | 1,354 | 112,748 |
54 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
NASDAQ-100® 2x STRATEGY FUND |
| Shares | Value | ||||||
Ulta Beauty, Inc.* | 325 | $ | 66,111 | |||||
Total Consumer, Cyclical | 3,973,029 | |||||||
Utilities - 0.3% | ||||||||
Exelon Corp. | 5,621 | 203,986 | ||||||
Xcel Energy, Inc. | 3,030 | 189,375 | ||||||
Total Utilities | 393,361 | |||||||
Industrial - 0.3% | ||||||||
CSX Corp. | 4,416 | 307,972 | ||||||
Total Common Stocks | ||||||||
(Cost $50,100,645) | 59,291,492 | |||||||
RIGHTS† - 0.0% | ||||||||
Communications - 0.0% | ||||||||
T-Mobile US, Inc. Expires 07/27/20* | 7,617 | 1,280 | ||||||
Total Rights | ||||||||
(Cost $—) | 1,280 | |||||||
MUTUAL FUNDS† - 25.4% | ||||||||
Guggenheim Strategy Fund II1 | 586,862 | 14,513,092 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 1,372,756 | 13,617,737 | ||||||
Total Mutual Funds | ||||||||
(Cost $27,969,638) | 28,130,829 |
| Face | Value | ||||||
U.S. TREASURY BILLS†† - 7.2% | ||||||||
U.S. Treasury Bills | ||||||||
0.14% due 09/17/202,3 | $ | 5,000,000 | 4,998,429 | |||||
0.15% due 07/23/203,4 | 1,569,000 | 1,568,883 | ||||||
0.12% due 09/17/202,3 | 1,400,000 | 1,399,560 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $7,966,964) | 7,966,872 | |||||||
REPURCHASE AGREEMENTS††,5 - 10.9% | ||||||||
J.P. Morgan Securities LLC | 6,676,156 | 6,676,156 | ||||||
BofA Securities, Inc. | 2,764,898 | 2,764,898 | ||||||
Barclays Capital, Inc. | 2,599,004 | 2,599,004 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $12,040,058) | 12,040,058 | |||||||
Total Investments - 97.0% | ||||||||
(Cost $98,077,305) | $ | 107,430,531 | ||||||
Other Assets & Liabilities, net - 3.0% | 3,358,789 | |||||||
Total Net Assets - 100.0% | $ | 110,789,320 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
NASDAQ-100 Index Mini Futures Contracts | 173 | Sep 2020 | $ | 35,062,775 | $ | 1,200,634 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
Goldman Sachs International | NASDAQ-100 Index | 0.66% (1 Week USD LIBOR + 0.55%) | At Maturity | 07/28/20 | 5,420 | $ | 55,051,041 | $ | 1,584,669 | ||||||||||
Barclays Bank plc | NASDAQ-100 Index | 0.61% (1 Week USD LIBOR + 0.50%) | At Maturity | 07/30/20 | 5,568 | 56,557,127 | 306,360 | ||||||||||||
BNP Paribas | NASDAQ-100 Index | 0.83% (1 Month USD LIBOR + 0.65%) | At Maturity | 07/29/20 | 1,536 | 15,602,822 | 236,810 | ||||||||||||
$ | 127,210,990 | $ | 2,127,839 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
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 | Affiliated issuer. |
2 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2020. |
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, 2020. |
5 | Repurchase Agreements — See Note 6. |
ADR — American Depositary Receipt | |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 59,291,492 | $ | — | $ | — | $ | 59,291,492 | ||||||||
Rights | 1,280 | — | — | 1,280 | ||||||||||||
Mutual Funds | 28,130,829 | — | — | 28,130,829 | ||||||||||||
U.S. Treasury Bills | — | 7,966,872 | — | 7,966,872 | ||||||||||||
Repurchase Agreements | — | 12,040,058 | — | 12,040,058 | ||||||||||||
Futures Contracts** | 1,200,634 | — | — | 1,200,634 | ||||||||||||
Total Return Swap Agreements** | — | 2,127,839 | — | 2,127,839 | ||||||||||||
Total Assets | $ | 88,624,235 | $ | 22,134,769 | $ | — | $ | 110,759,004 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
56 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 28,096,247 | $ | 9,661,600 | $ | (23,300,000 | ) | $ | (196,582 | ) | $ | 251,827 | $ | 14,513,092 | 586,862 | $ | 162,962 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 29,240,701 | 11,151,984 | (26,800,000 | ) | (91,388 | ) | 116,440 | 13,617,737 | 1,372,756 | 153,350 | ||||||||||||||||||||||
$ | 57,336,948 | $ | 20,813,584 | $ | (50,100,000 | ) | $ | (287,970 | ) | $ | 368,267 | $ | 28,130,829 | $ | 316,312 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
NASDAQ-100® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $58,067,609) | $ | 67,259,644 | ||
Investments in affiliated issuers, at value (cost $27,969,638) | 28,130,829 | |||
Repurchase agreements, at value (cost $12,040,058) | 12,040,058 | |||
Segregated cash with broker | 964,321 | |||
Unrealized appreciation on OTC swap agreements | 2,127,839 | |||
Receivables: | ||||
Variation margin on futures contracts | 526,956 | |||
Fund shares sold | 176,143 | |||
Dividends | 45,640 | |||
Swap settlement | 36,260 | |||
Interest | 23 | |||
Securities lending income | 2 | |||
Total assets | 111,307,715 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 205,284 | |||
Management fees | 73,060 | |||
Professional fees | 70,917 | |||
Printing fees | 45,949 | |||
Securities purchased | 32,831 | |||
Transfer agent and administrative fees | 22,672 | |||
Investor service fees | 21,070 | |||
Portfolio accounting fees | 8,428 | |||
Trustees’ fees* | 1,441 | |||
Miscellaneous | 36,743 | |||
Total liabilities | 518,395 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 110,789,320 | ||
Net assets consist of: | ||||
Paid in capital | $ | 73,024,025 | ||
Total distributable earnings (loss) | 37,765,295 | |||
Net assets | $ | 110,789,320 | ||
Capital shares outstanding | 1,011,209 | |||
Net asset value per share | $ | 109.56 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $105) | $ | 139,235 | ||
Dividends from securities of affiliated issuers | 316,312 | |||
Interest | 96,187 | |||
Income from securities lending, net | 15 | |||
Total investment income | 551,749 | |||
Expenses: | ||||
Management fees | 383,077 | |||
Investor service fees | 106,410 | |||
Transfer agent and administrative fees | 114,497 | |||
Professional fees | 87,197 | |||
Portfolio accounting fees | 42,563 | |||
Trustees’ fees* | 9,540 | |||
Custodian fees | 6,602 | |||
Line of credit fees | 65 | |||
Miscellaneous | 67,017 | |||
Total expenses | 816,968 | |||
Less: | ||||
Expenses waived by Adviser | (21,257 | ) | ||
Net expenses | 795,711 | |||
Net investment loss | (243,962 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (3,993,891 | ) | ||
Investments in affiliated issuers | (287,970 | ) | ||
Swap agreements | 12,688,363 | |||
Futures contracts | (528,222 | ) | ||
Net realized gain | 7,878,280 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 8,631,171 | |||
Investments in affiliated issuers | 368,267 | |||
Swap agreements | 2,082,579 | |||
Futures contracts | 852,511 | |||
Net change in unrealized appreciation (depreciation) | 11,934,528 | |||
Net realized and unrealized gain | 19,812,808 | |||
Net increase in net assets resulting from operations | $ | 19,568,846 |
* | 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. |
NASDAQ-100® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (243,962 | ) | $ | 257,861 | |||
Net realized gain on investments | 7,878,280 | 44,758,793 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 11,934,528 | 221,731 | ||||||
Net increase in net assets resulting from operations | 19,568,846 | 45,238,385 | ||||||
Distributions to shareholders | — | (152,254 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 345,282,666 | 435,924,619 | ||||||
Distributions reinvested | — | 152,254 | ||||||
Cost of shares redeemed | (353,872,932 | ) | (440,031,905 | ) | ||||
Net decrease from capital share transactions | (8,590,266 | ) | (3,955,032 | ) | ||||
Net increase in net assets | 10,978,580 | 41,131,099 | ||||||
Net assets: | ||||||||
Beginning of period | 99,810,740 | 58,679,641 | ||||||
End of period | $ | 110,789,320 | $ | 99,810,740 | ||||
Capital share activity: | ||||||||
Shares sold | 4,103,422 | 6,163,093 | ||||||
Shares issued from reinvestment of distributions | — | 1,940 | ||||||
Shares redeemed | (4,184,986 | ) | (6,230,204 | ) | ||||
Net decrease in shares | (81,564 | ) | (65,171 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 59 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 91.34 | $ | 50.68 | $ | 64.95 | $ | 38.79 | $ | 38.67 | $ | 41.60 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.26 | ) | .22 | .14 | (.17 | ) | (.22 | ) | (.31 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 18.48 | 40.55 | (2.70 | ) | 26.97 | 3.57 | 6.26 | |||||||||||||||||
Total from investment operations | 18.22 | 40.77 | (2.56 | ) | 26.80 | 3.35 | 5.95 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.11 | ) | — | — | — | — | |||||||||||||||||
Net realized gains | — | — | (11.71 | ) | (.64 | ) | (3.23 | ) | (8.88 | ) | ||||||||||||||
Total distributions | — | (.11 | ) | (11.71 | ) | (.64 | ) | (3.23 | ) | (8.88 | ) | |||||||||||||
Net asset value, end of period | $ | 109.56 | $ | 91.34 | $ | 50.68 | $ | 64.95 | $ | 38.79 | $ | 38.67 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 19.95 | % | 80.50 | % | (9.31 | %) | 69.49 | % | 9.60 | % | 14.63 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 110,789 | $ | 99,811 | $ | 58,680 | $ | 70,853 | $ | 41,115 | $ | 49,994 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.57 | %) | 0.30 | % | 0.21 | % | (0.32 | %) | (0.62 | %) | (0.75 | %) | ||||||||||||
Total expensesd | 1.92 | % | 1.91 | % | 1.81 | % | 1.80 | % | 1.75 | % | 1.68 | % | ||||||||||||
Net expensese | 1.87 | % | 1.84 | % | 1.80 | % | 1.80 | % | 1.75 | % | 1.68 | % | ||||||||||||
Portfolio turnover rate | 330 | % | 346 | % | 220 | % | 97 | % | 494 | % | 294 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
60 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 Ultra Short Duration Fund — Institutional Class | 16.3% |
Guggenheim Strategy Fund II | 10.3% |
Teradyne, Inc. | 0.5% |
Etsy, Inc. | 0.5% |
FactSet Research Systems, Inc. | 0.5% |
Fair Isaac Corp. | 0.5% |
Catalent, Inc. | 0.4% |
Masimo Corp. | 0.4% |
Pool Corp. | 0.4% |
Trimble, Inc. | 0.4% |
Top Ten Total | 30.2% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Mid-Cap 1.5x Strategy Fund | (24.48%) | (18.17%) | 3.36% | 13.15% |
S&P MidCap 400 Index | (12.78%) | (6.70%) | 5.22% | 11.34% |
* | 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. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
MID-CAP 1.5x STRATEGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 59.2% | ||||||||
Financial - 14.3% | ||||||||
Medical Properties Trust, Inc. REIT | 835 | $ | 15,698 | |||||
Brown & Brown, Inc. | 372 | 15,163 | ||||||
Camden Property Trust REIT | 154 | 14,048 | ||||||
RenaissanceRe Holdings Ltd. | 79 | 13,511 | ||||||
CyrusOne, Inc. REIT | 182 | 13,241 | ||||||
Alleghany Corp. | 23 | 11,250 | ||||||
SEI Investments Co. | 196 | 10,776 | ||||||
Omega Healthcare Investors, Inc. REIT | 360 | 10,703 | ||||||
Kilroy Realty Corp. REIT | 168 | 9,862 | ||||||
National Retail Properties, Inc. REIT | 272 | 9,651 | ||||||
Commerce Bancshares, Inc. | 159 | 9,456 | ||||||
Lamar Advertising Co. — Class A REIT | 137 | 9,146 | ||||||
Signature Bank | 85 | 9,088 | ||||||
Prosperity Bancshares, Inc. | 147 | 8,729 | ||||||
First American Financial Corp. | 177 | 8,500 | ||||||
Reinsurance Group of America, Inc. — Class A | 108 | 8,472 | ||||||
STORE Capital Corp. REIT | 352 | 8,381 | ||||||
Jones Lang LaSalle, Inc. | 81 | 8,380 | ||||||
East West Bancorp, Inc. | 224 | 8,118 | ||||||
Douglas Emmett, Inc. REIT | 260 | 7,972 | ||||||
CoreSite Realty Corp. REIT | 64 | 7,748 | ||||||
First Industrial Realty Trust, Inc. REIT | 201 | 7,726 | ||||||
American Campus Communities, Inc. REIT | 218 | 7,621 | ||||||
Primerica, Inc. | 65 | 7,579 | ||||||
American Financial Group, Inc. | 118 | 7,488 | ||||||
New York Community Bancorp, Inc. | 732 | 7,466 | ||||||
Old Republic International Corp. | 452 | 7,372 | ||||||
EastGroup Properties, Inc. REIT | 62 | 7,354 | ||||||
TCF Financial Corp. | 241 | 7,090 | ||||||
Kemper Corp. | 97 | 7,035 | ||||||
Life Storage, Inc. REIT | 74 | 7,026 | ||||||
Cousins Properties, Inc. REIT | 235 | 7,010 | ||||||
Eaton Vance Corp. | 180 | 6,948 | ||||||
Cullen/Frost Bankers, Inc. | 90 | 6,724 | ||||||
Legg Mason, Inc. | 132 | 6,567 | ||||||
First Financial Bankshares, Inc. | 225 | 6,500 | ||||||
Essent Group Ltd. | 175 | 6,347 | ||||||
Healthcare Realty Trust, Inc. REIT | 213 | 6,239 | ||||||
Highwoods Properties, Inc. REIT | 164 | 6,122 | ||||||
Hudson Pacific Properties, Inc. REIT | 243 | 6,114 | ||||||
Hanover Insurance Group, Inc. | 60 | 6,080 | ||||||
Brixmor Property Group, Inc. REIT | 468 | 6,000 | ||||||
Spirit Realty Capital, Inc. REIT | 163 | 5,682 | ||||||
Physicians Realty Trust REIT | 320 | 5,606 | ||||||
Affiliated Managers Group, Inc. | 75 | 5,592 | ||||||
United Bankshares, Inc. | 201 | 5,560 | ||||||
Jefferies Financial Group, Inc. | 356 | 5,536 | ||||||
JBG SMITH Properties REIT | 186 | 5,500 | ||||||
Rayonier, Inc. REIT | 219 | 5,429 | ||||||
RLI Corp. | 63 | 5,172 | ||||||
Janus Henderson Group plc | 243 | 5,142 | ||||||
Stifel Financial Corp. | 108 | 5,123 | ||||||
Interactive Brokers Group, Inc. — Class A | 121 | 5,054 | ||||||
Glacier Bancorp, Inc. | 141 | 4,976 | ||||||
Selective Insurance Group, Inc. | 94 | 4,958 | ||||||
First Horizon National Corp. | 492 | 4,900 | ||||||
Valley National Bancorp | 619 | 4,841 | ||||||
Synovus Financial Corp. | 233 | 4,783 | ||||||
Pinnacle Financial Partners, Inc. | 112 | 4,703 | ||||||
Sabra Health Care REIT, Inc. | 324 | 4,675 | ||||||
Corporate Office Properties Trust REIT | 178 | 4,511 | ||||||
Bank OZK | 191 | 4,483 | ||||||
PS Business Parks, Inc. REIT | 32 | 4,237 | ||||||
SLM Corp. | 593 | 4,169 | ||||||
Brighthouse Financial, Inc.* | 148 | 4,117 | ||||||
EPR Properties REIT | 123 | 4,075 | ||||||
Webster Financial Corp. | 142 | 4,063 | ||||||
PotlatchDeltic Corp. REIT | 106 | 4,031 | ||||||
Wintrust Financial Corp. | 91 | 3,969 | ||||||
Bank of Hawaii Corp. | 64 | 3,930 | ||||||
FNB Corp. | 511 | 3,832 | ||||||
Evercore, Inc. — Class A | 64 | 3,771 | ||||||
Home BancShares, Inc. | 243 | 3,737 | ||||||
Umpqua Holdings Corp. | 349 | 3,713 | ||||||
Taubman Centers, Inc. REIT | 98 | 3,701 | ||||||
Park Hotels & Resorts, Inc. REIT | 373 | 3,689 | ||||||
PacWest Bancorp | 184 | 3,627 | ||||||
Weingarten Realty Investors REIT | 191 | 3,616 | ||||||
Sterling Bancorp | 308 | 3,610 | ||||||
Federated Hermes, Inc. — Class B | 152 | 3,602 | ||||||
CNO Financial Group, Inc. | 227 | 3,534 | ||||||
BancorpSouth Bank | 153 | 3,479 | ||||||
LendingTree, Inc.*,1 | 12 | 3,474 | ||||||
UMB Financial Corp. | 67 | 3,454 | ||||||
Associated Banc-Corp. | 242 | 3,311 | ||||||
Washington Federal, Inc. | 120 | 3,221 | ||||||
CIT Group, Inc. | 155 | 3,213 | ||||||
Cathay General Bancorp | 119 | 3,130 | ||||||
Alliance Data Systems Corp. | 67 | 3,023 | ||||||
Hancock Whitney Corp. | 136 | 2,883 | ||||||
International Bancshares Corp. | 88 | 2,818 | ||||||
Pebblebrook Hotel Trust REIT | 206 | 2,814 | ||||||
Fulton Financial Corp. | 256 | 2,696 | ||||||
Texas Capital Bancshares, Inc.* | 80 | 2,470 | ||||||
Trustmark Corp. | 100 | 2,452 | ||||||
GEO Group, Inc. REIT | 192 | 2,271 | ||||||
Mack-Cali Realty Corp. REIT | 143 | 2,186 | ||||||
Urban Edge Properties REIT | 175 | 2,077 | ||||||
Navient Corp. | 269 | 1,891 | ||||||
Service Properties Trust REIT | 260 | 1,843 | ||||||
Genworth Financial, Inc. — Class A* | 796 | 1,839 | ||||||
CoreCivic, Inc. REIT | 190 | 1,778 | ||||||
Mercury General Corp. | 43 | 1,752 | ||||||
Macerich Co. REIT1 | 184 | 1,650 | ||||||
Total Financial | 597,275 | |||||||
Industrial - 11.7% | ||||||||
Trimble, Inc.* | 394 | 17,017 | ||||||
Cognex Corp. | 272 | 16,244 | ||||||
Nordson Corp. | 81 | 15,367 |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MID-CAP 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Lennox International, Inc. | 56 | $ | 13,047 | |||||
Graco, Inc. | 263 | 12,621 | ||||||
Generac Holdings, Inc.* | 99 | 12,071 | ||||||
Trex Company, Inc.* | 91 | 11,836 | ||||||
AptarGroup, Inc. | 102 | 11,422 | ||||||
XPO Logistics, Inc.* | 144 | 11,124 | ||||||
Hubbell, Inc. | 86 | 10,781 | ||||||
Carlisle Companies, Inc. | 87 | 10,411 | ||||||
Universal Display Corp. | 67 | 10,025 | ||||||
Gentex Corp. | 388 | 9,999 | ||||||
Axon Enterprise, Inc.* | 99 | 9,715 | ||||||
AECOM* | 253 | 9,508 | ||||||
Owens Corning | 170 | 9,479 | ||||||
Donaldson Company, Inc. | 200 | 9,304 | ||||||
Arrow Electronics, Inc.* | 124 | 8,518 | ||||||
Sonoco Products Co. | 158 | 8,262 | ||||||
Stericycle, Inc.* | 145 | 8,117 | ||||||
Knight-Swift Transportation Holdings, Inc. | 194 | 8,092 | ||||||
ITT, Inc. | 137 | 8,048 | ||||||
Lincoln Electric Holdings, Inc. | 94 | 7,918 | ||||||
SYNNEX Corp. | 65 | 7,785 | ||||||
Oshkosh Corp. | 108 | 7,735 | ||||||
National Instruments Corp. | 185 | 7,161 | ||||||
MDU Resources Group, Inc. | 317 | 7,031 | ||||||
Woodward, Inc. | 90 | 6,979 | ||||||
Middleby Corp.* | 88 | 6,947 | ||||||
Jabil, Inc. | 216 | 6,929 | ||||||
Mercury Systems, Inc.* | 88 | 6,922 | ||||||
Landstar System, Inc. | 61 | 6,851 | ||||||
Tetra Tech, Inc. | 86 | 6,804 | ||||||
II-VI, Inc.* | 139 | 6,564 | ||||||
Littelfuse, Inc. | 38 | 6,484 | ||||||
MSA Safety, Inc. | 56 | 6,409 | ||||||
Acuity Brands, Inc. | 63 | 6,032 | ||||||
TopBuild Corp.* | 53 | 6,030 | ||||||
Hexcel Corp. | 132 | 5,969 | ||||||
Curtiss-Wright Corp. | 66 | 5,892 | ||||||
EMCOR Group, Inc. | 87 | 5,754 | ||||||
Regal Beloit Corp. | 64 | 5,588 | ||||||
AGCO Corp. | 98 | 5,435 | ||||||
Kirby Corp.* | 95 | 5,088 | ||||||
KBR, Inc. | 225 | 5,074 | ||||||
Coherent, Inc.* | 38 | 4,977 | ||||||
Timken Co. | 107 | 4,868 | ||||||
Clean Harbors, Inc.* | 81 | 4,859 | ||||||
Energizer Holdings, Inc. | 101 | 4,796 | ||||||
Crane Co. | 78 | 4,638 | ||||||
Eagle Materials, Inc. | 66 | 4,635 | ||||||
nVent Electric plc | 247 | 4,626 | ||||||
Louisiana-Pacific Corp. | 177 | 4,540 | ||||||
Avnet, Inc. | 156 | 4,350 | ||||||
EnerSys | 67 | 4,313 | ||||||
MasTec, Inc.* | 92 | 4,128 | ||||||
Silgan Holdings, Inc. | 123 | 3,984 | ||||||
Werner Enterprises, Inc. | 90 | 3,918 | ||||||
Valmont Industries, Inc. | 34 | 3,863 | ||||||
Kennametal, Inc. | 132 | 3,790 | ||||||
Colfax Corp.* | 133 | 3,711 | ||||||
GATX Corp. | 55 | 3,354 | ||||||
Vishay Intertechnology, Inc. | 210 | 3,207 | ||||||
Ryder System, Inc. | 85 | 3,188 | ||||||
Trinity Industries, Inc. | 149 | 3,172 | ||||||
Fluor Corp. | 245 | 2,959 | ||||||
O-I Glass, Inc. | 247 | 2,218 | ||||||
Worthington Industries, Inc. | 58 | 2,163 | ||||||
Dycom Industries, Inc.* | 50 | 2,044 | ||||||
Belden, Inc. | 61 | 1,986 | ||||||
Terex Corp. | 101 | 1,896 | ||||||
Greif, Inc. — Class A | 42 | 1,445 | ||||||
Total Industrial | 488,017 | |||||||
Consumer, Non-cyclical - 10.8% | ||||||||
Catalent, Inc.* | 257 | 18,838 | ||||||
Masimo Corp.* | 79 | 18,011 | ||||||
Molina Healthcare, Inc.* | 93 | 16,552 | ||||||
Bio-Techne Corp. | 61 | 16,108 | ||||||
Quidel Corp.* | 61 | 13,648 | ||||||
Charles River Laboratories International, Inc.* | 78 | 13,599 | ||||||
Hill-Rom Holdings, Inc. | 105 | 11,527 | ||||||
Exelixis, Inc.* | 484 | 11,490 | ||||||
WEX, Inc.* | 69 | 11,386 | ||||||
Chemed Corp. | 25 | 11,277 | ||||||
Service Corporation International | 281 | 10,928 | ||||||
Amedisys, Inc.* | 51 | 10,126 | ||||||
Encompass Health Corp. | 158 | 9,785 | ||||||
PRA Health Sciences, Inc.* | 100 | 9,729 | ||||||
Penumbra, Inc.* | 52 | 9,299 | ||||||
Repligen Corp.* | 74 | 9,147 | ||||||
Post Holdings, Inc.* | 101 | 8,850 | ||||||
Ingredion, Inc. | 106 | 8,798 | ||||||
CoreLogic, Inc. | 126 | 8,470 | ||||||
United Therapeutics Corp.* | 69 | 8,349 | ||||||
Paylocity Holding Corp.* | 57 | 8,316 | ||||||
LHC Group, Inc.* | 47 | 8,193 | ||||||
Boston Beer Company, Inc. — Class A* | 15 | 8,050 | ||||||
Helen of Troy Ltd.* | 40 | 7,542 | ||||||
Haemonetics Corp.* | 80 | 7,165 | ||||||
Arrowhead Pharmaceuticals, Inc.* | 161 | 6,954 | ||||||
Flowers Foods, Inc. | 306 | 6,842 | ||||||
Grand Canyon Education, Inc.* | 75 | 6,790 | ||||||
FTI Consulting, Inc.* | 59 | 6,758 | ||||||
HealthEquity, Inc.* | 113 | 6,630 | ||||||
Nektar Therapeutics* | 282 | 6,531 | ||||||
Darling Ingredients, Inc.* | 260 | 6,401 | ||||||
ManpowerGroup, Inc. | 92 | 6,325 | ||||||
Syneos Health, Inc.* | 99 | 5,767 | ||||||
Globus Medical, Inc. — Class A* | 120 | 5,725 | ||||||
ICU Medical, Inc.* | 31 | 5,714 | ||||||
ASGN, Inc.* | 84 | 5,601 | ||||||
Strategic Education, Inc. | 35 | 5,378 | ||||||
Integra LifeSciences Holdings Corp.* | 112 | 5,263 | ||||||
Aaron’s, Inc. | 107 | 4,858 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MID-CAP 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Lancaster Colony Corp. | 31 | $ | 4,805 | |||||
Sprouts Farmers Market, Inc.* | 186 | 4,760 | ||||||
NuVasive, Inc.* | 82 | 4,564 | ||||||
LiveRamp Holdings, Inc.* | 103 | 4,374 | ||||||
Grocery Outlet Holding Corp.* | 100 | 4,080 | ||||||
TreeHouse Foods, Inc.* | 90 | 3,942 | ||||||
Hain Celestial Group, Inc.* | 124 | 3,907 | ||||||
Insperity, Inc. | 58 | 3,754 | ||||||
LivaNova plc* | 77 | 3,706 | ||||||
Brink’s Co. | 80 | 3,641 | ||||||
Sanderson Farms, Inc. | 31 | 3,592 | ||||||
Acadia Healthcare Company, Inc.* | 141 | 3,542 | ||||||
Sabre Corp. | 435 | 3,506 | ||||||
Patterson Companies, Inc. | 136 | 2,992 | ||||||
Tenet Healthcare Corp.* | 165 | 2,988 | ||||||
Prestige Consumer Healthcare, Inc.* | 79 | 2,967 | ||||||
Ligand Pharmaceuticals, Inc. — Class B*,1 | 26 | 2,908 | ||||||
Edgewell Personal Care Co.* | 86 | 2,680 | ||||||
Cantel Medical Corp. | 59 | 2,610 | ||||||
Adtalem Global Education, Inc.* | 82 | 2,554 | ||||||
Graham Holdings Co. — Class B | 7 | 2,399 | ||||||
MEDNAX, Inc.* | 135 | 2,308 | ||||||
Avanos Medical, Inc.* | 75 | 2,204 | ||||||
Avis Budget Group, Inc.*,1 | 85 | 1,946 | ||||||
WW International, Inc.* | 73 | 1,853 | ||||||
Deluxe Corp. | 66 | 1,553 | ||||||
Pilgrim’s Pride Corp.* | 82 | 1,385 | ||||||
Tootsie Roll Industries, Inc.1 | 27 | 925 | ||||||
Total Consumer, Non-cyclical | 453,165 | |||||||
Consumer, Cyclical - 8.2% | ||||||||
Pool Corp. | 63 | 17,128 | ||||||
Toro Co. | 170 | 11,278 | ||||||
Caesars Entertainment Corp.* | 888 | 10,772 | ||||||
Williams-Sonoma, Inc. | 123 | 10,087 | ||||||
Five Below, Inc.* | 88 | 9,408 | ||||||
Lear Corp. | 86 | 9,375 | ||||||
Thor Industries, Inc. | 87 | 9,268 | ||||||
Watsco, Inc. | 52 | 9,241 | ||||||
Deckers Outdoor Corp.* | 45 | 8,838 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.* | 89 | 8,691 | ||||||
Casey’s General Stores, Inc. | 58 | 8,672 | ||||||
Dunkin’ Brands Group, Inc. | 130 | 8,480 | ||||||
Polaris, Inc. | 91 | 8,422 | ||||||
Scotts Miracle-Gro Co. — Class A | 62 | 8,337 | ||||||
Brunswick Corp. | 125 | 8,001 | ||||||
Churchill Downs, Inc. | 55 | 7,323 | ||||||
BJ’s Wholesale Club Holdings, Inc.* | 195 | 7,268 | ||||||
Skechers USA, Inc. — Class A* | 215 | 6,747 | ||||||
RH* | 27 | 6,720 | ||||||
Wyndham Hotels & Resorts, Inc. | 147 | 6,265 | ||||||
Penn National Gaming, Inc.* | 204 | 6,230 | ||||||
Wendy’s Co. | 281 | 6,120 | ||||||
Toll Brothers, Inc. | 183 | 5,964 | ||||||
Harley-Davidson, Inc. | 242 | 5,753 | ||||||
Carter’s, Inc. | 69 | 5,568 | ||||||
Texas Roadhouse, Inc. — Class A | 103 | 5,415 | ||||||
Mattel, Inc.* | 549 | 5,309 | ||||||
Eldorado Resorts, Inc.*,1 | 131 | 5,248 | ||||||
MSC Industrial Direct Company, Inc. — Class A | 72 | 5,242 | ||||||
Tempur Sealy International, Inc.* | 68 | 4,893 | ||||||
Foot Locker, Inc. | 165 | 4,811 | ||||||
Marriott Vacations Worldwide Corp. | 58 | 4,768 | ||||||
JetBlue Airways Corp.* | 426 | 4,643 | ||||||
FirstCash, Inc. | 65 | 4,386 | ||||||
Dick’s Sporting Goods, Inc. | 103 | 4,250 | ||||||
KB Home | 137 | 4,203 | ||||||
Cracker Barrel Old Country Store, Inc. | 37 | 4,104 | ||||||
Taylor Morrison Home Corp. — Class A* | 205 | 3,955 | ||||||
Choice Hotels International, Inc. | 50 | 3,945 | ||||||
Wyndham Destinations, Inc. | 134 | 3,776 | ||||||
Univar, Inc.* | 219 | 3,692 | ||||||
Columbia Sportswear Co. | 45 | 3,626 | ||||||
AutoNation, Inc.* | 91 | 3,420 | ||||||
Goodyear Tire & Rubber Co. | 368 | 3,292 | ||||||
Nu Skin Enterprises, Inc. — Class A | 82 | 3,135 | ||||||
Visteon Corp.* | 44 | 3,014 | ||||||
TRI Pointe Group, Inc.* | 205 | 3,011 | ||||||
Healthcare Services Group, Inc. | 117 | 2,862 | ||||||
Papa John’s International, Inc. | 36 | 2,859 | ||||||
KAR Auction Services, Inc. | 204 | 2,807 | ||||||
Dana, Inc. | 228 | 2,779 | ||||||
American Eagle Outfitters, Inc. | 246 | 2,681 | ||||||
Jack in the Box, Inc. | 36 | 2,667 | ||||||
Nordstrom, Inc.1 | 171 | 2,649 | ||||||
Boyd Gaming Corp. | 126 | 2,633 | ||||||
World Fuel Services Corp. | 100 | 2,576 | ||||||
Six Flags Entertainment Corp. | 124 | 2,382 | ||||||
Adient plc* | 138 | 2,266 | ||||||
Sally Beauty Holdings, Inc.* | 179 | 2,243 | ||||||
Herman Miller, Inc. | 93 | 2,196 | ||||||
HNI Corp. | 67 | 2,048 | ||||||
Cinemark Holdings, Inc. | 169 | 1,952 | ||||||
Delphi Technologies plc* | 137 | 1,947 | ||||||
Urban Outfitters, Inc.* | 111 | 1,689 | ||||||
Scientific Games Corp. — Class A* | 86 | 1,330 | ||||||
Total Consumer, Cyclical | 344,660 | |||||||
Technology - 5.2% | ||||||||
Teradyne, Inc. | 262 | 22,141 | ||||||
Fair Isaac Corp.* | 46 | 19,230 | ||||||
Monolithic Power Systems, Inc. | 66 | 15,642 | ||||||
PTC, Inc.* | 165 | 12,835 | ||||||
Ceridian HCM Holding, Inc.* | 160 | 12,683 | ||||||
Cree, Inc.* | 172 | 10,181 | ||||||
MKS Instruments, Inc. | 87 | 9,852 | ||||||
Lumentum Holdings, Inc.* | 119 | 9,690 | ||||||
Manhattan Associates, Inc.* | 101 | 9,514 | ||||||
CACI International, Inc. — Class A* | 40 | 8,675 | ||||||
CDK Global, Inc. | 192 | 7,953 | ||||||
Silicon Laboratories, Inc.* | 69 | 6,919 | ||||||
MAXIMUS, Inc. | 97 | 6,834 | ||||||
Cabot Microelectronics Corp. | 47 | 6,558 |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MID-CAP 1.5x STRATEGY FUND |
| Shares | Value | ||||||
Science Applications International Corp. | 78 | $ | 6,059 | |||||
Cirrus Logic, Inc.* | 92 | 5,684 | ||||||
Qualys, Inc.* | 54 | 5,617 | ||||||
Semtech Corp.* | 103 | 5,379 | ||||||
Perspecta, Inc. | 216 | 5,018 | ||||||
ACI Worldwide, Inc.* | 183 | 4,939 | ||||||
Blackbaud, Inc. | 79 | 4,509 | ||||||
J2 Global, Inc.* | 71 | 4,488 | ||||||
Teradata Corp.* | 172 | 3,578 | ||||||
NCR Corp.* | 202 | 3,499 | ||||||
Synaptics, Inc.* | 54 | 3,246 | ||||||
CommVault Systems, Inc.* | 67 | 2,593 | ||||||
NetScout Systems, Inc.* | 100 | 2,556 | ||||||
Total Technology | 215,872 | |||||||
Communications - 2.8% | ||||||||
Etsy, Inc.* | 187 | 19,865 | ||||||
FactSet Research Systems, Inc. | 60 | 19,708 | ||||||
Cable One, Inc. | 8 | 14,199 | ||||||
Ciena Corp.* | 242 | 13,107 | ||||||
GrubHub, Inc.* | 146 | 10,264 | ||||||
New York Times Co. — Class A | 228 | 9,583 | ||||||
LogMeIn, Inc. | 77 | 6,527 | ||||||
TEGNA, Inc. | 345 | 3,843 | ||||||
ViaSat, Inc.* | 92 | 3,530 | ||||||
World Wrestling Entertainment, Inc. — Class A | 73 | 3,172 | ||||||
Telephone & Data Systems, Inc. | 155 | 3,081 | ||||||
TripAdvisor, Inc. | 159 | 3,023 | ||||||
InterDigital, Inc. | 49 | 2,775 | ||||||
John Wiley & Sons, Inc. — Class A | 69 | 2,691 | ||||||
Yelp, Inc. — Class A* | 103 | 2,382 | ||||||
AMC Networks, Inc. — Class A* | 64 | 1,497 | ||||||
Total Communications | 119,247 | |||||||
Basic Materials - 2.4% | ||||||||
RPM International, Inc. | 204 | 15,312 | ||||||
Royal Gold, Inc. | 103 | 12,805 | ||||||
Reliance Steel & Aluminum Co. | 100 | 9,493 | ||||||
Steel Dynamics, Inc. | 332 | 8,662 | ||||||
Ashland Global Holdings, Inc. | 96 | 6,634 | ||||||
Valvoline, Inc. | 293 | 5,664 | ||||||
NewMarket Corp. | 12 | 4,806 | ||||||
Chemours Co. | 260 | 3,991 | ||||||
Commercial Metals Co. | 188 | 3,835 | ||||||
PolyOne Corp. | 145 | 3,803 | ||||||
Sensient Technologies Corp. | 67 | 3,495 | ||||||
Ingevity Corp.* | 65 | 3,417 | ||||||
Cabot Corp. | 90 | 3,334 | ||||||
Olin Corp. | 249 | 2,861 | ||||||
Compass Minerals International, Inc. | 53 | 2,584 | ||||||
Minerals Technologies, Inc. | 54 | 2,534 | ||||||
United States Steel Corp.1 | 348 | 2,513 | ||||||
Carpenter Technology Corp. | 84 | 2,039 | ||||||
Allegheny Technologies, Inc.* | 200 | 2,038 | ||||||
Domtar Corp. | 87 | 1,836 | ||||||
Total Basic Materials | 101,656 | |||||||
Utilities - 2.3% | ||||||||
Essential Utilities, Inc. | 354 | 14,953 | ||||||
UGI Corp. | 330 | 10,494 | ||||||
OGE Energy Corp. | 316 | 9,594 | ||||||
IDACORP, Inc. | 80 | 6,990 | ||||||
ONE Gas, Inc. | 83 | 6,395 | ||||||
Hawaiian Electric Industries, Inc. | 173 | 6,238 | ||||||
Southwest Gas Holdings, Inc. | 87 | 6,008 | ||||||
National Fuel Gas Co. | 143 | 5,996 | ||||||
Black Hills Corp. | 99 | 5,609 | ||||||
Spire, Inc. | 82 | 5,388 | ||||||
New Jersey Resources Corp. | 151 | 4,930 | ||||||
PNM Resources, Inc. | 126 | 4,843 | ||||||
ALLETE, Inc. | 82 | 4,478 | ||||||
NorthWestern Corp. | 80 | 4,362 | ||||||
Total Utilities | 96,278 | |||||||
Energy - 1.5% | ||||||||
SolarEdge Technologies, Inc.* | 79 | 10,964 | ||||||
Enphase Energy, Inc.* | 129 | 6,136 | ||||||
First Solar, Inc.* | 120 | 5,940 | ||||||
Equitrans Midstream Corp. | 642 | 5,335 | ||||||
Murphy USA, Inc.* | 43 | 4,841 | ||||||
Equities Corp. | 404 | 4,808 | ||||||
Cimarex Energy Co. | 161 | 4,426 | ||||||
WPX Energy, Inc.* | 646 | 4,121 | ||||||
Murphy Oil Corp.1 | 231 | 3,188 | ||||||
ChampionX Corp.* | 294 | 2,870 | ||||||
CNX Resources Corp.* | 296 | 2,560 | ||||||
Antero Midstream Corp. | 444 | 2,264 | ||||||
Transocean Ltd.*,1 | 913 | 1,671 | ||||||
PBF Energy, Inc. — Class A | 161 | 1,649 | ||||||
Total Energy | 60,773 | |||||||
Total Common Stocks | ||||||||
(Cost $2,179,724) | 2,476,943 | |||||||
MUTUAL FUNDS† - 26.6% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 68,741 | 681,907 | ||||||
Guggenheim Strategy Fund II2 | 17,474 | 432,121 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,097,113) | 1,114,028 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MID-CAP 1.5x STRATEGY FUND |
| Face | Value | ||||||
U.S. TREASURY BILLS†† - 6.2% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 09/17/203 | $ | 200,000 | $ | 199,937 | ||||
0.15% due 07/23/203,4 | 61,000 | 60,996 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $260,927) | 260,933 | |||||||
REPURCHASE AGREEMENTS††,5 - 6.0% | ||||||||
J.P. Morgan Securities LLC | 139,477 | 139,477 | ||||||
BofA Securities, Inc. | 57,764 | 57,764 | ||||||
Barclays Capital, Inc. | 54,298 | 54,298 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $251,539) | $ | 251,539 |
| Shares | |||||||
SECURITIES LENDING COLLATERAL†,7 - 0.5% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%8 | 19,035 | 19,035 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $19,035) | 19,035 | |||||||
Total Investments - 98.5% | ||||||||
(Cost $3,808,338) | $ | 4,122,478 | ||||||
Other Assets & Liabilities, net - 1.5% | 64,525 | |||||||
Total Net Assets - 100.0% | $ | 4,187,003 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
S&P MidCap 400 Index Mini Futures Contracts | 3 | Sep 2020 | $ | 533,400 | $ | (11,905 | ) |
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 | 0.51% (1 Week USD LIBOR + 0.40%) | At Maturity | 07/28/20 | 698 | $ | 1,245,370 | $ | 40,894 | ||||||||||
Barclays Bank plc | S&P MidCap 400 Index | 0.46% (1 Week USD LIBOR + 0.35%) | At Maturity | 07/30/20 | 769 | 1,371,913 | 22,442 | ||||||||||||
BNP Paribas | S&P MidCap 400 Index | 0.63% (1 Month USD LIBOR + 0.45%) | At Maturity | 07/29/20 | 374 | 666,510 | 19,335 | ||||||||||||
$ | 3,283,793 | $ | 82,671 |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
MID-CAP 1.5x 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, 2020 — 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 futures collateral at June 30, 2020. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2020. |
7 | Securities lending collateral — See Note 7. |
8 | Rate indicated is the 7-day yield as of June 30, 2020. |
LIBOR — London Interbank Offered Rate | |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 2,476,943 | $ | — | $ | — | $ | 2,476,943 | ||||||||
Mutual Funds | 1,114,028 | — | — | 1,114,028 | ||||||||||||
U.S. Treasury Bills | — | 260,933 | — | 260,933 | ||||||||||||
Repurchase Agreements | — | 251,539 | — | 251,539 | ||||||||||||
Securities Lending Collateral | 19,035 | — | — | 19,035 | ||||||||||||
Total Return Swap Agreements** | — | 82,671 | — | 82,671 | ||||||||||||
Total Assets | $ | 3,610,006 | $ | 595,143 | $ | — | $ | 4,205,149 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts** | $ | 11,905 | $ | — | $ | — | $ | 11,905 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
MID-CAP 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 1,140,345 | $ | 248,521 | $ | (950,000 | ) | $ | (11,775 | ) | $ | 5,030 | $ | 432,121 | 17,474 | $ | 5,755 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 762,708 | 2,313,029 | (2,400,000 | ) | (5,159 | ) | 11,329 | 681,907 | 68,741 | 10,204 | ||||||||||||||||||||||
$ | 1,903,053 | $ | 2,561,550 | $ | (3,350,000 | ) | $ | (16,934 | ) | $ | 16,359 | $ | 1,114,028 | $ | 15,959 |
68 | 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, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $18,770 of securities loaned (cost $2,459,686) | $ | 2,756,911 | ||
Investments in affiliated issuers, at value (cost $1,097,113) | 1,114,028 | |||
Repurchase agreements, at value (cost $251,539) | 251,539 | |||
Unrealized appreciation on OTC swap agreements | 82,671 | |||
Receivables: | ||||
Variation margin on futures contracts | 6,630 | |||
Swap settlement | 6,175 | |||
Dividends | 3,837 | |||
Securities lending income | 12 | |||
Total assets | 4,221,803 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 19,035 | |||
Management fees | 2,972 | |||
Securities purchased | 1,387 | |||
Transfer agent and administrative fees | 941 | |||
Investor service fees | 874 | |||
Fund shares redeemed | 385 | |||
Portfolio accounting fees | 350 | |||
Trustees’ fees* | 85 | |||
Miscellaneous | 8,771 | |||
Total liabilities | 34,800 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 4,187,003 | ||
Net assets consist of: | ||||
Paid in capital | $ | 5,220,992 | ||
Total distributable earnings (loss) | (1,033,989 | ) | ||
Net assets | $ | 4,187,003 | ||
Capital shares outstanding | 285,794 | |||
Net asset value per share | $ | 14.65 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $2) | $ | 12,412 | ||
Dividends from securities of affiliated issuers | 15,959 | |||
Interest | 3,048 | |||
Income from securities lending, net | 46 | |||
Total investment income | 31,465 | |||
Expenses: | ||||
Management fees | 18,650 | |||
Investor service fees | 5,180 | |||
Transfer agent and administrative fees | 5,574 | |||
Professional fees | 4,510 | |||
Portfolio accounting fees | 2,072 | |||
Trustees’ fees* | 748 | |||
Custodian fees | 541 | |||
Miscellaneous | 1,900 | |||
Total expenses | 39,175 | |||
Less: | ||||
Expenses waived by Adviser | (1,460 | ) | ||
Net expenses | 37,715 | |||
Net investment loss | (6,250 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (529,213 | ) | ||
Investments in affiliated issuers | (16,934 | ) | ||
Swap agreements | (575,825 | ) | ||
Futures contracts | (396,446 | ) | ||
Net realized loss | (1,518,418 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 134,286 | |||
Investments in affiliated issuers | 16,359 | |||
Swap agreements | 81,714 | |||
Futures contracts | (66,507 | ) | ||
Net change in unrealized appreciation (depreciation) | 165,852 | |||
Net realized and unrealized loss | (1,352,566 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,358,816 | ) |
* | 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 | 69 |
MID-CAP 1.5x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (6,250 | ) | $ | 41,603 | |||
Net realized gain (loss) on investments | (1,518,418 | ) | 1,913,633 | |||||
Net change in unrealized appreciation (depreciation) on investments | 165,852 | 218,106 | ||||||
Net increase (decrease) in net assets resulting from operations | (1,358,816 | ) | 2,173,342 | |||||
Distributions to shareholders | — | (57,404 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 4,177,465 | 22,974,077 | ||||||
Distributions reinvested | — | 57,404 | ||||||
Cost of shares redeemed | (4,075,324 | ) | (25,111,651 | ) | ||||
Net increase (decrease) from capital share transactions | 102,141 | (2,080,170 | ) | |||||
Net increase (decrease) in net assets | (1,256,675 | ) | 35,768 | |||||
Net assets: | ||||||||
Beginning of period | 5,443,678 | 5,407,910 | ||||||
End of period | $ | 4,187,003 | $ | 5,443,678 | ||||
Capital share activity: | ||||||||
Shares sold | 286,448 | 1,258,420 | ||||||
Shares issued from reinvestment of distributions | — | 3,120 | ||||||
Shares redeemed | (281,272 | ) | (1,356,484 | ) | ||||
Net increase (decrease) in shares | 5,176 | (94,944 | ) |
70 | 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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.40 | $ | 14.40 | $ | 23.37 | $ | 36.19 | $ | 31.14 | $ | 35.05 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.02 | ) | .11 | .13 | .02 | (.10 | ) | (.20 | ) | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.73 | ) | 5.08 | (3.20 | ) | 5.81 | 8.87 | (1.45 | ) | |||||||||||||||
Total from investment operations | (4.75 | ) | 5.19 | (3.07 | ) | 5.83 | 8.77 | (1.65 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.19 | ) | (.06 | ) | — | — | — | ||||||||||||||||
Net realized gains | — | — | (5.84 | ) | (18.65 | ) | (3.72 | ) | (2.26 | ) | ||||||||||||||
Total distributions | — | (.19 | ) | (5.90 | ) | (18.65 | ) | (3.72 | ) | (2.26 | ) | |||||||||||||
Net asset value, end of period | $ | 14.65 | $ | 19.40 | $ | 14.40 | $ | 23.37 | $ | 36.19 | $ | 31.14 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (24.48 | %) | 36.11 | % | (19.40 | %) | 22.44 | % | 29.64 | % | (5.50 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,187 | $ | 5,444 | $ | 5,408 | $ | 7,875 | $ | 19,948 | $ | 15,093 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.30 | %) | 0.60 | % | 0.67 | % | 0.07 | % | (0.30 | %) | (0.58 | %) | ||||||||||||
Total expensesd | 1.89 | % | 1.87 | % | 1.78 | % | 1.76 | % | 1.72 | % | 1.67 | % | ||||||||||||
Net expensese | 1.82 | % | 1.80 | % | 1.78 | % | 1.76 | % | 1.72 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate | 220 | % | 274 | % | 368 | % | 403 | % | 368 | % | 477 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 | 71 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 Ultra Short Duration Fund — Institutional Class | 25.2% |
Guggenheim Strategy Fund II | 16.7% |
Total | 41.9% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse Mid-Cap Strategy Fund | (0.05%) | (6.38%) | (8.42%) | (13.88%) |
S&P MidCap 400 Index | (12.78%) | (6.70%) | 5.22% | 11.34% |
* | 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. |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
INVERSE MID-CAP STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 41.9% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 7,616 | $ | 75,549 | |||||
Guggenheim Strategy Fund II1 | 2,033 | 50,282 | ||||||
Total Mutual Funds | ||||||||
(Cost $123,607) | 125,831 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 6.7% | ||||||||
Federal Farm Credit Bank | ||||||||
1.56% due 08/21/202 | $ | 20,000 | 19,996 | |||||
Total Federal Agency Discount Notes | ||||||||
(Cost $19,956) | 19,996 | |||||||
FEDERAL AGENCY NOTES†† - 3.3% | ||||||||
Fannie Mae | ||||||||
1.50% due 08/24/21 | 10,000 | 10,006 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $10,026) | 10,006 |
REPURCHASE AGREEMENTS††,3 - 51.7% | ||||||||
J.P. Morgan Securities LLC | 86,108 | 86,108 | ||||||
BofA Securities, Inc. | 35,661 | 35,661 | ||||||
Barclays Capital, Inc. | 33,521 | 33,521 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $155,290) | 155,290 | |||||||
Total Investments - 103.6% | ||||||||
(Cost $308,879) | $ | 311,123 | ||||||
Other Assets & Liabilities, net - (3.6)% | (10,944 | ) | ||||||
Total Net Assets - 100.0% | $ | 300,179 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements Sold Short†† | |||||||||||||||||||
BNP Paribas | S&P MidCap 400 Index | (0.13)% (1 Month USD LIBOR - 0.05%) | At Maturity | 07/29/20 | 6 | $ | 10,632 | $ | (309 | ) | |||||||||
Barclays Bank plc | S&P MidCap 400 Index | (0.31)% (1 Week USD LIBOR + 0.20%) | At Maturity | 07/30/20 | 46 | 81,249 | (1,329 | ) | |||||||||||
Goldman Sachs International | S&P MidCap 400 Index | (0.21)% (1 Week USD LIBOR + 0.10%) | At Maturity | 07/28/20 | 117 | 208,453 | (7,469 | ) | |||||||||||
$ | 300,334 | $ | (9,107 | ) |
† | 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, 2020. |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
INVERSE MID-CAP STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 125,831 | $ | — | $ | — | $ | 125,831 | ||||||||
Federal Agency Discount Notes | — | 19,996 | — | 19,996 | ||||||||||||
Federal Agency Notes | — | 10,006 | — | 10,006 | ||||||||||||
Repurchase Agreements | — | 155,290 | — | 155,290 | ||||||||||||
Total Assets | $ | 125,831 | $ | 185,292 | $ | — | $ | 311,123 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Total Return Swap Agreements** | $ | — | $ | 9,107 | $ | — | $ | 9,107 |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 67,902 | $ | 120,696 | $ | (138,000 | ) | $ | (1,582 | ) | $ | 1,266 | $ | 50,282 | 2,033 | $ | 700 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 72,747 | 137,663 | (135,000 | ) | (1,021 | ) | 1,160 | 75,549 | 7,616 | 666 | ||||||||||||||||||||||
$ | 140,649 | $ | 258,359 | $ | (273,000 | ) | $ | (2,603 | ) | $ | 2,426 | $ | 125,831 | $ | 1,366 |
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE MID-CAP STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $29,982) | $ | 30,002 | ||
Investments in affiliated issuers, at value (cost $123,607) | 125,831 | |||
Repurchase agreements, at value (cost $155,290) | 155,290 | |||
Receivables: | ||||
Dividends | 134 | |||
Variation margin on futures contracts | 56 | |||
Interest | 53 | |||
Total assets | 311,366 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 9,107 | |||
Payable for: | ||||
Swap settlement | 833 | |||
Management fees | 215 | |||
Securities purchased | 134 | |||
Transfer agent and administrative fees | 68 | |||
Investor service fees | 64 | |||
Fund shares redeemed | 54 | |||
Portfolio accounting fees | 25 | |||
Trustees’ fees* | 7 | |||
Miscellaneous | 680 | |||
Total liabilities | 11,187 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 300,179 | ||
Net assets consist of: | ||||
Paid in capital | $ | 2,081,474 | ||
Total distributable earnings (loss) | (1,781,295 | ) | ||
Net assets | $ | 300,179 | ||
Capital shares outstanding | 5,001 | |||
Net asset value per share | $ | 60.02 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 1,366 | ||
Interest | 479 | |||
Total investment income | 1,845 | |||
Expenses: | ||||
Management fees | 1,738 | |||
Investor service fees | 483 | |||
Transfer agent and administrative fees | 519 | |||
Professional fees | 356 | |||
Portfolio accounting fees | 193 | |||
Trustees’ fees* | 39 | |||
Custodian fees | 30 | |||
Miscellaneous | 303 | |||
Total expenses | 3,661 | |||
Less: | ||||
Expenses waived by Adviser | (103 | ) | ||
Net expenses | 3,558 | |||
Net investment loss | (1,713 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (2,603 | ) | ||
Swap agreements | 9,963 | |||
Net realized gain | 7,360 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 19 | |||
Investments in affiliated issuers | 2,426 | |||
Swap agreements | (9,592 | ) | ||
Net change in unrealized appreciation (depreciation) | (7,147 | ) | ||
Net realized and unrealized gain | 213 | |||
Net decrease in net assets resulting from operations | $ | (1,500 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
INVERSE MID-CAP STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (1,713 | ) | $ | 2,781 | |||
Net realized gain (loss) on investments | 7,360 | (98,279 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | (7,147 | ) | 4,084 | |||||
Net decrease in net assets resulting from operations | (1,500 | ) | (91,414 | ) | ||||
Distributions to shareholders | — | (1,261 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,359,309 | 2,723,707 | ||||||
Distributions reinvested | — | 1,261 | ||||||
Cost of shares redeemed | (3,322,807 | ) | (3,012,184 | ) | ||||
Net increase (decrease) from capital share transactions | 36,502 | (287,216 | ) | |||||
Net increase (decrease) in net assets | 35,002 | (379,891 | ) | |||||
Net assets: | ||||||||
Beginning of period | 265,177 | 645,068 | ||||||
End of period | $ | 300,179 | $ | 265,177 | ||||
Capital share activity: | ||||||||
Shares sold | 46,833 | 41,564 | ||||||
Shares issued from reinvestment of distributions | — | 20 | ||||||
Shares redeemed | (46,248 | ) | (45,693 | ) | ||||
Net increase (decrease) in shares | 585 | (4,109 | ) |
76 | 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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 60.05 | $ | 75.67 | $ | 68.22 | $ | 78.92 | $ | 97.61 | $ | 98.69 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.30 | ) | .51 | .35 | (.16 | ) | (.26 | ) | (1.38 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .27 | (15.87 | ) | 7.10 | g | (10.54 | ) | (18.43 | ) | .30 | ||||||||||||||
Total from investment operations | (.03 | ) | (15.36 | ) | 7.45 | (10.70 | ) | (18.69 | ) | (1.08 | ) | |||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.26 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.26 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 60.02 | $ | 60.05 | $ | 75.67 | $ | 68.22 | $ | 78.92 | $ | 97.61 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (0.05 | %) | (20.31 | %) | 10.90 | % | (13.55 | %) | (19.13 | %) | (1.12 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 300 | $ | 265 | $ | 645 | $ | 178 | $ | 380 | $ | 611 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.89 | %) | 0.78 | % | 0.51 | % | (0.22 | %) | (0.82 | %) | (1.46 | %) | ||||||||||||
Total expensesd | 1.90 | % | 1.88 | % | 1.77 | % | 1.76 | % | 1.71 | % | 1.66 | % | ||||||||||||
Net expensese | 1.84 | % | 1.81 | % | 1.77 | % | 1.76 | % | 1.71 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 195 | % | 185 | % | 404 | % | 111 | % | 565 | % | 220 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 | 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 repurchases 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 | 77 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 |
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 | 27.4% |
Guggenheim Strategy Fund II | 18.2% |
Total | 45.6% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Russell 2000® 2x Strategy Fund | (36.42%) | (29.20%) | (0.51%) | 13.10% |
Russell 2000 Index | (12.98%) | (6.63%) | 6.49% | 12.30% |
* | 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. |
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
RUSSELL 2000® 2x STRATEGY FUND |
| Shares | Value | ||||||
RIGHTS†††,1 - 0.0% | ||||||||
Communications - 0.0% | ||||||||
Nexstar Media Group, Inc.* | 207 | $ | — | |||||
Consumer, Non-cyclical - 0.0% | ||||||||
Omthera Pharmaceuticals, Inc.* | 10 | — | ||||||
Tobira Therapeutics, Inc.* | 7 | — | ||||||
Total Consumer, Non-cyclical | — | |||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
MUTUAL FUNDS† - 45.6% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 40,403 | 400,801 | ||||||
Guggenheim Strategy Fund II2 | 10,759 | 266,063 | ||||||
Total Mutual Funds | ||||||||
(Cost $659,105) | 666,864 |
| Face | |||||||
U.S. TREASURY BILLS†† - 23.9% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 09/17/203,4 | $ | 350,000 | 349,890 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $349,883) | 349,890 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 6.8% | ||||||||
Federal Home Loan Bank | ||||||||
0.10% due 07/01/204 | 100,000 | 100,000 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $100,000) | 100,000 | |||||||
REPURCHASE AGREEMENTS††,5 - 20.0% | ||||||||
J.P. Morgan Securities LLC | 162,669 | 162,669 | ||||||
BofA Securities, Inc. | 67,369 | 67,369 | ||||||
Barclays Capital, Inc. | 63,326 | 63,326 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $293,364) | 293,364 | |||||||
Total Investments - 96.3% | ||||||||
(Cost $1,402,352) | $ | 1,410,118 | ||||||
Other Assets & Liabilities, net - 3.7% | 53,811 | |||||||
Total Net Assets - 100.0% | $ | 1,463,929 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
Russell 2000 Index Mini Futures Contracts | 2 | Sep 2020 | $ | 143,640 | $ | (40 | ) |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
Barclays Bank plc | Russell 2000 Index | 0.11% (1 Week USD LIBOR) | At Maturity | 07/30/20 | 1,458 | $ | 2,100,838 | $ | 40,885 | ||||||||||
Goldman Sachs International | Russell 2000 Index | 0.36% (1 Week USD LIBOR + 0.25%) | At Maturity | 07/28/20 | 390 | 562,001 | 18,085 | ||||||||||||
BNP Paribas | Russell 2000 Index | 0.28% (1 Month USD LIBOR + 0.10%) | At Maturity | 07/29/20 | 84 | 121,120 | 4,338 | ||||||||||||
$ | 2,783,959 | $ | 63,308 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
RUSSELL 2000® 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. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Security was fair valued by the Valuation Committee at June 30, 2020. 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 equity index swap collateral at June 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Rights | $ | — | $ | — | $ | — | * | $ | — | |||||||
Mutual Funds | 666,864 | — | — | 666,864 | ||||||||||||
U.S. Treasury Bills | — | 349,890 | — | 349,890 | ||||||||||||
Federal Agency Discount Notes | — | 100,000 | — | 100,000 | ||||||||||||
Repurchase Agreements | — | 293,364 | — | 293,364 | ||||||||||||
Total Return Swap Agreements** | — | 63,308 | — | 63,308 | ||||||||||||
Total Assets | $ | 666,864 | $ | 806,562 | $ | — | $ | 1,473,426 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts** | $ | 40 | $ | — | $ | — | $ | 40 |
* | Includes securities with a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
RUSSELL 2000® 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 655,774 | $ | 2,130,514 | $ | (2,520,000 | ) | $ | (4,832 | ) | $ | 4,607 | $ | 266,063 | 10,759 | $ | 5,551 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 954,930 | 2,756,088 | (3,315,000 | ) | (556 | ) | 5,339 | 400,801 | 40,403 | 6,133 | ||||||||||||||||||||||
$ | 1,610,704 | $ | 4,886,602 | $ | (5,835,000 | ) | $ | (5,388 | ) | $ | 9,946 | $ | 666,864 | $ | 11,684 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
RUSSELL 2000® 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $449,883) | $ | 449,890 | ||
Investments in affiliated issuers, at value (cost $659,105) | 666,864 | |||
Repurchase agreements, at value (cost $293,364) | 293,364 | |||
Unrealized appreciation on OTC swap agreements | 63,308 | |||
Receivables: | ||||
Swap settlement | 1,554 | |||
Dividends | 1,508 | |||
Interest | 1 | |||
Total assets | 1,476,489 | |||
Liabilities: | ||||
Payable for: | ||||
Management fees | 3,217 | |||
Professional fees | 2,205 | |||
Securities purchased | 1,508 | |||
Printing fees | 1,428 | |||
Transfer agent and administrative fees | 1,018 | |||
Investor service fees | 946 | |||
Licensing fees | 640 | |||
Portfolio accounting fees | 379 | |||
Fund shares redeemed | 50 | |||
Trustees’ fees* | 47 | |||
Variation margin on futures contracts | 40 | |||
Miscellaneous | 1,082 | |||
Total liabilities | 12,560 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 1,463,929 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,033,164 | ||
Total distributable earnings (loss) | (1,569,235 | ) | ||
Net assets | $ | 1,463,929 | ||
Capital shares outstanding | 9,799 | |||
Net asset value per share | $ | 149.40 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 11,684 | ||
Interest | 3,794 | |||
Total investment income | 15,478 | |||
Expenses: | ||||
Management fees | 11,909 | |||
Investor service fees | 3,308 | |||
Transfer agent and administrative fees | 3,560 | |||
Professional fees | 2,715 | |||
Portfolio accounting fees | 1,323 | |||
Trustees’ fees* | 322 | |||
Custodian fees | 246 | |||
Miscellaneous | 2,118 | |||
Total expenses | 25,501 | |||
Less: | ||||
Expenses waived by Adviser | (884 | ) | ||
Net expenses | 24,617 | |||
Net investment loss | (9,139 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 265 | |||
Investments in affiliated issuers | (5,388 | ) | ||
Swap agreements | (1,169,058 | ) | ||
Futures contracts | (173,054 | ) | ||
Net realized loss | (1,347,235 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (11 | ) | ||
Investments in affiliated issuers | 9,946 | |||
Swap agreements | 76,097 | |||
Futures contracts | (1,342 | ) | ||
Net change in unrealized appreciation (depreciation) | 84,690 | |||
Net realized and unrealized loss | (1,262,545 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,271,684 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (9,139 | ) | $ | 18,473 | |||
Net realized gain (loss) on investments | (1,347,235 | ) | 487,126 | |||||
Net change in unrealized appreciation (depreciation) on investments | 84,690 | (46,667 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (1,271,684 | ) | 458,932 | |||||
Distributions to shareholders | — | (17,289 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 33,756,265 | 36,929,861 | ||||||
Distributions reinvested | — | 17,289 | ||||||
Cost of shares redeemed | (34,895,175 | ) | (35,204,749 | ) | ||||
Net increase (decrease) from capital share transactions | (1,138,910 | ) | 1,742,401 | |||||
Net increase (decrease) in net assets | (2,410,594 | ) | 2,184,044 | |||||
Net assets: | ||||||||
Beginning of period | 3,874,523 | 1,690,479 | ||||||
End of period | $ | 1,463,929 | $ | 3,874,523 | ||||
Capital share activity: | ||||||||
Shares sold | 220,666 | 176,687 | ||||||
Shares issued from reinvestment of distributions | — | 81 | ||||||
Shares redeemed | (227,355 | ) | (170,815 | ) | ||||
Net increase (decrease) in shares | (6,689 | ) | 5,953 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 234.99 | $ | 160.46 | $ | 234.65 | $ | 192.92 | $ | 139.69 | $ | 180.03 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.56 | ) | 1.27 | .70 | (.79 | ) | (1.11 | ) | (1.73 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (85.03 | ) | 74.31 | (54.40 | ) | 50.24 | 54.34 | (17.40 | ) | |||||||||||||||
Total from investment operations | (85.59 | ) | 75.58 | (53.70 | ) | 49.45 | 53.23 | (19.13 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.05 | ) | — | — | — | — | |||||||||||||||||
Net realized gains | — | — | (20.49 | ) | (7.72 | ) | — | (21.21 | ) | |||||||||||||||
Total distributions | — | (1.05 | ) | (20.49 | ) | (7.72 | ) | — | (21.21 | ) | ||||||||||||||
Net asset value, end of period | $ | 149.40 | $ | 234.99 | $ | 160.46 | $ | 234.65 | $ | 192.92 | $ | 139.69 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (36.42 | %) | 47.15 | % | (26.21 | %) | 26.26 | % | 38.11 | % | (13.15 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,464 | $ | 3,875 | $ | 1,690 | $ | 7,040 | $ | 5,747 | $ | 2,770 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.69 | %) | 0.61 | % | 0.28 | % | (0.38 | %) | (0.74 | %) | (1.00 | %) | ||||||||||||
Total expensesd | 1.93 | % | 1.92 | % | 1.82 | % | 1.80 | % | 1.77 | % | 1.70 | % | ||||||||||||
Net expensese | 1.86 | % | 1.86 | % | 1.82 | % | 1.80 | % | 1.77 | % | 1.70 | % | ||||||||||||
Portfolio turnover rate | 502 | % | 510 | % | 625 | % | 525 | % | 1,125 | % | 327 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
84 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 |
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 | 29.8% |
Guggenheim Strategy Fund II | 12.8% |
Total | 42.6% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Russell 2000® 1.5x Strategy Fund | (24.89%) | (18.02%) | 1.91% | 11.57% |
Russell 2000 Index | (12.98%) | (6.63%) | 6.49% | 12.30% |
* | 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 | 85 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
RUSSELL 2000® 1.5x STRATEGY FUND |
| Shares | Value | ||||||
RIGHTS†††,1 - 0.0% | ||||||||
Communications - 0.0% | ||||||||
Nexstar Media Group, Inc.* | 132 | $ | — | |||||
Consumer, Non-cyclical - 0.0% | ||||||||
Omthera Pharmaceuticals, Inc.* | 37 | — | ||||||
Tobira Therapeutics, Inc.* | 8 | — | ||||||
Total Consumer, Non-cyclical | — | |||||||
Total Rights | ||||||||
(Cost $—) | — | |||||||
MUTUAL FUNDS† - 42.6% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 109,475 | 1,085,988 | ||||||
Guggenheim Strategy Fund II2 | 18,957 | 468,798 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,551,193) | 1,554,786 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 16.4% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 09/17/203,4 | $ | 400,000 | 399,874 | |||||
0.16% due 09/17/203,4 | 200,000 | 199,937 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $599,792) | 599,811 |
FEDERAL AGENCY NOTES†† - 6.9% | ||||||||
Federal Farm Credit Bank | ||||||||
0.45% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/225 | 250,000 | 250,257 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $250,000) | 250,257 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 5.5% | ||||||||
Federal Home Loan Bank | ||||||||
0.25% due 07/01/204 | 100,000 | 100,000 | ||||||
1.56% due 07/02/204 | 100,000 | 99,996 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $199,996) | 199,996 | |||||||
REPURCHASE AGREEMENTS††,6 - 24.7% | ||||||||
J.P. Morgan Securities LLC | 499,570 | 499,570 | ||||||
BofA Securities, Inc. | 206,894 | 206,894 | ||||||
Barclays Capital, Inc. | 194,481 | 194,481 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $900,945) | 900,945 | |||||||
Total Investments - 96.1% | ||||||||
(Cost $3,501,926) | $ | 3,505,795 | ||||||
Other Assets & Liabilities, net - 3.9% | 142,670 | |||||||
Total Net Assets - 100.0% | $ | 3,648,465 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
Russell 2000 Index Mini Futures Contracts | 5 | Sep 2020 | $ | 359,100 | $ | (101 | ) |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements†† | |||||||||||||||||||
Goldman Sachs International | Russell 2000 Index | 0.36% (1 Week USD LIBOR + 0.25%) | At Maturity | 07/28/20 | 1,504 | $ | 2,168,069 | $ | 94,137 | ||||||||||
Barclays Bank plc | Russell 2000 Index | 0.11% (1 Week USD LIBOR) | At Maturity | 07/30/20 | 1,960 | 2,825,257 | 54,982 | ||||||||||||
BNP Paribas | Russell 2000 Index | 0.28% (1 Month USD LIBOR + 0.10%) | At Maturity | 07/29/20 | 81 | 117,434 | 4,206 | ||||||||||||
$ | 5,110,760 | $ | 153,325 |
86 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
RUSSELL 2000® 1.5x 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. |
††† | Value determined based on Level 3 inputs — See Note 4. |
1 | Security was fair valued by the Valuation Committee at June 30, 2020. 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 equity index swap collateral at June 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Variable rate security. Rate indicated is the rate effective at June 30, 2020. 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. |
6 | Repurchase Agreements — See Note 6. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Rights | $ | — | $ | — | $ | — | * | $ | — | |||||||
Mutual Funds | 1,554,786 | — | — | 1,554,786 | ||||||||||||
U.S. Treasury Bills | — | 599,811 | — | 599,811 | ||||||||||||
Federal Agency Notes | — | 250,257 | — | 250,257 | ||||||||||||
Federal Agency Discount Notes | — | 199,996 | — | 199,996 | ||||||||||||
Repurchase Agreements | — | 900,945 | — | 900,945 | ||||||||||||
Total Return Swap Agreements** | — | 153,325 | — | 153,325 | ||||||||||||
Total Assets | $ | 1,554,786 | $ | 2,104,334 | $ | — | $ | 3,659,120 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts** | $ | 101 | $ | — | $ | — | $ | 101 |
* | Security has a market value of $0. |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 1,251,714 | $ | 759,715 | $ | (1,540,000 | ) | $ | (5,782 | ) | $ | 3,151 | $ | 468,798 | 18,957 | $ | 9,786 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 1,798,499 | 820,211 | (1,535,000 | ) | (2,341 | ) | 4,619 | 1,085,988 | 109,475 | 10,295 | ||||||||||||||||||||||
$ | 3,050,213 | $ | 1,579,926 | $ | (3,075,000 | ) | $ | (8,123 | ) | $ | 7,770 | $ | 1,554,786 | $ | 20,081 |
88 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
RUSSELL 2000® 1.5x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $1,049,788) | $ | 1,050,064 | ||
Investments in affiliated issuers, at value (cost $1,551,193) | 1,554,786 | |||
Repurchase agreements, at value (cost $900,945) | 900,945 | |||
Unrealized appreciation on OTC swap agreements | 153,325 | |||
Receivables: | ||||
Swap settlement | 12,936 | |||
Dividends | 1,623 | |||
Interest | 55 | |||
Total assets | 3,673,734 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 10,703 | |||
Professional fees | 3,157 | |||
Management fees | 2,524 | |||
Printing fees | 2,046 | |||
Securities purchased | 1,623 | |||
Transfer agent and administrative fees | 815 | |||
Investor service fees | 758 | |||
Portfolio accounting fees | 303 | |||
Variation margin on futures contracts | 101 | |||
Trustees’ fees* | 74 | |||
Miscellaneous | 3,165 | |||
Total liabilities | 25,269 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 3,648,465 | ||
Net assets consist of: | ||||
Paid in capital | $ | 4,664,916 | ||
Total distributable earnings (loss) | (1,016,451 | ) | ||
Net assets | $ | 3,648,465 | ||
Capital shares outstanding | 62,327 | |||
Net asset value per share | $ | 58.54 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 20,081 | ||
Interest | 5,983 | |||
Total investment income | 26,064 | |||
Expenses: | ||||
Management fees | 17,056 | |||
Investor service fees | 4,738 | |||
Transfer agent and administrative fees | 5,098 | |||
Professional fees | 3,628 | |||
Portfolio accounting fees | 1,895 | |||
Trustees’ fees* | 620 | |||
Custodian fees | 366 | |||
Miscellaneous | 3,165 | |||
Total expenses | 36,566 | |||
Less: | ||||
Expenses waived by Adviser | (1,450 | ) | ||
Net expenses | 35,116 | |||
Net investment loss | (9,052 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 682 | |||
Investments in affiliated issuers | (8,123 | ) | ||
Swap agreements | (1,048,557 | ) | ||
Futures contracts | (246,129 | ) | ||
Net realized loss | (1,302,127 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (248 | ) | ||
Investments in affiliated issuers | 7,770 | |||
Swap agreements | 151,585 | |||
Futures contracts | (101 | ) | ||
Net change in unrealized appreciation (depreciation) | 159,006 | |||
Net realized and unrealized loss | (1,143,121 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,152,173 | ) |
* | 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 | 89 |
RUSSELL 2000® 1.5x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (9,052 | ) | $ | 35,778 | |||
Net realized gain (loss) on investments | (1,302,127 | ) | 1,892,716 | |||||
Net change in unrealized appreciation (depreciation) on investments | 159,006 | (97,262 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (1,152,173 | ) | 1,831,232 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 9,719,940 | 22,821,308 | ||||||
Cost of shares redeemed | (10,264,192 | ) | (25,780,443 | ) | ||||
Net decrease from capital share transactions | (544,252 | ) | (2,959,135 | ) | ||||
Net decrease in net assets | (1,696,425 | ) | (1,127,903 | ) | ||||
Net assets: | ||||||||
Beginning of period | 5,344,890 | 6,472,793 | ||||||
End of period | $ | 3,648,465 | $ | 5,344,890 | ||||
Capital share activity: | ||||||||
Shares sold | 164,395 | 328,788 | ||||||
Shares redeemed | (170,645 | ) | (372,633 | ) | ||||
Net decrease in shares | (6,250 | ) | (43,845 | ) |
90 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 77.94 | $ | 57.58 | $ | 74.58 | $ | 64.03 | $ | 49.10 | $ | 53.99 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.14 | ) | .41 | .34 | (.14 | ) | (.38 | ) | (.46 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (19.26 | ) | 19.95 | (13.90 | ) | 12.71 | 15.31 | (4.43 | ) | |||||||||||||||
Total from investment operations | (19.40 | ) | 20.36 | (13.56 | ) | 12.57 | 14.93 | (4.89 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (3.44 | ) | (2.02 | ) | — | — | ||||||||||||||||
Total distributions | — | — | (3.44 | ) | (2.02 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 58.54 | $ | 77.94 | $ | 57.58 | $ | 74.58 | �� | $ | 64.03 | $ | 49.10 | |||||||||||
| ||||||||||||||||||||||||
Total Returnc | (24.89 | %) | 35.36 | % | (19.57 | %) | 20.01 | % | 30.41 | % | (9.08 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,648 | $ | 5,345 | $ | 6,473 | $ | 9,070 | $ | 9,759 | $ | 6,342 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.48 | %) | 0.58 | % | 0.45 | % | (0.21 | %) | (0.74 | %) | (0.84 | %) | ||||||||||||
Total expensesd | 1.93 | % | 1.92 | % | 1.82 | % | 1.80 | % | 1.77 | % | 1.70 | % | ||||||||||||
Net expensese | 1.85 | % | 1.85 | % | 1.81 | % | 1.80 | % | 1.77 | % | 1.70 | % | ||||||||||||
Portfolio turnover rate | 77 | % | 127 | % | 268 | % | 234 | % | 1,198 | % | 406 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 | 91 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 | 19.4% |
Guggenheim Strategy Fund II | 10.6% |
Total | 30.0% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse Russell 2000® Strategy Fund | (1.75%) | (8.65%) | (8.59%) | (14.39%) |
Russell 2000 Index | (12.98%) | (6.63%) | 6.49% | 12.30% |
* | 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. |
92 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
INVERSE RUSSELL 2000® STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 30.0% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 35,095 | $ | 348,140 | |||||
Guggenheim Strategy Fund II1 | 7,677 | 189,849 | ||||||
Total Mutual Funds | ||||||||
(Cost $533,173) | 537,989 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 13.6% | ||||||||
Federal Home Loan Bank | ||||||||
0.07% due 07/02/202 | $ | 192,000 | 192,000 | |||||
Federal Farm Credit Bank | ||||||||
1.56% due 08/21/202 | 53,000 | 52,988 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $244,882) | 244,988 |
REPURCHASE AGREEMENTS††,3 - 64.2% | ||||||||
J.P. Morgan Securities LLC | 638,459 | 638,459 | ||||||
BofA Securities, Inc. | 264,414 | 264,414 | ||||||
Barclays Capital, Inc. | 248,550 | 248,550 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,151,423) | 1,151,423 | |||||||
Total Investments - 107.8% | ||||||||
(Cost $1,929,478) | $ | 1,934,400 | ||||||
Other Assets & Liabilities, net - (7.8)% | (139,729 | ) | ||||||
Total Net Assets - 100.0% | $ | 1,794,671 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||||
Russell 2000 Index Mini Futures Contracts | 4 | Sep 2020 | $ | 287,280 | $ | 626 |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Index | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Equity Index Swap Agreements Sold Short†† | |||||||||||||||||||
Barclays Bank plc | Russell 2000 Index | 0.39% (1 Week USD LIBOR - 0.50%) | At Maturity | 07/30/20 | 31 | $ | 44,046 | $ | (857 | ) | |||||||||
BNP Paribas | Russell 2000 Index | 0.22% (1 Month USD LIBOR - 0.40%) | At Maturity | 07/29/20 | 284 | 408,948 | (16,316 | ) | |||||||||||
Goldman Sachs International | Russell 2000 Index | (0.06)% (1 Week USD LIBOR - 0.05%) | At Maturity | 07/28/20 | 729 | 1,051,329 | (40,873 | ) | |||||||||||
$ | 1,504,323 | $ | (58,046 | ) |
** | 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, 2020. |
LIBOR — London Interbank Offered Rate | |
plc — Public Limited Company | |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
INVERSE RUSSELL 2000® STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 537,989 | $ | — | $ | — | $ | 537,989 | ||||||||
Federal Agency Discount Notes | — | 244,988 | — | 244,988 | ||||||||||||
Repurchase Agreements | — | 1,151,423 | — | 1,151,423 | ||||||||||||
Futures Contracts** | 626 | — | — | 626 | ||||||||||||
Total Assets | $ | 538,615 | $ | 1,396,411 | $ | — | $ | 1,935,026 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Total Return Swap Agreements** | $ | — | $ | 58,046 | $ | — | $ | 58,046 |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 153,407 | $ | 582,474 | $ | (545,000 | ) | $ | (3,687 | ) | $ | 2,655 | $ | 189,849 | 7,677 | $ | 2,482 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 164,715 | 602,719 | (420,000 | ) | (1,384 | ) | 2,090 | 348,140 | 35,095 | 2,727 | ||||||||||||||||||||||
$ | 318,122 | $ | 1,185,193 | $ | (965,000 | ) | $ | (5,071 | ) | $ | 4,745 | $ | 537,989 | $ | 5,209 |
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $244,882) | $ | 244,988 | ||
Investments in affiliated issuers, at value (cost $533,173) | 537,989 | |||
Repurchase agreements, at value (cost $1,151,423) | 1,151,423 | |||
Segregated cash with broker | 56,320 | |||
Receivables: | ||||
Fund shares sold | 19,950 | |||
Dividends | 645 | |||
Interest | 2 | |||
Total assets | 2,011,317 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 58,046 | |||
Payable for: | ||||
Fund shares redeemed | 130,686 | |||
Swap settlement | 17,235 | |||
Variation margin on futures contracts | 5,361 | |||
Management fees | 1,055 | |||
Securities purchased | 645 | |||
Transfer agent and administrative fees | 339 | |||
Investor service fees | 315 | |||
Portfolio accounting fees | 126 | |||
Trustees’ fees* | 24 | |||
Miscellaneous | 2,814 | |||
Total liabilities | 216,646 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 1,794,671 | ||
Net assets consist of: | ||||
Paid in capital | $ | 9,200,194 | ||
Total distributable earnings (loss) | (7,405,523 | ) | ||
Net assets | $ | 1,794,671 | ||
Capital shares outstanding | 33,939 | |||
Net asset value per share | $ | 52.88 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 5,209 | ||
Interest | 1,288 | |||
Total investment income | 6,497 | |||
Expenses: | ||||
Management fees | 6,282 | |||
Investor service fees | 1,745 | |||
Transfer agent and administrative fees | 1,877 | |||
Professional fees | 1,251 | |||
Portfolio accounting fees | 698 | |||
Trustees’ fees* | 127 | |||
Custodian fees | 114 | |||
Miscellaneous | 1,468 | |||
Total expenses | 13,562 | |||
Less: | ||||
Expenses waived by Adviser | (425 | ) | ||
Net expenses | 13,137 | |||
Net investment loss | (6,640 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (5,071 | ) | ||
Swap agreements | (504,610 | ) | ||
Futures contracts | 2,111 | |||
Net realized loss | (507,570 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 104 | |||
Investments in affiliated issuers | 4,745 | |||
Swap agreements | (60,039 | ) | ||
Futures contracts | 2,282 | |||
Net change in unrealized appreciation (depreciation) | (52,908 | ) | ||
Net realized and unrealized loss | (560,478 | ) | ||
Net decrease in net assets resulting from operations | $ | (567,118 | ) |
* | 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 | 95 |
INVERSE RUSSELL 2000® STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (6,640 | ) | $ | 9,218 | |||
Net realized loss on investments | (507,570 | ) | (502,346 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (52,908 | ) | 50,004 | |||||
Net decrease in net assets resulting from operations | (567,118 | ) | (443,124 | ) | ||||
Distributions to shareholders | — | (7,165 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 16,448,992 | 15,962,630 | ||||||
Distributions reinvested | — | 7,165 | ||||||
Cost of shares redeemed | (14,699,476 | ) | (18,689,264 | ) | ||||
Net increase (decrease) from capital share transactions | 1,749,516 | (2,719,469 | ) | |||||
Net increase (decrease) in net assets | 1,182,398 | (3,169,758 | ) | |||||
Net assets: | ||||||||
Beginning of period | 612,273 | 3,782,031 | ||||||
End of period | $ | 1,794,671 | $ | 612,273 | ||||
Capital share activity: | ||||||||
Shares sold | 264,349 | 269,058 | ||||||
Shares issued from reinvestment of distributions | — | 125 | ||||||
Shares redeemed | (241,787 | ) | (313,193 | ) | ||||
Net increase (decrease) in shares | 22,562 | (44,010 | ) |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE RUSSELL 2000® STRATEGY FUND |
FINANCIAL HIGHLIGHTS |
This table is presented to show selected data for a share outstanding throughout each period and to assist shareholders in evaluating a Fund’s performance for the periods presented.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 53.82 | $ | 68.28 | $ | 61.44 | $ | 71.04 | $ | 89.12 | $ | 89.01 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.29 | ) | .46 | .31 | (.51 | ) | (.35 | ) | (1.20 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.65 | ) | (14.50 | ) | 6.53 | (9.09 | ) | (17.73 | ) | 1.31 | ||||||||||||||
Total from investment operations | (.94 | ) | (14.04 | ) | 6.84 | (9.60 | ) | (18.08 | ) | .11 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.42 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.42 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 52.88 | $ | 53.82 | $ | 68.28 | $ | 61.44 | $ | 71.04 | $ | 89.12 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (1.75 | %) | (20.62 | %) | 11.13 | % | (13.49 | %) | (20.28 | %) | 0.10 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,795 | $ | 612 | $ | 3,782 | $ | 923 | $ | 12,310 | $ | 6,949 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.95 | %) | 0.76 | % | 0.51 | % | (0.74 | %) | (1.14 | %) | (1.39 | %) | ||||||||||||
Total expensesd | 1.94 | % | 1.93 | % | 1.83 | % | 1.80 | % | 1.75 | % | 1.71 | % | ||||||||||||
Net expensese | 1.88 | % | 1.85 | % | 1.82 | % | 1.80 | % | 1.75 | % | 1.71 | % | ||||||||||||
Portfolio turnover rate | 175 | % | 164 | % | 287 | % | 445 | % | 1,160 | % | 452 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 | 26.8% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 15.4% |
Apple, Inc. | 3.5% |
UnitedHealth Group, Inc. | 2.8% |
Home Depot, Inc. | 2.4% |
Microsoft Corp. | 1.9% |
Goldman Sachs Group, Inc. | 1.9% |
Visa, Inc. — Class A | 1.8% |
McDonald’s Corp. | 1.8% |
Boeing Co. | 1.8% |
Top Ten Total | 60.1% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Dow 2x Strategy Fund | (27.77%) | (17.35%) | 13.06% | 20.05% |
Dow Jones Industrial Average Index | (8.43%) | (0.54%) | 10.62% | 12.99% |
* | 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. |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
DOW 2x STRATEGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 36.0% | ||||||||
Technology - 7.2% | ||||||||
Apple, Inc. | 1,158 | $ | 422,438 | |||||
Microsoft Corp. | 1,158 | 235,665 | ||||||
International Business Machines Corp. | 1,158 | 139,852 | ||||||
Intel Corp. | 1,158 | 69,283 | ||||||
Total Technology | 867,238 | |||||||
Consumer, Non-cyclical - 6.8% | ||||||||
UnitedHealth Group, Inc. | 1,158 | 341,552 | ||||||
Johnson & Johnson | 1,158 | 162,849 | ||||||
Procter & Gamble Co. | 1,158 | 138,462 | ||||||
Merck & Company, Inc. | 1,158 | 89,548 | ||||||
Coca-Cola Co. | 1,158 | 51,740 | ||||||
Pfizer, Inc. | 1,158 | 37,867 | ||||||
Total Consumer, Non-cyclical | 822,018 | |||||||
Consumer, Cyclical - 6.7% | ||||||||
Home Depot, Inc. | 1,158 | 290,090 | ||||||
McDonald’s Corp. | 1,158 | 213,616 | ||||||
Walmart, Inc. | 1,158 | 138,705 | ||||||
NIKE, Inc. — Class B | 1,158 | 113,542 | ||||||
Walgreens Boots Alliance, Inc. | 1,158 | 49,088 | ||||||
Total Consumer, Cyclical | 805,041 | |||||||
Financial - 6.6% | ||||||||
Goldman Sachs Group, Inc. | 1,158 | 228,844 | ||||||
Visa, Inc. — Class A | 1,158 | 223,691 | ||||||
Travelers Companies, Inc. | 1,158 | 132,070 | ||||||
American Express Co. | 1,158 | 110,242 | ||||||
JPMorgan Chase & Co. | 1,158 | 108,921 | ||||||
Total Financial | 803,768 | |||||||
Industrial - 5.0% | ||||||||
Boeing Co. | 1,158 | 212,261 | ||||||
3M Co. | 1,158 | 180,637 | ||||||
Caterpillar, Inc. | 1,158 | 146,487 | ||||||
Raytheon Technologies Corp. | 1,158 | 71,356 | ||||||
Total Industrial | 610,741 | |||||||
Communications - 2.0% | ||||||||
Walt Disney Co. | 1,158 | 129,128 | ||||||
Verizon Communications, Inc. | 1,158 | 63,841 | ||||||
Cisco Systems, Inc. | 1,158 | 54,009 | ||||||
Total Communications | 246,978 | |||||||
Energy - 1.3% | ||||||||
Chevron Corp. | 1,158 | 103,328 | ||||||
Exxon Mobil Corp. | 1,158 | 51,786 | ||||||
Total Energy | 155,114 | |||||||
Basic Materials - 0.4% | ||||||||
Dow, Inc. | 1,158 | 47,200 | ||||||
Total Common Stocks | ||||||||
(Cost $3,951,702) | 4,358,098 | |||||||
MUTUAL FUNDS† - 42.2% | ||||||||
Guggenheim Strategy Fund II1 | 131,200 | 3,244,565 | ||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 187,756 | 1,862,536 | ||||||
Total Mutual Funds | ||||||||
(Cost $5,056,877) | 5,107,101 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 9.7% | ||||||||
U.S. Treasury Bills | ||||||||
0.16% due 09/17/202,3 | $ | 500,000 | 499,843 | |||||
0.14% due 09/17/202,3 | 400,000 | 399,874 | ||||||
0.15% due 07/23/203 | 269,000 | 268,980 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $1,168,669) | 1,168,697 | |||||||
REPURCHASE AGREEMENTS††,4 - 9.6% | ||||||||
J.P. Morgan Securities LLC | 646,475 | 646,475 | ||||||
BofA Securities, Inc. | 267,735 | 267,735 | ||||||
Barclays Capital, Inc. | 251,670 | 251,670 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,165,880) | 1,165,880 | |||||||
Total Investments - 97.5% | ||||||||
(Cost $11,343,128) | $ | 11,799,776 | ||||||
Other Assets & Liabilities, net - 2.5% | 307,917 | |||||||
Total Net Assets - 100.0% | $ | 12,107,693 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
DOW 2x STRATEGY FUND |
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 | 0.68% (1 Month USD LIBOR + 0.50%) | At Maturity | 07/29/20 | 474 | $ | 12,224,482 | $ | 173,773 | ||||||||||
Barclays Bank plc | Dow Jones Industrial Average Index | 0.61% (1 Week USD LIBOR + 0.50%) | At Maturity | 07/30/20 | 298 | 7,685,630 | 19,635 | ||||||||||||
$ | 19,910,112 | $ | 193,408 |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Affiliated issuer. |
2 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2020. |
3 | Rate indicated is the effective yield at the time of purchase. |
4 | Repurchase Agreements — See Note 6. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 4,358,098 | $ | — | $ | — | $ | 4,358,098 | ||||||||
Mutual Funds | 5,107,101 | — | — | 5,107,101 | ||||||||||||
U.S. Treasury Bills | — | 1,168,697 | — | 1,168,697 | ||||||||||||
Repurchase Agreements | — | 1,165,880 | — | 1,165,880 | ||||||||||||
Total Return Swap Agreements** | — | 193,408 | — | 193,408 | ||||||||||||
Total Assets | $ | 9,465,199 | $ | 2,527,985 | $ | — | $ | 11,993,184 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 4,466,704 | $ | 5,431,195 | $ | (6,650,000 | ) | $ | (50,309 | ) | $ | 46,975 | $ | 3,244,565 | 131,200 | $ | 31,447 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 5,476,105 | 5,430,406 | (9,050,000 | ) | (17,933 | ) | �� | 23,958 | 1,862,536 | 187,756 | 30,662 | |||||||||||||||||||||
$ | 9,942,809 | $ | 10,861,601 | $ | (15,700,000 | ) | $ | (68,242 | ) | $ | 70,933 | $ | 5,107,101 | $ | 62,109 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
DOW 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $5,120,371) | $ | 5,526,795 | ||
Investments in affiliated issuers, at value (cost $5,056,877) | 5,107,101 | |||
Repurchase agreements, at value (cost $1,165,880) | 1,165,880 | |||
Segregated cash with broker | 10,000 | |||
Unrealized appreciation on OTC swap agreements | 193,408 | |||
Receivables: | ||||
Fund shares sold | 176,505 | |||
Dividends | 8,457 | |||
Interest | 2 | |||
Total assets | 12,188,148 | |||
Liabilities: | ||||
Payable for: | ||||
Swap settlement | 22,340 | |||
Professional fees | 10,849 | |||
Management fees | 9,872 | |||
Fund shares redeemed | 8,812 | |||
Printing fees | 7,029 | |||
Securities purchased | 6,284 | |||
Transfer agent and administrative fees | 3,082 | |||
Investor service fees | 2,864 | |||
Portfolio accounting fees | 1,146 | |||
Trustees’ fees* | 233 | |||
Miscellaneous | 7,944 | |||
Total liabilities | 80,455 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 12,107,693 | ||
Net assets consist of: | ||||
Paid in capital | $ | 15,365,668 | ||
Total distributable earnings (loss) | (3,257,975 | ) | ||
Net assets | $ | 12,107,693 | ||
Capital shares outstanding | 102,599 | |||
Net asset value per share | $ | 118.01 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers | $ | 40,115 | ||
Dividends from securities of affiliated issuers | 62,109 | |||
Interest | 12,255 | |||
Total investment income | 114,479 | |||
Expenses: | ||||
Management fees | 58,604 | |||
Investor service fees | 16,279 | |||
Transfer agent and administrative fees | 17,516 | |||
Professional fees | 12,977 | |||
Portfolio accounting fees | 6,511 | |||
Trustees’ fees* | 1,728 | |||
Custodian fees | 1,045 | |||
Line of credit fees | 36 | |||
Miscellaneous | 10,248 | |||
Total expenses | 124,944 | |||
Less: | ||||
Expenses waived by Adviser | (4,235 | ) | ||
Net expenses | 120,709 | |||
Net investment loss | (6,230 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (200,941 | ) | ||
Investments in affiliated issuers | (68,242 | ) | ||
Swap agreements | (3,956,233 | ) | ||
Futures contracts | (1,171,491 | ) | ||
Net realized loss | (5,396,907 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (11,066 | ) | ||
Investments in affiliated issuers | 70,933 | |||
Swap agreements | 173,924 | |||
Futures contracts | 406 | |||
Net change in unrealized appreciation (depreciation) | 234,197 | |||
Net realized and unrealized loss | (5,162,710 | ) | ||
Net decrease in net assets resulting from operations | $ | (5,168,940 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
DOW 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (6,230 | ) | $ | 103,391 | |||
Net realized gain (loss) on investments | (5,396,907 | ) | 6,232,472 | |||||
Net change in unrealized appreciation (depreciation) on investments | 234,197 | 181,382 | ||||||
Net increase (decrease) in net assets resulting from operations | (5,168,940 | ) | 6,517,245 | |||||
Distributions to shareholders | — | (111,188 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 44,766,934 | 79,655,407 | ||||||
Distributions reinvested | — | 111,188 | ||||||
Cost of shares redeemed | (43,009,310 | ) | (84,863,093 | ) | ||||
Net increase (decrease) from capital share transactions | 1,757,624 | (5,096,498 | ) | |||||
Net increase (decrease) in net assets | (3,411,316 | ) | 1,309,559 | |||||
Net assets: | ||||||||
Beginning of period | 15,519,009 | 14,209,450 | ||||||
End of period | $ | 12,107,693 | $ | 15,519,009 | ||||
Capital share activity: | ||||||||
Shares sold | 364,171 | 564,560 | ||||||
Shares issued from reinvestment of distributions | — | 742 | ||||||
Shares redeemed | (356,559 | ) | (597,755 | ) | ||||
Net increase (decrease) in shares | 7,612 | (32,453 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 163.38 | $ | 111.50 | $ | 171.44 | $ | 110.08 | $ | 84.22 | $ | 112.60 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.06 | ) | .91 | 1.01 | .25 | .06 | (.06 | ) | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (45.31 | ) | 51.94 | (18.55 | ) | 63.43 | 25.80 | (2.89 | ) | |||||||||||||||
Total from investment operations | (45.37 | ) | 52.85 | (17.54 | ) | 63.68 | 25.86 | (2.95 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.97 | ) | (.36 | ) | (.06 | ) | — | — | |||||||||||||||
Net realized gains | — | — | (42.04 | ) | (2.26 | ) | — | (25.43 | ) | |||||||||||||||
Total distributions | — | (.97 | ) | (42.40 | ) | (2.32 | ) | — | (25.43 | ) | ||||||||||||||
Net asset value, end of period | $ | 118.01 | $ | 163.38 | $ | 111.50 | $ | 171.44 | $ | 110.08 | $ | 84.22 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (27.77 | %) | 47.47 | % | (14.23 | %) | 58.51 | % | 30.72 | % | (4.22 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 12,108 | $ | 15,519 | $ | 14,209 | $ | 23,319 | $ | 16,510 | $ | 21,905 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.10 | %) | 0.65 | % | 0.65 | % | 0.18 | % | 0.07 | % | (0.06 | %) | ||||||||||||
Total expensesd | 1.92 | % | 1.91 | % | 1.80 | % | 1.81 | % | 1.77 | % | 1.72 | % | ||||||||||||
Net expensese | 1.85 | % | 1.84 | % | 1.80 | % | 1.81 | % | 1.77 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | 270 | % | 256 | % | 362 | % | 256 | % | 361 | % | 212 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
104 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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® (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 | 20.5% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 20.0% |
Total | 40.5% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse Dow 2x Strategy Fund | (18.74%) | (31.10%) | (26.47%) | (28.60%) |
Dow Jones Industrial Average Index | (8.43%) | (0.54%) | 10.62% | 12.99% |
* | 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 | 105 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
INVERSE DOW 2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 40.5% | ||||||||
Guggenheim Strategy Fund II1 | 22,040 | $ | 545,061 | |||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 53,585 | 531,564 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,061,458) | 1,076,625 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 23.0% | ||||||||
U.S. Treasury Bills | ||||||||
0.16% due 09/17/202,3 | $ | 600,000 | 599,811 | |||||
0.15% due 07/23/203,4 | 11,000 | 10,999 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $610,778) | 610,810 |
FEDERAL AGENCY DISCOUNT NOTES†† - 3.8% | ||||||||
Federal Home Loan Bank | ||||||||
0.25% due 07/01/203 | 100,000 | 100,000 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $100,000) | 100,000 | |||||||
REPURCHASE AGREEMENTS††,5 - 42.4% | ||||||||
J.P. Morgan Securities LLC | 623,998 | 623,998 | ||||||
BofA Securities, Inc. | 258,426 | 258,426 | ||||||
Barclays Capital, Inc. | 242,921 | 242,921 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,125,345) | 1,125,345 | |||||||
�� | ||||||||
Total Investments - 109.7% | ||||||||
(Cost $2,897,581) | $ | 2,912,780 | ||||||
Other Assets & Liabilities, net - (9.7)% | (257,360 | ) | ||||||
Total Net Assets - 100.0% | $ | 2,655,420 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Equity Futures Contracts Sold Short† | ||||||||||||||||
Dow Jones Industrial Average Index Mini Futures Contracts | 3 | Sep 2020 | $ | 384,645 | $ | 6,219 |
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 | (0.36)% (1 Week USD LIBOR + 0.25%) | At Maturity | 07/30/20 | 123 | $ | 3,183,962 | $ | (8,305 | ) | |||||||||
BNP Paribas | Dow Jones Industrial Average Index | (0.18)% (1 Month USD LIBOR) | At Maturity | 07/29/20 | 67 | 1,717,956 | (24,411 | ) | |||||||||||
$ | 4,901,918 | $ | (32,716 | ) |
106 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
INVERSE DOW 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 | All or a portion of this security is pledged as equity index swap collateral at June 30, 2020. |
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, 2020. |
5 | Repurchase Agreements — See Note 6. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 1,076,625 | $ | — | $ | — | $ | 1,076,625 | ||||||||
U.S. Treasury Bills | — | 610,810 | — | 610,810 | ||||||||||||
Federal Agency Discount Notes | — | 100,000 | — | 100,000 | ||||||||||||
Repurchase Agreements | — | 1,125,345 | — | 1,125,345 | ||||||||||||
Futures Contracts** | 6,219 | — | — | 6,219 | ||||||||||||
Total Assets | $ | 1,082,844 | $ | 1,836,155 | $ | — | $ | 2,918,999 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Total Return Swap Agreements** | $ | — | $ | 32,716 | $ | — | $ | 32,716 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 107 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
INVERSE 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 752,002 | $ | 2,581,747 | $ | (2,780,000 | ) | $ | (20,171 | ) | $ | 11,483 | $ | 545,061 | 22,040 | $ | 6,790 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 703,973 | 2,715,908 | (2,880,000 | ) | (13,885 | ) | 5,568 | 531,564 | 53,585 | 5,941 | ||||||||||||||||||||||
$ | 1,455,975 | $ | 5,297,655 | $ | (5,660,000 | ) | $ | (34,056 | ) | $ | 17,051 | $ | 1,076,625 | $ | 12,731 |
108 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE DOW 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $710,778) | $ | 710,810 | ||
Investments in affiliated issuers, at value (cost $1,061,458) | 1,076,625 | |||
Repurchase agreements, at value (cost $1,125,345) | 1,125,345 | |||
Segregated cash with broker | 21,156 | |||
Receivables: | ||||
Securities sold | 150,000 | |||
Dividends | 1,099 | |||
Interest | 2 | |||
Total assets | 3,085,037 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 32,716 | |||
Payable for: | ||||
Fund shares redeemed | 368,834 | |||
Swap settlement | 14,634 | |||
Variation margin on futures contracts | 2,190 | |||
Management fees | 2,104 | |||
Securities purchased | 1,099 | |||
Transfer agent and administrative fees | 660 | |||
Investor service fees | 614 | |||
Portfolio accounting fees | 246 | |||
Trustees’ fees* | 58 | |||
Miscellaneous | 6,462 | |||
Total liabilities | 429,617 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 2,655,420 | ||
Net assets consist of: | ||||
Paid in capital | $ | 22,564,771 | ||
Total distributable earnings (loss) | (19,909,351 | ) | ||
Net assets | $ | 2,655,420 | ||
Capital shares outstanding | 124,700 | |||
Net asset value per share | $ | 21.29 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 12,731 | ||
Interest | 4,100 | |||
Total investment income | 16,831 | |||
Expenses: | ||||
Management fees | 14,836 | |||
Investor service fees | 4,121 | |||
Transfer agent and administrative fees | 4,434 | |||
Professional fees | 3,172 | |||
Portfolio accounting fees | 1,649 | |||
Trustees’ fees* | 384 | |||
Custodian fees | 274 | |||
Miscellaneous | 2,884 | |||
Total expenses | 31,754 | |||
Less: | ||||
Expenses waived by Adviser | (852 | ) | ||
Net expenses | 30,902 | |||
Net investment loss | (14,071 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 13 | |||
Investments in affiliated issuers | (34,056 | ) | ||
Swap agreements | (1,016,072 | ) | ||
Futures contracts | 83,557 | |||
Net realized loss | (966,558 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 1 | |||
Investments in affiliated issuers | 17,051 | |||
Swap agreements | (32,847 | ) | ||
Futures contracts | 7,945 | |||
Net change in unrealized appreciation (depreciation) | (7,850 | ) | ||
Net realized and unrealized loss | (974,408 | ) | ||
Net decrease in net assets resulting from operations | $ | (988,479 | ) |
* | 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 | 109 |
INVERSE DOW 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (14,071 | ) | $ | 20,050 | |||
Net realized loss on investments | (966,558 | ) | (1,435,569 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (7,850 | ) | 32,472 | |||||
Net decrease in net assets resulting from operations | (988,479 | ) | (1,383,047 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 38,238,849 | 57,014,446 | ||||||
Cost of shares redeemed | (37,870,182 | ) | (54,477,965 | ) | ||||
Net increase from capital share transactions | 368,667 | 2,536,481 | ||||||
Net increase (decrease) in net assets | (619,812 | ) | 1,153,434 | |||||
Net assets: | ||||||||
Beginning of period | 3,275,232 | 2,121,798 | ||||||
End of period | $ | 2,655,420 | $ | 3,275,232 | ||||
Capital share activity: | ||||||||
Shares sold | 1,348,008 | 1,672,865 | ||||||
Shares redeemed | (1,348,311 | ) | (1,599,621 | ) | ||||
Net increase (decrease) in shares | (303 | ) | 73,244 |
110 | 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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 26.20 | $ | 40.99 | $ | 40.42 | $ | 66.22 | $ | 94.11 | $ | 102.38 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.11 | ) | .18 | .25 | (.32 | ) | (.25 | ) | (1.50 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (4.80 | ) | (14.97 | ) | .32 | (25.48 | ) | (27.64 | ) | (6.77 | ) | |||||||||||||
Total from investment operations | (4.91 | ) | (14.79 | ) | .57 | (25.80 | ) | (27.89 | ) | (8.27 | ) | |||||||||||||
Net asset value, end of period | $ | 21.29 | $ | 26.20 | $ | 40.99 | $ | 40.42 | $ | 66.22 | $ | 94.11 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (18.74 | %) | (36.08 | %) | 1.43 | % | (38.95 | %) | (29.65 | %) | (8.03 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,655 | $ | 3,275 | $ | 2,122 | $ | 3,699 | $ | 3,403 | $ | 5,057 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.85 | %) | 0.56 | % | 0.67 | % | (0.58 | %) | (0.84 | %) | (1.52 | %) | ||||||||||||
Total expensesd | 1.93 | % | 1.92 | % | 1.81 | % | 1.81 | % | 1.77 | % | 1.72 | % | ||||||||||||
Net expensese | 1.87 | % | 1.86 | % | 1.80 | % | 1.81 | % | 1.77 | % | 1.72 | % | ||||||||||||
Portfolio turnover rate | 396 | % | 427 | % | 524 | % | 915 | % | 642 | % | 270 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 1:3 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 111 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 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: 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 Bonds | 44.7% |
Guggenheim Ultra Short Duration Fund — Institutional Class | 11.6% |
Guggenheim Strategy Fund II | 11.5% |
Total | 67.8% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Government Long Bond 1.2x Strategy Fund | 29.14% | 33.22% | 10.15% | 8.17% |
Price Movement of Long Treasury Bond** | 24.15% | 27.49% | 7.17% | 4.70% |
Bloomberg Barclays U.S. Long Treasury Index | 21.20% | 25.41% | 9.26% | 7.74% |
* | 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. |
112 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 23.1% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 378,379 | $ | 3,753,523 | |||||
Guggenheim Strategy Fund II1 | 149,391 | 3,694,446 | ||||||
Total Mutual Funds | ||||||||
(Cost $7,412,010) | 7,447,969 | |||||||
Face | ||||||||
U.S. GOVERNMENT SECURITIES†† - 44.7% | ||||||||
U.S. Treasury Bonds | ||||||||
1.25% due 05/15/50 | $ | 15,000,000 | 14,397,656 | |||||
Total U.S. Government Securities | ||||||||
(Cost $14,265,729) | 14,397,656 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 4.7% | ||||||||
Tennessee Valley Authority | ||||||||
0.10% due 07/08/202 | 1,018,000 | 1,017,980 | ||||||
Freddie Mac | ||||||||
0.05% due 07/02/202 | 300,000 | 300,000 | ||||||
Federal Home Loan Bank | ||||||||
0.10% due 07/01/202 | 100,000 | 100,000 | ||||||
Federal Farm Credit Bank | ||||||||
0.10% due 07/08/202 | 100,000 | 99,998 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $1,517,978) | 1,517,978 |
U.S. TREASURY BILLS†† - 1.9% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 07/23/202,3 | 625,000 | 624,953 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $624,940) | 624,953 | |||||||
REPURCHASE AGREEMENTS††,4 - 31.1% | ||||||||
J.P. Morgan Securities LLC | 5,550,314 | 5,550,314 | ||||||
BofA Securities, Inc. | 2,298,637 | 2,298,637 | ||||||
Barclays Capital, Inc. | 2,160,718 | 2,160,718 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $10,009,669) | 10,009,669 | |||||||
Total Investments - 105.5% | ||||||||
(Cost $33,830,326) | $ | 33,998,225 | ||||||
Other Assets & Liabilities, net - (5.5)% | (1,785,674 | ) | ||||||
Total Net Assets - 100.0% | $ | 32,212,551 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 144 | Sep 2020 | $ | 31,405,500 | $ | (96,992 | ) |
** | 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, 2020. |
4 | Repurchase Agreements — See Note 6. |
See Sector Classification in Other Information section. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 113 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 7,447,969 | $ | — | $ | — | $ | 7,447,969 | ||||||||
U.S. Government Securities | — | 14,397,656 | — | 14,397,656 | ||||||||||||
Federal Agency Discount Notes | — | 1,517,978 | — | 1,517,978 | ||||||||||||
U.S. Treasury Bills | — | 624,953 | — | 624,953 | ||||||||||||
Repurchase Agreements | — | 10,009,669 | — | 10,009,669 | ||||||||||||
Total Assets | $ | 7,447,969 | $ | 26,550,256 | $ | — | $ | 33,998,225 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts** | $ | 96,992 | $ | — | $ | — | $ | 96,992 |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 1,115,601 | $ | 7,096,549 | $ | (4,530,000 | ) | $ | (12,989 | ) | $ | 25,285 | $ | 3,694,446 | 149,391 | $ | 16,612 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 1,233,472 | 10,221,238 | (7,700,000 | ) | (14,570 | ) | 13,383 | 3,753,523 | 378,379 | 21,295 | ||||||||||||||||||||||
$ | 2,349,073 | $ | 17,317,787 | $ | (12,230,000 | ) | $ | (27,559 | ) | $ | 38,668 | $ | 7,447,969 | $ | 37,907 |
114 | 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, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $16,408,647) | $ | 16,540,587 | ||
Investments in affiliated issuers, at value (cost $7,412,010) | 7,447,969 | |||
Repurchase agreements, at value (cost $10,009,669) | 10,009,669 | |||
Segregated cash with broker | 1,148,362 | |||
Receivables: | ||||
Securities sold | 2,399,609 | |||
Interest | 31,662 | |||
Dividends | 4,954 | |||
Fund shares sold | 339 | |||
Total assets | 37,583,151 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 5,119,931 | |||
Variation margin on futures contracts | 182,846 | |||
Management fees | 8,668 | |||
Securities purchased | 4,954 | |||
Investor service fees | 4,555 | |||
Transfer agent and administrative fees | 3,990 | |||
Portfolio accounting fees | 1,822 | |||
Trustees’ fees* | 393 | |||
Miscellaneous | 43,441 | |||
Total liabilities | 5,370,600 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 32,212,551 | ||
Net assets consist of: | ||||
Paid in capital | $ | 43,008,376 | ||
Total distributable earnings (loss) | (10,795,825 | ) | ||
Net assets | $ | 32,212,551 | ||
Capital shares outstanding | 731,525 | |||
Net asset value per share | $ | 44.03 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 37,907 | ||
Interest | 157,068 | |||
Total investment income | 194,975 | |||
Expenses: | ||||
Management fees | 62,209 | |||
Investor service fees | 31,105 | |||
Transfer agent and administrative fees | 27,248 | |||
Professional fees | 23,953 | |||
Portfolio accounting fees | 12,442 | |||
Printing expenses | 9,736 | |||
Trustees’ fees* | 1,920 | |||
Custodian fees | 1,862 | |||
Miscellaneous | 8,625 | |||
Total expenses | 179,100 | |||
Less: | ||||
Expenses waived by Adviser | (3,116 | ) | ||
Net expenses | 175,984 | |||
Net investment income | 18,991 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (1,537,198 | ) | ||
Investments in affiliated issuers | (27,559 | ) | ||
Futures contracts | 368,008 | |||
Net realized loss | (1,196,749 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 176,759 | |||
Investments in affiliated issuers | 38,668 | |||
Futures contracts | (1,800 | ) | ||
Net change in unrealized appreciation (depreciation) | 213,627 | |||
Net realized and unrealized loss | (983,122 | ) | ||
Net decrease in net assets resulting from operations | $ | (964,131 | ) |
* | 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 | 115 |
GOVERNMENT LONG BOND 1.2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 18,991 | $ | 192,911 | ||||
Net realized gain (loss) on investments | (1,196,749 | ) | 2,785,216 | |||||
Net change in unrealized appreciation (depreciation) on investments | 213,627 | (970,082 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (964,131 | ) | 2,008,045 | |||||
Distributions to shareholders | (28,726 | ) | (192,415 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 266,730,103 | 243,488,670 | ||||||
Distributions reinvested | 28,726 | 192,415 | ||||||
Cost of shares redeemed | (243,906,487 | ) | (248,580,079 | ) | ||||
Net increase (decrease) from capital share transactions | 22,852,342 | (4,898,994 | ) | |||||
Net increase (decrease) in net assets | 21,859,485 | (3,083,364 | ) | |||||
Net assets: | ||||||||
Beginning of period | 10,353,066 | 13,436,430 | ||||||
End of period | $ | 32,212,551 | $ | 10,353,066 | ||||
Capital share activity: | ||||||||
Shares sold | 6,282,560 | 7,334,753 | ||||||
Shares issued from reinvestment of distributions | 749 | 5,919 | ||||||
Shares redeemed | (5,854,913 | ) | (7,491,457 | ) | ||||
Net increase (decrease) in shares | 428,396 | (150,785 | ) |
116 | 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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 34.15 | $ | 29.60 | $ | 31.79 | $ | 29.36 | $ | 29.73 | $ | 45.27 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .03 | .39 | .46 | .38 | .31 | .32 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | 9.90 | f | 4.55 | (2.16 | ) | 2.43 | (.38 | ) | (3.29 | ) | ||||||||||||||
Total from investment operations | 9.93 | 4.94 | (1.70 | ) | 2.81 | (.07 | ) | (2.97 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (.05 | ) | (.39 | ) | (.46 | ) | (.38 | ) | (.30 | ) | (.31 | ) | ||||||||||||
Net realized gains | — | — | (.03 | ) | — | — | (12.26 | ) | ||||||||||||||||
Total distributions | (.05 | ) | (.39 | ) | (.49 | ) | (.38 | ) | (.30 | ) | (12.57 | ) | ||||||||||||
Net asset value, end of period | $ | 44.03 | $ | 34.15 | $ | 29.60 | $ | 31.79 | $ | 29.36 | $ | 29.73 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 29.14 | % | 16.78 | % | (5.32 | %) | 9.64 | % | (0.33 | %) | (5.09 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 32,213 | $ | 10,353 | $ | 13,436 | $ | 11,617 | $ | 17,124 | $ | 17,372 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.15 | % | 1.19 | % | 1.58 | % | 1.24 | % | 0.93 | % | 0.86 | % | ||||||||||||
Total expensesd | 1.44 | % | 1.41 | % | 1.32 | % | 1.30 | % | 1.25 | % | 1.21 | % | ||||||||||||
Net expensese | 1.41 | % | 1.38 | % | 1.32 | % | 1.30 | % | 1.25 | % | 1.21 | % | ||||||||||||
Portfolio turnover rate | 911 | % | 2,060 | % | 2,292 | % | 2,055 | % | 1,386 | % | 1,800 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 | The amount shown for a share outstanding throughout the period does not accord with the aggregate net losses on investments for the period because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 117 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND
OBJECTIVE: Seeks to provide total returns that inversely correlate, before fees and expenses, to the price movement 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 Ultra Short Duration Fund — Institutional Class | 11.0% |
Guggenheim Strategy Fund II | 10.7% |
Total | 21.7% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Inverse Government Long Bond Strategy Fund | (23.74%) | (26.81%) | (10.53%) | (9.91%) |
Price Movement of Long Treasury Bond** | 24.15% | 27.49% | 7.17% | 4.70% |
Bloomberg Barclays U.S. Long Treasury Index | 21.20% | 25.41% | 9.26% | 7.74% |
* | 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. |
118 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 21.7% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 40,112 | $ | 397,911 | |||||
Guggenheim Strategy Fund II1 | 15,778 | 390,186 | ||||||
Total Mutual Funds | ||||||||
(Cost $788,738) | 788,097 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 3.4% | ||||||||
Farmer Mac | ||||||||
0.23% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 09/01/202 | $ | 125,000 | 125,000 | |||||
Total Federal Agency Notes | ||||||||
(Cost $125,000) | 125,000 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 2.7% | ||||||||
Federal Home Loan Bank | ||||||||
1.56% due 07/02/203 | 100,000 | 99,996 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,996) | 99,996 | |||||||
U.S. TREASURY BILLS†† - 1.0% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 07/23/203,4 | 35,000 | 34,997 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $34,997) | 34,997 |
REPURCHASE AGREEMENTS†† - 136.6% | ||||||||
Individual Repurchase Agreements5 | ||||||||
Mizuho Financial Group, Inc. | 1,328,155 | 1,328,155 | ||||||
Barclays Capital | 1,144,500 | 1,144,500 | ||||||
Joint Repurchase Agreements6 | ||||||||
J.P. Morgan Securities LLC | 1,380,187 | 1,380,187 | ||||||
BofA Securities, Inc. | 571,598 | 571,598 | ||||||
Barclays Capital, Inc. | 537,302 | 537,302 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $4,961,742) | 4,961,742 | |||||||
Total Investments - 165.4% | ||||||||
(Cost $6,010,473) | $ | 6,009,832 | ||||||
U.S. Government Securities Sold Short†† - (71.3)% | ||||||||
U.S. Treasury Bonds | ||||||||
1.25% due 05/15/50 | 2,700,000 | (2,591,578 | ) | |||||
Total U.S. Government Securities Sold Short | ||||||||
(Proceeds $2,591,883) | (2,591,578 | ) | ||||||
Other Assets & Liabilities, net - 5.9% | 215,104 | |||||||
Total Net Assets - 100.0% | $ | 3,633,358 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Interest Rate Futures Contracts Sold Short† | ||||||||||||||||
U.S. Treasury Ultra Long Bond Futures Contracts | 6 | Sep 2020 | $ | 1,308,563 | $ | (3,385 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 119 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
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, 2020. 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, 2020. |
5 | All or a portion of this security is pledged as short security collateral at June 30, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 788,097 | $ | — | $ | — | $ | 788,097 | ||||||||
Federal Agency Notes | — | 125,000 | — | 125,000 | ||||||||||||
Federal Agency Discount Notes | — | 99,996 | — | 99,996 | ||||||||||||
U.S. Treasury Bills | — | 34,997 | — | 34,997 | ||||||||||||
Repurchase Agreements | — | 4,961,742 | — | 4,961,742 | ||||||||||||
Total Assets | $ | 788,097 | $ | 5,221,735 | $ | — | $ | 6,009,832 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Government Securities | $ | — | $ | 2,591,578 | $ | — | $ | 2,591,578 | ||||||||
Futures Contracts** | 3,385 | — | — | 3,385 | ||||||||||||
Total Liabilities | $ | 3,385 | $ | 2,591,578 | $ | — | $ | 2,594,963 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
120 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 529,529 | $ | 54,351 | $ | (190,000 | ) | $ | (3,463 | ) | $ | (231 | ) | $ | 390,186 | 15,778 | $ | 4,381 | ||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 582,120 | 229,098 | (410,000 | ) | (2,206 | ) | (1,101 | ) | 397,911 | 40,112 | 4,125 | |||||||||||||||||||||
$ | 1,111,649 | $ | 283,449 | $ | (600,000 | ) | $ | (5,669 | ) | $ | (1,332 | ) | $ | 788,097 | $ | 8,506 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 121 |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $259,993) | $ | 259,993 | ||
Investments in affiliated issuers, at value (cost $788,738) | 788,097 | |||
Repurchase agreements, at value (cost $4,961,742) | 4,961,742 | |||
Cash | 3 | |||
Segregated cash with broker | 28,777 | |||
Receivables: | ||||
Fund shares sold | 97,856 | |||
Securities sold | 95,984 | |||
Variation margin on futures contracts | 6,563 | |||
Dividends | 918 | |||
Interest | 182 | |||
Total assets | 6,240,115 | |||
Liabilities: | ||||
Securities sold short, at value (proceeds $2,591,883) | 2,591,578 | |||
Payable for: | ||||
Interest payable on short sales | 4,310 | |||
Management fees | 2,969 | |||
Securities purchased | 918 | |||
Transfer agent and administrative fees | 912 | |||
Investor service fees | 847 | |||
Portfolio accounting fees | 339 | |||
Fund shares redeemed | 96 | |||
Trustees’ fees* | 47 | |||
Miscellaneous | 4,741 | |||
Total liabilities | 2,606,757 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 3,633,358 | ||
Net assets consist of: | ||||
Paid in capital | $ | 11,384,889 | ||
Total distributable earnings (loss) | (7,751,531 | ) | ||
Net assets | $ | 3,633,358 | ||
Capital shares outstanding | 55,868 | |||
Net asset value per share | $ | 65.03 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 8,506 | ||
Interest | 4,805 | |||
Total investment income | 13,311 | |||
Expenses: | ||||
Management fees | 10,887 | |||
Investor service fees | 3,024 | |||
Transfer agent and administrative fees | 3,254 | |||
Short interest expense | 14,058 | |||
Professional fees | 2,222 | |||
Portfolio accounting fees | 1,210 | |||
Trustees’ fees* | 293 | |||
Custodian fees | 193 | |||
Miscellaneous | 1,726 | |||
Total expenses | 36,867 | |||
Less: | ||||
Expenses waived by Adviser | (591 | ) | ||
Net expenses | 36,276 | |||
Net investment loss | (22,965 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (5,669 | ) | ||
Investments sold short | (99,663 | ) | ||
Futures contracts | (83,472 | ) | ||
Net realized loss | (188,804 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (2 | ) | ||
Investments in affiliated issuers | (1,332 | ) | ||
Investments sold short | (40,074 | ) | ||
Futures contracts | (26,652 | ) | ||
Net change in unrealized appreciation (depreciation) | (68,060 | ) | ||
Net realized and unrealized loss | (256,864 | ) | ||
Net decrease in net assets resulting from operations | $ | (279,829 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
122 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
INVERSE GOVERNMENT LONG BOND STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (22,965 | ) | $ | 8,507 | |||
Net realized loss on investments | (188,804 | ) | (650,854 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (68,060 | ) | 283,716 | |||||
Net decrease in net assets resulting from operations | (279,829 | ) | (358,631 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 20,279,784 | 31,903,197 | ||||||
Cost of shares redeemed | (18,748,663 | ) | (33,588,425 | ) | ||||
Net increase (decrease) from capital share transactions | 1,531,121 | (1,685,228 | ) | |||||
Net increase (decrease) in net assets | 1,251,292 | (2,043,859 | ) | |||||
Net assets: | ||||||||
Beginning of period | 2,382,066 | 4,425,925 | ||||||
End of period | $ | 3,633,358 | $ | 2,382,066 | ||||
Capital share activity: | ||||||||
Shares sold | 301,789 | 337,151 | ||||||
Shares redeemed | (273,857 | ) | (354,225 | ) | ||||
Net increase (decrease) in shares | 27,932 | (17,074 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 123 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 85.27 | $ | 98.33 | $ | 94.75 | $ | 104.00 | $ | 107.17 | $ | 108.46 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.65 | ) | .26 | (.64 | ) | (1.88 | ) | (.87 | ) | (3.63 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (19.59 | ) | (13.32 | ) | 4.22 | (7.37 | ) | (2.30 | ) | 2.34 | ||||||||||||||
Total from investment operations | (20.24 | ) | (13.06 | ) | 3.58 | (9.25 | ) | (3.17 | ) | (1.29 | ) | |||||||||||||
Net asset value, end of period | $ | 65.03 | $ | 85.27 | $ | 98.33 | $ | 94.75 | $ | 104.00 | $ | 107.17 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (23.74 | %) | (13.28 | %) | 3.79 | % | (8.89 | %) | (2.94 | %) | (1.22 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,633 | $ | 2,382 | $ | 4,426 | $ | 4,676 | $ | 3,821 | $ | 4,740 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.90 | %) | 0.29 | % | (0.63 | %) | (1.89 | %) | (2.59 | %) | (3.39 | %) | ||||||||||||
Total expensesd | 3.05 | % | 3.58 | % | 4.31 | % | 4.00 | % | 3.65 | % | 3.66 | % | ||||||||||||
Net expensese,f | 3.00 | % | 3.49 | % | 4.30 | % | 4.00 | % | 3.65 | % | 3.66 | % | ||||||||||||
Portfolio turnover rate | 768 | % | 966 | % | 907 | % | 2,300 | % | 1,384 | % | 1,305 | % |
a | Unaudited figures for the period ended June 30, 2020. 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: |
2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
1.84% | 1.79% | 1.75% | 1.75% | 1.72% | 1.65% |
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. |
124 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 Ultra Short Duration Fund — Institutional Class | 20.8% |
Guggenheim Strategy Fund II | 12.5% |
iShares iBoxx High Yield Corporate Bond ETF | 0.1% |
Total | 33.4% |
“Largest Holdings” excludes any temporary cash or derivative investments.
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | Since |
High Yield Strategy Fund | (9.43%) | (6.43%) | 3.70% | 3.67% |
Bloomberg Barclays U.S. Corporate High Yield Index | (3.80%) | 0.03% | 4.79% | 4.65% |
* | 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 | 125 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
HIGH YIELD STRATEGY FUND |
| Shares | Value | ||||||
EXCHANGE-TRADED FUNDS† - 0.1% | ||||||||
iShares iBoxx High Yield Corporate Bond ETF | 20 | $ | 1,633 | |||||
SPDR Bloomberg Barclays High Yield Bond ETF | 15 | 1,517 | ||||||
Total Exchange-Traded Funds | ||||||||
(Cost $2,949) | 3,150 | |||||||
MUTUAL FUNDS† - 33.3% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 68,621 | 680,724 | ||||||
Guggenheim Strategy Fund II1 | 16,569 | 409,747 | ||||||
Total Mutual Funds | ||||||||
(Cost $1,076,437) | 1,090,471 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 9.2% | ||||||||
Federal Home Loan Bank | ||||||||
1.56% due 07/02/202 | $ | 300,000 | 299,987 | |||||
Total Federal Agency Discount Notes | ||||||||
(Cost $299,987) | 299,987 | |||||||
FEDERAL AGENCY NOTES†† - 3.0% | ||||||||
Federal Farm Credit Bank | ||||||||
0.45% (U.S. Prime Rate - 2.80%, Rate Floor: 0.00%) due 03/14/223 | 100,000 | 100,102 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $100,000) | 100,102 |
U.S. TREASURY BILLS†† - 0.5% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 07/23/202,4 | 17,000 | 16,999 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $16,998) | 16,999 | |||||||
REPURCHASE AGREEMENTS††,5 - 43.6% | ||||||||
J.P. Morgan Securities LLC | 792,422 | 792,422 | ||||||
BofA Securities, Inc. | 328,178 | 328,178 | ||||||
Barclays Capital, Inc. | 308,487 | 308,487 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,429,087) | 1,429,087 | |||||||
Total Investments - 89.7% | ||||||||
(Cost $2,925,458) | $ | 2,939,796 | ||||||
Other Assets & Liabilities, net - 10.3% | 337,636 | |||||||
Total Net Assets - 100.0% | $ | 3,277,432 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Interest Rate Futures Contracts Purchased† | ||||||||||||||||
U.S. Treasury 5 Year Note Futures Contracts | 16 | Sep 2020 | $ | 2,011,750 | $ | 8,434 |
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.34 | 5.00 | % | Quarterly | 06/20/25 | $ | 2,850,000 | $ | (17,100 | ) | $ | (197,921 | ) | $ | 180,821 |
126 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
HIGH YIELD STRATEGY FUND |
Total Return Swap Agreements | |||||||||||||||||||
Counterparty | Reference | Financing | Payment | Maturity | Units | Notional | Value and | ||||||||||||
OTC Credit Index Swap Agreements†† | |||||||||||||||||||
Goldman Sachs International | iShares iBoxx $ High Yield Corporate Bond ETF | 0.45% (1 Week USD LIBOR + 0.35%) | At Maturity | 07/29/20 | 888 | $ | 72,478 | $ | (418 | ) | |||||||||
BNP Paribas | iShares iBoxx $ High Yield Corporate Bond ETF | 0.53% (1 Month USD LIBOR + 0.35%) | At Maturity | 07/29/20 | 5,377 | 438,888 | (2,527 | ) | |||||||||||
$ | 511,366 | $ | (2,945 | ) |
** | 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 | Variable rate security. Rate indicated is the rate effective at June 30, 2020. 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 | All or a portion of this security is pledged as futures collateral at June 30, 2020. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as credit index swap collateral at June 30, 2020. |
CDX.NA.HY.34 — Credit Default Swap North American High Yield Series 34 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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange-Traded Funds | $ | 3,150 | $ | — | $ | — | $ | 3,150 | ||||||||
Mutual Funds | 1,090,471 | — | — | 1,090,471 | ||||||||||||
Federal Agency Discount Notes | — | 299,987 | — | 299,987 | ||||||||||||
Federal Agency Notes | — | 100,102 | — | 100,102 | ||||||||||||
U.S. Treasury Bills | — | 16,999 | — | 16,999 | ||||||||||||
Repurchase Agreements | — | 1,429,087 | — | 1,429,087 | ||||||||||||
Futures Contracts** | 8,434 | — | — | 8,434 | ||||||||||||
Credit Default Swap Agreements** | — | 180,821 | — | 180,821 | ||||||||||||
Total Assets | $ | 1,102,055 | $ | 2,026,996 | $ | — | $ | 3,129,051 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Total Return Swap Agreements** | $ | — | $ | 2,945 | $ | — | $ | 2,945 |
** | This derivative is reported as unrealized appreciation/depreciation at period end. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 127 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 2,204,880 | $ | 1,160,982 | $ | (2,945,000 | ) | $ | (18,579 | ) | $ | 7,464 | $ | 409,747 | 16,569 | $ | 11,105 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 2,051,428 | 3,862,592 | (5,230,000 | ) | (7,441 | ) | 4,145 | 680,724 | 68,621 | 12,708 | ||||||||||||||||||||||
$ | 4,256,308 | $ | 5,023,574 | $ | (8,175,000 | ) | $ | (26,020 | ) | $ | 11,609 | $ | 1,090,471 | $ | 23,813 |
128 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
HIGH YIELD STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $419,934) | $ | 420,238 | ||
Investments in affiliated issuers, at value (cost $1,076,437) | 1,090,471 | |||
Repurchase agreements, at value (cost $1,429,087) | 1,429,087 | |||
Segregated cash with broker | 585,483 | |||
Receivables: | ||||
Variation margin on credit default swap agreements | 29,816 | |||
Protection fees on credit default swap agreements | 3,563 | |||
Dividends | 1,223 | |||
Fund shares sold | 420 | |||
Interest | 24 | |||
Total assets | 3,560,325 | |||
Liabilities: | ||||
Unamortized upfront premiums received on credit default swap agreements | 197,921 | |||
Unrealized depreciation on OTC swap agreements | 2,945 | |||
Payable for: | ||||
Fund shares redeemed | 66,600 | |||
Management fees | 2,106 | |||
Securities purchased | 1,223 | |||
Transfer agent and administrative fees | 804 | |||
Investor service fees | 748 | |||
Variation margin on futures contracts | 625 | |||
Portfolio accounting fees | 299 | |||
Trustees’ fees* | 94 | |||
Swap settlement | 44 | |||
Miscellaneous | 9,484 | |||
Total liabilities | 282,893 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 3,277,432 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,419,213 | ||
Total distributable earnings (loss) | (141,781 | ) | ||
Net assets | $ | 3,277,432 | ||
Capital shares outstanding | 41,790 | |||
Net asset value per share | $ | 78.43 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 23,813 | ||
Dividends from securities of unaffiliated issuers | 73 | |||
Interest | 9,551 | |||
Income from securities lending, net | 3 | |||
Total investment income | 33,440 | |||
Expenses: | ||||
Management fees | 20,630 | |||
Investor service fees | 6,877 | |||
Transfer agent and administrative fees | 7,399 | |||
Professional fees | 5,725 | |||
Portfolio accounting fees | 2,751 | |||
Trustees’ fees* | 717 | |||
Custodian fees | 443 | |||
Miscellaneous | 3,073 | |||
Total expenses | 47,615 | |||
Less: | ||||
Expenses waived by Adviser | (1,787 | ) | ||
Net expenses | 45,828 | |||
Net investment loss | (12,388 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (26,020 | ) | ||
Swap agreements | (866,807 | ) | ||
Futures contracts | 230,019 | |||
Net realized loss | (662,808 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (346 | ) | ||
Investments in affiliated issuers | 11,609 | |||
Swap agreements | (22,339 | ) | ||
Futures contracts | 24,936 | |||
Net change in unrealized appreciation (depreciation) | 13,860 | |||
Net realized and unrealized loss | (648,948 | ) | ||
Net decrease in net assets resulting from operations | $ | (661,336 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 129 |
HIGH YIELD STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (12,388 | ) | $ | 51,455 | |||
Net realized gain (loss) on investments | (662,808 | ) | 514,452 | |||||
Net change in unrealized appreciation (depreciation) on investments | 13,860 | 211,422 | ||||||
Net increase (decrease) in net assets resulting from operations | (661,336 | ) | 777,329 | |||||
Distributions to shareholders | — | (210,642 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 20,349,115 | 56,719,845 | ||||||
Distributions reinvested | — | 210,642 | ||||||
Cost of shares redeemed | (26,918,555 | ) | (51,101,531 | ) | ||||
Net increase (decrease) from capital share transactions | (6,569,440 | ) | 5,828,956 | |||||
Net increase (decrease) in net assets | (7,230,776 | ) | 6,395,643 | |||||
Net assets: | ||||||||
Beginning of period | 10,508,208 | 4,112,565 | ||||||
End of period | $ | 3,277,432 | $ | 10,508,208 | ||||
Capital share activity: | ||||||||
Shares sold | 252,413 | 680,824 | ||||||
Shares issued from reinvestment of distributions | — | 2,509 | ||||||
Shares redeemed | (331,960 | ) | (614,753 | ) | ||||
Net increase (decrease) in shares | (79,547 | ) | 68,580 |
130 | 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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 86.60 | $ | 77.95 | $ | 83.54 | $ | 81.50 | $ | 75.17 | $ | 76.12 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.18 | ) | .64 | .71 | .29 | .14 | (.30 | ) | ||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (7.99 | ) | 10.08 | (1.39 | ) | 5.23 | 6.99 | (.29 | ) | |||||||||||||||
Total from investment operations | (8.17 | ) | 10.72 | (.68 | ) | 5.52 | 7.13 | (.59 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (2.07 | ) | (4.91 | ) | (3.48 | ) | (.80 | ) | — | ||||||||||||||
Net realized gains | — | — | — | — | — | (.36 | ) | |||||||||||||||||
Total distributions | — | (2.07 | ) | (4.91 | ) | (3.48 | ) | (.80 | ) | (.36 | ) | |||||||||||||
Net asset value, end of period | $ | 78.43 | $ | 86.60 | $ | 77.95 | $ | 83.54 | $ | 81.50 | $ | 75.17 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (9.43 | %) | 13.84 | % | (0.87 | %) | 6.87 | % | 11.62 | % | (0.71 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,277 | $ | 10,508 | $ | 4,113 | $ | 6,524 | $ | 7,390 | $ | 6,751 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.45 | %) | 0.76 | % | 0.88 | % | 0.35 | % | 0.51 | % | (0.39 | %) | ||||||||||||
Total expensesd | 1.73 | % | 1.72 | % | 1.62 | % | 1.60 | % | 1.56 | % | 1.49 | % | ||||||||||||
Net expensese | 1.67 | % | 1.65 | % | 1.61 | % | 1.60 | % | 1.56 | % | 1.49 | % | ||||||||||||
Portfolio turnover rate | 238 | % | 299 | % | 116 | % | 124 | % | 255 | % | 258 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 1:3 reverse share split effective December 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 131 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
U.S. Government Money Market Fund | 0.06% | 0.41% | 0.30% | 0.15% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. |
† | 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. |
132 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
U.S. GOVERNMENT MONEY MARKET FUND |
| Face | Value | ||||||
FEDERAL AGENCY NOTES†† - 46.9% | ||||||||
Federal Home Loan Bank | ||||||||
0.13% (3 Month USD LIBOR - 0.17%, Rate Floor: 0.00%) due 01/06/211 | $ | 6,000,000 | $ | 5,999,176 | ||||
0.11% (U.S. Secured Overnight Financing Rate + 0.03%, Rate Floor: 0.00%) due 09/04/201 | 3,000,000 | 2,999,676 | ||||||
0.17% (U.S. Secured Overnight Financing Rate + 0.09%, Rate Floor: 0.00%) due 09/11/201 | 2,800,000 | 2,800,000 | ||||||
0.17% (3 Month USD LIBOR - 0.14%, Rate Floor: 0.00%) due 12/18/201 | 2,330,000 | 2,329,662 | ||||||
0.11% (U.S. Secured Overnight Financing Rate + 0.03%, Rate Floor: 0.00%) due 08/05/201 | 1,920,000 | 1,920,000 | ||||||
0.22% (U.S. Secured Overnight Financing Rate + 0.14%, Rate Floor: 0.00%) due 03/10/211 | 1,500,000 | 1,500,000 | ||||||
0.18% (U.S. Secured Overnight Financing Rate + 0.10%, Rate Floor: 0.00%) due 12/23/201 | 900,000 | 900,258 | ||||||
0.16% (3 Month USD LIBOR - 0.14%, Rate Floor: 0.00%) due 01/04/211 | 740,000 | 739,968 | ||||||
2.00% due 12/11/20 | 300,000 | 302,393 | ||||||
1.38% due 02/18/21 | 95,000 | 95,485 | ||||||
2.63% due 10/01/20 | 90,000 | 90,464 | ||||||
1.38% due 09/28/20 | 25,000 | 25,049 | ||||||
Federal Farm Credit Bank | ||||||||
0.28% (U.S. Prime Rate - 2.98%, Rate Floor: 0.00%) due 05/10/211 | 3,000,000 | 3,000,652 | ||||||
0.19% (1 Month USD LIBOR + 0.01%, Rate Floor: 0.00%) due 07/30/201 | 2,000,000 | 1,999,998 | ||||||
0.32% (U.S. Prime Rate - 2.93%, Rate Floor: 0.00%) due 09/24/201 | 1,400,000 | 1,400,358 | ||||||
4.81% due 09/01/20 | 310,000 | 312,396 | ||||||
Farmer Mac | ||||||||
0.23% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 07/01/201 | 2,700,000 | 2,700,000 | ||||||
0.23% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 01/04/211 | 2,000,000 | 2,000,000 | ||||||
Fannie Mae | ||||||||
0.16% (U.S. Secured Overnight Financing Rate + 0.08%, Rate Floor: 0.00%) due 10/30/201 | 2,500,000 | 2,500,038 | ||||||
0.16% (U.S. Secured Overnight Financing Rate + 0.08%, Rate Floor: 0.00%) due 09/16/201 | 2,000,000 | 2,000,000 | ||||||
Freddie Mac | ||||||||
1.63% due 09/29/20 | 24,000 | 24,062 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $35,639,635) | 35,639,635 | |||||||
U.S. TREASURY BILLS†† - 21.7% | ||||||||
U.S. Treasury Bills | ||||||||
0.12% due 09/01/202 | 5,000,000 | 4,998,881 | ||||||
0.14% due 09/17/202 | 5,000,000 | 4,998,491 | ||||||
0.12% due 08/20/202 | 4,000,000 | 3,999,328 | ||||||
0.16% due 10/01/202 | 2,500,000 | 2,498,971 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $16,495,671) | 16,495,671 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 10.8% | ||||||||
Federal Home Loan Bank | ||||||||
0.16% due 08/05/202 | 4,000,000 | 3,999,378 | ||||||
0.14% due 08/05/202 | 700,000 | 699,904 | ||||||
Freddie Mac | ||||||||
0.11% due 07/02/202 | 1,500,000 | 1,499,996 | ||||||
0.16% due 08/10/202 | 1,000,000 | 999,822 | ||||||
0.10% due 07/02/202 | 600,000 | 599,998 | ||||||
0.08% due 07/06/202 | 400,000 | 399,996 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $8,199,094) | 8,199,094 | |||||||
REPURCHASE AGREEMENTS††,3 - 20.6% | ||||||||
J.P. Morgan Securities LLC | 8,714,446 | 8,714,446 | ||||||
BofA Securities, Inc. | 3,609,047 | 3,609,047 | ||||||
Barclays Capital, Inc. | 3,392,504 | 3,392,504 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $15,715,997) | 15,715,997 | |||||||
Total Investments - 100.0% | ||||||||
(Cost $76,050,397) | $ | 76,050,397 | ||||||
Other Assets & Liabilities, net - 0.0% | (21,240 | ) | ||||||
Total Net Assets - 100.0% | $ | 76,029,157 |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | Variable rate security. Rate indicated is the rate effective at June 30, 2020. 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 | 133 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
U.S. GOVERNMENT MONEY MARKET FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Federal Agency Notes | $ | — | $ | 35,639,635 | $ | — | $ | 35,639,635 | ||||||||
U.S. Treasury Bills | — | 16,495,671 | — | 16,495,671 | ||||||||||||
Federal Agency Discount Notes | — | 8,199,094 | — | 8,199,094 | ||||||||||||
Repurchase Agreements | — | 15,715,997 | — | 15,715,997 | ||||||||||||
Total Assets | $ | — | $ | 76,050,397 | $ | — | $ | 76,050,397 |
134 | 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, 2020 |
Assets: | ||||
Investments, at value (cost $60,334,400) | $ | 60,334,400 | ||
Repurchase agreements, at value (cost $15,715,997) | 15,715,997 | |||
Receivables: | ||||
Fund shares sold | 47,249 | |||
Interest | 31,926 | |||
Total assets | 76,129,572 | |||
Liabilities: | ||||
Payable for: | ||||
Professional fees | 49,765 | |||
Printing fees | 32,245 | |||
Trustees’ fees* | 1,045 | |||
Management fees | 551 | |||
Fund shares redeemed | 393 | |||
Transfer agent and administrative fees | 311 | |||
Portfolio accounting fees | 142 | |||
Miscellaneous | 15,963 | |||
Total liabilities | 100,415 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 76,029,157 | ||
Net assets consist of: | ||||
Paid in capital | $ | 76,019,357 | ||
Total distributable earnings (loss) | 9,800 | |||
Net assets | $ | 76,029,157 | ||
Capital shares outstanding | 76,006,700 | |||
Net asset value per share | $ | 1.00 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Interest | $ | 231,943 | ||
Total investment income | 231,943 | |||
Expenses: | ||||
Management fees | 149,345 | |||
Investor service fees | 74,672 | |||
Transfer agent and administrative fees | 65,413 | |||
Professional fees | 56,639 | |||
Portfolio accounting fees | 29,869 | |||
Trustees’ fees* | 6,861 | |||
Custodian fees | 4,724 | |||
Miscellaneous | 40,762 | |||
Total expenses | 428,285 | |||
Less: | ||||
Expenses reimbursed by Adviser | (104,039 | ) | ||
Expenses waived by Adviser | (122,789 | ) | ||
Total waived/reimbursed expenses | (226,828 | ) | ||
Net expenses | 201,457 | |||
Net investment income | 30,486 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | 2,881 | |||
Net realized gain | 2,881 | |||
Net increase in net assets resulting from operations | $ | 33,367 |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 135 |
U.S. GOVERNMENT MONEY MARKET FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 30,486 | $ | 543,031 | ||||
Net realized gain on investments | 2,881 | 3,826 | ||||||
Net increase in net assets resulting from operations | 33,367 | 546,857 | ||||||
Distributions to shareholders | (30,005 | ) | (540,419 | ) | ||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 149,956,175 | 162,304,140 | ||||||
Distributions reinvested | 30,005 | 540,419 | ||||||
Cost of shares redeemed | (123,193,531 | ) | (198,626,169 | ) | ||||
Net increase (decrease) from capital share transactions | 26,792,649 | (35,781,610 | ) | |||||
Net increase (decrease) in net assets | 26,796,011 | (35,775,172 | ) | |||||
Net assets: | ||||||||
Beginning of period | 49,233,146 | 85,008,318 | ||||||
End of period | $ | 76,029,157 | $ | 49,233,146 | ||||
Capital share activity: | ||||||||
Shares sold | 149,956,175 | 162,304,140 | ||||||
Shares issued from reinvestment of distributions | 30,005 | 540,419 | ||||||
Shares redeemed | (123,193,531 | ) | (198,626,169 | ) | ||||
Net increase (decrease) in shares | 26,792,649 | (35,781,610 | ) |
136 | 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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | — | c | .01 | .01 | — | 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 | (— | )c | (.01 | ) | (.01 | ) | (— | )c | (— | )c | (— | )c | ||||||||||||
Net realized gains | — | (— | )c | (— | )c | (— | )c | (— | )c | (— | )c | |||||||||||||
Total distributions | — | c | (.01 | ) | (.01 | ) | (— | )c | (— | )c | (— | )c | ||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnd | 0.06 | % | 0.87 | % | 0.58 | % | 0.01 | % | 0.00 | % | 0.00 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 76,029 | $ | 49,233 | $ | 85,008 | $ | 78,269 | $ | 61,704 | $ | 99,178 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.10 | % | 0.88 | % | 0.57 | % | — | f | — | f | — | f | ||||||||||||
Total expenses | 1.43 | % | 1.42 | % | 1.32 | % | 1.31 | % | 1.25 | % | 1.20 | % | ||||||||||||
Net expensese | 0.67 | % | 1.42 | % | 1.32 | % | 0.96 | % | 0.40 | % | 0.13 | % | ||||||||||||
Portfolio turnover rate | — | — | — | — | — | — |
a | Unaudited figures for the period ended June 30, 2020. 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 ratios after expense waivers and reimbursements, as applicable. |
f | Less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 137 |
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 (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately. At June 30, 2020, 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 (collectively, the “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 | Diversified |
Inverse Government Long Bond Strategy Fund | 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 and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may
138 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
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.
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 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.
Repurchase agreements are generally 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 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 or other underlying position that the swaps pertain to at the close of the New York Stock Exchange (“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
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 139 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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.
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity 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.
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, 2020, 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 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.
(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 0.08% at June 30, 2020.
(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.
140 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 on the Statements of Assets and Liabilities. Valuation and accounting treatment of these instruments can be found under Significant Accounting Policies in Note 1 of these Notes to Financial Statements.
Short Sales
A short sale is a transaction in which a Fund sells a security it does not own. If the security sold short decreases in price between the time the Fund sells the security and closes its short position, the Fund will realize a gain on the transaction. Conversely, if the security increases in price during the period, the Fund will realize a loss on the transaction. The risk of such price increases is the principal risk of engaging in short sales.
Derivatives
Derivatives are instruments whose values depend on, or are derived from, in whole or in part, the value of one or more other assets, such as securities, currencies, commodities or indices. Derivative instruments may be used to increase investment flexibility (including to maintain cash reserves while maintaining exposure to certain other assets), for risk management (hedging) purposes, to facilitate trading, to reduce transaction costs and to pursue higher investment returns. Derivative instruments may also be used to mitigate certain investment risks, such as foreign currency exchange rate risk, interest rate risk and credit risk. U.S. GAAP requires disclosures to enable investors to better understand how and why a Fund uses derivative instruments, how these derivative instruments are accounted for and their effects on the Fund’s financial position and results of operations.
The Funds 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 RYDEX FUNDS SEMI-ANNUAL REPORT | 141 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of futures on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Nova Fund | Index exposure, Leverage, Liquidity | $ | 1,564,327 | $ | — | ||||
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | — | 447,861 | ||||||
NASDAQ-100® Fund | Index exposure, Liquidity | 21,106,020 | — | ||||||
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | 119,804 | 80,236 | ||||||
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 4,477,683 | — | ||||||
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 19,601,433 | — | ||||||
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 991,730 | — | ||||||
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 370,842 | — | ||||||
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 607,981 | — | ||||||
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | — | 117,213 | ||||||
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | 1,875,368 | — | ||||||
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | 21,203 | 275,059 | ||||||
Government Long Bond 1.2x Strategy Fund | Duration, Index exposure, Leverage, Liquidity | 23,809,594 | — | ||||||
Inverse Government Long Bond Strategy Fund | Duration, Index exposure, Liquidity | — | 855,474 | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | 2,677,620 | — |
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. For a fund utilizing centrally cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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. When utilizing a total return swap, the 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 reference asset declines in value.
The following table represents the Funds’ use and volume of total return swaps on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Nova Fund | Index exposure, Leverage, Liquidity | $ | 31,799,759 | $ | — | ||||
Inverse S&P 500® Strategy Fund | Index exposure, Liquidity | — | 4,672,401 | ||||||
NASDAQ-100® Fund | Index exposure, Liquidity | 28,311,793 | — | ||||||
Inverse NASDAQ-100® Strategy Fund | Index exposure, Liquidity | — | 2,015,471 | ||||||
S&P 500® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 36,243,580 | — | ||||||
NASDAQ-100® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 122,911,486 | — | ||||||
Mid-Cap 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 3,526,463 | — | ||||||
Inverse Mid-Cap Strategy Fund | Index exposure, Liquidity | — | 267,500 | ||||||
Russell 2000® 2x Strategy Fund | Index exposure, Leverage, Liquidity | 4,191,205 | — | ||||||
Russell 2000® 1.5x Strategy Fund | Index exposure, Leverage, Liquidity | 4,861,870 | — | ||||||
Inverse Russell 2000® Strategy Fund | Index exposure, Liquidity | — | 1,277,646 | ||||||
Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | 19,988,768 | — | ||||||
Inverse Dow 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 6,046,455 | ||||||
High Yield Strategy Fund | Index exposure, Leverage, Liquidity | 623,320 | — |
142 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 investment grade and/or 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 on a credit default swap referencing an index, a factor adjustment will take place and the buyer of protection will receive a payment reflecting the par less the default recovery rate of the defaulted index component based on its weighting in the index. 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 bears the risk of loss resulting from a counterparty not being able to pay. 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 monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Protection Purchased | Protection Sold | ||||||
High Yield Strategy Fund | Duration, Index exposure, Liquidity | $ | — | $ | 3,342,917 |
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, 2020
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 OTC swap agreements | Unrealized depreciation on OTC swap agreements |
Credit contracts | Variation margin on credit default swap agreements | Unamortized upfront premiums received on credit default swap agreements |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 143 |
NOTES TO 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, 2020:
Asset Derivative Investments Value | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total Value at | |||||||||||||||
Nova Fund | $ | — | $ | 561,826 | $ | — | $ | — | $ | 561,826 | ||||||||||
NASDAQ-100® Fund | 1,384,898 | 119,791 | — | — | 1,504,689 | |||||||||||||||
S&P 500® 2x Strategy Fund | — | 212,841 | — | — | 212,841 | |||||||||||||||
NASDAQ-100® 2x Strategy Fund | 1,200,634 | 2,127,839 | — | — | 3,328,473 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | — | 82,671 | — | — | 82,671 | |||||||||||||||
Russell 2000® 2x Strategy Fund | — | 63,308 | — | — | 63,308 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | — | 153,325 | — | — | 153,325 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | 626 | — | — | — | 626 | |||||||||||||||
Dow 2x Strategy Fund | — | 193,408 | — | — | 193,408 | |||||||||||||||
Inverse Dow 2x Strategy Fund | 6,219 | — | — | — | 6,219 | |||||||||||||||
High Yield Strategy Fund | — | — | 8,434 | 180,821 | 189,255 |
Liability Derivative Investments Value | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total Value at | |||||||||||||||
Nova Fund | $ | 52,189 | $ | — | $ | — | $ | — | $ | 52,189 | ||||||||||
Inverse S&P 500® Strategy Fund | 2,279 | 89,351 | — | — | 91,630 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | — | 7,862 | — | — | 7,862 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | 11,905 | — | — | — | 11,905 | |||||||||||||||
Inverse Mid-Cap Strategy Fund | — | 9,107 | — | — | 9,107 | |||||||||||||||
Russell 2000® 2x Strategy Fund | 40 | — | — | — | 40 | |||||||||||||||
Russell 2000® 1.5x Strategy Fund | 101 | — | — | — | 101 | |||||||||||||||
Inverse Russell 2000® Strategy Fund | — | 58,046 | — | — | 58,046 | |||||||||||||||
Inverse Dow 2x Strategy Fund | — | 32,716 | — | — | 32,716 | |||||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | 96,992 | — | 96,992 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | 3,385 | — | 3,385 | |||||||||||||||
High Yield Strategy Fund | — | — | — | 2,945 | 2,945 |
* | Includes cumulative appreciation (depreciation) of futures contracts, OTC and centrally cleared swaps as reported on the Schedules of Investments. For exchange-traded and centrally cleared derivatives, 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, 2020:
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 |
144 | 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, 2020:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total | |||||||||||||||
Nova Fund | $ | (459,765 | ) | $ | (1,960,525 | ) | $ | — | $ | — | $ | (2,420,290 | ) | |||||||
Inverse S&P 500® Strategy Fund | 12,842 | (1,644,007 | ) | — | — | (1,631,165 | ) | |||||||||||||
NASDAQ-100® Fund | 3,772,856 | 1,453,973 | — | — | 5,226,829 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | 59,207 | (788,065 | ) | — | — | (728,858 | ) | |||||||||||||
S&P 500® 2x Strategy Fund | (5,024,751 | ) | (6,245,413 | ) | — | — | (11,270,164 | ) | ||||||||||||
NASDAQ-100® 2x Strategy Fund | (528,222 | ) | 12,688,363 | — | — | 12,160,141 | ||||||||||||||
Mid-Cap 1.5x Strategy Fund | (396,446 | ) | (575,825 | ) | — | — | (972,271 | ) | ||||||||||||
Inverse Mid-Cap Strategy Fund | — | 9,963 | — | — | 9,963 | |||||||||||||||
Russell 2000® 2x Strategy Fund | (173,054 | ) | (1,169,058 | ) | — | — | (1,342,112 | ) | ||||||||||||
Russell 2000® 1.5x Strategy Fund | (246,129 | ) | (1,048,557 | ) | — | — | (1,294,686 | ) | ||||||||||||
Inverse Russell 2000® Strategy Fund | 2,111 | (504,610 | ) | — | — | (502,499 | ) | |||||||||||||
Dow 2x Strategy Fund | (1,171,491 | ) | (3,956,233 | ) | — | — | (5,127,724 | ) | ||||||||||||
Inverse Dow 2x Strategy Fund | 83,557 | (1,016,072 | ) | — | — | (932,515 | ) | |||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | 368,008 | — | 368,008 | |||||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | (83,472 | ) | — | (83,472 | ) | |||||||||||||
High Yield Strategy Fund | — | — | 230,019 | (866,807 | ) | (636,788 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||||||
Fund | Futures | Swaps | Futures | Swaps | Total | |||||||||||||||
Nova Fund | $ | (52,189 | ) | $ | 636,343 | $ | — | $ | — | $ | 584,154 | |||||||||
Inverse S&P 500® Strategy Fund | (2,279 | ) | (89,808 | ) | — | — | (92,087 | ) | ||||||||||||
NASDAQ-100® Fund | 832,865 | 127,713 | — | — | 960,578 | |||||||||||||||
Inverse NASDAQ-100® Strategy Fund | — | (10,030 | ) | — | — | (10,030 | ) | |||||||||||||
S&P 500® 2x Strategy Fund | (436,792 | ) | 320,422 | — | — | (116,370 | ) | |||||||||||||
NASDAQ-100® 2x Strategy Fund | 852,511 | 2,082,579 | — | — | 2,935,090 | |||||||||||||||
Mid-Cap 1.5x Strategy Fund | (66,507 | ) | 81,714 | — | — | 15,207 | ||||||||||||||
Inverse Mid-Cap Strategy Fund | — | (9,592 | ) | — | — | (9,592 | ) | |||||||||||||
Russell 2000® 2x Strategy Fund | (1,342 | ) | 76,097 | — | — | 74,755 | ||||||||||||||
Russell 2000® 1.5x Strategy Fund | (101 | ) | 151,585 | — | — | 151,484 | ||||||||||||||
Inverse Russell 2000® Strategy Fund | 2,282 | (60,039 | ) | — | — | (57,757 | ) | |||||||||||||
Dow 2x Strategy Fund | 406 | 173,924 | — | — | 174,330 | |||||||||||||||
Inverse Dow 2x Strategy Fund | 7,945 | (32,847 | ) | — | — | (24,902 | ) | |||||||||||||
Government Long Bond 1.2x Strategy Fund | — | — | (1,800 | ) | — | (1,800 | ) | |||||||||||||
Inverse Government Long Bond Strategy Fund | — | — | (26,652 | ) | — | (26,652 | ) | |||||||||||||
High Yield Strategy Fund | — | — | 24,936 | (22,339 | ) | 2,597 |
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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 145 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 3 – Offsetting
In the normal course of business, the Funds enter into transactions subject to enforceable master netting arrangements or other similar arrangements. Generally, the right to offset in those agreements allows the Funds to counteract the exposure to a specific counterparty with collateral received from or delivered to that counterparty based on the terms of the arrangements. These arrangements provide for the right to liquidate upon the occurrence of an event of default, credit event upon merger or additional termination event.
In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs OTC derivatives, including foreign exchange contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, are reported separately on the Statements of Assets and Liabilities as segregated cash with broker/receivable for variation margin, or payable for swap settlement/variation margin. Cash and/or securities pledged or received as collateral by the Funds in connection with an OTC derivative subject to an ISDA Master Agreement generally may not be invested, sold or rehypothecated by the counterparty or the Funds, as applicable, absent an event of default under such agreement, in which case such collateral generally may be applied towards obligations due to and payable by such counterparty or the Funds, as applicable. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold (e.g., $300,000) before a transfer is required to be made. To the extent amounts due to the Funds from their counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe to be of good standing and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
146 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 | $ | 561,826 | $ | — | $ | 561,826 | $ | — | $ | — | $ | 561,826 | ||||||||||||
NASDAQ-100® Fund | Swap equity contracts | 119,791 | — | 119,791 | — | — | 119,791 | ||||||||||||||||||
S&P 500® 2x Strategy Fund | Swap equity contracts | 212,841 | — | 212,841 | — | — | 212,841 | ||||||||||||||||||
NASDAQ-100® 2x Strategy Fund | Swap equity contracts | 2,127,839 | — | 2,127,839 | — | — | 2,127,839 | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | Swap equity contracts | 82,671 | — | 82,671 | — | — | 82,671 | ||||||||||||||||||
Russell 2000® 2x Strategy Fund | Swap equity contracts | 63,308 | — | 63,308 | — | — | 63,308 | ||||||||||||||||||
Russell 2000® 1.5x Strategy Fund | Swap equity contracts | 153,325 | — | 153,325 | — | — | 153,325 | ||||||||||||||||||
Dow 2x Strategy Fund | Swap equity contracts | 193,408 | — | 193,408 | — | — | 193,408 |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Inverse S&P 500® Strategy Fund | Swap equity contracts | $ | 89,351 | $ | — | $ | 89,351 | $ | (88,249 | ) | $ | — | $ | 1,102 | |||||||||||
Inverse NASDAQ-100® Strategy Fund | Swap equity contracts | 7,862 | — | 7,862 | (3,560 | ) | — | 4,302 | |||||||||||||||||
Inverse Mid-Cap Strategy Fund | Swap equity contracts | 9,107 | — | 9,107 | (7,469 | ) | — | 1,638 | |||||||||||||||||
Inverse Russell 2000® Strategy Fund | Swap equity contracts | 58,046 | — | 58,046 | (40,873 | ) | — | 17,173 | |||||||||||||||||
Inverse Dow 2x Strategy Fund | Swap equity contracts | 32,716 | — | 32,716 | (32,716 | ) | — | — | |||||||||||||||||
High Yield Strategy Fund | Swap credit contracts | 2,945 | — | 2,945 | — | — | 2,945 |
1 | Exchange-traded or centrally-cleared derivatives are excluded from these reported amounts. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 147 |
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, 2020.
Fund | Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Nova Fund | Goldman Sachs International | Futures contracts | $ | 395,126 | $ | — | ||||
Inverse S&P 500® Strategy Fund | Goldman Sachs International | Futures contracts | 12,000 | — | ||||||
NASDAQ-100® 2x Strategy Fund | Barclays Bank plc | Total return swap agreements | 50,382 | — | ||||||
| Goldman Sachs International | Futures contracts | 913,939 | — | ||||||
NASDAQ-100® 2x Strategy Fund Total |
|
| 964,321 | — | ||||||
Inverse Russell 2000® Strategy Fund | Goldman Sachs International | Futures contracts | 56,320 | — | ||||||
Dow 2x Strategy Fund | Barclays Bank plc | Total return swap agreements | 10,000 | — | ||||||
Inverse Dow 2x Strategy Fund | Goldman Sachs International | Futures contracts | 21,156 | — | ||||||
Government Long Bond 1.2x Strategy Fund | Goldman Sachs International | Futures contracts | 1,148,362 | — | ||||||
Inverse Government Long Bond Strategy Fund | Goldman Sachs International | Futures contracts | 28,777 | — | ||||||
High Yield Strategy Fund | Barclays Bank plc | Credit default swap agreements | 585,483 | — |
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.
148 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 5 – Investment Advisory Agreement and Other Agreements
Under the terms of an investment advisory contract, the Funds pay GI investment advisory fees calculated at the annualized rates below, based on the average daily net assets of the Funds:
Fund | Management Fees | |||
Nova Fund | 0.75 | % | ||
Inverse S&P 500® Strategy Fund | 0.90 | % | ||
NASDAQ-100® Fund | 0.75 | % | ||
Inverse NASDAQ-100® Strategy Fund | 0.90 | % | ||
S&P 500® 2x Strategy Fund | 0.90 | % | ||
NASDAQ-100® 2x Strategy Fund | 0.90 | % | ||
Mid-Cap 1.5x Strategy Fund | 0.90 | % | ||
Inverse Mid-Cap Strategy Fund | 0.90 | % | ||
Russell 2000® 2x Strategy Fund | 0.90 | % | ||
Russell 2000® 1.5x Strategy Fund | 0.90 | % | ||
Inverse Russell 2000® Strategy Fund | 0.90 | % | ||
Dow 2x Strategy Fund | 0.90 | % | ||
Inverse Dow 2x Strategy Fund | 0.90 | % | ||
Government Long Bond 1.2x Strategy Fund | 0.50 | % | ||
Inverse Government Long Bond Strategy Fund | 0.90 | % | ||
High Yield Strategy Fund | 0.75 | % | ||
U.S. Government Money Market Fund | 0.50 | % |
GI pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board 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.
GI and its affiliates have voluntarily agreed to waive their fees, including but not limited to accounting, shareholder investor services and investment advisory fees, in an attempt to maintain a positive net yield for the U.S. Government Money Market Fund. GI or its affiliates may terminate this voluntary waiver at any time upon notice to the Fund. When shareholder investor services fees are waived, dealer compensation will be reduced to the extent of such waiver.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 149 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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, 2020, the following Funds waived fees related to investments in affiliated funds:
Fund | Amount Waived | |||
Nova Fund | $ | 7,856 | ||
Inverse S&P 500® Strategy Fund | 1,616 | |||
NASDAQ-100® Fund | 21,506 | |||
Inverse NASDAQ-100® Strategy Fund | 508 | |||
S&P 500® 2x Strategy Fund | 7,484 | |||
NASDAQ-100® 2x Strategy Fund | 21,257 | |||
Mid-Cap 1.5x Strategy Fund | 1,460 | |||
Inverse Mid-Cap Strategy Fund | 103 | |||
Russell 2000® 2x Strategy Fund | 884 | |||
Russell 2000® 1.5x Strategy Fund | 1,450 | |||
Inverse Russell 2000® Strategy Fund | 425 | |||
Dow 2x Strategy Fund | 4,235 | |||
Inverse Dow 2x Strategy Fund | 852 | |||
Government Long Bond 1.2x Strategy Fund | 3,116 | |||
Inverse Government Long Bond Strategy Fund | 591 | |||
High Yield Strategy Fund | 1,787 |
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
At June 30, 2020, GI and its affiliates owned over twenty percent of the outstanding shares of the Funds, as follows:
Fund | Percent of | |||
High Yield Strategy Fund | 64 | % |
MUFG Investor Services (US), LLC (“MUIS”) acts as the Funds’ administrator, transfer agent and accounting agent. As administrator, transfer agent and accounting agent, MUIS maintains 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.
150 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2020, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price |
| Collateral | Par Value | Fair Value | ||||||||||||
BofA Securities, Inc. | U.S. Treasury Note | |||||||||||||||||
0.07% | 1.88% | |||||||||||||||||
Due 07/01/20 | $ | 19,255,227 | $ | 19,255,265 | 07/31/22 | $ | 18,827,600 | $ | 19,640,334 | |||||||||
Barclays Capital, Inc. | U.S. Treasury Note | |||||||||||||||||
0.07% | 1.63% | |||||||||||||||||
Due 07/01/20 | 18,099,914 | 18,099,949 | 10/31/26 | 17,130,200 | 18,461,912 | |||||||||||||
J.P. Morgan Securities LLC | U.S. Treasury Notes | |||||||||||||||||
0.07% | 1.88% - 2.75% | |||||||||||||||||
Due 07/01/20 | 46,493,897 | 46,493,987 | 12/15/20 - 05/31/23 | 44,039,600 | 47,423,795 |
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.
At June 30, 2020, 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 | $ | 7,544 | $ | (7,544 | ) | $ | — | $ | 7,788 | $ | — | $ | 7,788 | ||||||||||||
S&P 500® 2x Strategy Fund | 669 | (669 | ) | — | 683 | — | 683 | ||||||||||||||||||
Mid-Cap 1.5x Strategy Fund | 18,770 | (18,770 | ) | — | 19,035 | — | 19,035 |
(a) | Actual collateral received by the Fund is generally 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 151 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
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 (“IRS”) for a period of three years after they are filed.
At June 30, 2020, 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 | Tax Unrealized | Net Tax Unrealized | ||||||||||||
Nova Fund | $ | 27,329,143 | $ | 302,529 | $ | (52,557 | ) | $ | 249,972 | |||||||
Inverse S&P 500® Strategy Fund | 3,680,471 | — | (94,763 | ) | (94,763 | ) | ||||||||||
NASDAQ-100® Fund | 82,325,025 | 17,008,706 | (87,860 | ) | 16,920,846 | |||||||||||
Inverse NASDAQ-100® Strategy Fund | 546,068 | — | (9,599 | ) | (9,599 | ) | ||||||||||
S&P 500® 2x Strategy Fund | 17,818,138 | — | (574,957 | ) | (574,957 | ) | ||||||||||
NASDAQ-100® 2x Strategy Fund | 103,869,563 | 6,933,617 | (44,176 | ) | 6,889,441 | |||||||||||
Mid-Cap 1.5x Strategy Fund | 4,413,026 | — | (219,782 | ) | (219,782 | ) | ||||||||||
Inverse Mid-Cap Strategy Fund | 310,441 | 715 | (9,140 | ) | (8,425 | ) | ||||||||||
Russell 2000® 2x Strategy Fund | 1,403,648 | 69,778 | (40 | ) | 69,738 | |||||||||||
Russell 2000® 1.5x Strategy Fund | 3,505,059 | 154,061 | (101 | ) | 153,960 | |||||||||||
Inverse Russell 2000® Strategy Fund | 1,933,018 | 2,008 | (58,046 | ) | (56,038 | ) | ||||||||||
Dow 2x Strategy Fund | 11,703,325 | 311,683 | (21,824 | ) | 289,859 | |||||||||||
Inverse Dow 2x Strategy Fund | 2,915,511 | 3,488 | (32,716 | ) | (29,228 | ) | ||||||||||
Government Long Bond 1.2x Strategy Fund | 34,000,104 | — | (98,871 | ) | (98,871 | ) | ||||||||||
Inverse Government Long Bond Strategy Fund | 3,438,644 | — | (23,775 | ) | (23,775 | ) | ||||||||||
High Yield Strategy Fund | 2,933,202 | 195,849 | (2,945 | ) | 192,904 | |||||||||||
U.S. Government Money Market Fund | 76,050,397 | — | — | — |
152 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 9 – Securities Transactions
For the period ended June 30, 2020, 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 | $ | 94,642,038 | $ | 99,436,451 | ||||
Inverse S&P 500® Strategy Fund | 19,172,667 | 18,352,000 | ||||||
NASDAQ-100® Fund | 82,194,103 | 74,527,078 | ||||||
Inverse NASDAQ-100® Strategy Fund | 3,032,873 | 3,050,000 | ||||||
S&P 500® 2x Strategy Fund | 173,549,457 | 197,353,941 | ||||||
NASDAQ-100® 2x Strategy Fund | 214,218,366 | 198,715,387 | ||||||
Mid-Cap 1.5x Strategy Fund | 7,222,534 | 7,087,040 | ||||||
Inverse Mid-Cap Strategy Fund | 268,387 | 273,000 | ||||||
Russell 2000® 2x Strategy Fund | 4,886,602 | 5,835,000 | ||||||
Russell 2000® 1.5x Strategy Fund | 1,579,926 | 3,075,000 | ||||||
Inverse Russell 2000® Strategy Fund | 1,185,193 | 965,000 | ||||||
Dow 2x Strategy Fund | 24,303,564 | 26,935,717 | ||||||
Inverse Dow 2x Strategy Fund | 5,297,656 | 5,660,000 | ||||||
Government Long Bond 1.2x Strategy Fund | 17,317,787 | 12,230,000 | ||||||
Inverse Government Long Bond Strategy Fund | 283,449 | 600,000 | ||||||
High Yield Strategy Fund | 5,023,573 | 8,175,000 |
For the period ended June 30, 2020, the cost of purchases and proceeds from sales of government securities were as follows:
Fund | Purchases | Sales | ||||||
Government Long Bond 1.2x Strategy Fund | $ | 257,188,484 | $ | 245,619,781 | ||||
Inverse Government Long Bond Strategy Fund | 19,912,391 | 20,365,078 |
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, 2020, 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 | $ | 38,474,790 | $ | 25,564,761 | $ | (457,241 | ) | |||||
NASDAQ-100® Fund | 36,984,058 | 15,587,142 | (392,046 | ) | ||||||||
S&P 500® 2x Strategy Fund | 60,590,787 | 96,752,166 | (1,175,951 | ) | ||||||||
NASDAQ-100® 2x Strategy Fund | 57,112,357 | 60,782,568 | (1,822,382 | ) | ||||||||
Mid-Cap 1.5x Strategy Fund | 1,839,250 | 2,134,280 | (59,108 | ) | ||||||||
Dow 2x Strategy Fund | 7,920,211 | 3,195,813 | (101,846 | ) | ||||||||
U.S. Government Money Market Fund | — | 4,999,125 | (866 | ) |
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 expired June 8, 2020. On March 30, 2020, the Board approved increasing the line of credit from $75,000,000 to $150,000,000. On June 8, 2020, the line of credit agreement was renewed at the increased $150,000,000 amount and expires on June 7, 2021. 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 1.84% for the period ended June 30, 2020. The Funds did not have any borrowings outstanding under this agreement at June 30, 2020.
The average daily balances borrowed for the period ended June 30, 2020, were as follows:
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Fund | Average Daily Balance | |||
Nova Fund | $ | 16,393 | ||
S&P 500® 2x Strategy Fund | 16,713 | |||
NASDAQ-100® 2x Strategy Fund | 4,191 | |||
Mid-Cap 1.5x Strategy Fund | 167 | |||
Russell 2000® 2x Strategy Fund | 52 | |||
Russell 2000® 1.5x Strategy Fund | 68 | |||
Dow 2x Strategy Fund | 814 | |||
Inverse Dow 2x Strategy Fund | 11 | |||
Government Long Bond 1.2x Strategy Fund | 492 |
Note 11– Legal Proceedings
Tribune Company
Rydex Variable Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Variable Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Variable Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Variable Trust has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-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 December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court.
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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 intended 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. 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. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. On June 22, 2020, the Court scheduled oral argument to occur on August 24, 2020.
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 12 – COVID-19 and Recent Developments
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in the Funds are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
Note 13 – Subsequent Events
Share Splits
On May 18, 2020, the Board approved reverse share splits as follows:
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NOTES TO FINANCIAL STATEMENTS (Unaudited)(concluded) |
Fund | Effective Date | Split Type |
Mid-Cap 1.5x Strategy Fund | August 21, 2020 | One-for-Ten Reverse Split |
Inverse Dow 2x Strategy Fund | August 21, 2020 | One-for-Five Reverse Split |
A reverse share split reduces the total number of the Funds’ outstanding shares and does not alter the rights or total value of a shareholder’s investment in the Funds.
The Funds evaluated subsequent events through the date the financial statements were available for issue and determined there were no material events other than the one disclosed above 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.
Report of the Rydex Variable Trust Contracts Review Committee
Rydex Variable Trust (the “Trust”) was organized as a Delaware statutory trust on June 11, 1998, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
● | Banking Fund* | ● | Basic Materials Fund* |
● | Biotechnology Fund* | ● | Commodities Strategy Fund |
● | Consumer Products Fund* | ● | Dow 2x Strategy Fund |
● | Electronics Fund* | ● | Energy Fund* |
● | Energy Services Fund* | ● | Europe 1.25x Strategy Fund |
● | Financial Services Fund* | ● | Global Managed Futures Strategy Fund** |
● | Government Long Bond 1.2x Strategy Fund | ● | Health Care Fund* |
● | High Yield Strategy Fund | ● | Internet Fund* |
● | Inverse Dow 2x Strategy Fund | ● | Inverse Government Long Bond Strategy Fund |
● | Inverse High Yield Strategy Fund*** | ● | Inverse Mid-Cap Strategy Fund |
● | Inverse NASDAQ-100 2x Strategy Fund*** | ● | Inverse NASDAQ-100 Strategy Fund |
● | Inverse Russell 2000 2x Strategy Fund*** | ● | Inverse Russell 2000 Strategy Fund |
● | Inverse S&P 500 2x Strategy Fund*** | ● | Inverse S&P 500 Strategy Fund |
● | Japan 2x Strategy Fund | ● | Leisure Fund* |
● | Long Short Equity Fund** | ● | Mid-Cap 1.5x Strategy Fund |
● | Multi-Hedge Strategies Fund** | ● | NASDAQ-100 2x Strategy Fund |
● | NASDAQ-100 Fund | ● | Nova Fund |
● | Precious Metals Fund* | ● | Real Estate Fund |
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OTHER INFORMATION (Unaudited)(continued) |
● | Retailing Fund* | ● | Russell 2000 1.5x Strategy Fund |
● | Russell 2000 2x Strategy Fund | ● | Russell 2000 Fund*** |
● | S&P 500 Fund*** | ● | 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 | ● | Strengthening Dollar 2x Strategy Fund |
● | Technology Fund* | ● | Telecommunications Fund* |
● | Transportation Fund* | ● | Utilities Fund* |
● | U.S. Government Money Market Fund | ● | Weakening Dollar 2x Strategy Fund |
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” |
*** | The Fund has been organized as a series of the Trust but has not commenced operations, and shares of the Fund are not currently offered to investors. Consequently, all references to “the Funds” or similar references hereafter should be understood as excluding such Fund. |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”). (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at a meeting called for such purpose.1 At meetings held by videoconference and/or telephonically on April 20–21, 2020 (the “April Meeting”) and on May 15 and 18, 2020 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board receives throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities.
1 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief was originally limited to the period from March 13, 2020 to June 15, 2020 and was subsequently extended through August 15, 2020. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 18, 2020. |
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OTHER INFORMATION (Unaudited)(continued) |
The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a list of Funds for which no peer funds were identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Fund (other than the Alternative Funds) (each, a “Tradable Fund” and collectively, the “Tradable Funds”)2 is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct objective performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, with respect to the Tradable Funds (other than U.S. Government Money Market Fund), in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for other similar funds in the Guggenheim fund complex.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal and regulatory risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, and the leveraged and inverse strategies offered. The Committee noted that the Tradable Funds allow frequent trading and unlimited exchange privileges and noted the magnitude of changes in each Fund’s assets during 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds
2 | Note that the Tradable Funds include the Sector Funds and the Real Estate Fund. |
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OTHER INFORMATION (Unaudited)(continued) |
and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2019, as applicable, were received. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for other similar funds in the Guggenheim fund complex. The Committee also received certain updated performance information as of March 31, 2020.
With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences.
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining such Funds’ underperformance, as applicable, over the five-year, three-year and/or one-year periods ended December 31, 2019, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to the Commodities Strategy Fund and considered a comparison to a peer group identified in the FUSE report consisting of both actively-managed and index-based commodities funds, noting the limitations in the comparability of such peer group.
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OTHER INFORMATION (Unaudited)(continued) |
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year and three-year periods ended December 31, 2019, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar strategies that do not offer the same product features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining such Funds’ underperformance, as applicable, over the five-year, three-year and one-year periods ended December 31, 2019, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee considered more recent performance periods in circumstances in which enhancements were being made to the portfolio management processes or techniques employed for a Fund. The Committee observed that the Global Managed Futures Strategy Fund’s returns ranked in the first quartile of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Long Short Equity Fund: The Fund’s returns ranked in the 100th percentile of its performance universe for the five-year and three-year periods ended December 31, 2019. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s high positive allocation to value and short on growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee took into account management’s statement that, since 2018, the Fund’s investment team has implemented enhancements to a number of components of the investment model used for the Fund, including revising expected risk models and security selection models, expanding the number of industry models used and adding a macro overlay to better incorporate Guggenheim’s market views. The Committee also took note of improving performance, noting that one-year performance as of March 31, 2020 ranked in the 63rd percentile.
Multi-Hedge Strategies Fund: The Fund’s returns ranked in the 80th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the underperformance of its long short equity sleeve and its overall lower volatility and equity market beta relative to its peers. With respect to the Fund’s long short equity sleeve, the Committee noted management’s statement that the sleeve’s high positive allocation to value and short on growth have detracted from investment performance. The Committee took into account management’s statement that the Fund changed its underlying investment strategies to improve diversification amongst the strategies, target a higher and more stable risk profile and enhance risk-adjusted returns while providing continuity for shareholders. The Committee noted that, as of March 31, 2020, the five-year and three-year performance rankings improved to the 14th and 9th percentiles, respectively, and that one-year performance ranked in the 4th percentile.
After reviewing the foregoing and other related factors, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee3 and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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OTHER INFORMATION (Unaudited)(continued) |
(e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that, while Fund flows and profitability are evaluated, primary consideration is given to market competitiveness, support requirements and shareholder return and expense expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by the Adviser to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted that Guggenheim generally does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than retail fund counterparts to certain Funds, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that each Fund’s contractual advisory fee was equal to or lower than the contractual advisory fee charged to the peer fund. The Committee also considered each such Fund’s net effective management fee and total net expense ratio as compared to the peer fund.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, although the Fund’s total net expense ratio is higher than that of the comparable peer fund, the Fund’s contractual advisory fee and net effective management fee are lower than those of the peer fund and the Fund’s total net expense ratio is similar to that of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving its fees to the extent necessary to maintain the Fund’s stable net asset value.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar investment strategies, but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), the Committee made the following observations:
Global Managed Futures Strategy Fund: The Fund’s contractual advisory fee ranks in the second quartile (50th percentile) of its peer group. The Fund’s net effective management fee ranks in the first quartile (1st percentile) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (100th percentile) of its peer group. The Committee considered that the peer group is limited in size and is comprised of only three funds. The Committee noted the Adviser’s statement that the Fund’s total net expense ratio ranks more competitively when compared to the broader universe of funds.
Long Short Equity Fund: The Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank in the fourth quartile (80th, 80th and 100th percentiles, respectively) of its peer group. The Committee considered that the peer group is limited in size and is comprised of only six funds. The Committee noted that the Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank more competitively when compared to the broader universe of funds.
Multi-Hedge Strategies Fund: The Fund’s contractual advisory fee ranks in the fourth quartile (86th percentile) of its peer group. The Fund’s net effective management fee ranks in the third quartile (71st percentile) of its peer group. The Committee considered that the Fund’s total net expense ratio ranks in the third quartile (57th percentile) of its peer group. The Committee considered that the peer group is limited in size and is comprised of only eight funds. The Committee noted that the Fund’s contractual advisory fee ranks more competitively when compared to the broader universe of funds.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2019, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense
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OTHER INFORMATION (Unaudited)(concluded) |
waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2018. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented, and concluded that the profits were not unreasonable.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee noted the Adviser’s statements, including that Guggenheim believes it is appropriately sharing potential economies of scale and that costs continue to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things, and that, in this regard, management’s costs for providing services have increased in recent years without regard to asset levels.
With respect to the Tradable Funds, the Committee noted that the applicable breakpoint level for the Funds is applied at the product-suite level, rather than on a Fund level, as the Funds are designed for tactical advisors and provide unlimited trading privileges, with individual Fund assets fluctuating significantly throughout the year.
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, among other things considered, the Committee determined that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee determined that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited) |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019 (Trustee)
Since July 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present). | 157 | Current: Purpose Investments Funds (2013-present). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). | 156 | Current: Hunt Companies, Inc. (2019-present). |
Donald A. Chubb, Jr. (1946) | Trustee | Since 2019 | Current: Retired | 156 | Former: Midland Care, Inc. (2011-2016). |
Jerry B. Farley (1946) | Trustee | Since 2019 | Current: President, Washburn University (1997-present). | 156 | Current: CoreFirst Bank & Trust (2000-present). |
Roman Friedrich III (1946) | Trustee | Since 2019 | Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). | 156 | Former: Zincore Metals, Inc. (2009-2019). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee)
Since July 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) | Number of | Other |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Partner, Momkus LLC (2016-present). | 157 | Current: PPM Funds (9) (2018 - present); Edward-Elmhurst Healthcare System (2012-present). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016 (Trustee)
Since 2019 (Chair of the Audit Committee) | Current: Retired. | 156 | Current: 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). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) | Number of | Other |
INTERESTED TRUSTEES | |||||
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). | 156 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Board of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held with Trust | Term of Office and Length | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | 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 and 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)(continued) |
Name, Address* | Position(s) Held with Trust | Term of Office and Length | Principal Occupation(s) |
OFFICERS - continued | |||
Margaux Misantone (1978) | AML Officer | Since 2017 | 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). |
William Rehder (1967) | Assistant Vice President | Since 2018 | Current: Managing Director, Guggenheim Investments (2002-present). |
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | 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). |
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INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held with Trust | Term of Office and Length | Principal Occupation(s) |
OFFICERS - concluded | |||
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
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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.
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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.
172 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited) |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Variable Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from December 1, 2018, through March 31, 2020. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 173 |
6.30.2020
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 a fund 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-0620x1220 |
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 | 67 |
NOTES TO FINANCIAL STATEMENTS | 73 |
OTHER INFORMATION | 87 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS | 95 |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE | 100 |
LIQUIDITY RISK MANAGEMENT PROGRAM | 103 |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 1 |
| June 30, 2020 |
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, 2020.
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, 2020
Read a prospectus and summary prospectus (if available) carefully before investing. It contains the investment objectives, risks, charges, expenses and other information, which should be considered carefully before investing. Obtain a prospectus and summary prospectus (if available) at guggenheiminvestments.com or call 800.820.0888.
This material is not intended as a recommendation or as investment advice of any kind, including in connection with rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity, may not be relied upon for or in connection with the making of investment decisions, and does not constitute a solicitation of an offer to buy or sell securities. All content has been provided for informational or educational purposes only and is not intended to be and should not be construed as legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional regarding your specific situation.
Inverse and leveraged Funds are not suitable for all investors. ● These Funds should be utilized only by investors who (a) understand the risks associated with the use of leverage, (b) understand the consequences of seeking daily leveraged investment results, (c) understand the risk of shorting, and (d) intend to actively monitor and manage their investments. ● The more a Fund invests in leveraged instruments, the more the leverage will magnify any gains or losses on those investments. ● Inverse Funds involve certain risks, which include increased volatility due to the Funds’ possible use of short sales of securities and derivatives, such as options and futures. ● The Funds’ use of derivatives, such as futures, options, and swap agreements, may expose the Funds’ shareholders to additional risks that they would not be subject to if they invested directly in the securities underlying those derivatives. ● Short-selling involves increased risks and costs. You risk paying more for a security than you received from its sale. ● Leveraged and inverse Funds seek to provide investment results that match the performance of a specific benchmark, before fees and expenses, on a daily basis. Because the Funds seek to track the performance of their benchmark on a daily basis, mathematical compounding, especially with respect to those Funds that use leverage as part of their investment strategy, may prevent a Fund from correlating with the monthly, quarterly, annual, or other period performance of its benchmark. Due to the compounding of daily returns, leveraged and inverse Funds’ returns over periods other than one day will likely differ in amount and possibly direction from the benchmark return for the same period. For those Funds that consistently apply leverage, the value of the Fund’s shares will tend to increase or decrease more than the value of any increase or decrease in its benchmark index. The Funds rebalance their portfolios on a daily basis, increasing exposure in response to that day’s gains or reducing exposure in response to that day’s losses. Daily rebalancing will impair a Fund’s performance if the benchmark experiences volatility. Investors should monitor their leveraged and inverse Funds’ holdings consistent with their strategies, as frequently as daily. ● For more on these and other risks, please read the prospectus.
2 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
| June 30, 2020 |
Pure Style Funds may not be suitable for all investors. ● The funds are subject to the risk that large, medium and small-capitalization stocks may under-perform other segments of the equity market or the equity market as a whole ● Value stocks are subject to the risk that the intrinsic value of the stock may never be realized by the market or that the price goes down. Growth stocks typically invest a high portion of their earnings back into their business and may lack the dividend yield that could cushion their decline in a market downturn. Growth stocks may be more volatile than other stocks because they are more sensitive to investor perceptions regarding the growth potential of the issuing company. ● The funds are subject to the risk that unanticipated early closings of securities exchanges and other financial markets may result in the funds’ inability to buy or sell securities or other financial instruments on that day. In certain circumstances, it may be difficult for the funds to purchase and sell particular investments within a reasonable time at a fair price. ● Unlike many investment companies, the funds are not actively “managed.” This means that based on market and economic conditions, the funds’ performance could be lower than other types of funds that may actively shift their portfolio assets to take advantage of market opportunities or to lessen the impact of a market decline ● The funds are subject to active trading and tracking error risks, which may increase volatility, impact the funds’ ability to achieve its investment objective and may decrease the fund’s performance. ● These funds are considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund. ● Securities are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested. ● Please read the prospectus for more detailed information regarding these and other risks.
The 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 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 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 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. This fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus.
The 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 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 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 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. This Fund is considered non-diversified and can invest a greater portion of its assets in securities of individual issuers than a diversified fund. As a result, changes in the market value of a single security could cause greater fluctuations in the value of Fund shares than would occur in a more diversified fund. ● For more on these and other risks, please read the prospectus.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 3 |
June 30, 2020 |
The six-month period ended June 30, 2020, was an unprecedented time for markets. It was marked by extreme volatility, resulting from the COVID-19 pandemic, tempered by a swift and aggressive monetary policy response by the U.S. Federal Reserve (the “Fed”) and sweeping fiscal support that cushioned downside risk for the economy and especially for markets.
The mere announcement of the Fed’s Primary and Secondary Market Corporate Credit Facilities on March 23, 2020 and June 15, 2020, respectively, caused credit spreads, which had blown out dramatically, to stabilize and then tighten as the market interpreted the move as a backstop against defaults, with most credits trading in their 80th percentile since. With credit markets shored up, equity markets have regained almost all of their lost ground. The Standard & Poor’s 500® (“S&P 500®”) index, which began the year at 3,230, peaked at 3,386 on February 19, 2020 before plummeting to 2,237 on March 23, 2020, the day of the Fed’s first announced facility. By June 30, 2020, the index had recovered to 3,100. The total return for the six-months ended June 30, 2020 was -3.08%.
The U.S. budget deficit is approaching 25% of Gross Domestic Product (“GDP”), the highest since World War II, and the Fed has promised to use all available tools, including powerful new emergency credit market facilities, to support the recovery. But even this policy response cannot force consumers to spend, or businesses to invest, amid staggering uncertainty. Moreover, future rounds of fiscal stimulus may be needed to avoid a series of fiscal cliffs as temporary measures expire. Future stimulus could also be more politically contentious, especially with the November election approaching, social unrest increasing and markets cheering sequential improvement in the economic data. And as the events of the global financial crisis and the ensuing European debt crisis illustrated, the persistence of macro stress means the risk of a systemic credit event is elevated. As fragility builds, we are watching developments in emerging markets particularly closely as a potential catalyst for a broader, systemic shock.
Meanwhile, joblessness has surged, with the fall in U.S. employment in April 2020 alone representing a 40 standard deviation shock, erasing jobs gained during the preceding 21 years. Rehiring activity turned the labor market tide in May and June 2020, but as personal, small business and corporate bankruptcies mount, permanent damage is being done to the productive capacity of the economy, which may stunt a recovery.
Overshadowing everything is the COVID-19 pandemic, which caused a steeper plunge in U.S. output and employment in two months (in both cases roughly 16% un-annualized) than during the first two years of the Great Depression. Real GDP leads core inflation by about 18 months, suggesting that inflation may also fall sharply in coming quarters. Reopening measures have supported a strong uptick in economic activity since April, but we do not expect a genuine recovery will be possible until a vaccine has been developed, tested, approved, produced and administered across the globe. In the meantime, keeping the infection rate in check will require social distancing measures that stymie economic activity. Indeed, the premature easing of lockdowns and a lax adherence to social distancing guidelines are resulting in a resurgence of new infections in the United States, reflecting the combination of millions of cases and limited testing and tracing capabilities. Recent trends do not bode well for the fall, when the start of the school year could boost social interactions and the return of flu season might strain healthcare capacity.
For the six months ended June 30, 2020, the S&P 500® Index* returned -3.08%. The MSCI Europe-Australasia-Far East (“EAFE”) Index* returned -11.34%. The return of the MSCI Emerging Markets Index* was -9.78%.
In the bond market, the Bloomberg Barclays U.S. Aggregate Bond Index* posted a 6.14% return for the period, while the Bloomberg Barclays U.S. Corporate High Yield Index* returned -3.80%. The return of the ICE Bank of America (“BofA”) Merrill Lynch 3-Month U.S. Treasury Bill Index* was 0.60% for the six-month period.
The opinions and forecasts expressed may not actually come to pass. This information is subject to change at any time, based on market and other conditions, and should not be construed as a recommendation of any specific security or strategy.
*Index Definitions:
The following indices are referenced throughout this report. Indices are unmanaged and not available for direct investment. Index performance does not reflect transaction costs, fees, or expenses.
Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including U.S. Treasuries, government-related and corporate securities, mortgage-backed securities or “MBS” (agency fixed-rate and hybrid adjustable-rate mortgage, or “ARM”, pass-throughs), asset-backed securities (“ABS”), and commercial mortgage-backed securities (“CMBS”) (agency and non-agency).
Bloomberg Barclays U.S. Corporate High Yield Index measures the U.S. dollar-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB +/BB + or below.
4 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
ECONOMIC AND MARKET OVERVIEW (Unaudited)(concluded) | June 30, 2020 |
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, Europe’s leading Blue-chip Index, provides a representation of supersector leaders in Europe. The index covers 50 stocks from 17 European countries: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Norway, Poland, 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) 3.6%.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 5 |
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 |
|
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, 2019 and ending June 30, 2020.
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 | 1.73% | 1.89% | $ 1,000.00 | $ 1,018.90 | $ 8.68 |
S&P 500® Pure Value Fund | 1.73% | (30.56%) | 1,000.00 | 694.40 | 7.29 |
S&P MidCap 400® Pure Growth Fund | 1.74% | (2.52%) | 1,000.00 | 974.80 | 8.54 |
S&P MidCap 400® Pure Value Fund | 1.73% | (25.95%) | 1,000.00 | 740.50 | 7.49 |
S&P SmallCap 600® Pure Growth Fund | 1.73% | (15.30%) | 1,000.00 | 847.00 | 7.94 |
S&P SmallCap 600® Pure Value Fund | 1.73% | (32.91%) | 1,000.00 | 670.90 | 7.19 |
Europe 1.25x Strategy Fund | 1.86% | (14.37%) | 1,000.00 | 856.30 | 8.58 |
Japan 2x Strategy Fund | 1.67% | (14.35%) | 1,000.00 | 856.50 | 7.71 |
Strengthening Dollar 2x Strategy Fund | 1.97% | 1.33% | 1,000.00 | 1,013.30 | 9.86 |
Weakening Dollar 2x Strategy Fund | 1.96% | (5.31%) | 1,000.00 | 946.90 | 9.49 |
| |||||
Table 2. Based on hypothetical 5% return (before expenses) | |||||
S&P 500® Pure Growth Fund | 1.73% | 5.00% | $ 1,000.00 | $ 1,016.26 | $ 8.67 |
S&P 500® Pure Value Fund | 1.73% | 5.00% | 1,000.00 | 1,016.26 | 8.67 |
S&P MidCap 400® Pure Growth Fund | 1.74% | 5.00% | 1,000.00 | 1,016.21 | 8.72 |
S&P MidCap 400® Pure Value Fund | 1.73% | 5.00% | 1,000.00 | 1,016.26 | 8.67 |
S&P SmallCap 600® Pure Growth Fund | 1.73% | 5.00% | 1,000.00 | 1,016.26 | 8.67 |
S&P SmallCap 600® Pure Value Fund | 1.73% | 5.00% | 1,000.00 | 1,016.26 | 8.67 |
Europe 1.25x Strategy Fund | 1.86% | 5.00% | 1,000.00 | 1,015.61 | 9.32 |
Japan 2x Strategy Fund | 1.67% | 5.00% | 1,000.00 | 1,016.56 | 8.37 |
Strengthening Dollar 2x Strategy Fund | 1.97% | 5.00% | 1,000.00 | 1,015.07 | 9.87 |
Weakening Dollar 2x Strategy Fund | 1.96% | 5.00% | 1,000.00 | 1,015.12 | 9.82 |
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 182/366 (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, 2019 to June 30, 2020. |
8 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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) | |
ServiceNow, Inc. | 2.3% |
Paycom Software, Inc. | 1.9% |
DexCom, Inc. | 1.8% |
Fortinet, Inc. | 1.8% |
Lam Research Corp. | 1.7% |
Facebook, Inc. — Class A | 1.7% |
Incyte Corp. | 1.7% |
Adobe, Inc. | 1.6% |
PayPal Holdings, Inc. | 1.6% |
Vertex Pharmaceuticals, Inc. | 1.6% |
Top Ten Total | 17.7% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® Pure Growth Fund | 1.89% | 7.99% | 9.04% | 14.14% |
S&P 500 Pure Growth Index | 2.68% | 9.89% | 10.92% | 16.16% |
* | 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, 2020 |
S&P 500® PURE GROWTH FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.6% | ||||||||
Technology - 32.6% | ||||||||
ServiceNow, Inc.* | 1,890 | $ | 765,563 | |||||
Paycom Software, Inc.* | 2,004 | 620,699 | ||||||
Fortinet, Inc.* | 4,175 | 573,102 | ||||||
Lam Research Corp. | 1,720 | 556,351 | ||||||
Adobe, Inc.* | 1,210 | 526,725 | ||||||
MSCI, Inc. — Class A | 1,497 | 499,729 | ||||||
Micron Technology, Inc.* | 9,180 | 472,954 | ||||||
KLA Corp. | 2,289 | 445,165 | ||||||
ANSYS, Inc.* | 1,484 | 432,927 | ||||||
Synopsys, Inc.* | 2,197 | 428,415 | ||||||
Apple, Inc. | 1,150 | 419,520 | ||||||
Applied Materials, Inc. | 6,870 | 415,292 | ||||||
Microsoft Corp. | 2,040 | 415,160 | ||||||
Cadence Design Systems, Inc.* | 4,199 | 402,936 | ||||||
NVIDIA Corp. | 1,030 | 391,307 | ||||||
Microchip Technology, Inc. | 3,316 | 349,208 | ||||||
Tyler Technologies, Inc.* | 938 | 325,374 | ||||||
Broadcom, Inc. | 952 | 300,461 | ||||||
salesforce.com, Inc.* | 1,582 | 296,356 | ||||||
Fiserv, Inc.* | 2,574 | 251,274 | ||||||
Autodesk, Inc.* | 1,044 | 249,714 | ||||||
Advanced Micro Devices, Inc.* | 3,817 | 200,812 | ||||||
Qorvo, Inc.* | 1,812 | 200,280 | ||||||
Take-Two Interactive Software, Inc.* | 1,423 | 198,608 | ||||||
QUALCOMM, Inc. | 2,130 | 194,277 | ||||||
Analog Devices, Inc. | 1,540 | 188,866 | ||||||
Intuit, Inc. | 636 | 188,377 | ||||||
Zebra Technologies Corp. — Class A* | 670 | 171,486 | ||||||
Xerox Holdings Corp. | 10,644 | 162,747 | ||||||
Total Technology | 10,643,685 | |||||||
Consumer, Non-cyclical - 18.2% | ||||||||
DexCom, Inc.* | 1,425 | 577,695 | ||||||
Incyte Corp.* | 5,247 | 545,531 | ||||||
PayPal Holdings, Inc.* | 2,997 | 522,167 | ||||||
Vertex Pharmaceuticals, Inc.* | 1,787 | 518,784 | ||||||
United Rentals, Inc.* | 2,873 | 428,192 | ||||||
MarketAxess Holdings, Inc. | 752 | 376,692 | ||||||
Align Technology, Inc.* | 1,268 | 347,990 | ||||||
FleetCor Technologies, Inc.* | 1,321 | 332,271 | ||||||
Edwards Lifesciences Corp.* | 4,299 | 297,104 | ||||||
Moody’s Corp. | 1,020 | 280,225 | ||||||
Cintas Corp. | 990 | 263,696 | ||||||
ResMed, Inc. | 1,350 | 259,200 | ||||||
S&P Global, Inc. | 702 | 231,295 | ||||||
IDEXX Laboratories, Inc.* | 640 | 211,302 | ||||||
Estee Lauder Companies, Inc. — Class A | 1,100 | 207,548 | ||||||
Intuitive Surgical, Inc.* | 330 | 188,044 | ||||||
Thermo Fisher Scientific, Inc. | 514 | 186,243 | ||||||
West Pharmaceutical Services, Inc. | 720 | 163,562 | ||||||
Total Consumer, Non-cyclical | 5,937,541 | |||||||
Consumer, Cyclical - 14.4% | ||||||||
Chipotle Mexican Grill, Inc. — Class A* | 416 | 437,782 | ||||||
PulteGroup, Inc. | 12,559 | 427,383 | ||||||
Copart, Inc.* | 4,402 | 366,555 | ||||||
DR Horton, Inc. | 6,056 | 335,805 | ||||||
Hilton Worldwide Holdings, Inc. | 4,344 | 319,067 | ||||||
Dollar General Corp. | 1,590 | 302,911 | ||||||
Domino’s Pizza, Inc. | 794 | 293,335 | ||||||
CarMax, Inc.* | 3,144 | 281,545 | ||||||
PACCAR, Inc. | 3,760 | 281,436 | ||||||
NVR, Inc.* | 80 | 260,700 | ||||||
Yum! Brands, Inc. | 2,932 | 254,820 | ||||||
AutoZone, Inc.* | 200 | 225,624 | ||||||
O’Reilly Automotive, Inc.* | 478 | 201,558 | ||||||
Starbucks Corp. | 2,670 | 196,485 | ||||||
Ross Stores, Inc. | 1,670 | 142,351 | ||||||
Tiffany & Co. | 1,140 | 139,012 | ||||||
TJX Companies, Inc. | 2,298 | 116,187 | ||||||
Wynn Resorts Ltd. | 1,370 | 102,051 | ||||||
Total Consumer, Cyclical | 4,684,607 | |||||||
Industrial - 11.1% | ||||||||
Old Dominion Freight Line, Inc. | 2,266 | 384,291 | ||||||
TransDigm Group, Inc. | 725 | 320,486 | ||||||
Teledyne Technologies, Inc.* | 969 | 301,311 | ||||||
Masco Corp. | 5,431 | 272,691 | ||||||
Keysight Technologies, Inc.* | 2,514 | 253,361 | ||||||
L3Harris Technologies, Inc. | 1,460 | 247,718 | ||||||
Northrop Grumman Corp. | 780 | 239,803 | ||||||
Kansas City Southern | 1,572 | 234,684 | ||||||
Fortune Brands Home & Security, Inc. | 3,312 | 211,736 | ||||||
Garmin Ltd. | 2,030 | 197,925 | ||||||
Lockheed Martin Corp. | 520 | 189,759 | ||||||
AMETEK, Inc. | 2,080 | 185,890 | ||||||
Vulcan Materials Co. | 1,380 | 159,873 | ||||||
Roper Technologies, Inc. | 409 | 158,798 | ||||||
Martin Marietta Materials, Inc. | 720 | 148,730 | ||||||
Allegion plc | 1,260 | 128,797 | ||||||
Total Industrial | 3,635,853 | |||||||
Communications - 9.7% | ||||||||
Facebook, Inc. — Class A* | 2,421 | 549,737 | ||||||
Netflix, Inc.* | 948 | 431,378 | ||||||
Amazon.com, Inc.* | 150 | 413,823 | ||||||
eBay, Inc. | 6,680 | 350,366 | ||||||
Charter Communications, Inc. — Class A* | 680 | 346,827 | ||||||
CDW Corp. | 2,253 | 261,754 | ||||||
Alphabet, Inc. — Class A* | 128 | 181,510 | ||||||
Alphabet, Inc. — Class C* | 120 | 169,633 | ||||||
Arista Networks, Inc.* | 770 | 161,723 | ||||||
Motorola Solutions, Inc. | 1,099 | 154,003 | ||||||
Booking Holdings, Inc.* | 80 | 127,387 | ||||||
Total Communications | 3,148,141 | |||||||
Financial - 7.6% | ||||||||
Mastercard, Inc. — Class A | 1,460 | 431,722 | ||||||
Visa, Inc. — Class A | 1,820 | 351,569 |
10 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
S&P 500® PURE GROWTH FUND |
| Shares | Value | ||||||
CBRE Group, Inc. — Class A* | 6,906 | $ | 312,289 | |||||
Equinix, Inc. REIT | 420 | 294,966 | ||||||
Synchrony Financial | 12,083 | 267,759 | ||||||
SBA Communications Corp. REIT | 883 | 263,064 | ||||||
Cboe Global Markets, Inc. | 2,505 | 233,667 | ||||||
American Tower Corp. — Class A REIT | 780 | 201,661 | ||||||
Western Union Co. | 5,940 | 128,423 | ||||||
Total Financial | 2,485,120 | |||||||
Basic Materials - 3.9% | ||||||||
FMC Corp. | 3,988 | 397,285 | ||||||
Sherwin-Williams Co. | 510 | 294,703 | ||||||
Dow, Inc. | 7,030 | 286,543 | ||||||
Air Products & Chemicals, Inc. | 743 | 179,405 | ||||||
Celanese Corp. — Class A | 1,460 | 126,056 | ||||||
Total Basic Materials | 1,283,992 | |||||||
Energy - 1.3% | ||||||||
ConocoPhillips | 5,234 | 219,932 | ||||||
Hess Corp. | 3,570 | 184,962 | ||||||
Total Energy | 404,894 | |||||||
Utilities - 0.8% | ||||||||
NRG Energy, Inc. | 8,297 | 270,150 | ||||||
Total Common Stocks | ||||||||
(Cost $25,260,010) | 32,493,983 |
face amount | ||||||||
REPURCHASE AGREEMENTS††,1 - 0.5% | ||||||||
J.P. Morgan Securities LLC issued 06/30/20 at 0.07% due 07/01/20 | $ | 92,546 | 92,546 | |||||
BofA Securities, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 38,328 | 38,328 | ||||||
Barclays Capital, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 36,028 | 36,028 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $166,902) | 166,902 | |||||||
Total Investments - 100.1% | ||||||||
(Cost $25,426,912) | $ | 32,660,885 | ||||||
Other Assets & Liabilities, net - (0.1)% | (22,284 | ) | ||||||
Total Net Assets - 100.0% | $ | 32,638,601 |
* | 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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 32,493,983 | $ | — | $ | — | $ | 32,493,983 | ||||||||
Repurchase Agreements | — | 166,902 | — | 166,902 | ||||||||||||
Total Assets | $ | 32,493,983 | $ | 166,902 | $ | — | $ | 32,660,885 |
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, 2020 |
Assets: | ||||
Investments, at value (cost $25,260,010) | $ | 32,493,983 | ||
Repurchase agreements, at value (cost $166,902) | 166,902 | |||
Cash | 1,672 | |||
Receivables: | ||||
Securities sold | 619,026 | |||
Dividends | 12,084 | |||
Securities lending income | 4 | |||
Total assets | 33,293,671 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 559,957 | |||
Management fees | 19,822 | |||
Transfer agent and administrative fees | 7,109 | |||
Investor service fees | 6,607 | |||
Portfolio accounting fees | 2,643 | |||
Trustees’ fees* | 569 | |||
Miscellaneous | 58,363 | |||
Total liabilities | 655,070 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 32,638,601 | ||
Net assets consist of: | ||||
Paid in capital | $ | 19,762,962 | ||
Total distributable earnings (loss) | 12,875,639 | |||
Net assets | $ | 32,638,601 | ||
Capital shares outstanding | 587,890 | |||
Net asset value per share | $ | 55.52 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends | $ | 137,182 | ||
Interest | 830 | |||
Income from securities lending, net | 4 | |||
Total investment income | 138,016 | |||
Expenses: | ||||
Management fees | 114,793 | |||
Investor service fees | 38,264 | |||
Transfer agent and administrative fees | 41,172 | |||
Professional fees | 29,742 | |||
Portfolio accounting fees | 15,306 | |||
Trustees’ fees* | 4,284 | |||
Custodian fees | 2,491 | |||
Line of credit fees | 29 | |||
Miscellaneous | 19,341 | |||
Total expenses | 265,422 | |||
Net investment loss | (127,406 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (746,144 | ) | ||
Net realized loss | (746,144 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 1,486,648 | |||
Net change in unrealized appreciation (depreciation) | 1,486,648 | |||
Net realized and unrealized gain | 740,504 | |||
Net increase in net assets resulting from operations | $ | 613,098 |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (127,406 | ) | $ | (174,687 | ) | ||
Net realized gain (loss) on investments | (746,144 | ) | 9,219,238 | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,486,648 | 740,571 | ||||||
Net increase in net assets resulting from operations | 613,098 | 9,785,122 | ||||||
Distributions to shareholders | — | (893,743 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 24,834,608 | 64,113,779 | ||||||
Distributions reinvested | — | 893,743 | ||||||
Cost of shares redeemed | (34,865,801 | ) | (73,667,137 | ) | ||||
Net decrease from capital share transactions | (10,031,193 | ) | (8,659,615 | ) | ||||
Net increase (decrease) in net assets | (9,418,095 | ) | 231,764 | |||||
Net assets: | ||||||||
Beginning of period | 42,056,696 | 41,824,932 | ||||||
End of period | $ | 32,638,601 | $ | 42,056,696 | ||||
Capital share activity: | ||||||||
Shares sold | 489,415 | 1,281,107 | ||||||
Shares issued from reinvestment of distributions | — | 17,017 | ||||||
Shares redeemed | (673,284 | ) | (1,477,477 | ) | ||||
Net decrease in shares | (183,869 | ) | (179,353 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 54.49 | $ | 43.97 | $ | 50.27 | $ | 42.31 | $ | 43.72 | $ | 47.51 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.21 | ) | (.22 | ) | (.44 | ) | (.38 | ) | (.23 | ) | (.25 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | 1.24 | 11.87 | (1.68 | ) | 10.51 | 1.38 | .91 | |||||||||||||||||
Total from investment operations | 1.03 | 11.65 | (2.12 | ) | 10.13 | 1.15 | .66 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | (1.13 | ) | (4.18 | ) | (2.17 | ) | (2.56 | ) | (4.45 | ) | |||||||||||||
Total distributions | — | (1.13 | ) | (4.18 | ) | (2.17 | ) | (2.56 | ) | (4.45 | ) | |||||||||||||
Net asset value, end of period | $ | 55.52 | $ | 54.49 | $ | 43.97 | $ | 50.27 | $ | 42.31 | $ | 43.72 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 1.89 | % | 26.60 | % | (5.63 | %) | 24.39 | % | 2.58 | % | 1.08 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 32,639 | $ | 42,057 | $ | 41,825 | $ | 55,023 | $ | 43,908 | $ | 77,644 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.83 | %) | (0.42 | %) | (0.85 | %) | (0.80 | %) | (0.54 | %) | (0.54 | %) | ||||||||||||
Total expenses | 1.73 | % | 1.72 | % | 1.62 | % | 1.67 | % | 1.56 | % | 1.51 | % | ||||||||||||
Portfolio turnover rate | 64 | % | 190 | % | 203 | % | 303 | % | 265 | % | 174 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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) | |
Berkshire Hathaway, Inc. — Class B | 3.0% |
Kroger Co. | 2.5% |
Archer-Daniels-Midland Co. | 2.0% |
Ford Motor Co. | 2.0% |
Centene Corp. | 2.0% |
General Motors Co. | 1.9% |
AmerisourceBergen Corp. — Class A | 1.9% |
MetLife, Inc. | 1.8% |
Baker Hughes Co. | 1.8% |
Marathon Petroleum Corp. | 1.8% |
Top Ten Total | 20.7% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P 500® Pure Value Fund | (30.56%) | (25.58%) | (1.40%) | 7.81% |
S&P 500 Pure Value Index | (29.80%) | (24.15%) | 0.31% | 9.86% |
* | 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, 2020 |
S&P 500® PURE VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.7% | ||||||||
Financial - 33.9% | ||||||||
Berkshire Hathaway, Inc. — Class B* | 2,951 | $ | 526,783 | |||||
MetLife, Inc. | 8,830 | 322,472 | ||||||
Prudential Financial, Inc. | 5,018 | 305,596 | ||||||
Lincoln National Corp. | 7,362 | 270,848 | ||||||
Unum Group | 15,855 | 263,034 | ||||||
Loews Corp. | 6,651 | 228,063 | ||||||
American International Group, Inc. | 7,218 | 225,057 | ||||||
Principal Financial Group, Inc. | 5,251 | 218,127 | ||||||
Goldman Sachs Group, Inc. | 1,019 | 201,375 | ||||||
Morgan Stanley | 4,106 | 198,320 | ||||||
Invesco Ltd. | 18,019 | 193,884 | ||||||
Citizens Financial Group, Inc. | 7,092 | 179,002 | ||||||
Capital One Financial Corp. | 2,619 | 163,923 | ||||||
Citigroup, Inc. | 3,171 | 162,038 | ||||||
Allstate Corp. | 1,666 | 161,585 | ||||||
People’s United Financial, Inc. | 13,186 | 152,562 | ||||||
Travelers Companies, Inc. | 1,310 | 149,405 | ||||||
Assurant, Inc. | 1,404 | 145,019 | ||||||
Everest Re Group Ltd. | 624 | 128,669 | ||||||
Regions Financial Corp. | 11,550 | 128,436 | ||||||
Chubb Ltd. | 938 | 118,770 | ||||||
Bank of New York Mellon Corp. | 3,063 | 118,385 | ||||||
Fifth Third Bancorp | 6,031 | 116,278 | ||||||
State Street Corp. | 1,819 | 115,598 | ||||||
Hartford Financial Services Group, Inc. | 2,932 | 113,029 | ||||||
Franklin Resources, Inc. | 5,110 | 107,157 | ||||||
Zions Bancorp North America | 3,053 | 103,802 | ||||||
Bank of America Corp. | 4,163 | 98,871 | ||||||
Aflac, Inc. | 2,681 | 96,596 | ||||||
KeyCorp | 7,167 | 87,294 | ||||||
Raymond James Financial, Inc. | 1,053 | 72,478 | ||||||
Truist Financial Corp. | 1,868 | 70,143 | ||||||
Globe Life, Inc. | 933 | 69,257 | ||||||
Huntington Bancshares, Inc. | 7,237 | 65,386 | ||||||
Comerica, Inc. | 1,682 | 64,084 | ||||||
Wells Fargo & Co. | 2,458 | 62,925 | ||||||
M&T Bank Corp. | 594 | 61,758 | ||||||
Host Hotels & Resorts, Inc. REIT | 5,429 | 58,579 | ||||||
Total Financial | 5,924,588 | |||||||
Consumer, Non-cyclical - 20.7% | ||||||||
Kroger Co. | 13,170 | 445,804 | ||||||
Archer-Daniels-Midland Co. | 8,964 | 357,664 | ||||||
Centene Corp.* | 5,420 | 344,441 | ||||||
AmerisourceBergen Corp. — Class A | 3,226 | 325,084 | ||||||
CVS Health Corp. | 4,629 | 300,746 | ||||||
Corteva, Inc. | 11,034 | 295,601 | ||||||
McKesson Corp. | 1,863 | 285,822 | ||||||
Mylan N.V.* | 16,850 | 270,948 | ||||||
Cigna Corp. | 1,311 | 246,009 | ||||||
Molson Coors Beverage Co. — Class B | 5,939 | 204,064 | ||||||
Perrigo Company plc | 3,085 | 170,508 | ||||||
Anthem, Inc. | 488 | 128,334 | ||||||
Kraft Heinz Co. | 3,909 | 124,658 | ||||||
JM Smucker Co. | 1,168 | 123,586 | ||||||
Total Consumer, Non-cyclical | 3,623,269 | |||||||
Consumer, Cyclical - 16.9% | ||||||||
Ford Motor Co. | 58,421 | 355,200 | ||||||
General Motors Co. | 13,332 | 337,299 | ||||||
Gap, Inc. | 21,741 | 274,371 | ||||||
Lennar Corp. — Class A | 4,136 | 254,860 | ||||||
Whirlpool Corp. | 1,602 | 207,507 | ||||||
Walgreens Boots Alliance, Inc. | 4,882 | 206,948 | ||||||
Kohl’s Corp. | 8,465 | 175,818 | ||||||
Mohawk Industries, Inc.* | 1,511 | 153,759 | ||||||
L Brands, Inc. | 9,518 | 142,485 | ||||||
Best Buy Company, Inc. | 1,618 | 141,203 | ||||||
American Airlines Group, Inc.1 | 10,188 | 133,157 | ||||||
PVH Corp. | 2,727 | 131,032 | ||||||
BorgWarner, Inc. | 3,618 | 127,716 | ||||||
United Airlines Holdings, Inc.* | 2,504 | 86,664 | ||||||
Carnival Corp.1 | 4,198 | 68,931 | ||||||
Alaska Air Group, Inc. | 1,893 | 68,640 | ||||||
Delta Air Lines, Inc. | 2,419 | 67,853 | ||||||
Norwegian Cruise Line Holdings Ltd.*,1 | 1,683 | 27,652 | ||||||
Total Consumer, Cyclical | 2,961,095 | |||||||
Energy - 12.2% | ||||||||
Baker Hughes Co. | 20,727 | 318,989 | ||||||
Marathon Petroleum Corp. | 8,490 | 317,356 | ||||||
Valero Energy Corp. | 3,429 | 201,694 | ||||||
Concho Resources, Inc. | 3,728 | 191,992 | ||||||
HollyFrontier Corp. | 6,453 | 188,428 | ||||||
Marathon Oil Corp. | 25,966 | 158,912 | ||||||
Diamondback Energy, Inc. | 2,897 | 121,152 | ||||||
Devon Energy Corp. | 9,526 | 108,025 | ||||||
Chevron Corp. | 1,206 | 107,611 | ||||||
Exxon Mobil Corp. | 2,168 | 96,953 | ||||||
Halliburton Co. | 6,894 | 89,484 | ||||||
Kinder Morgan, Inc. | 5,326 | 80,795 | ||||||
TechnipFMC plc | 10,624 | 72,668 | ||||||
Occidental Petroleum Corp. | 3,782 | 69,211 | ||||||
Total Energy | 2,123,270 | |||||||
Basic Materials - 6.0% | ||||||||
DuPont de Nemours, Inc. | 4,940 | 262,462 | ||||||
Mosaic Co. | 19,765 | 247,260 | ||||||
Newmont Corp. | 2,774 | 171,267 | ||||||
Nucor Corp. | 3,676 | 152,223 | ||||||
Eastman Chemical Co. | 1,682 | 117,135 | ||||||
International Paper Co. | 2,758 | 97,109 | ||||||
Total Basic Materials | 1,047,456 | |||||||
Industrial - 3.1% | ||||||||
Westrock Co. | 10,244 | 289,495 | ||||||
FedEx Corp. | 937 | 131,386 | ||||||
Textron, Inc. | 3,693 | 121,537 | ||||||
Total Industrial | 542,418 | |||||||
16 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
S&P 500® PURE VALUE FUND |
| Shares | Value | ||||||
Communications - 3.0% | ||||||||
News Corp. — Class A | 17,477 | $ | 207,277 | |||||
DISH Network Corp. — Class A* | 4,144 | 143,010 | ||||||
AT&T, Inc. | 3,441 | 104,021 | ||||||
News Corp. — Class B | 5,478 | 65,462 | ||||||
Total Communications | 519,770 | |||||||
Technology - 2.1% | ||||||||
Hewlett Packard Enterprise Co. | 16,220 | 157,821 | ||||||
DXC Technology Co. | 7,066 | 116,589 | ||||||
HP, Inc. | 5,462 | 95,203 | ||||||
Total Technology | 369,613 | |||||||
Utilities - 1.8% | ||||||||
Exelon Corp. | 3,769 | 136,777 | ||||||
Duke Energy Corp. | 1,145 | 91,474 | ||||||
CenterPoint Energy, Inc. | 4,871 | 90,942 | ||||||
Total Utilities | 319,193 | |||||||
Total Common Stocks | ||||||||
(Cost $16,293,182) | 17,430,672 | |||||||
Face Amount | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
J.P. Morgan Securities LLC issued 06/30/20 at 0.07% due 07/01/20 | $ | 70,155 | 70,155 | |||||
BofA Securities, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 29,054 | 29,054 | ||||||
Barclays Capital, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 27,311 | 27,311 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $126,520) | 126,520 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 1.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 180,441 | 180,441 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $180,441) | 180,441 | |||||||
Total Investments - 101.4% | ||||||||
(Cost $16,600,143) | $ | 17,737,633 | ||||||
Other Assets & Liabilities, net - (1.4)% | (248,965 | ) | ||||||
Total Net Assets - 100.0% | $ | 17,488,668 |
* | 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, 2020 — 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 17,430,672 | $ | — | $ | — | $ | 17,430,672 | ||||||||
Repurchase Agreements | — | 126,520 | — | 126,520 | ||||||||||||
Securities Lending Collateral | 180,441 | — | — | 180,441 | ||||||||||||
Total Assets | $ | 17,611,113 | $ | 126,520 | $ | — | $ | 17,737,633 |
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, 2020 |
Assets: | ||||
Investments, at value - including $171,931 of securities loaned (cost $16,473,623) | $ | 17,611,113 | ||
Repurchase agreements, at value (cost $126,520) | 126,520 | |||
Receivables: | ||||
Dividends | 18,879 | |||
Securities lending income | 741 | |||
Fund shares sold | 251 | |||
Total assets | 17,757,504 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 180,441 | |||
Fund shares redeemed | 25,843 | |||
Management fees | 12,007 | |||
Transfer agent and administrative fees | 4,306 | |||
Investor service fees | 4,002 | |||
Portfolio accounting fees | 1,601 | |||
Trustees’ fees* | 392 | |||
Miscellaneous | 40,244 | |||
Total liabilities | 268,836 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 17,488,668 | ||
Net assets consist of: | ||||
Paid in capital | $ | 19,031,892 | ||
Total distributable earnings (loss) | (1,543,224 | ) | ||
Net assets | $ | 17,488,668 | ||
Capital shares outstanding | 434,227 | |||
Net asset value per share | $ | 40.28 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends | $ | 286,620 | ||
Interest | 430 | |||
Income from securities lending, net | 2,105 | |||
Total investment income | 289,155 | |||
Expenses: | ||||
Management fees | 69,664 | |||
Investor service fees | 23,222 | |||
Transfer agent and administrative fees | 24,986 | |||
Professional fees | 19,535 | |||
Portfolio accounting fees | 9,288 | |||
Trustees’ fees* | 3,380 | |||
Custodian fees | 1,607 | |||
Miscellaneous | 9,370 | |||
Total expenses | 161,052 | |||
Net investment income | 128,103 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (1,961,478 | ) | ||
Net realized loss | (1,961,478 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (3,979,560 | ) | ||
Net change in unrealized appreciation (depreciation) | (3,979,560 | ) | ||
Net realized and unrealized loss | (5,941,038 | ) | ||
Net decrease in net assets resulting from operations | $ | (5,812,935 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 128,103 | $ | 370,715 | ||||
Net realized gain (loss) on investments | (1,961,478 | ) | 3,213,291 | |||||
Net change in unrealized appreciation (depreciation) on investments | (3,979,560 | ) | 3,562,491 | |||||
Net increase (decrease) in net assets resulting from operations | (5,812,935 | ) | 7,146,497 | |||||
Distributions to shareholders | — | (674,374 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 13,418,488 | 43,355,945 | ||||||
Distributions reinvested | — | 674,374 | ||||||
Cost of shares redeemed | (22,847,647 | ) | (50,882,754 | ) | ||||
Net decrease from capital share transactions | (9,429,159 | ) | (6,852,435 | ) | ||||
Net decrease in net assets | (15,242,094 | ) | (380,312 | ) | ||||
Net assets: | ||||||||
Beginning of period | 32,730,762 | 33,111,074 | ||||||
End of period | $ | 17,488,668 | $ | 32,730,762 | ||||
Capital share activity: | ||||||||
Shares sold | 350,638 | 809,655 | ||||||
Shares issued from reinvestment of distributions | — | 12,210 | ||||||
Shares redeemed | (480,650 | ) | (947,155 | ) | ||||
Net decrease in shares | (130,012 | ) | (125,290 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 58.01 | $ | 48.02 | $ | 61.83 | $ | 56.45 | $ | 50.08 | $ | 71.22 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .30 | .59 | .53 | .35 | .83 | .63 | ||||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (18.03 | ) | 10.53 | (7.82 | ) | 8.28 | 9.87 | (5.87 | ) | |||||||||||||||
Total from investment operations | (17.73 | ) | 11.12 | (7.29 | ) | 8.63 | 10.70 | (5.24 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.45 | ) | (.53 | ) | (.46 | ) | (1.23 | ) | (.82 | ) | |||||||||||||
Net realized gains | — | (.68 | ) | (5.99 | ) | (2.79 | ) | (3.10 | ) | (15.08 | ) | |||||||||||||
Total distributions | — | (1.13 | ) | (6.52 | ) | (3.25 | ) | (4.33 | ) | (15.90 | ) | |||||||||||||
Net asset value, end of period | $ | 40.28 | $ | 58.01 | $ | 48.02 | $ | 61.83 | $ | 56.45 | $ | 50.08 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (30.56 | %) | 23.27 | % | (13.32 | %) | 15.86 | % | 17.40 | % | (9.38 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 17,489 | $ | 32,731 | $ | 33,111 | $ | 44,496 | $ | 44,849 | $ | 32,326 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 1.38 | % | 1.10 | % | 0.91 | % | 0.61 | % | 0.88 | % | 1.02 | % | ||||||||||||
Total expenses | 1.73 | % | 1.72 | % | 1.63 | % | 1.61 | % | 1.56 | % | 1.51 | % | ||||||||||||
Portfolio turnover rate | 58 | % | 144 | % | 197 | % | 127 | % | 207 | % | 162 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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) | |
SolarEdge Technologies, Inc. | 3.1% |
Paylocity Holding Corp. | 2.7% |
RH | 2.5% |
Axon Enterprise, Inc. | 2.4% |
Repligen Corp. | 2.3% |
Generac Holdings, Inc. | 2.2% |
Essent Group Ltd. | 2.1% |
Teradyne, Inc. | 2.0% |
Trex Company, Inc. | 1.8% |
TopBuild Corp. | 1.7% |
Top Ten Total | 22.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P MidCap 400® Pure Growth Fund | (2.52%) | 0.40% | 1.84% | 9.45% |
S&P MidCap 400 Pure Growth Index | (1.93%) | 1.85% | 3.51% | 11.13% |
* | 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, 2020 |
S&P MIDCAP 400® PURE GROWTH FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.6% | ||||||||
Consumer, Non-cyclical - 25.4% | ||||||||
Paylocity Holding Corp.* | 2,170 | $ | 316,581 | |||||
Repligen Corp.* | 2,218 | 274,167 | ||||||
Quidel Corp.* | 910 | 203,603 | ||||||
Penumbra, Inc.* | 1,124 | 200,994 | ||||||
Exelixis, Inc.* | 7,579 | 179,926 | ||||||
Boston Beer Company, Inc. — Class A* | 330 | 177,095 | ||||||
FTI Consulting, Inc.* | 1,319 | 151,091 | ||||||
Arrowhead Pharmaceuticals, Inc.* | 3,447 | 148,876 | ||||||
Masimo Corp.* | 625 | 142,494 | ||||||
Ligand Pharmaceuticals, Inc. — Class B*,1 | 1,252 | 140,036 | ||||||
Bio-Techne Corp. | 500 | 132,035 | ||||||
Syneos Health, Inc.* | 2,088 | 121,626 | ||||||
WEX, Inc.* | 725 | 119,632 | ||||||
PRA Health Sciences, Inc.* | 1,019 | 99,139 | ||||||
Amedisys, Inc.* | 495 | 98,277 | ||||||
Charles River Laboratories International, Inc.* | 560 | 97,636 | ||||||
LHC Group, Inc.* | 560 | 97,619 | ||||||
Chemed Corp. | 190 | 85,703 | ||||||
Catalent, Inc.* | 1,159 | 84,955 | ||||||
ICU Medical, Inc.* | 330 | 60,822 | ||||||
Sanderson Farms, Inc. | 470 | 54,468 | ||||||
Brink’s Co. | 699 | 31,812 | ||||||
Total Consumer, Non-cyclical | 3,018,587 | |||||||
Industrial - 25.4% | ||||||||
Axon Enterprise, Inc.* | 2,923 | 286,834 | ||||||
Generac Holdings, Inc.* | 2,167 | 264,222 | ||||||
Trex Company, Inc.* | 1,674 | 217,737 | ||||||
TopBuild Corp.* | 1,820 | 207,061 | ||||||
Mercury Systems, Inc.* | 2,598 | 204,359 | ||||||
Universal Display Corp. | 1,179 | 176,402 | ||||||
Jabil, Inc. | 5,141 | 164,923 | ||||||
MasTec, Inc.* | 3,527 | 158,257 | ||||||
Knight-Swift Transportation Holdings, Inc. | 3,657 | 152,533 | ||||||
Carlisle Companies, Inc. | 998 | 119,431 | ||||||
Timken Co. | 2,418 | 109,995 | ||||||
Tetra Tech, Inc. | 1,359 | 107,524 | ||||||
KBR, Inc. | 4,666 | 105,218 | ||||||
Cognex Corp. | 1,624 | 96,985 | ||||||
Hubbell, Inc. | 709 | 88,880 | ||||||
Coherent, Inc.* | 669 | 87,626 | ||||||
Hexcel Corp. | 1,870 | 84,561 | ||||||
Nordson Corp. | 440 | 83,473 | ||||||
Woodward, Inc. | 1,064 | 82,513 | ||||||
Gentex Corp. | 2,358 | 60,766 | ||||||
Lincoln Electric Holdings, Inc. | 665 | 56,019 | ||||||
Clean Harbors, Inc.* | 869 | 52,123 | ||||||
Eagle Materials, Inc. | 639 | 44,871 | ||||||
Total Industrial | 3,012,313 | |||||||
Consumer, Cyclical - 16.8% | ||||||||
RH* | 1,179 | 293,453 | ||||||
Caesars Entertainment Corp.* | 13,374 | 162,227 | ||||||
Scotts Miracle-Gro Co. — Class A | 1,124 | 151,144 | ||||||
Five Below, Inc.* | 1,244 | 132,996 | ||||||
Casey’s General Stores, Inc. | 879 | 131,428 | ||||||
Eldorado Resorts, Inc.*,1 | 2,821 | 113,009 | ||||||
Skechers USA, Inc. — Class A* | 3,547 | 111,305 | ||||||
Dunkin’ Brands Group, Inc. | 1,674 | 109,195 | ||||||
Marriott Vacations Worldwide Corp. | 1,304 | 107,202 | ||||||
Pool Corp. | 378 | 102,767 | ||||||
Deckers Outdoor Corp.* | 460 | 90,339 | ||||||
Churchill Downs, Inc. | 639 | 85,083 | ||||||
Scientific Games Corp. — Class A* | 5,372 | 83,051 | ||||||
Polaris, Inc. | 715 | 66,173 | ||||||
Boyd Gaming Corp. | 3,117 | 65,145 | ||||||
Tempur Sealy International, Inc.* | 755 | 54,322 | ||||||
Wyndham Hotels & Resorts, Inc. | 1,231 | 52,465 | ||||||
Toro Co. | 769 | 51,016 | ||||||
Herman Miller, Inc. | 1,624 | 38,343 | ||||||
Total Consumer, Cyclical | 2,000,663 | |||||||
Technology - 13.4% | ||||||||
Teradyne, Inc. | 2,753 | 232,656 | ||||||
MKS Instruments, Inc. | 1,667 | 188,771 | ||||||
Cabot Microelectronics Corp. | 1,244 | 173,588 | ||||||
Fair Isaac Corp.* | 405 | 169,306 | ||||||
Lumentum Holdings, Inc.* | 1,924 | 156,671 | ||||||
Monolithic Power Systems, Inc. | 649 | 153,813 | ||||||
CACI International, Inc. — Class A* | 470 | 101,934 | ||||||
Manhattan Associates, Inc.* | 1,034 | 97,403 | ||||||
J2 Global, Inc.* | 1,483 | 93,740 | ||||||
Perspecta, Inc. | 3,842 | 89,250 | ||||||
Qualys, Inc.* | 850 | 88,417 | ||||||
ACI Worldwide, Inc.* | 1,613 | 43,535 | ||||||
Total Technology | 1,589,084 | |||||||
Financial - 8.2% | ||||||||
Essent Group Ltd. | 6,980 | 253,165 | ||||||
RenaissanceRe Holdings Ltd. | 1,114 | 190,527 | ||||||
LendingTree, Inc.*,1 | 655 | 189,642 | ||||||
Cousins Properties, Inc. REIT | 3,862 | 115,204 | ||||||
Brown & Brown, Inc. | 2,380 | 97,009 | ||||||
Primerica, Inc. | 725 | 84,535 | ||||||
EastGroup Properties, Inc. REIT | 420 | 49,816 | ||||||
Total Financial | 979,898 | |||||||
Energy - 5.5% | ||||||||
SolarEdge Technologies, Inc.* | 2,693 | 373,734 | ||||||
Murphy USA, Inc.* | 1,504 | 169,335 | ||||||
WPX Energy, Inc.* | 17,241 | 109,998 | ||||||
Total Energy | 653,067 | |||||||
Communications - 3.1% | ||||||||
Etsy, Inc.* | 1,774 | 188,452 | ||||||
Cable One, Inc. | 100 | 177,485 | ||||||
Total Communications | 365,937 | |||||||
22 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
S&P MIDCAP 400® PURE GROWTH FUND |
| Shares | Value | ||||||
Basic Materials - 1.8% | ||||||||
Reliance Steel & Aluminum Co. | 1,289 | $ | 122,365 | |||||
Royal Gold, Inc. | 689 | 85,656 | ||||||
Total Basic Materials | 208,021 | |||||||
Total Common Stocks | ||||||||
(Cost $10,204,229) | 11,827,570 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
J.P. Morgan Securities LLC | $ | 44,423 | 44,423 | |||||
BofA Securities, Inc. | 18,397 | 18,397 | ||||||
Barclays Capital, Inc. | 17,294 | 17,294 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $80,114) | 80,114 | |||||||
SECURITIES LENDING COLLATERAL†,3 - 2.7% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 322,688 | 322,688 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $322,688) | 322,688 | |||||||
Total Investments - 103.0% | ||||||||
(Cost $10,607,031) | $ | 12,230,372 | ||||||
Other Assets & Liabilities, net - (3.0)% | (354,100 | ) | ||||||
Total Net Assets - 100.0% | $ | 11,876,272 |
* | 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, 2020 — 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 11,827,570 | $ | — | $ | — | $ | 11,827,570 | ||||||||
Repurchase Agreements | — | 80,114 | — | 80,114 | ||||||||||||
Securities Lending Collateral | 322,688 | — | — | 322,688 | ||||||||||||
Total Assets | $ | 12,150,258 | $ | 80,114 | $ | — | $ | 12,230,372 |
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, 2020 |
Assets: | ||||
Investments, at value - including $323,796 of securities loaned (cost $10,526,917) | $ | 12,150,258 | ||
Repurchase agreements, at value (cost $80,114) | 80,114 | |||
Receivables: | ||||
Dividends | 2,896 | |||
Fund shares sold | 894 | |||
Securities lending income | 155 | |||
Total assets | 12,234,317 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 322,688 | |||
Management fees | 7,435 | |||
Transfer agent and administrative fees | 2,667 | |||
Investor service fees | 2,478 | |||
Portfolio accounting fees | 991 | |||
Fund shares redeemed | 761 | |||
Trustees’ fees* | 203 | |||
Miscellaneous | 20,822 | |||
Total liabilities | 358,045 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 11,876,272 | ||
Net assets consist of: | ||||
Paid in capital | $ | 10,732,072 | ||
Total distributable earnings (loss) | 1,144,200 | |||
Net assets | $ | 11,876,272 | ||
Capital shares outstanding | 336,822 | |||
Net asset value per share | $ | 35.26 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends | $ | 35,291 | ||
Interest | 251 | |||
Income from securities lending, net | 339 | |||
Total investment income | 35,881 | |||
Expenses: | ||||
Management fees | 41,420 | |||
Investor service fees | 13,807 | |||
Transfer agent and administrative fees | 14,856 | |||
Professional fees | 10,537 | |||
Portfolio accounting fees | 5,523 | |||
Trustees’ fees* | 1,474 | |||
Custodian fees | 891 | |||
Line of credit fees | 31 | |||
Miscellaneous | 7,291 | |||
Total expenses | 95,830 | |||
Net investment loss | (59,949 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (782,421 | ) | ||
Net realized loss | (782,421 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | 508,283 | |||
Net change in unrealized appreciation (depreciation) | 508,283 | |||
Net realized and unrealized loss | (274,138 | ) | ||
Net decrease in net assets resulting from operations | $ | (334,087 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (59,949 | ) | $ | (109,888 | ) | ||
Net realized gain (loss) on investments | (782,421 | ) | 1,664,662 | |||||
Net change in unrealized appreciation (depreciation) on investments | 508,283 | 442,373 | ||||||
Net increase (decrease) in net assets resulting from operations | (334,087 | ) | 1,997,147 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 6,357,892 | 15,348,447 | ||||||
Cost of shares redeemed | (6,885,420 | ) | (18,818,025 | ) | ||||
Net decrease from capital share transactions | (527,528 | ) | (3,469,578 | ) | ||||
Net decrease in net assets | (861,615 | ) | (1,472,431 | ) | ||||
Net assets: | ||||||||
Beginning of period | 12,737,887 | 14,210,318 | ||||||
End of period | $ | 11,876,272 | $ | 12,737,887 | ||||
Capital share activity: | ||||||||
Shares sold | 202,885 | 441,408 | ||||||
Shares redeemed | (218,195 | ) | (542,670 | ) | ||||
Net decrease in shares | (15,310 | ) | (101,262 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.17 | $ | 31.34 | $ | 39.31 | $ | 33.11 | $ | 32.23 | $ | 34.05 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.18 | ) | (.27 | ) | (.28 | ) | (.25 | ) | (.22 | ) | (.22 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (.73 | ) | 5.10 | (4.97 | ) | 6.45 | 1.10 | .88 | ||||||||||||||||
Total from investment operations | (.91 | ) | 4.83 | (5.25 | ) | 6.20 | .88 | .66 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net realized gains | — | — | (2.72 | ) | — | — | (2.48 | ) | ||||||||||||||||
Total distributions | — | — | (2.72 | ) | — | — | (2.48 | ) | ||||||||||||||||
Net asset value, end of period | $ | 35.26 | $ | 36.17 | $ | 31.34 | $ | 39.31 | $ | 33.11 | $ | 32.23 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (2.52 | %) | 15.41 | % | (14.83 | %) | 18.73 | % | 2.70 | % | 1.32 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,876 | $ | 12,738 | $ | 14,210 | $ | 20,394 | $ | 19,061 | $ | 34,144 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.09 | %) | (0.77 | %) | (0.72 | %) | (0.70 | %) | (0.71 | %) | (0.64 | %) | ||||||||||||
Total expenses | 1.74 | % | 1.73 | % | 1.62 | % | 1.61 | % | 1.56 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 62 | % | 176 | % | 183 | % | 233 | % | 296 | % | 269 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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) | |
CNX Resources Corp. | 2.9% |
Patterson Companies, Inc. | 2.6% |
Thor Industries, Inc. | 2.3% |
SYNNEX Corp. | 2.3% |
Telephone & Data Systems, Inc. | 2.2% |
Delphi Technologies plc | 2.1% |
BJ’s Wholesale Club Holdings, Inc. | 2.1% |
Brighthouse Financial, Inc. | 2.1% |
Goodyear Tire & Rubber Co. | 2.1% |
Ryder System, Inc. | 2.1% |
Top Ten Total | 22.8% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P MidCap 400® Pure Value Fund | (25.95%) | (23.37%) | (1.24%) | 6.44% |
S&P MidCap 400 Pure Value Index | (25.38%) | (22.28%) | 0.43% | 8.49% |
* | 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 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, 2020 |
S&P MIDCAP 400® PURE VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.7% | ||||||||
Consumer, Cyclical - 28.8% | ||||||||
Thor Industries, Inc. | 1,480 | $ | 157,664 | |||||
Delphi Technologies plc* | 10,110 | 143,663 | ||||||
BJ’s Wholesale Club Holdings, Inc.* | 3,844 | 143,266 | ||||||
Goodyear Tire & Rubber Co. | 15,930 | 142,494 | ||||||
Dana, Inc. | 10,488 | 127,849 | ||||||
Penn National Gaming, Inc.* | 4,185 | 127,810 | ||||||
AutoNation, Inc.* | 3,397 | 127,659 | ||||||
Lear Corp. | 1,048 | 114,253 | ||||||
TRI Pointe Group, Inc.* | 7,478 | 109,852 | ||||||
Taylor Morrison Home Corp. — Class A* | 5,583 | 107,696 | ||||||
World Fuel Services Corp. | 3,946 | 101,649 | ||||||
Adient plc* | 5,346 | 87,781 | ||||||
Dick’s Sporting Goods, Inc. | 1,711 | 70,596 | ||||||
Univar, Inc.* | 3,970 | 66,934 | ||||||
Foot Locker, Inc. | 2,284 | 66,601 | ||||||
Nordstrom, Inc.1 | 4,190 | 64,903 | ||||||
JetBlue Airways Corp.* | 5,545 | 60,441 | ||||||
American Eagle Outfitters, Inc. | 4,601 | 50,151 | ||||||
KAR Auction Services, Inc. | 3,427 | 47,156 | ||||||
Urban Outfitters, Inc.* | 2,677 | 40,744 | ||||||
Total Consumer, Cyclical | 1,959,162 | |||||||
Financial - 25.3% | ||||||||
Brighthouse Financial, Inc.* | 5,138 | 142,939 | ||||||
Genworth Financial, Inc. — Class A* | 59,682 | 137,866 | ||||||
CNO Financial Group, Inc. | 8,372 | 130,352 | ||||||
Legg Mason, Inc. | 2,234 | 111,141 | ||||||
Jefferies Financial Group, Inc. | 5,557 | 86,411 | ||||||
Kemper Corp. | 991 | 71,867 | ||||||
Janus Henderson Group plc | 3,060 | 64,750 | ||||||
GEO Group, Inc. REIT | 5,460 | 64,592 | ||||||
Mercury General Corp. | 1,561 | 63,611 | ||||||
Reinsurance Group of America, Inc. — Class A | 805 | 63,144 | ||||||
Old Republic International Corp. | 3,706 | 60,445 | ||||||
Umpqua Holdings Corp. | 5,631 | 59,914 | ||||||
Bank OZK | 2,421 | 56,821 | ||||||
FNB Corp. | 7,474 | 56,055 | ||||||
Associated Banc-Corp. | 3,774 | 51,628 | ||||||
CoreCivic, Inc. REIT | 5,072 | 47,474 | ||||||
PacWest Bancorp | 2,166 | 42,692 | ||||||
Sterling Bancorp | 3,517 | 41,219 | ||||||
Navient Corp. | 5,722 | 40,226 | ||||||
Park Hotels & Resorts, Inc. REIT | 3,723 | 36,821 | ||||||
Alliance Data Systems Corp. | 810 | 36,547 | ||||||
Wintrust Financial Corp. | 810 | 35,332 | ||||||
First Horizon National Corp. | 3,476 | 34,621 | ||||||
Pinnacle Financial Partners, Inc. | 799 | 33,550 | ||||||
Hancock Whitney Corp. | 1,561 | 33,093 | ||||||
Valley National Bancorp | 4,043 | 31,616 | ||||||
Pebblebrook Hotel Trust REIT | 2,240 | 30,598 | ||||||
TCF Financial Corp. | 985 | 28,979 | ||||||
Texas Capital Bancshares, Inc.* | 891 | 27,505 | ||||||
Total Financial | 1,721,809 | |||||||
Industrial - 17.0% | ||||||||
SYNNEX Corp. | 1,287 | 154,144 | ||||||
Ryder System, Inc. | 3,778 | 141,713 | ||||||
Avnet, Inc. | 4,906 | 136,804 | ||||||
Arrow Electronics, Inc.* | 1,923 | 132,091 | ||||||
AECOM* | 2,583 | 97,069 | ||||||
II-VI, Inc.* | 1,576 | 74,418 | ||||||
Greif, Inc. — Class A | 2,092 | 71,986 | ||||||
Dycom Industries, Inc.* | 1,707 | 69,799 | ||||||
Trinity Industries, Inc. | 3,184 | 67,787 | ||||||
Terex Corp. | 3,261 | 61,209 | ||||||
Regal Beloit Corp. | 668 | 58,330 | ||||||
XPO Logistics, Inc.* | 617 | 47,663 | ||||||
Worthington Industries, Inc. | 1,040 | 38,792 | ||||||
Total Industrial | 1,151,805 | |||||||
Consumer, Non-cyclical - 10.7% | ||||||||
Patterson Companies, Inc. | 8,009 | 176,198 | ||||||
ManpowerGroup, Inc. | 1,619 | 111,306 | ||||||
Avis Budget Group, Inc.*,1 | 3,571 | 81,740 | ||||||
Sprouts Farmers Market, Inc.* | 2,993 | 76,591 | ||||||
Molina Healthcare, Inc.* | 372 | 66,209 | ||||||
TreeHouse Foods, Inc.* | 1,486 | 65,087 | ||||||
Adtalem Global Education, Inc.* | 1,331 | 41,461 | ||||||
Graham Holdings Co. — Class B | 120 | 41,120 | ||||||
Acadia Healthcare Company, Inc.* | 1,478 | 37,127 | ||||||
Tenet Healthcare Corp.* | 1,478 | 26,767 | ||||||
Total Consumer, Non-cyclical | 723,606 | |||||||
Basic Materials - 8.3% | ||||||||
United States Steel Corp.1 | 19,147 | 138,241 | ||||||
Commercial Metals Co. | 5,369 | 109,528 | ||||||
Domtar Corp. | 4,835 | 102,067 | ||||||
Olin Corp. | 8,531 | 98,021 | ||||||
Chemours Co. | 4,293 | 65,897 | ||||||
Minerals Technologies, Inc. | 1,133 | 53,172 | ||||||
Total Basic Materials | 566,926 | |||||||
Energy - 6.6% | ||||||||
CNX Resources Corp.* | 22,683 | 196,208 | ||||||
Equities Corp. | 11,098 | 132,066 | ||||||
Antero Midstream Corp. | 11,476 | 58,528 | ||||||
PBF Energy, Inc. — Class A | 5,676 | 58,122 | ||||||
Total Energy | 444,924 | |||||||
Communications - 2.2% | ||||||||
Telephone & Data Systems, Inc. | 7,545 | 149,995 | ||||||
Technology - 0.8% | ||||||||
NetScout Systems, Inc.* | 2,144 | 54,801 | ||||||
Total Common Stocks | ||||||||
(Cost $6,549,921) | 6,773,028 | |||||||
28 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
S&P MIDCAP 400® PURE VALUE FUND |
Face Amount | Value | |||||||
REPURCHASE AGREEMENTS††,2 - 0.7% | ||||||||
J.P. Morgan Securities LLC issued 06/30/20 at 0.07% due 07/01/20 | $ | 26,873 | $ | 26,873 | ||||
BofA Securities, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 11,129 | 11,129 | ||||||
Barclays Capital, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 10,462 | 10,462 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $48,464) | 48,464 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 3.0% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 206,754 | 206,754 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $206,754) | 206,754 | |||||||
Total Investments - 103.4% | ||||||||
(Cost $6,805,139) | $ | 7,028,246 | ||||||
Other Assets & Liabilities, net - (3.4)% | (231,227 | ) | ||||||
Total Net Assets - 100.0% | $ | 6,797,019 |
* | 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, 2020 — 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 6,773,028 | $ | — | $ | — | $ | 6,773,028 | ||||||||
Repurchase Agreements | — | 48,464 | — | 48,464 | ||||||||||||
Securities Lending Collateral | 206,754 | — | — | 206,754 | ||||||||||||
Total Assets | $ | 6,979,782 | $ | 48,464 | $ | — | $ | 7,028,246 |
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, 2020 |
Assets: | ||||
Investments, at value - including $199,891 of securities loaned (cost $6,756,675) | $ | 6,979,782 | ||
Repurchase agreements, at value (cost $48,464) | 48,464 | |||
Receivables: | ||||
Dividends | 4,067 | |||
Fund shares sold | 510 | |||
Securities lending income | 424 | |||
Total assets | 7,033,247 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 206,754 | |||
Fund shares redeemed | 7,260 | |||
Management fees | 4,759 | |||
Transfer agent and administrative fees | 1,707 | |||
Investor service fees | 1,586 | |||
Portfolio accounting fees | 634 | |||
Trustees’ fees* | 131 | |||
Miscellaneous | 13,397 | |||
Total liabilities | 236,228 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 6,797,019 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,214,691 | ||
Total distributable earnings (loss) | (1,417,672 | ) | ||
Net assets | $ | 6,797,019 | ||
Capital shares outstanding | 217,805 | |||
Net asset value per share | $ | 31.21 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends | $ | 76,991 | ||
Interest | 161 | |||
Income from securities lending, net | 2,795 | |||
Total investment income | 79,947 | |||
Expenses: | ||||
Management fees | 25,418 | |||
Investor service fees | 8,473 | |||
Transfer agent and administrative fees | 9,117 | |||
Professional fees | 6,514 | |||
Portfolio accounting fees | 3,389 | |||
Trustees’ fees* | 1,036 | |||
Custodian fees | 561 | |||
Miscellaneous | 4,193 | |||
Total expenses | 58,701 | |||
Net investment income | 21,246 | |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (1,340,732 | ) | ||
Net realized loss | (1,340,732 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,063,575 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,063,575 | ) | ||
Net realized and unrealized loss | (2,404,307 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,383,061 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income | $ | 21,246 | $ | 35,206 | ||||
Net realized gain (loss) on investments | (1,340,732 | ) | 846,642 | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,063,575 | ) | 1,093,223 | |||||
Net increase (decrease) in net assets resulting from operations | (2,383,061 | ) | 1,975,071 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 4,841,830 | 15,114,260 | ||||||
Cost of shares redeemed | (5,079,674 | ) | (16,656,592 | ) | ||||
Net decrease from capital share transactions | (237,844 | ) | (1,542,332 | ) | ||||
Net increase (decrease) in net assets | (2,620,905 | ) | 432,739 | |||||
Net assets: | ||||||||
Beginning of period | 9,417,924 | 8,985,185 | ||||||
End of period | $ | 6,797,019 | $ | 9,417,924 | ||||
Capital share activity: | ||||||||
Shares sold | 157,726 | 377,132 | ||||||
Shares redeemed | (163,357 | ) | (414,713 | ) | ||||
Net decrease in shares | (5,631 | ) | (37,581 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 42.15 | $ | 34.42 | $ | 49.79 | $ | 54.35 | $ | 42.30 | $ | 53.78 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | .10 | .14 | (.01 | ) | (.05 | ) | (.06 | ) | .26 | |||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (11.04 | ) | 7.59 | (7.95 | ) | 6.13 | 12.41 | (5.93 | ) | |||||||||||||||
Total from investment operations | (10.94 | ) | 7.73 | (7.96 | ) | 6.08 | 12.35 | (5.67 | ) | |||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | (.30 | ) | (.08 | ) | ||||||||||||||||
Net realized gains | — | — | (7.41 | ) | (10.64 | ) | — | (5.73 | ) | |||||||||||||||
Total distributions | — | — | (7.41 | ) | (10.64 | ) | (.30 | ) | (5.81 | ) | ||||||||||||||
Net asset value, end of period | $ | 31.21 | $ | 42.15 | $ | 34.42 | $ | 49.79 | $ | 54.35 | $ | 42.30 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (25.95 | %) | 22.46 | % | (18.98 | %) | 13.15 | % | 28.89 | % | (11.86 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,797 | $ | 9,418 | $ | 8,985 | $ | 17,415 | $ | 30,207 | $ | 12,007 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | 0.63 | % | 0.35 | % | (0.03 | %) | (0.10 | %) | (0.07 | %) | 0.52 | % | ||||||||||||
Total expenses | 1.73 | % | 1.73 | % | 1.62 | % | 1.61 | % | 1.56 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 75 | % | 188 | % | 145 | % | 144 | % | 282 | % | 280 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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) | |
Kinsale Capital Group, Inc. | 2.3% |
Safehold, Inc. | 2.0% |
Winnebago Industries, Inc. | 1.9% |
Innovative Industrial Properties, Inc. | 1.8% |
LGI Homes, Inc. | 1.8% |
Wingstop, Inc. | 1.7% |
Rent-A-Center, Inc. | 1.4% |
Brooks Automation, Inc. | 1.4% |
Zynex, Inc. | 1.4% |
Simulations Plus, Inc. | 1.4% |
Top Ten Total | 17.1% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P SmallCap 600® Pure Growth Fund | (15.30%) | (10.26%) | 1.41% | 9.41% |
S&P SmallCap 600 Pure Growth Index | (14.52%) | (8.68%) | 3.20% | 11.43% |
* | 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 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, 2020 |
S&P SMALLCAP 600® PURE GROWTH FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.6% | ||||||||
Industrial - 20.5% | ||||||||
Patrick Industries, Inc. | 2,052 | $ | 125,685 | |||||
Saia, Inc.* | 955 | 106,177 | ||||||
Federal Signal Corp. | 3,447 | 102,479 | ||||||
UFP Industries, Inc. | 1,891 | 93,623 | ||||||
Griffon Corp. | 4,917 | 91,063 | ||||||
Alarm.com Holdings, Inc.* | 1,301 | 84,318 | ||||||
Ichor Holdings Ltd.* | 3,145 | 83,594 | ||||||
Simpson Manufacturing Company, Inc. | 965 | 81,407 | ||||||
American Woodmark Corp.* | 1,020 | 77,163 | ||||||
Advanced Energy Industries, Inc.* | 1,084 | 73,484 | ||||||
OSI Systems, Inc.* | 890 | 66,430 | ||||||
Vicor Corp.* | 824 | 59,287 | ||||||
ESCO Technologies, Inc. | 679 | 57,396 | ||||||
Exponent, Inc. | 670 | 54,223 | ||||||
Fabrinet* | 820 | 51,185 | ||||||
John Bean Technologies Corp. | 590 | 50,752 | ||||||
Franklin Electric Company, Inc. | 960 | 50,419 | ||||||
Plexus Corp.* | 703 | 49,604 | ||||||
Alamo Group, Inc. | 480 | 49,267 | ||||||
Itron, Inc.* | 730 | 48,362 | ||||||
Aerojet Rocketdyne Holdings, Inc.* | 1,168 | 46,300 | ||||||
AAON, Inc. | 800 | 43,432 | ||||||
Tennant Co. | 630 | 40,956 | ||||||
Triumph Group, Inc. | 4,539 | 40,896 | ||||||
SPX FLOW, Inc.* | 1,071 | 40,098 | ||||||
CIRCOR International, Inc.* | 1,562 | 39,800 | ||||||
Watts Water Technologies, Inc. — Class A | 470 | 38,070 | ||||||
Forward Air Corp. | 753 | 37,514 | ||||||
SPX Corp.* | 850 | 34,978 | ||||||
Albany International Corp. — Class A | 578 | 33,935 | ||||||
Comtech Telecommunications Corp. | 1,660 | 28,037 | ||||||
Total Industrial | 1,879,934 | |||||||
Consumer, Cyclical - 18.7% | ||||||||
Winnebago Industries, Inc. | 2,590 | 172,546 | ||||||
LGI Homes, Inc.* | 1,841 | 162,063 | ||||||
Wingstop, Inc. | 1,145 | 159,121 | ||||||
Installed Building Products, Inc.* | 1,830 | 125,867 | ||||||
Lithia Motors, Inc. — Class A | 700 | 105,931 | ||||||
Fox Factory Holding Corp.* | 1,156 | 95,497 | ||||||
Sleep Number Corp.* | 2,289 | 95,314 | ||||||
YETI Holdings, Inc.* | 2,185 | 93,365 | ||||||
Callaway Golf Co. | 4,760 | 83,348 | ||||||
LCI Industries | 710 | 81,636 | ||||||
MDC Holdings, Inc. | 2,182 | 77,898 | ||||||
Zumiez, Inc.* | 2,161 | 59,168 | ||||||
Shake Shack, Inc. — Class A* | 1,013 | 53,669 | ||||||
UniFirst Corp. | 270 | 48,316 | ||||||
Cavco Industries, Inc.* | 244 | 47,055 | ||||||
St. Joe Co.* | 2,212 | 42,957 | ||||||
Universal Electronics, Inc.* | 880 | 41,202 | ||||||
Boot Barn Holdings, Inc.* | 1,730 | 37,299 | ||||||
Crocs, Inc.* | 960 | 35,347 | ||||||
Steven Madden Ltd. | 1,417 | 34,986 | ||||||
Allegiant Travel Co. — Class A | 308 | 33,637 | ||||||
Chuy’s Holdings, Inc.* | 1,945 | 28,941 | ||||||
Total Consumer, Cyclical | 1,715,163 | |||||||
Consumer, Non-cyclical - 17.1% | ||||||||
Rent-A-Center, Inc. | 4,777 | 132,896 | ||||||
Zynex, Inc.*,1 | 5,270 | 131,065 | ||||||
Medpace Holdings, Inc.* | 1,338 | 124,461 | ||||||
NeoGenomics, Inc.* | 3,199 | 99,105 | ||||||
Innoviva, Inc.* | 6,765 | 94,575 | ||||||
Corcept Therapeutics, Inc.* | 5,242 | 88,170 | ||||||
Eagle Pharmaceuticals, Inc.* | 1,519 | 72,882 | ||||||
Coca-Cola Consolidated, Inc. | 280 | 64,173 | ||||||
Cardiovascular Systems, Inc.* | 1,938 | 61,144 | ||||||
Hanger, Inc.* | 3,506 | 58,059 | ||||||
Pennant Group, Inc.* | 2,427 | 54,850 | ||||||
RadNet, Inc.* | 3,371 | 53,498 | ||||||
Addus HomeCare Corp.* | 557 | 51,556 | ||||||
Glaukos Corp.* | 1,205 | 46,296 | ||||||
ANI Pharmaceuticals, Inc.* | 1,406 | 45,470 | ||||||
Medifast, Inc.1 | 321 | 44,545 | ||||||
CONMED Corp. | 570 | 41,034 | ||||||
Enanta Pharmaceuticals, Inc.* | 759 | 38,109 | ||||||
Anika Therapeutics, Inc.* | 923 | 34,825 | ||||||
EVERTEC, Inc. | 1,205 | 33,861 | ||||||
LeMaitre Vascular, Inc. | 1,274 | 33,634 | ||||||
Inter Parfums, Inc. | 612 | 29,468 | ||||||
John B Sanfilippo & Son, Inc. | 340 | 29,012 | ||||||
REGENXBIO, Inc.* | 780 | 28,727 | ||||||
CorVel Corp.* | 381 | 27,009 | ||||||
Cutera, Inc.* | 2,126 | 25,874 | ||||||
RR Donnelley & Sons Co. | 19,469 | 23,168 | ||||||
Total Consumer, Non-cyclical | 1,567,466 | |||||||
Financial - 16.3% | ||||||||
Kinsale Capital Group, Inc. | 1,380 | 214,190 | ||||||
Safehold, Inc. REIT | 3,184 | 183,048 | ||||||
Innovative Industrial Properties, Inc. REIT1 | 1,899 | 167,150 | ||||||
Virtus Investment Partners, Inc. | 904 | 105,126 | ||||||
eHealth, Inc.* | 950 | 93,328 | ||||||
Palomar Holdings, Inc.* | 960 | 82,330 | ||||||
Essential Properties Realty Trust, Inc. REIT | 5,249 | 77,895 | ||||||
PennyMac Mortgage Investment Trust REIT | 4,391 | 76,974 | ||||||
Walker & Dunlop, Inc. | 1,450 | 73,674 | ||||||
Community Healthcare Trust, Inc. REIT | 1,743 | 71,289 | ||||||
NMI Holdings, Inc. — Class A* | 4,254 | 68,404 | ||||||
Meta Financial Group, Inc. | 3,294 | 59,852 | ||||||
Enova International, Inc.* | 3,512 | 52,223 | ||||||
Preferred Bank/Los Angeles CA | 1,010 | 43,279 | ||||||
Universal Health Realty Income Trust REIT | 430 | 34,181 | ||||||
ServisFirst Bancshares, Inc. | 920 | 32,899 | ||||||
Granite Point Mortgage Trust, Inc. REIT | 4,380 | 31,448 | ||||||
Agree Realty Corp. REIT | 450 | 29,570 | ||||||
Total Financial | 1,496,860 | |||||||
34 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
S&P SMALLCAP 600® PURE GROWTH FUND |
| Shares | Value | ||||||
Technology - 14.8% | ||||||||
Brooks Automation, Inc. | 2,982 | $ | 131,924 | |||||
Simulations Plus, Inc. | 2,160 | 129,211 | ||||||
Ultra Clean Holdings, Inc.* | 5,545 | 125,483 | ||||||
FormFactor, Inc.* | 3,519 | 103,212 | ||||||
SPS Commerce, Inc.* | 1,250 | 93,900 | ||||||
TTEC Holdings, Inc. | 1,911 | 88,976 | ||||||
Diodes, Inc.* | 1,365 | 69,205 | ||||||
Glu Mobile, Inc.* | 7,153 | 66,308 | ||||||
Xperi Holding Corp. | 4,286 | 63,261 | ||||||
LivePerson, Inc.* | 1,320 | 54,688 | ||||||
Power Integrations, Inc. | 459 | 54,222 | ||||||
ManTech International Corp. — Class A | 734 | 50,272 | ||||||
CSG Systems International, Inc. | 1,204 | 49,834 | ||||||
ExlService Holdings, Inc.* | 690 | 43,746 | ||||||
Diebold Nixdorf, Inc.* | 7,211 | 43,699 | ||||||
Virtusa Corp.* | 1,343 | 43,607 | ||||||
Agilysys, Inc.* | 2,271 | 40,742 | ||||||
3D Systems Corp.* | 5,399 | 37,739 | ||||||
Digi International, Inc.* | 3,138 | 36,558 | ||||||
Progress Software Corp. | 710 | 27,512 | ||||||
Total Technology | 1,354,099 | |||||||
Communications - 5.1% | ||||||||
TechTarget, Inc.* | 3,099 | 93,063 | ||||||
Viavi Solutions, Inc.* | 5,087 | 64,808 | ||||||
Perficient, Inc.* | 1,534 | 54,886 | ||||||
NIC, Inc. | 2,229 | 51,178 | ||||||
Cogent Communications Holdings, Inc. | 660 | 51,058 | ||||||
Extreme Networks, Inc.* | 8,626 | 37,437 | ||||||
Harmonic, Inc.* | 6,349 | 30,158 | ||||||
QuinStreet, Inc.* | 2,818 | 29,476 | ||||||
8x8, Inc.* | 1,747 | 27,952 | ||||||
Shutterstock, Inc. | 700 | 24,479 | ||||||
Total Communications | 464,495 | |||||||
Energy - 4.9% | ||||||||
Matador Resources Co.* | 9,930 | 84,405 | ||||||
DMC Global, Inc. | 2,499 | 68,972 | ||||||
Talos Energy, Inc.* | 7,273 | 66,911 | ||||||
Par Pacific Holdings, Inc.* | 6,696 | 60,197 | ||||||
Ring Energy, Inc.*,1 | 48,530 | 56,295 | ||||||
Penn Virginia Corp.* | 4,236 | 40,369 | ||||||
Helix Energy Solutions Group, Inc.* | 10,568 | 36,671 | ||||||
Geospace Technologies Corp.* | 4,845 | 36,435 | ||||||
Total Energy | 450,255 | |||||||
Basic Materials - 2.2% | ||||||||
Innospec, Inc. | 970 | 74,933 | ||||||
Koppers Holdings, Inc.* | 2,526 | 47,590 | ||||||
Schweitzer-Mauduit International, Inc. | 1,310 | 43,767 | ||||||
Rogers Corp.* | 240 | 29,904 | ||||||
Total Basic Materials | 196,194 | |||||||
Total Common Stocks | ||||||||
(Cost $8,352,701) | 9,124,466 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.6% | ||||||||
J.P. Morgan Securities LLC | $ | 31,097 | 31,097 | |||||
BofA Securities, Inc. | 12,878 | 12,878 | ||||||
Barclays Capital, Inc. | 12,106 | 12,106 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $56,081) | 56,081 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 2.8% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 258,892 | 258,892 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $258,892) | 258,892 | |||||||
Total Investments - 103.0% | ||||||||
(Cost $8,667,674) | $ | 9,439,439 | ||||||
Other Assets & Liabilities, net - (3.0)% | (270,919 | ) | ||||||
Total Net Assets - 100.0% | $ | 9,168,520 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
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, 2020 — 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 9,124,466 | $ | — | $ | — | $ | 9,124,466 | ||||||||
Repurchase Agreements | — | 56,081 | — | 56,081 | ||||||||||||
Securities Lending Collateral | 258,892 | — | — | 258,892 | ||||||||||||
Total Assets | $ | 9,383,358 | $ | 56,081 | $ | — | $ | 9,439,439 |
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, 2020 |
Assets: | ||||
Investments, at value - including $257,021 of securities loaned (cost $8,611,593) | $ | 9,383,358 | ||
Repurchase agreements, at value (cost $56,081) | 56,081 | |||
Receivables: | ||||
Securities sold | 54,214 | |||
Dividends | 5,414 | |||
Securities lending income | 154 | |||
Fund shares sold | 48 | |||
Total assets | 9,499,269 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 258,892 | |||
Fund shares redeemed | 44,173 | |||
Management fees | 6,041 | |||
Transfer agent and administrative fees | 2,167 | |||
Investor service fees | 2,014 | |||
Portfolio accounting fees | 805 | |||
Trustees’ fees* | 161 | |||
Miscellaneous | 16,496 | |||
Total liabilities | 330,749 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 9,168,520 | ||
Net assets consist of: | ||||
Paid in capital | $ | 9,392,284 | ||
Total distributable earnings (loss) | (223,764 | ) | ||
Net assets | $ | 9,168,520 | ||
Capital shares outstanding | 195,969 | |||
Net asset value per share | $ | 46.79 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends | $ | 29,010 | ||
Interest | 273 | |||
Income from securities lending, net | 548 | |||
Total investment income | 29,831 | |||
Expenses: | ||||
Management fees | 32,908 | |||
Investor service fees | 10,969 | |||
Transfer agent and administrative fees | 11,803 | |||
Professional fees | 8,569 | |||
Portfolio accounting fees | 4,388 | |||
Trustees’ fees* | 1,221 | |||
Custodian fees | 712 | |||
Line of credit fees | 131 | |||
Miscellaneous | 5,406 | |||
Total expenses | 76,107 | |||
Net investment loss | (46,276 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (1,185,650 | ) | ||
Net realized loss | (1,185,650 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (189,341 | ) | ||
Net change in unrealized appreciation (depreciation) | (189,341 | ) | ||
Net realized and unrealized loss | (1,374,991 | ) | ||
Net decrease in net assets resulting from operations | $ | (1,421,267 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (46,276 | ) | $ | (81,181 | ) | ||
Net realized gain (loss) on investments | (1,185,650 | ) | 2,382,069 | |||||
Net change in unrealized appreciation (depreciation) on investments | (189,341 | ) | (722,819 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (1,421,267 | ) | 1,578,069 | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 8,064,819 | 16,580,571 | ||||||
Cost of shares redeemed | (9,797,968 | ) | (22,841,246 | ) | ||||
Net decrease from capital share transactions | (1,733,149 | ) | (6,260,675 | ) | ||||
Net decrease in net assets | (3,154,416 | ) | (4,682,606 | ) | ||||
Net assets: | ||||||||
Beginning of period | 12,322,936 | 17,005,542 | ||||||
End of period | $ | 9,168,520 | $ | 12,322,936 | ||||
Capital share activity: | ||||||||
Shares sold | 179,554 | 316,090 | ||||||
Shares redeemed | (206,673 | ) | (439,562 | ) | ||||
Net decrease in shares | (27,119 | ) | (123,472 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 55.24 | $ | 49.07 | $ | 54.95 | $ | 49.86 | $ | 42.01 | $ | 45.67 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.24 | ) | (.36 | ) | (.60 | ) | (.47 | ) | (.14 | ) | (.30 | ) | ||||||||||||
Net gain (loss) on investments (realized and unrealized) | (8.21 | ) | 6.53 | (4.12 | ) | 8.25 | 7.99 | .62 | ||||||||||||||||
Total from investment operations | (8.45 | ) | 6.17 | (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 | $ | 46.79 | $ | 55.24 | $ | 49.07 | $ | 54.95 | $ | 49.86 | $ | 42.01 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (15.30 | %) | 12.57 | % | (9.03 | %) | 16.08 | % | 18.69 | % | (0.37 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,169 | $ | 12,323 | $ | 17,006 | $ | 20,438 | $ | 20,844 | $ | 22,156 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (1.05 | %) | (0.69 | %) | (1.01 | %) | (0.90 | %) | (0.32 | %) | (0.64 | %) | ||||||||||||
Total expenses | 1.73 | % | 1.73 | % | 1.63 | % | 1.61 | % | 1.56 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 92 | % | 190 | % | 313 | % | 280 | % | 475 | % | 282 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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) | |
Atlas Air Worldwide Holdings, Inc. | 3.0% |
Consolidated Communications Holdings, Inc. | 2.7% |
SpartanNash Co. | 2.5% |
Southwestern Energy Co. | 2.3% |
MarineMax, Inc. | 2.2% |
Big Lots, Inc. | 2.0% |
Resideo Technologies, Inc. | 1.8% |
Office Depot, Inc. | 1.8% |
INTL FCStone, Inc. | 1.7% |
Macy’s, Inc. | 1.6% |
Top Ten Total | 21.6% |
“Ten Largest Holdings” excludes any temporary cash investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
S&P SmallCap 600® Pure Value Fund | (32.91%) | (25.08%) | (6.28%) | 3.97% |
S&P SmallCap 600 Pure Value Index | (32.47%) | (23.74%) | (4.70%) | 5.78% |
* | The performance data above represents past performance that is not predictive of future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns are historical and include changes in principal and reinvested dividends and capital gains and do not reflect the effect of taxes. The S&P 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, 2020 |
S&P SMALLCAP 600® PURE VALUE FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 99.4% | ||||||||
Consumer, Cyclical - 31.7% | ||||||||
MarineMax, Inc.* | 4,017 | $ | 89,951 | |||||
Big Lots, Inc. | 2,005 | 84,210 | ||||||
Resideo Technologies, Inc.* | 6,495 | 76,121 | ||||||
Office Depot, Inc. | 31,411 | 73,816 | ||||||
Macy’s, Inc.1 | 9,934 | 68,346 | ||||||
Veritiv Corp.* | 2,924 | 49,591 | ||||||
Sonic Automotive, Inc. — Class A | 1,427 | 45,535 | ||||||
Fossil Group, Inc.* | 9,463 | 44,003 | ||||||
ScanSource, Inc.* | 1,653 | 39,821 | ||||||
Abercrombie & Fitch Co. — Class A | 3,575 | 38,038 | ||||||
Cooper-Standard Holdings, Inc.* | 2,757 | 36,530 | ||||||
Core-Mark Holding Company, Inc. | 1,461 | 36,459 | ||||||
Bed Bath & Beyond, Inc.1 | 3,238 | 34,323 | ||||||
Conn’s, Inc.*,1 | 3,340 | 33,701 | ||||||
Vista Outdoor, Inc.* | 2,294 | 33,148 | ||||||
Group 1 Automotive, Inc. | 444 | 29,291 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 3,742 | 28,439 | ||||||
Genesco, Inc.* | 1,269 | 27,486 | ||||||
Cooper Tire & Rubber Co. | 967 | 26,699 | ||||||
Lumber Liquidators Holdings, Inc.*,1 | 1,774 | 24,588 | ||||||
Michaels Companies, Inc.*,1 | 3,458 | 24,448 | ||||||
Wabash National Corp. | 2,283 | 24,245 | ||||||
Titan International, Inc. | 15,551 | 22,704 | ||||||
Movado Group, Inc. | 2,023 | 21,929 | ||||||
Red Robin Gourmet Burgers, Inc.*,1 | 2,039 | 20,798 | ||||||
Signet Jewelers Ltd. | 2,018 | 20,725 | ||||||
Barnes & Noble Education, Inc.* | 12,477 | 19,963 | ||||||
Haverty Furniture Companies, Inc. | 1,204 | 19,264 | ||||||
Express, Inc.* | 11,668 | 17,969 | ||||||
Shoe Carnival, Inc.1 | 607 | 17,767 | ||||||
Chico’s FAS, Inc. | 12,726 | 17,562 | ||||||
Daktronics, Inc. | 3,911 | 17,013 | ||||||
Caleres, Inc. | 1,993 | 16,622 | ||||||
G-III Apparel Group Ltd.* | 1,250 | 16,613 | ||||||
GameStop Corp. — Class A*,1 | 3,774 | 16,379 | ||||||
Ethan Allen Interiors, Inc. | 1,255 | 14,847 | ||||||
Tupperware Brands Corp. | 3,096 | 14,706 | ||||||
Designer Brands, Inc. — Class A | 2,146 | 14,528 | ||||||
Hawaiian Holdings, Inc. | 1,026 | 14,405 | ||||||
Garrett Motion, Inc.* | 2,342 | 12,975 | ||||||
Cato Corp. — Class A | 1,408 | 11,517 | ||||||
Unifi, Inc.* | 887 | 11,425 | ||||||
Capri Holdings Ltd.* | 619 | 9,675 | ||||||
Vera Bradley, Inc.* | 1,243 | 5,519 | ||||||
Total Consumer, Cyclical | 1,323,694 | |||||||
Industrial - 16.2% | ||||||||
Atlas Air Worldwide Holdings, Inc.* | 2,874 | 123,668 | ||||||
ArcBest Corp. | 2,315 | 61,371 | ||||||
Greenbrier Companies, Inc. | 2,593 | 58,991 | ||||||
Echo Global Logistics, Inc.* | 2,455 | 53,077 | ||||||
Olympic Steel, Inc. | 4,040 | 47,470 | ||||||
Sanmina Corp.* | 1,532 | 38,361 | ||||||
Lydall, Inc.* | 2,725 | 36,951 | ||||||
Boise Cascade Co. | 817 | 30,727 | ||||||
Granite Construction, Inc. | 1,564 | 29,935 | ||||||
TimkenSteel Corp.* | 7,502 | 29,183 | ||||||
TTM Technologies, Inc.* | 2,327 | 27,598 | ||||||
Hub Group, Inc. — Class A* | 527 | 25,222 | ||||||
Bel Fuse, Inc. — Class B | 1,943 | 20,849 | ||||||
Arcosa, Inc. | 448 | 18,905 | ||||||
Trinseo S.A. | 673 | 14,914 | ||||||
Applied Optoelectronics, Inc.* | 1,345 | 14,620 | ||||||
Bristow Group, Inc.* | 1,001 | 13,944 | ||||||
US Concrete, Inc.* | 461 | 11,433 | ||||||
Aegion Corp. — Class A* | 684 | 10,855 | ||||||
DXP Enterprises, Inc.* | 411 | 8,183 | ||||||
Total Industrial | 676,257 | |||||||
Consumer, Non-cyclical - 15.5% | ||||||||
SpartanNash Co. | 4,963 | 105,464 | ||||||
Kelly Services, Inc. — Class A | 3,513 | 55,558 | ||||||
United Natural Foods, Inc.* | 2,952 | 53,756 | ||||||
Seneca Foods Corp. — Class A* | 1,481 | 50,072 | ||||||
Andersons, Inc. | 3,095 | 42,587 | ||||||
Magellan Health, Inc.* | 565 | 41,234 | ||||||
Fresh Del Monte Produce, Inc. | 1,649 | 40,598 | ||||||
B&G Foods, Inc.1 | 1,405 | 34,254 | ||||||
Invacare Corp. | 5,053 | 32,188 | ||||||
Green Dot Corp. — Class A* | 610 | 29,939 | ||||||
ABM Industries, Inc. | 765 | 27,770 | ||||||
Universal Corp. | 607 | 25,804 | ||||||
Lannett Company, Inc.* | 3,445 | 25,011 | ||||||
TrueBlue, Inc.* | 1,630 | 24,890 | ||||||
Central Garden & Pet Co. — Class A* | 629 | 21,254 | ||||||
Owens & Minor, Inc. | 2,196 | 16,733 | ||||||
Team, Inc.* | 2,067 | 11,513 | ||||||
Central Garden & Pet Co.* | 153 | 5,506 | ||||||
Total Consumer, Non-cyclical | 644,131 | |||||||
Energy - 15.3% | ||||||||
Southwestern Energy Co.*,1 | 38,107 | 97,554 | ||||||
Renewable Energy Group, Inc.* | 2,511 | 62,222 | ||||||
Green Plains, Inc.* | 4,375 | 44,691 | ||||||
Exterran Corp.* | 8,182 | 44,101 | ||||||
NOW, Inc.* | 5,091 | 43,935 | ||||||
Gulfport Energy Corp.* | 28,398 | 30,954 | ||||||
CONSOL Energy, Inc.* | 5,733 | 29,066 | ||||||
Range Resources Corp. | 5,116 | 28,803 | ||||||
ProPetro Holding Corp.* | 5,425 | 27,885 | ||||||
Bonanza Creek Energy, Inc.* | 1,821 | 26,987 | ||||||
SM Energy Co. | 5,118 | 19,193 | ||||||
Oasis Petroleum, Inc.* | 24,623 | 18,467 | ||||||
RPC, Inc.*,1 | 5,727 | 17,639 | ||||||
Denbury Resources, Inc.* | 63,522 | 17,538 | ||||||
Helmerich & Payne, Inc. | 815 | 15,901 | ||||||
Matrix Service Co.* | 1,546 | 15,027 | ||||||
SunCoke Energy, Inc. | 5,061 | 14,981 | ||||||
Patterson-UTI Energy, Inc. | 4,169 | 14,466 | ||||||
Warrior Met Coal, Inc. | 893 | 13,743 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
S&P SMALLCAP 600® PURE VALUE FUND |
| Shares | Value | ||||||
US Silica Holdings, Inc. | 3,714 | $ | 13,408 | |||||
Laredo Petroleum, Inc.* | 948 | 13,139 | ||||||
Oceaneering International, Inc.* | 1,165 | 7,444 | ||||||
Oil States International, Inc.* | 1,554 | 7,382 | ||||||
Nabors Industries Ltd. | 173 | 6,405 | ||||||
Valaris plc* | 8,340 | 5,437 | ||||||
Total Energy | 636,368 | |||||||
Financial - 10.2% | ||||||||
INTL FCStone, Inc.* | 1,310 | 72,015 | ||||||
EZCORP, Inc. — Class A* | 10,507 | 66,194 | ||||||
Realogy Holdings Corp. | 5,731 | 42,467 | ||||||
iStar, Inc. REIT | 2,263 | 27,880 | ||||||
Diversified Healthcare Trust REIT | 5,766 | 25,515 | ||||||
American Equity Investment Life Holding Co. | 956 | 23,623 | ||||||
Stewart Information Services Corp. | 656 | 21,327 | ||||||
Encore Capital Group, Inc.* | 550 | 18,799 | ||||||
Horace Mann Educators Corp. | 332 | 12,194 | ||||||
United Insurance Holdings Corp. | 1,465 | 11,456 | ||||||
Third Point Reinsurance Ltd.* | 1,521 | 11,423 | ||||||
Cadence BanCorp | 1,279 | 11,332 | ||||||
Hersha Hospitality Trust REIT | 1,907 | 10,984 | ||||||
Hope Bancorp, Inc. | 1,176 | 10,842 | ||||||
Customers Bancorp, Inc.* | 793 | 9,532 | ||||||
Cedar Realty Trust, Inc. REIT | 9,534 | 9,439 | ||||||
Simmons First National Corp. — Class A | 543 | 9,291 | ||||||
Pacific Premier Bancorp, Inc. | 415 | 8,998 | ||||||
United Fire Group, Inc. | 319 | 8,839 | ||||||
Ready Capital Corp. REIT | 979 | 8,507 | ||||||
Berkshire Hills Bancorp, Inc. | 457 | 5,036 | ||||||
Total Financial | 425,693 | |||||||
Communications - 4.6% | ||||||||
Consolidated Communications Holdings, Inc.* | 16,365 | 110,791 | ||||||
Meredith Corp. | 1,288 | 18,740 | ||||||
NETGEAR, Inc.* | 719 | 18,615 | ||||||
Scholastic Corp. | 535 | 16,018 | ||||||
Gannett Company, Inc. | 11,249 | 15,524 | ||||||
Spok Holdings, Inc. | 1,467 | 13,716 | ||||||
Total Communications | 193,404 | |||||||
Basic Materials - 4.1% | ||||||||
Kraton Corp.* | 2,329 | 40,245 | ||||||
Rayonier Advanced Materials, Inc.* | 14,219 | 39,956 | ||||||
Century Aluminum Co.* | 4,967 | 35,415 | ||||||
Clearwater Paper Corp.* | 914 | 33,023 | ||||||
AdvanSix, Inc.* | 1,887 | 22,153 | ||||||
Total Basic Materials | 170,792 | |||||||
Technology - 1.8% | ||||||||
Donnelley Financial Solutions, Inc.* | 3,934 | 33,046 | ||||||
Unisys Corp.* | 1,598 | 17,434 | ||||||
Pitney Bowes, Inc. | 4,936 | 12,834 | ||||||
Photronics, Inc.* | 987 | 10,985 | ||||||
Total Technology | 74,299 | |||||||
Total Common Stocks | ||||||||
(Cost $4,052,665) | 4,144,638 | |||||||
Face | ||||||||
REPURCHASE AGREEMENTS††,2 - 0.9% | ||||||||
J.P. Morgan Securities LLC | $ | 20,527 | 20,527 | |||||
BofA Securities, Inc. | 8,501 | 8,501 | ||||||
Barclays Capital, Inc. | 7,991 | 7,991 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $37,019) | 37,019 | |||||||
Shares | ||||||||
SECURITIES LENDING COLLATERAL†,3 - 6.8% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%4 | 285,103 | 285,103 | ||||||
Total Securities Lending Collateral | ||||||||
(Cost $285,103) | 285,103 | |||||||
Total Investments - 107.1% | ||||||||
(Cost $4,374,787) | $ | 4,466,760 | ||||||
Other Assets & Liabilities, net - (7.1)% | (297,366 | ) | ||||||
Total Net Assets - 100.0% | $ | 4,169,394 |
42 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
S&P SMALLCAP 600® PURE VALUE FUND |
* | Non-income producing security. |
† | Value determined based on Level 1 inputs — See Note 4. |
†† | Value determined based on Level 2 inputs — See Note 4. |
1 | All or a portion of this security is on loan at June 30, 2020 — 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, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 4,144,638 | $ | — | $ | — | $ | 4,144,638 | ||||||||
Repurchase Agreements | — | 37,019 | — | 37,019 | ||||||||||||
Securities Lending Collateral | 285,103 | — | — | 285,103 | ||||||||||||
Total Assets | $ | 4,429,741 | $ | 37,019 | $ | — | $ | 4,466,760 |
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, 2020 |
Assets: | ||||
Investments, at value - including $273,752 of securities loaned (cost $4,337,768) | $ | 4,429,741 | ||
Repurchase agreements, at value (cost $37,019) | 37,019 | |||
Receivables: | ||||
Dividends | 1,633 | |||
Fund shares sold | 960 | |||
Securities lending income | 769 | |||
Total assets | 4,470,122 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 285,103 | |||
Management fees | 2,780 | |||
Transfer agent and administrative fees | 997 | |||
Investor service fees | 927 | |||
Fund shares redeemed | 448 | |||
Portfolio accounting fees | 371 | |||
Trustees’ fees* | 98 | |||
Miscellaneous | 10,004 | |||
Total liabilities | 300,728 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 4,169,394 | ||
Net assets consist of: | ||||
Paid in capital | $ | 8,719,887 | ||
Total distributable earnings (loss) | (4,550,493 | ) | ||
Net assets | $ | 4,169,394 | ||
Capital shares outstanding | 97,839 | |||
Net asset value per share | $ | 42.61 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends (net of foreign withholding tax of $42) | $ | 20,085 | ||
Interest | 156 | |||
Income from securities lending, net | 3,326 | |||
Total investment income | 23,567 | |||
Expenses: | ||||
Management fees | 17,902 | |||
Investor service fees | 5,967 | |||
Transfer agent and administrative fees | 6,421 | |||
Professional fees | 4,820 | |||
Portfolio accounting fees | 2,387 | |||
Trustees’ fees* | 876 | |||
Custodian fees | 411 | |||
Miscellaneous | 2,505 | |||
Total expenses | 41,289 | |||
Net investment loss | (17,722 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments | (1,365,110 | ) | ||
Net realized loss | (1,365,110 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments | (1,093,504 | ) | ||
Net change in unrealized appreciation (depreciation) | (1,093,504 | ) | ||
Net realized and unrealized loss | (2,458,614 | ) | ||
Net decrease in net assets resulting from operations | $ | (2,476,336 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment loss | $ | (17,722 | ) | $ | (24,134 | ) | ||
Net realized gain (loss) on investments | (1,365,110 | ) | 361,026 | |||||
Net change in unrealized appreciation (depreciation) on investments | (1,093,504 | ) | 1,305,177 | |||||
Net increase (decrease) in net assets resulting from operations | (2,476,336 | ) | 1,642,069 | |||||
Distributions to shareholders | — | (22,849 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,736,178 | 18,171,779 | ||||||
Distributions reinvested | — | 22,849 | ||||||
Cost of shares redeemed | (5,167,057 | ) | (19,151,588 | ) | ||||
Net decrease from capital share transactions | (2,430,879 | ) | (956,960 | ) | ||||
Net increase (decrease) in net assets | (4,907,215 | ) | 662,260 | |||||
Net assets: | ||||||||
Beginning of period | 9,076,609 | 8,414,349 | ||||||
End of period | $ | 4,169,394 | $ | 9,076,609 | ||||
Capital share activity: | ||||||||
Shares sold | 61,706 | 308,030 | ||||||
Shares issued from reinvestment of distributions | — | 401 | ||||||
Shares redeemed | (106,790 | ) | (324,852 | ) | ||||
Net decrease in shares | (45,084 | ) | (16,421 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 63.51 | $ | 52.81 | $ | 66.48 | $ | 69.13 | $ | 52.48 | $ | 65.72 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.17 | ) | (.17 | ) | .08 | (.23 | ) | (.45 | ) | (.06 | ) | |||||||||||||
Net gain (loss) on investments (realized and unrealized) | (20.73 | ) | 11.06 | (13.75 | ) | (.20 | ) | 17.10 | (8.15 | ) | ||||||||||||||
Total from investment operations | (20.90 | ) | 10.89 | (13.67 | ) | (.43 | ) | 16.65 | (8.21 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.19 | ) | — | — | — | — | |||||||||||||||||
Net realized gains | — | — | — | (2.22 | ) | — | (5.03 | ) | ||||||||||||||||
Total distributions | — | (.19 | ) | — | (2.22 | ) | — | (5.03 | ) | |||||||||||||||
Net asset value, end of period | $ | 42.61 | $ | 63.51 | $ | 52.81 | $ | 66.48 | $ | 69.13 | $ | 52.48 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (32.91 | %) | 20.68 | % | (20.58 | %) | (0.28 | %) | 31.74 | % | (13.54 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,169 | $ | 9,077 | $ | 8,414 | $ | 17,748 | $ | 28,408 | $ | 11,747 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.74 | %) | (0.28 | %) | 0.12 | % | (0.35 | %) | (0.44 | %) | (0.09 | %) | ||||||||||||
Total expenses | 1.73 | % | 1.73 | % | 1.62 | % | 1.61 | % | 1.56 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 52 | % | 248 | % | 194 | % | 204 | % | 303 | % | 245 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
46 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 Ultra Short Duration Fund — Institutional Class | 16.2% |
Guggenheim Strategy Fund II | 10.7% |
Nestle S.A. ADR | 0.6% |
Roche Holding AG ADR | 0.4% |
Novartis AG ADR | 0.4% |
ASML Holding N.V. — Class G | 0.3% |
SAP SE ADR | 0.3% |
AstraZeneca plc ADR | 0.2% |
LVMH Moet Hennessy Louis Vuitton SE ADR | 0.2% |
Sanofi ADR | 0.2% |
Top Ten Total | 29.5% |
“Ten Largest Holdings” excludes any temporary cash or derivative investments. |
Country Diversification
Country | % of Long-Term | |||
United Kingdom | 28.6 | % | ||
Switzerland | 22.9 | % | ||
France | 19.9 | % | ||
Germany | 13.4 | % | ||
Netherlands | 5.8 | % | ||
Italy | 3.0 | % | ||
Denmark | 2.7 | % | ||
Spain | 2.7 | % | ||
Belgium | 1.0 | % | ||
Total Long-Term Investments | 100.0 | % |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 47 |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited)(concluded) | June 30, 2020 |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Europe 1.25x Strategy Fund | (14.37%) | (8.53%) | (0.75%) | 3.55% |
STOXX Europe 50 Index | (10.51%) | (4.74%) | 1.51% | 4.91% |
* | 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 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, 2020 |
EUROPE 1.25x STRATEGY FUND |
| Shares | Value | ||||||
COMMON STOCKS† - 7.1% | ||||||||
Consumer, Non-cyclical - 3.3% | ||||||||
Nestle S.A. ADR | 109 | $ | 12,038 | |||||
Roche Holding AG ADR | 207 | 8,980 | ||||||
Novartis AG ADR | 91 | 7,948 | ||||||
AstraZeneca plc ADR | 96 | 5,077 | ||||||
Sanofi ADR | 84 | 4,288 | ||||||
Novo Nordisk A/S ADR | 62 | 4,060 | ||||||
GlaxoSmithKline plc ADR | 92 | 3,753 | ||||||
British American Tobacco plc ADR | 84 | 3,261 | ||||||
L’Oreal S.A. ADR | 45 | 2,912 | ||||||
Diageo plc ADR | 21 | 2,822 | ||||||
Bayer AG ADR | 144 | 2,681 | ||||||
Unilever N.V. — Class Y | 50 | 2,663 | ||||||
Reckitt Benckiser Group plc ADR | 135 | 2,497 | ||||||
Unilever plc ADR1 | 42 | 2,305 | ||||||
RELX plc ADR | 73 | 1,720 | ||||||
Anheuser-Busch InBev S.A. ADR | 31 | 1,528 | ||||||
Total Consumer, Non-cyclical | 68,533 | |||||||
Financial - 0.9% | ||||||||
HSBC Holdings plc ADR1 | 152 | 3,546 | ||||||
Allianz SE ADR | 154 | 3,160 | ||||||
Zurich Insurance Group AG ADR | 55 | 1,939 | ||||||
BNP Paribas S.A. ADR* | 85 | 1,693 | ||||||
AXA S.A. ADR | 76 | 1,588 | ||||||
UBS Group AG | 132 | 1,523 | ||||||
Banco Santander S.A. ADR | 614 | 1,480 | ||||||
Prudential plc ADR1 | 48 | 1,458 | ||||||
Intesa Sanpaolo SpA ADR* | 100 | 1,154 | ||||||
Lloyds Banking Group plc ADR | 664 | 996 | ||||||
Total Financial | 18,537 | |||||||
Industrial - 0.6% | ||||||||
Siemens AG ADR1 | 55 | 3,244 | ||||||
Schneider Electric SE ADR | 101 | 2,252 | ||||||
Vinci S.A. ADR | 82 | 1,919 | ||||||
Airbus SE ADR* | 86 | 1,535 | ||||||
ABB Ltd. ADR | 66 | 1,489 | ||||||
Safran S.A. ADR* | 53 | 1,336 | ||||||
Total Industrial | 11,775 | |||||||
Technology - 0.5% | ||||||||
ASML Holding N.V. — Class G | 16 | 5,889 | ||||||
SAP SE ADR1 | 40 | 5,600 | ||||||
Total Technology | 11,489 | |||||||
Basic Materials - 0.5% | ||||||||
Linde plc | 20 | 4,242 | ||||||
Air Liquide S.A. ADR | 87 | 2,510 | ||||||
Rio Tinto plc ADR | 39 | 2,191 | ||||||
BASF SE ADR | 136 | 1,904 | ||||||
Total Basic Materials | 10,847 | |||||||
Energy - 0.5% | ||||||||
Total S.A. ADR | 95 | 3,654 | ||||||
BP plc ADR | 123 | 2,868 | ||||||
Royal Dutch Shell plc — Class A ADR | 76 | 2,485 | ||||||
Eni SpA ADR1 | 46 | 886 | ||||||
Total Energy | 9,893 | |||||||
Consumer, Cyclical - 0.3% | ||||||||
LVMH Moet Hennessy Louis Vuitton SE ADR | 49 | 4,333 | ||||||
Kering S.A. ADR1 | 27 | 1,481 | ||||||
Daimler AG ADR | 124 | 1,262 | ||||||
Total Consumer, Cyclical | 7,076 | |||||||
Utilities - 0.3% | ||||||||
Iberdrola S.A. ADR | 54 | 2,508 | ||||||
Enel SpA ADR | 287 | 2,460 | ||||||
National Grid plc ADR | 26 | 1,579 | ||||||
Total Utilities | 6,547 | |||||||
Communications - 0.2% | ||||||||
Deutsche Telekom AG ADR1 | 119 | 1,996 | ||||||
Vodafone Group plc ADR | 98 | 1,562 | ||||||
Total Communications | 3,558 | |||||||
Total Common Stocks | ||||||||
(Cost $109,564) | 148,255 | |||||||
MUTUAL FUNDS† - 26.8% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class2 | 34,172 | 338,991 | ||||||
Guggenheim Strategy Fund II2 | 9,043 | 223,642 | ||||||
Total Mutual Funds | ||||||||
(Cost $562,521) | 562,633 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 21.7% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 07/23/203,4 | $ | 455,000 | 454,966 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $454,956) | 454,966 | |||||||
REPURCHASE AGREEMENTS††,5 - 44.3% | ||||||||
J.P. Morgan Securities LLC | 514,771 | 514,771 | ||||||
BofA Securities, Inc. | 213,190 | 213,190 | ||||||
Barclays Capital, Inc. | 200,398 | 200,398 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $928,359) | 928,359 | |||||||
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS (Unaudited)(continued) | June 30, 2020 |
EUROPE 1.25x STRATEGY FUND |
| Shares | Value | ||||||
SECURITIES LENDING COLLATERAL†,6 - 0.7% | ||||||||
Money Market Fund | ||||||||
First American Government Obligations Fund — Class Z, 0.06%7 | 15,608 | $ | 15,608 | |||||
Total Securities Lending Collateral | ||||||||
(Cost $15,608) | 15,608 | |||||||
Total Investments - 100.6% | ||||||||
(Cost $2,071,008) | $ | 2,109,821 | ||||||
Other Assets & Liabilities, net - (0.6)% | (12,071 | ) | ||||||
Total Net Assets - 100.0% | $ | 2,097,750 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
Euro FX Futures Contracts | 18 | Sep 2020 | $ | 2,531,812 | $ | (22,650 | ) | |||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
STOXX Europe 50 Index Futures Contracts | 74 | Sep 2020 | 2,483,579 | (24,780 | ) |
* | 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, 2020 — See Note 7. |
2 | Affiliated issuer. |
3 | All or a portion of this security is pledged as futures collateral at June 30, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
6 | Securities lending collateral — See Note 7. |
7 | Rate indicated is the 7-day yield as of June 30, 2020. |
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, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 148,255 | $ | — | $ | — | $ | 148,255 | ||||||||
Mutual Funds | 562,633 | — | — | 562,633 | ||||||||||||
U.S. Treasury Bills | — | 454,966 | — | 454,966 | ||||||||||||
Repurchase Agreements | — | 928,359 | — | 928,359 | ||||||||||||
Securities Lending Collateral | 15,608 | — | — | 15,608 | ||||||||||||
Total Assets | $ | 726,496 | $ | 1,383,325 | $ | — | $ | 2,109,821 |
50 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
EUROPE 1.25x STRATEGY FUND |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts** | $ | 24,780 | $ | — | $ | — | $ | 24,780 | ||||||||
Currency Futures Contracts** | 22,650 | — | — | 22,650 | ||||||||||||
Total Liabilities | $ | 47,430 | $ | — | $ | — | $ | 47,430 |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 1,040,436 | $ | 634,787 | $ | (1,447,000 | ) | $ | (7,782 | ) | $ | 3,201 | $ | 223,642 | 9,043 | $ | 4,845 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 909,864 | 804,584 | (1,375,000 | ) | (921 | ) | 464 | 338,991 | 34,172 | 4,626 | ||||||||||||||||||||||
$ | 1,950,300 | $ | 1,439,371 | $ | (2,822,000 | ) | $ | (8,703 | ) | $ | 3,665 | $ | 562,633 | $ | 9,471 |
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, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value - including $15,318 of securities loaned (cost $580,128) | $ | 618,829 | ||
Investments in affiliated issuers, at value (cost $562,521) | 562,633 | |||
Repurchase agreements, at value (cost $928,359) | 928,359 | |||
Cash | 2,944 | |||
Receivables: | ||||
Foreign tax reclaims | 7,871 | |||
Variation margin on futures contracts | 3,765 | |||
Dividends | 904 | |||
Securities lending income | 11 | |||
Interest | 2 | |||
Total assets | 2,125,318 | |||
Liabilities: | ||||
Payable for: | ||||
Return of securities lending collateral | 15,608 | |||
Management fees | 1,503 | |||
Securities purchased | 632 | |||
Transfer agent and administrative fees | 470 | |||
Investor service fees | 437 | |||
Portfolio accounting fees | 174 | |||
Fund shares redeemed | 82 | |||
Trustees’ fees* | 49 | |||
Miscellaneous | 8,613 | |||
Total liabilities | 27,568 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 2,097,750 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,247,079 | ||
Total distributable earnings (loss) | (1,149,329 | ) | ||
Net assets | $ | 2,097,750 | ||
Capital shares outstanding | 22,821 | |||
Net asset value per share | $ | 91.92 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of unaffiliated issuers (net of foreign withholding tax of $637) | $ | 4,976 | ||
Dividends from securities of affiliated issuers | 9,471 | |||
Interest from securities of unaffiliated issuers | 2,013 | |||
Income from securities lending, net | 67 | |||
Total investment income | 16,527 | |||
Expenses: | ||||
Management fees | 9,573 | |||
Investor service fees | 2,659 | |||
Transfer agent and administrative fees | 2,861 | |||
Professional fees | 2,314 | |||
Portfolio accounting fees | 1,064 | |||
Custodian fees | 594 | |||
Trustees’ fees* | 475 | |||
Miscellaneous | 928 | |||
Total expenses | 20,468 | |||
Less: | ||||
Expenses waived by Adviser | (636 | ) | ||
Net expenses | 19,832 | |||
Net investment loss | (3,305 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | (24,549 | ) | ||
Investments in affiliated issuers | (8,703 | ) | ||
Futures contracts | (173,978 | ) | ||
Foreign currency transactions | 15,666 | |||
Net realized loss | (191,564 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | (80,653 | ) | ||
Investments in affiliated issuers | 3,665 | |||
Futures contracts | (102,974 | ) | ||
Foreign currency translations | (92 | ) | ||
Net change in unrealized appreciation (depreciation) | (180,054 | ) | ||
Net realized and unrealized loss | (371,618 | ) | ||
Net decrease in net assets resulting from operations | $ | (374,923 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (3,305 | ) | $ | 36,366 | |||
Net realized gain (loss) on investments | (191,564 | ) | 678,245 | |||||
Net change in unrealized appreciation (depreciation) on investments | (180,054 | ) | 145,354 | |||||
Net increase (decrease) in net assets resulting from operations | (374,923 | ) | 859,965 | |||||
Distributions to shareholders | — | (73,007 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 3,388,627 | 26,408,052 | ||||||
Distributions reinvested | — | 73,007 | ||||||
Cost of shares redeemed | (4,905,772 | ) | (25,965,356 | ) | ||||
Net increase (decrease) from capital share transactions | (1,517,145 | ) | 515,703 | |||||
Net increase (decrease) in net assets | (1,892,068 | ) | 1,302,661 | |||||
Net assets: | ||||||||
Beginning of period | 3,989,818 | 2,687,157 | ||||||
End of period | $ | 2,097,750 | $ | 3,989,818 | ||||
Capital share activity: | ||||||||
Shares sold | 33,626 | 269,303 | ||||||
Shares issued from reinvestment of distributions | — | 734 | ||||||
Shares redeemed | (47,973 | ) | (264,674 | ) | ||||
Net increase (decrease) in shares | (14,347 | ) | 5,363 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 107.35 | $ | 84.49 | $ | 104.66 | $ | 82.06 | $ | 88.28 | $ | 96.17 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.14 | ) | .76 | 1.66 | .25 | .25 | .66 | |||||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (15.29 | ) | 23.18 | (21.46 | ) | 23.17 | (6.25 | ) | (7.35 | ) | ||||||||||||||
Total from investment operations | (15.43 | ) | 23.94 | (19.80 | ) | 23.42 | (6.00 | ) | (6.69 | ) | ||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.08 | ) | (.37 | ) | (.82 | ) | (.22 | ) | (1.20 | ) | |||||||||||||
Total distributions | — | (1.08 | ) | (.37 | ) | (.82 | ) | (.22 | ) | (1.20 | ) | |||||||||||||
Net asset value, end of period | $ | 91.92 | $ | 107.35 | $ | 84.49 | $ | 104.66 | $ | 82.06 | $ | 88.28 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (14.37 | %) | 28.43 | % | (18.97 | %) | 28.60 | % | (5.58 | %) | (7.19 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,098 | $ | 3,990 | $ | 2,687 | $ | 5,725 | $ | 2,553 | $ | 3,083 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.31 | %) | 0.77 | % | 1.67 | % | 0.26 | % | 1.70 | % | 0.63 | % | ||||||||||||
Total expensesd | 1.92 | % | 1.88 | % | 1.78 | % | 1.80 | % | 1.73 | % | 1.66 | % | ||||||||||||
Net expensese | 1.86 | % | 1.80 | % | 1.77 | % | 1.80 | % | 1.73 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate | 131 | % | 391 | % | 187 | % | 121 | % | 441 | % | 620 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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 Ultra Short Duration Fund — Institutional Class | 16.2% |
Guggenheim Strategy Fund II | 10.4% |
Total | 26.6% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Japan 2x Strategy Fund | (14.35%) | 1.62% | 5.66% | 10.23% |
Nikkei-225 Stock Average Index | (4.86%) | 4.81% | 4.52% | 6.91% |
* | 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 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, 2020 |
JAPAN 2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 26.6% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 24,103 | $ | 239,106 | |||||
Guggenheim Strategy Fund II1 | 6,167 | 152,504 | ||||||
Total Mutual Funds | ||||||||
(Cost $385,164) | 391,610 | |||||||
Face | ||||||||
U.S. TREASURY BILLS†† - 14.2% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 07/23/202,3 | $ | 209,000 | 208,984 | |||||
Total U.S. Treasury Bills | ||||||||
(Cost $208,980) | 208,984 | |||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 6.8% | ||||||||
Federal Home Loan Bank | ||||||||
1.56% due 07/02/203 | 100,000 | 99,996 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $99,996) | 99,996 |
FEDERAL AGENCY NOTES†† - 5.1% | ||||||||
Farmer Mac | ||||||||
0.23% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 09/01/204 | 75,000 | 75,000 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $75,000) | 75,000 | |||||||
REPURCHASE AGREEMENTS††,5 - 47.1% | ||||||||
J.P. Morgan Securities LLC issued 06/30/20 at 0.07% due 07/01/20 | 384,580 | 384,580 | ||||||
BofA Securities, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 159,272 | 159,272 | ||||||
Barclays Capital, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 149,716 | 149,716 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $693,568) | 693,568 | |||||||
Total Investments - 99.8% | ||||||||
(Cost $1,462,708) | $ | 1,469,158 | ||||||
Other Assets & Liabilities, net - 0.2% | 3,132 | |||||||
Total Net Assets - 100.0% | $ | 1,472,290 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
Japanese Yen Futures Contracts | 26 | Sep 2020 | $ | 3,012,750 | $ | (5,044 | ) | |||||||||
Equity Futures Contracts Purchased† | ||||||||||||||||
Nikkei 225 (CME) Index Equity Futures Contracts | 27 | Sep 2020 | 3,015,225 | (115,571 | ) |
** | 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, 2020. |
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, 2020. 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. |
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, 2020 |
JAPAN 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 391,610 | $ | — | $ | — | $ | 391,610 | ||||||||
U.S. Treasury Bills | — | 208,984 | — | 208,984 | ||||||||||||
Federal Agency Discount Notes | — | 99,996 | — | 99,996 | ||||||||||||
Federal Agency Notes | — | 75,000 | — | 75,000 | ||||||||||||
Repurchase Agreements | — | 693,568 | — | 693,568 | ||||||||||||
Total Assets | $ | 391,610 | $ | 1,077,548 | $ | — | $ | 1,469,158 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Equity Futures Contracts** | $ | 115,571 | $ | — | $ | — | $ | 115,571 | ||||||||
Currency Futures Contracts** | 5,044 | — | — | 5,044 | ||||||||||||
Total Liabilities | $ | 120,615 | $ | — | $ | — | $ | 120,615 |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 488,954 | $ | 383,614 | $ | (720,000 | ) | $ | (4,823 | ) | $ | 4,759 | $ | 152,504 | 6,167 | $ | 3,642 | |||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 480,691 | 413,373 | (655,000 | ) | (1,370 | ) | 1,412 | 239,106 | 24,103 | 3,395 | ||||||||||||||||||||||
$ | 969,645 | $ | 796,987 | $ | (1,375,000 | ) | $ | (6,193 | ) | $ | 6,171 | $ | 391,610 | $ | 7,037 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 57 |
JAPAN 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $383,976) | $ | 383,980 | ||
Investments in affiliated issuers, at value (cost $385,164) | 391,610 | |||
Repurchase agreements, at value (cost $693,568) | 693,568 | |||
Segregated cash with broker | 22,277 | |||
Receivables: | ||||
Dividends | 443 | |||
Interest | 16 | |||
Total assets | 1,491,894 | |||
Liabilities: | ||||
Payable for: | ||||
Variation margin on futures contracts | 14,735 | |||
Management fees | 875 | |||
Securities purchased | 443 | |||
Transfer agent and administrative fees | 332 | |||
Investor service fees | 308 | |||
Portfolio accounting fees | 123 | |||
Fund shares redeemed | 54 | |||
Trustees’ fees* | 27 | |||
Miscellaneous | 2,707 | |||
Total liabilities | 19,604 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 1,472,290 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,447,042 | ||
Total distributable earnings (loss) | (1,974,752 | ) | ||
Net assets | $ | 1,472,290 | ||
Capital shares outstanding | 20,140 | |||
Net asset value per share | $ | 73.10 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 7,037 | ||
Interest from securities of unaffiliated issuers | 2,539 | |||
Total investment income | 9,576 | |||
Expenses: | ||||
Management fees | 5,615 | |||
Investor service fees | 1,872 | |||
Transfer agent and administrative fees | 2,014 | |||
Professional fees | 1,538 | |||
Portfolio accounting fees | 749 | |||
Trustees’ fees* | 207 | |||
Custodian fees | 121 | |||
Miscellaneous | 820 | |||
Total expenses | 12,936 | |||
Less: | ||||
Expenses waived by Adviser | (464 | ) | ||
Net expenses | 12,472 | |||
Net investment loss | (2,896 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated issuers | 775 | |||
Investments in affiliated issuers | (6,193 | ) | ||
Futures contracts | (267,805 | ) | ||
Net realized loss | (273,223 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 7 | |||
Investments in affiliated issuers | 6,171 | |||
Futures contracts | (128,504 | ) | ||
Net change in unrealized appreciation (depreciation) | (122,326 | ) | ||
Net realized and unrealized loss | (395,549 | ) | ||
Net decrease in net assets resulting from operations | $ | (398,445 | ) |
* | 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 |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (2,896 | ) | $ | 16,959 | |||
Net realized gain (loss) on investments | (273,223 | ) | 482,682 | |||||
Net change in unrealized appreciation (depreciation) on investments | (122,326 | ) | 76,423 | |||||
Net increase (decrease) in net assets resulting from operations | (398,445 | ) | 576,064 | |||||
Distributions to shareholders | — | (25,936 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 1,713,897 | 10,910,626 | ||||||
Distributions reinvested | — | 25,936 | ||||||
Cost of shares redeemed | (1,880,329 | ) | (11,462,568 | ) | ||||
Net decrease from capital share transactions | (166,432 | ) | (526,006 | ) | ||||
Net increase (decrease) in net assets | (564,877 | ) | 24,122 | |||||
Net assets: | ||||||||
Beginning of period | 2,037,167 | 2,013,045 | ||||||
End of period | $ | 1,472,290 | $ | 2,037,167 | ||||
Capital share activity: | ||||||||
Shares sold | 28,455 | 151,194 | ||||||
Shares issued from reinvestment of distributions | — | 348 | ||||||
Shares redeemed | (32,182 | ) | (159,986 | ) | ||||
Net decrease in shares | (3,727 | ) | (8,444 | ) |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 85.35 | $ | 62.30 | $ | 100.82 | $ | 67.08 | $ | 61.65 | $ | 55.02 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.13 | ) | .66 | .70 | (.13 | ) | (.06 | ) | (.78 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (12.12 | ) | 23.49 | (19.56 | ) | 33.87 | 5.49 | 7.41 | ||||||||||||||||
Total from investment operations | (12.25 | ) | 24.15 | (18.86 | ) | 33.74 | 5.43 | 6.63 | ||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (1.10 | ) | — | — | — | — | |||||||||||||||||
Net realized gains | — | — | (19.66 | ) | — | — | — | |||||||||||||||||
Total distributions | — | (1.10 | ) | (19.66 | ) | — | — | — | ||||||||||||||||
Net asset value, end of period | $ | 73.10 | $ | 85.35 | $ | 62.30 | $ | 100.82 | $ | 67.08 | $ | 61.65 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (14.35 | %) | 39.03 | % | (22.95 | %) | 50.30 | % | 8.86 | % | 12.00 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,472 | $ | 2,037 | $ | 2,013 | $ | 5,614 | $ | 2,499 | $ | 3,577 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.39 | %) | 0.89 | % | 0.76 | % | (0.15 | %) | (0.50 | %) | (1.22 | %) | ||||||||||||
Total expensesd | 1.73 | % | 1.72 | % | 1.58 | % | 1.83 | % | 1.56 | % | 1.50 | % | ||||||||||||
Net expensese | 1.67 | % | 1.64 | % | 1.58 | % | 1.83 | % | 1.56 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate | 109 | % | 153 | % | 180 | % | 73 | % | 183 | % | 87 | % |
a | Unaudited figures for the period ended June 30, 2020. 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, 2020 |
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 Ultra Short Duration Fund — Institutional Class | 13.3% |
Guggenheim Strategy Fund II | 12.5% |
Total | 25.8% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Strengthening Dollar 2x Strategy Fund | 1.33% | 3.66% | 1.78% | 0.30% |
U.S. Dollar Index | 1.04% | 1.31% | 0.39% | 1.25% |
* | 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, 2020 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 25.8% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 38,794 | $ | 384,839 | |||||
Guggenheim Strategy Fund II1 | 14,699 | 363,501 | ||||||
Total Mutual Funds | ||||||||
(Cost $748,896) | 748,340 | |||||||
Face | ||||||||
FEDERAL AGENCY DISCOUNT NOTES†† - 6.9% | ||||||||
Federal Home Loan Bank | ||||||||
0.25% due 07/01/202 | $ | 100,000 | 100,000 | |||||
1.56% due 07/02/202 | 100,000 | 99,996 | ||||||
Total Federal Agency Discount Notes | ||||||||
(Cost $199,996) | 199,996 | |||||||
FEDERAL AGENCY NOTES†† - 3.4% | ||||||||
Farmer Mac | ||||||||
0.23% (U.S. Prime Rate - 3.02%, Rate Floor: 0.00%) due 09/01/203 | 100,000 | 100,000 | ||||||
Total Federal Agency Notes | ||||||||
(Cost $100,000) | 100,000 | |||||||
U.S. TREASURY BILLS†† - 1.7% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 07/23/202,4 | 50,000 | 49,996 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $49,995) | 49,996 | |||||||
REPURCHASE AGREEMENTS††,5 - 64.1% | ||||||||
J.P. Morgan Securities LLC | 1,033,244 | 1,033,244 | ||||||
BofA Securities, Inc. | 427,913 | 427,913 | ||||||
Barclays Capital, Inc. | 402,239 | 402,239 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $1,863,396) | 1,863,396 | |||||||
Total Investments - 101.9% | ||||||||
(Cost $2,962,283) | $ | 2,961,728 | ||||||
Other Assets & Liabilities, net - (1.9)% | (55,626 | ) | ||||||
Total Net Assets - 100.0% | $ | 2,906,102 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Purchased† | ||||||||||||||||
U.S. Dollar Index Futures Contracts | 50 | Sep 2020 | $ | 4,868,250 | $ | 15,260 |
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 | 09/18/20 | 9,779 | $ | 951,857 | $ | 6,543 |
** | 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 | Variable rate security. Rate indicated is the rate effective at June 30, 2020. 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 | All or a portion of this security is pledged as futures collateral at June 30, 2020. |
5 | Repurchase Agreements — See Note 6. |
6 | All or a portion of this security is pledged as currency index swap collateral at June 30, 2020. |
See Sector Classification in Other Information section. |
62 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 748,340 | $ | — | $ | — | $ | 748,340 | ||||||||
Federal Agency Discount Notes | — | 199,996 | — | 199,996 | ||||||||||||
Federal Agency Notes | — | 100,000 | — | 100,000 | ||||||||||||
U.S. Treasury Bills | — | 49,996 | — | 49,996 | ||||||||||||
Repurchase Agreements | — | 1,863,396 | — | 1,863,396 | ||||||||||||
Futures Contracts** | 15,260 | — | — | 15,260 | ||||||||||||
Total Return Swap Agreements** | — | 6,543 | — | 6,543 | ||||||||||||
Total Assets | $ | 763,600 | $ | 2,219,931 | $ | — | $ | 2,983,531 |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 323,643 | $ | 284,277 | $ | (240,000 | ) | $ | (4,130 | ) | $ | (289 | ) | $ | 363,501 | 14,699 | $ | 4,295 | ||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 322,019 | 516,704 | (450,000 | ) | (2,817 | ) | (1,067 | ) | 384,839 | 38,794 | 4,720 | |||||||||||||||||||||
$ | 645,662 | $ | 800,981 | $ | (690,000 | ) | $ | (6,947 | ) | $ | (1,356 | ) | $ | 748,340 | $ | 9,015 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 63 |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $349,991) | $ | 349,992 | ||
Investments in affiliated issuers, at value (cost $748,896) | 748,340 | |||
Repurchase agreements, at value (cost $1,863,396) | 1,863,396 | |||
Segregated cash with broker | 49,053 | |||
Unrealized appreciation on OTC swap agreements | 6,543 | |||
Receivables: | ||||
Fund shares sold | 25,209 | |||
Dividends | 857 | |||
Swap settlement | 177 | |||
Interest | 23 | |||
Total assets | 3,043,590 | |||
Liabilities: | ||||
Payable for: | ||||
Fund shares redeemed | 119,460 | |||
Variation margin on futures contracts | 7,087 | |||
Management fees | 1,327 | |||
Securities purchased | 857 | |||
Transfer agent and administrative fees | 419 | |||
Investor service fees | 389 | |||
Portfolio accounting fees | 156 | |||
Trustees’ fees* | 41 | |||
Miscellaneous | 7,752 | |||
Total liabilities | 137,488 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 2,906,102 | ||
Net assets consist of: | ||||
Paid in capital | $ | 3,929,129 | ||
Total distributable earnings (loss) | (1,023,027 | ) | ||
Net assets | $ | 2,906,102 | ||
Capital shares outstanding | 69,595 | |||
Net asset value per share | $ | 41.76 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 9,015 | ||
Interest from securities of unaffiliated issuers | 3,550 | |||
Total investment income | 12,565 | |||
Expenses: | ||||
Management fees | 9,832 | |||
Investor service fees | 2,731 | |||
Transfer agent and administrative fees | 2,939 | |||
Professional fees | 1,999 | |||
Licensing fees | 1,608 | |||
Portfolio accounting fees | 1,092 | |||
Trustees’ fees* | 285 | |||
Custodian fees | 178 | |||
Miscellaneous | 1,573 | |||
Total expenses | 22,237 | |||
Less: | ||||
Expenses waived by Adviser | (681 | ) | ||
Net expenses | 21,556 | |||
Net investment loss | (8,991 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (6,947 | ) | ||
Swap agreements | (22,237 | ) | ||
Futures contracts | (74,834 | ) | ||
Net realized loss | (104,018 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated issuers | 2 | |||
Investments in affiliated issuers | (1,356 | ) | ||
Swap agreements | 10,386 | |||
Futures contracts | 25,580 | |||
Net change in unrealized appreciation (depreciation) | 34,612 | |||
Net realized and unrealized loss | (69,406 | ) | ||
Net decrease in net assets resulting from operations | $ | (78,397 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
64 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
STRENGTHENING DOLLAR 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (8,991 | ) | $ | 13,811 | |||
Net realized gain (loss) on investments | (104,018 | ) | 26,475 | |||||
Net change in unrealized appreciation (depreciation) on investments | 34,612 | 40,613 | ||||||
Net increase (decrease) in net assets resulting from operations | (78,397 | ) | 80,899 | |||||
Distributions to shareholders | — | (21,820 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 10,322,731 | 43,014,728 | ||||||
Distributions reinvested | — | 21,820 | ||||||
Cost of shares redeemed | (8,750,337 | ) | (45,103,803 | ) | ||||
Net increase (decrease) from capital share transactions | 1,572,394 | (2,067,255 | ) | |||||
Net increase (decrease) in net assets | 1,493,997 | (2,008,176 | ) | |||||
Net assets: | ||||||||
Beginning of period | 1,412,105 | 3,420,281 | ||||||
End of period | $ | 2,906,102 | $ | 1,412,105 | ||||
Capital share activity: | ||||||||
Shares sold | 238,751 | 1,024,231 | ||||||
Shares issued from reinvestment of distributions | — | 523 | ||||||
Shares redeemed | (203,419 | ) | (1,076,580 | ) | ||||
Net increase (decrease) in shares | 35,332 | (51,826 | ) |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 65 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 41.21 | $ | 39.73 | $ | 35.53 | $ | 43.90 | $ | 43.45 | $ | 42.19 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.18 | ) | .21 | .27 | (.04 | ) | (.23 | ) | (.55 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | .73 | f | 1.63 | 3.93 | (7.67 | ) | 2.96 | 6.09 | ||||||||||||||||
Total from investment operations | .55 | 1.84 | 4.20 | (7.71 | ) | 2.73 | 5.54 | |||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.36 | ) | — | — | — | — | |||||||||||||||||
Net realized gains | — | — | — | (.66 | ) | (2.28 | ) | (4.28 | ) | |||||||||||||||
Total distributions | — | (.36 | ) | — | (.66 | ) | (2.28 | ) | (4.28 | ) | ||||||||||||||
Net asset value, end of period | $ | 41.76 | $ | 41.21 | $ | 39.73 | $ | 35.53 | $ | 43.90 | $ | 43.45 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | 1.33 | % | 4.61 | % | 11.82 | % | (17.65 | %) | 7.00 | % | 13.35 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,906 | $ | 1,412 | $ | 3,420 | $ | 1,737 | $ | 5,644 | $ | 3,303 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.82 | %) | 0.50 | % | 0.73 | % | (0.10 | %) | (0.57 | %) | (1.21 | %) | ||||||||||||
Total expensesd | 2.04 | % | 2.09 | % | 1.83 | % | 1.80 | % | 1.76 | % | 1.70 | % | ||||||||||||
Net expensese | 1.97 | % | 2.02 | % | 1.82 | % | 1.80 | % | 1.76 | % | 1.70 | % | ||||||||||||
Portfolio turnover rate | 77 | % | 102 | % | 241 | % | 88 | % | 190 | % | 177 | % |
a | Unaudited figures for the period ended June 30, 2020. 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 | The amount shown for a share outstanding throughout the period does not accord with the aggregate net loss on investments for the period because of the sales and repurchases of fund shares in relation to fluctuating market value of the investments of the Fund. |
66 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
PERFORMANCE REPORT AND FUND PROFILE (Unaudited) | June 30, 2020 |
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 Ultra Short Duration Fund — Institutional Class | 13.0% |
Guggenheim Strategy Fund II | 10.4% |
Total | 23.4% |
“Largest Holdings” excludes any temporary cash or derivative investments. |
Average Annual Returns*,†
Periods Ended June 30, 2020
| 6 Month‡ | 1 Year | 5 Year | 10 Year |
Weakening Dollar 2x Strategy Fund | (5.31%) | (7.90%) | (4.23%) | (4.59%) |
U.S. Dollar Index | 1.04% | 1.31% | 0.39% | 1.25% |
* | 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 | 67 |
SCHEDULE OF INVESTMENTS (Unaudited) | June 30, 2020 |
WEAKENING DOLLAR 2x STRATEGY FUND |
| Shares | Value | ||||||
MUTUAL FUNDS† - 23.4% | ||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class1 | 10,836 | $ | 107,491 | |||||
Guggenheim Strategy Fund II1 | 3,501 | 86,570 | ||||||
Total Mutual Funds | ||||||||
(Cost $193,675) | 194,061 | |||||||
Face | ||||||||
FEDERAL AGENCY NOTES†† - 6.0% | ||||||||
Farmer Mac | ||||||||
0.23% (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†† - 1.7% | ||||||||
U.S. Treasury Bills | ||||||||
0.15% due 07/23/203,4 | 14,000 | 13,999 | ||||||
Total U.S. Treasury Bills | ||||||||
(Cost $13,999) | 13,999 | |||||||
REPURCHASE AGREEMENTS††,5 - 68.1% | ||||||||
J.P. Morgan Securities LLC issued 06/30/20 at 0.07% due 07/01/20 | 313,657 | 313,657 | ||||||
BofA Securities, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 129,900 | 129,900 | ||||||
Barclays Capital, Inc. issued 06/30/20 at 0.07% due 07/01/20 | 122,106 | 122,106 | ||||||
Total Repurchase Agreements | ||||||||
(Cost $565,663) | 565,663 | |||||||
Total Investments - 99.2% | ||||||||
(Cost $823,337) | $ | 823,723 | ||||||
Other Assets & Liabilities, net - 0.8% | 7,049 | |||||||
Total Net Assets - 100.0% | $ | 830,772 |
Futures Contracts | ||||||||||||||||
Description | Number of | Expiration | Notional | Value and | ||||||||||||
Currency Futures Contracts Sold Short† | ||||||||||||||||
U.S. Dollar Index Futures Contracts | 13 | Sep 2020 | $ | 1,265,745 | $ | (2,617 | ) |
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 | 09/18/20 | 3,844 | $ | 374,157 | $ | (2,531 | ) |
** | 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, 2020. 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, 2020. |
4 | Rate indicated is the effective yield at the time of purchase. |
5 | Repurchase Agreements — See Note 6. |
See Sector Classification in Other Information section. |
68 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
SCHEDULE OF INVESTMENTS (Unaudited)(concluded) | June 30, 2020 |
WEAKENING DOLLAR 2x STRATEGY FUND |
The following table summarizes the inputs used to value the Fund’s investments at June 30, 2020 (See Note 4 in the Notes to Financial Statements):
Investments in Securities (Assets) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Mutual Funds | $ | 194,061 | $ | — | $ | — | $ | 194,061 | ||||||||
Federal Agency Notes | — | 50,000 | — | 50,000 | ||||||||||||
U.S. Treasury Bills | — | 13,999 | — | 13,999 | ||||||||||||
Repurchase Agreements | — | 565,663 | — | 565,663 | ||||||||||||
Total Assets | $ | 194,061 | $ | 629,662 | $ | — | $ | 823,723 |
Investments in Securities (Liabilities) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts** | $ | 2,617 | $ | — | $ | — | $ | 2,617 | ||||||||
Total Return Swap Agreements** | — | 2,531 | — | 2,531 | ||||||||||||
Total Liabilities | $ | 2,617 | $ | 2,531 | $ | — | $ | 5,148 |
** | 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 “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles’ annual report on Form N-CSR dated September 30, 2019, 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/1601445/000089180419000405/gug78512-ncsr.htm.
Transactions during the period ended June 30, 2020, 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 | $ | 127,529 | $ | 30,991 | $ | (70,000 | ) | $ | (1,860 | ) | $ | (90 | ) | $ | 86,570 | 3,501 | $ | 999 | ||||||||||||||
Guggenheim Ultra Short Duration Fund — Institutional Class | 152,315 | 66,129 | (110,000 | ) | (683 | ) | (270 | ) | 107,491 | 10,836 | 1,136 | |||||||||||||||||||||
$ | 279,844 | $ | 97,120 | $ | (180,000 | ) | $ | (2,543 | ) | $ | (360 | ) | $ | 194,061 | $ | 2,135 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 69 |
WEAKENING DOLLAR 2x STRATEGY FUND |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
June 30, 2020 |
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $63,999) | $ | 63,999 | ||
Investments in affiliated issuers, at value (cost $193,675) | 194,061 | |||
Repurchase agreements, at value (cost $565,663) | 565,663 | |||
Segregated cash with broker | 10,771 | |||
Receivables: | ||||
Variation margin on futures contracts | 1,768 | |||
Fund shares sold | 203 | |||
Dividends | 191 | |||
Interest | 11 | |||
Total assets | 836,667 | |||
Liabilities: | ||||
Unrealized depreciation on OTC swap agreements | 2,531 | |||
Payable for: | ||||
Licensing fees | 712 | |||
Management fees | 586 | |||
Swap settlement | 458 | |||
Securities purchased | 191 | |||
Transfer agent and administrative fees | 181 | |||
Investor service fees | 168 | |||
Portfolio accounting fees | 67 | |||
Fund shares redeemed | 42 | |||
Trustees’ fees* | 9 | |||
Miscellaneous | 950 | |||
Total liabilities | 5,895 | |||
Commitments and contingent liabilities (Note 11) | — | |||
Net assets | $ | 830,772 | ||
Net assets consist of: | ||||
Paid in capital | $ | 2,284,161 | ||
Total distributable earnings (loss) | (1,453,389 | ) | ||
Net assets | $ | 830,772 | ||
Capital shares outstanding | 15,619 | |||
Net asset value per share | $ | 53.19 |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months Ended June 30, 2020 |
Investment Income: | ||||
Dividends from securities of affiliated issuers | $ | 2,135 | ||
Interest from securities of unaffiliated issuers | 720 | |||
Total investment income | 2,855 | |||
Expenses: | ||||
Management fees | 2,309 | |||
Investor service fees | 641 | |||
Transfer agent and administrative fees | 690 | |||
Professional fees | 500 | |||
Licensing fees | 361 | |||
Portfolio accounting fees | 257 | |||
Trustees’ fees* | 64 | |||
Custodian fees | 41 | |||
Miscellaneous | 318 | |||
Total expenses | 5,181 | |||
Less: | ||||
Expenses waived by Adviser | (159 | ) | ||
Net expenses | 5,022 | |||
Net investment loss | (2,167 | ) | ||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investments in affiliated issuers | (2,543 | ) | ||
Swap agreements | (3,321 | ) | ||
Futures contracts | (20,150 | ) | ||
Net realized loss | (26,014 | ) | ||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in affiliated issuers | (360 | ) | ||
Swap agreements | (4,965 | ) | ||
Futures contracts | (10,042 | ) | ||
Net change in unrealized appreciation (depreciation) | (15,367 | ) | ||
Net realized and unrealized loss | (41,381 | ) | ||
Net decrease in net assets resulting from operations | $ | (43,548 | ) |
* | Relates to Trustees not deemed “interested persons” within the meaning of Section 2(a)(19) of the 1940 Act. |
70 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
WEAKENING DOLLAR 2x STRATEGY FUND |
STATEMENTS OF CHANGES IN NET ASSETS |
| Six Months | Year Ended | ||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (2,167 | ) | $ | 3,015 | |||
Net realized loss on investments | (26,014 | ) | (5,196 | ) | ||||
Net change in unrealized appreciation (depreciation) on investments | (15,367 | ) | (532 | ) | ||||
Net decrease in net assets resulting from operations | (43,548 | ) | (2,713 | ) | ||||
Distributions to shareholders | — | (4,772 | ) | |||||
Capital share transactions: | ||||||||
Proceeds from sale of shares | 2,262,256 | 15,676,550 | ||||||
Distributions reinvested | — | 4,772 | ||||||
Cost of shares redeemed | (1,974,972 | ) | (15,668,672 | ) | ||||
Net increase from capital share transactions | 287,284 | 12,650 | ||||||
Net increase in net assets | 243,736 | 5,165 | ||||||
Net assets: | ||||||||
Beginning of period | 587,036 | 581,871 | ||||||
End of period | $ | 830,772 | $ | 587,036 | ||||
Capital share activity: | ||||||||
Shares sold | 42,425 | 284,024 | ||||||
Shares issued from reinvestment of distributions | — | 86 | ||||||
Shares redeemed | (37,257 | ) | (283,428 | ) | ||||
Net increase in shares | 5,168 | 682 |
SEE NOTES TO FINANCIAL STATEMENTS. | THE RYDEX FUNDS SEMI-ANNUAL REPORT | 71 |
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.
| Six Months | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 56.17 | $ | 59.56 | $ | 67.40 | $ | 56.49 | $ | 61.90 | $ | 74.41 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)b | (.22 | ) | .28 | .40 | (.14 | ) | (.11 | ) | (.80 | ) | ||||||||||||||
Net gain (loss) on investments (realized and unrealized) | (2.76 | ) | (3.17 | ) | (8.24 | ) | 11.05 | (5.30 | ) | (11.71 | ) | |||||||||||||
Total from investment operations | (2.98 | ) | (2.89 | ) | (7.84 | ) | 10.91 | (5.41 | ) | (12.51 | ) | |||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | — | (.50 | ) | — | — | — | — | |||||||||||||||||
Total distributions | — | (.50 | ) | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 53.19 | $ | 56.17 | $ | 59.56 | $ | 67.40 | $ | 56.49 | $ | 61.90 | ||||||||||||
| ||||||||||||||||||||||||
Total Returnc | (5.31 | %) | (4.85 | %) | (11.63 | %) | 19.31 | % | (8.71 | %) | (16.83 | %) | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 831 | $ | 587 | $ | 582 | $ | 779 | $ | 687 | $ | 1,297 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Net investment income (loss) | (0.84 | %) | 0.50 | % | 0.61 | % | (0.22 | %) | (0.63 | %) | (1.22 | %) | ||||||||||||
Total expensesd | 2.02 | % | 2.08 | % | 1.82 | % | 1.80 | % | 1.76 | % | 1.71 | % | ||||||||||||
Net expensese | 1.96 | % | 2.00 | % | 1.81 | % | 1.80 | % | 1.76 | % | 1.71 | % | ||||||||||||
Portfolio turnover rate | 44 | % | 187 | % | 213 | % | 367 | % | 250 | % | 232 | % |
a | Unaudited figures for the period ended June 30, 2020. 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. |
72 | THE RYDEX FUNDS SEMI-ANNUAL REPORT | SEE NOTES TO FINANCIAL STATEMENTS. |
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 (each, a “Fund”). The Trust may issue an unlimited number of authorized shares. The Trust accounts for the assets of each Fund separately. At June 30, 2020, 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 (collectively, the “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 and other assets 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 or traded on a recognized U.S. securities exchange or the National Association of Securities Dealers Automated Quotations (“NASDAQ”) National Market System shall generally be valued on the basis of the last sale price on the primary U.S. exchange or market on which the security is listed or traded; provided, however, that securities listed on NASDAQ will be valued at the NASDAQ Official Closing Price, which may not necessarily represent the last sale price. If there is no sale on the valuation date, exchange-traded U.S. equity securities will be valued on the basis of the last bid price.
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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 73 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
U.S. Government securities are valued by 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.
Repurchase agreements are generally 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.
Upon entering into certain centrally-cleared swap transactions, a Fund is required to deposit with its clearing broker an amount of cash or securities as an initial margin. Subsequent variation margin receipts or payments are received or made by the Fund depending on fluctuations in the fair value of the reference entity 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) 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.
74 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The Funds do not isolate that portion of the results of operations resulting from changes in the foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized 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 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, 2020, 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, if any. 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 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 0.08% at June 30, 2020.
(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 on 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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 75 |
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 monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Europe 1.25x Strategy Fund | Index exposure, Leverage, Liquidity | $ | 4,363,247 | $ | — | ||||
Japan 2x Strategy Fund | Index exposure, Leverage, Liquidity | 6,097,891 | — | ||||||
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | 3,994,380 | — | ||||||
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 849,363 |
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. For a fund utilizing centrally cleared swaps, the exchange bears the risk of loss resulting from a counterparty not being able to pay. 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.
76 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
The following table represents the Funds’ use and volume of currency swaps on a monthly basis:
Average Notional Amount | |||||||||
Fund | Use | Long | Short | ||||||
Strengthening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | $ | 640,483 | $ | — | ||||
Weakening Dollar 2x Strategy Fund | Index exposure, Leverage, Liquidity | — | 194,004 |
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, 2020:
Derivative Investment Type | Asset Derivatives | Liability Derivatives |
Equity/Currency contracts | Variation margin on futures contracts | Variation margin on futures contracts |
Currency contracts | Unrealized appreciation on OTC swap agreements | Unrealized depreciation on OTC swap agreements |
The following table sets forth the fair value of the Funds’ derivative investments categorized by primary risk exposure at June 30, 2020:
Asset Derivative Investments Value | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total Value at | ||||||||||||
Strengthening Dollar 2x Strategy Fund | $ | — | $ | 15,260 | $ | 6,543 | $ | 21,803 |
Liability Derivative Investments Value | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total Value at | ||||||||||||
Europe 1.25x Strategy Fund | $ | 24,780 | $ | 22,650 | $ | — | $ | 47,430 | ||||||||
Japan 2x Strategy Fund | 115,571 | 5,044 | — | 120,615 | ||||||||||||
Weakening Dollar 2x Strategy Fund | — | 2,617 | 2,531 | 5,148 |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported on the Schedules of Investments. For exchange-traded and centrally cleared derivatives, 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, 2020:
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 |
Currency contracts | Net realized gain (loss) on swap agreements |
| Net change in unrealized appreciation (depreciation) on swap agreements |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 77 |
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, 2020:
Realized Gain (Loss) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total | ||||||||||||
Europe 1.25x Strategy Fund | $ | (217,567 | ) | $ | 43,589 | $ | — | $ | (173,978 | ) | ||||||
Japan 2x Strategy Fund | (348,348 | ) | 80,543 | — | (267,805 | ) | ||||||||||
Strengthening Dollar 2x Strategy Fund | — | (74,834 | ) | (22,237 | ) | (97,071 | ) | |||||||||
Weakening Dollar 2x Strategy Fund | — | (20,150 | ) | (3,321 | ) | (23,471 | ) |
Change in Unrealized Appreciation (Depreciation) on Derivative Investments Recognized on the Statements of Operations | ||||||||||||||||
Fund | Futures | Futures | Swaps | Total | ||||||||||||
Europe 1.25x Strategy Fund | $ | (40,300 | ) | $ | (62,674 | ) | $ | — | $ | (102,974 | ) | |||||
Japan 2x Strategy Fund | (134,678 | ) | 6,174 | — | (128,504 | ) | ||||||||||
Strengthening Dollar 2x Strategy Fund | — | 25,580 | 10,386 | 35,966 | ||||||||||||
Weakening Dollar 2x Strategy Fund | — | (10,042 | ) | (4,965 | ) | (15,007 | ) |
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
78 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
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 | ||||||||||||||||||
Strengthening Dollar 2x Strategy Fund | Swap currency contracts | $ | 6,543 | $ | — | $ | 6,543 | $ | — | $ | — | $ | 6,543 |
Gross Amounts Not Offset | |||||||||||||||||||||||||
Fund | Instrument | Gross | Gross | Net Amount | Financial | Cash | Net | ||||||||||||||||||
Weakening Dollar 2x Strategy Fund | Swap currency contracts | $ | 2,531 | $ | — | $ | 2,531 | $ | — | $ | — | $ | 2,531 |
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, 2020.
Fund | Counterparty | Asset Type | Cash Pledged | Cash Received | ||||||
Japan 2x Strategy Fund | Goldman Sachs International | Futures contracts | $ | 22,277 | $ | — | ||||
Strengthening Dollar 2x Strategy Fund | Goldman Sachs International | Futures contracts | 49,053 | — | ||||||
Weakening Dollar 2x Strategy Fund | Goldman Sachs International | Futures contracts | 10,771 | — |
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. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 79 |
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 pays operating expenses on behalf of the Trust, such as audit and accounting related services, legal services, custody, printing and mailing, among others, on a pass-through basis. Such expenses are allocated to various Funds within the complex based on relative net assets.
The Board 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 in effect for the investing Fund. Fees waived under this arrangement are not subject to reimbursement to GI. For the period ended June 30, 2020, the following Funds waived fees related to investments in affiliated funds:
Fund | Amount Waived | |||
Europe 1.25x Strategy Fund | $ | 636 | ||
Japan 2x Strategy Fund | 464 | |||
Strengthening Dollar 2x Strategy Fund | 681 | |||
Weakening Dollar 2x Strategy Fund | 159 |
Certain trustees and officers of the Trust are also officers of GI and/or GFD. The Trust does not compensate its officers or trustees who are officers, directors and/or employees of GI or GFD.
80 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
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 maintains 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, 2020, the repurchase agreements in the joint account were as follows:
Counterparty and | Face Value | Repurchase Price |
| Collateral | Par Value | Fair Value | ||||||||||||
BofA Securities, Inc. | U.S. Treasury Note | |||||||||||||||||
0.07% | 1.88% | |||||||||||||||||
Due 07/01/20 | $ | 19,255,227 | $ | 19,255,265 | 07/31/22 | $ | 18,827,600 | $ | 19,640,334 | |||||||||
Barclays Capital, Inc. | U.S. Treasury Note | |||||||||||||||||
0.07% | 1.63% | |||||||||||||||||
Due 07/01/20 | 18,099,914 | 18,099,949 | 10/31/26 | 17,130,200 | 18,461,912 | |||||||||||||
J.P. Morgan Securities LLC | U.S. Treasury Notes | |||||||||||||||||
0.07% | 1.88% - 2.75% | |||||||||||||||||
Due 07/01/20 | 46,493,897 | 46,493,987 | 12/15/20 - 05/31/23 | 44,039,600 | 47,423,795 |
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.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 81 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2020, the Funds participated in securities lending transactions, which are subject to enforceable netting arrangements, as follows:
Gross Amounts Not Offset in the | Securities Lending Collateral | ||||||||||||||||||||||||
Fund | Value of | Collateral | Net | Cash | Cash | Total | |||||||||||||||||||
S&P 500® Pure Value Fund | $ | 171,931 | $ | (171,931 | ) | $ | — | $ | 180,441 | $ | — | $ | 180,441 | ||||||||||||
S&P MidCap 400® Pure Growth Fund | 323,796 | (322,688 | ) | 1,108 | 322,688 | * | — | 322,688 | |||||||||||||||||
S&P MidCap 400® Pure Value Fund | 199,891 | (199,891 | ) | — | 206,754 | — | 206,754 | ||||||||||||||||||
S&P SmallCap 600® Pure Growth Fund | 257,021 | (257,021 | ) | — | 258,892 | — | 258,892 | ||||||||||||||||||
S&P SmallCap 600® Pure Value Fund | 273,752 | (273,752 | ) | — | 285,103 | — | 285,103 | ||||||||||||||||||
Europe 1.25x Strategy Fund | 15,318 | (15,318 | ) | — | 15,608 | — | 15,608 |
(a) | Actual collateral received by the Fund is generally greater than the amount shown due to overcollateralization. |
* | Subsequent to June 30, 2020, 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’ financial statements. The Funds’ U.S. federal income tax returns are subject to examination by the Internal Revenue Service (“IRS”) for a period of three years after they are filed.
82 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
At June 30, 2020, 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 | Tax | Net Tax Unrealized | ||||||||||||
S&P 500® Pure Growth Fund | $ | 27,630,462 | $ | 5,763,581 | $ | (733,158 | ) | $ | 5,030,423 | |||||||
S&P 500® Pure Value Fund | 20,938,450 | — | (3,200,817 | ) | (3,200,817 | ) | ||||||||||
S&P MidCap 400® Pure Growth Fund | 11,880,398 | 863,203 | (513,229 | ) | 349,974 | |||||||||||
S&P MidCap 400® Pure Value Fund | 8,415,155 | — | (1,386,909 | ) | (1,386,909 | ) | ||||||||||
S&P SmallCap 600® Pure Growth Fund | 10,162,371 | 308,972 | (1,031,904 | ) | (722,932 | ) | ||||||||||
S&P SmallCap 600® Pure Value Fund | 6,105,533 | — | (1,638,773 | ) | (1,638,773 | ) | ||||||||||
Europe 1.25x Strategy Fund | 2,099,137 | 11,283 | (48,029 | ) | (36,746 | ) | ||||||||||
Japan 2x Strategy Fund | 1,467,950 | 1,208 | (120,615 | ) | (119,407 | ) | ||||||||||
Strengthening Dollar 2x Strategy Fund | 2,963,193 | 21,792 | (1,454 | ) | 20,338 | |||||||||||
Weakening Dollar 2x Strategy Fund | 823,346 | 377 | (5,148 | ) | (4,771 | ) |
Note 9 – Securities Transactions
For the period ended June 30, 2020, 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 | $ | 20,630,429 | $ | 30,717,897 | ||||
S&P 500® Pure Value Fund | 11,858,831 | 20,981,931 | ||||||
S&P MidCap 400® Pure Growth Fund | 7,058,510 | 7,601,575 | ||||||
S&P MidCap 400® Pure Value Fund | 5,289,696 | 5,427,046 | ||||||
S&P SmallCap 600® Pure Growth Fund | 8,375,184 | 10,092,574 | ||||||
S&P SmallCap 600® Pure Value Fund | 2,601,560 | 5,023,158 | ||||||
Europe 1.25x Strategy Fund | 1,703,742 | 3,511,773 | ||||||
Japan 2x Strategy Fund | 796,987 | 1,375,000 | ||||||
Strengthening Dollar 2x Strategy Fund | 800,981 | 690,000 | ||||||
Weakening Dollar 2x Strategy Fund | 97,120 | 180,000 |
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 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, 2020, 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 | $ | 7,530,418 | $ | 11,249,621 | $ | 103,350 | ||||||
S&P 500® Pure Value Fund | 2,783,227 | 6,356,166 | (19,415 | ) | ||||||||
S&P MidCap 400 Pure Growth Fund | 504,555 | 396,525 | (48,997 | ) | ||||||||
S&P MidCap 400 Pure Value Fund | 640,141 | 260,031 | (73,458 | ) | ||||||||
S&P SmallCap 600 Pure Growth Fund | 452,159 | 433,440 | (94,811 | ) | ||||||||
S&P SmallCap 600 Pure Value Fund | 83,998 | 369,808 | (115,669 | ) | ||||||||
Europe 1.25x Strategy Fund | 156,917 | 461,009 | (24,697 | ) |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 83 |
NOTES TO FINANCIAL STATEMENTS (Unaudited)(continued) |
Note 10 – Line of Credit
The Trust, along with affiliated trusts, secured an uncommitted $75,000,000 line of credit from U.S. Bank, N.A., which expired on June 8, 2020. On March 30, 2020, the Board approved increasing the line of credit from $75,000,000 to $150,000,000. On June 8, 2020, the line of credit agreement was renewed at the increased $150,000,000 amount and expires on June 7, 2021. 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 1.84% for the period ended June 30, 2020. The Funds did not have any borrowings outstanding under this agreement at June 30, 2020.
The average daily balances borrowed for the period ended June 30, 2020, were as follows:
Fund | Average Daily Balance | |||
S&P 500® Pure Growth Fund | $ | 527 | ||
S&P 500® Pure Value Fund | 8 | |||
S&P MidCap 400® Pure Growth Fund | 358 | |||
S&P MidCap 400® Pure Value Fund | 8 | |||
S&P SmallCap 600® Pure Growth Fund | 90 | |||
S&P SmallCap 600® Pure Value Fund | 230 | |||
Europe 1.25x Strategy Fund | 213 |
Note 11 – Legal Proceedings
Tribune Company
Rydex Variable Trust has been named as a defendant and a putative member of the proposed defendant class of shareholders in the case entitled Kirschner v. FitzSimons, No. 12-2652 (S.D.N.Y.) (formerly Official Committee of Unsecured Creditors of Tribune Co. v. FitzSimons, Adv. Pro. No. 10-54010 (Bankr. D. Del.)) (the “FitzSimons action”), as a result of ownership by certain series of the Rydex Variable Trust of shares in the Tribune Company (“Tribune”) in 2007, when Tribune effected a leveraged buyout transaction (“LBO”) by which Tribune converted to a privately-held company. In his complaint, the plaintiff has alleged that, in connection with the LBO, Tribune insiders and shareholders were overpaid for their Tribune stock using financing that the insiders knew would, and ultimately did, leave Tribune insolvent. The plaintiff has asserted claims against certain insiders, major shareholders, professional advisers, and others involved in the LBO. The plaintiff is also attempting to obtain from former Tribune shareholders, including the Rydex Variable Trust, the proceeds they received in connection with the LBO.
In June 2011, a group of Tribune creditors filed multiple actions against former Tribune shareholders involving state law constructive fraudulent conveyance claims arising out of the 2007 LBO (the “SLCFC actions”). Rydex Variable Trust has been named as a defendant in one or more of these suits. In those actions, the creditors seek to recover from Tribune’s former shareholders the proceeds received in connection with the 2007 LBO.
The FitzSimons action and the SLCFC actions have been consolidated with the majority of the other Tribune LBO-related lawsuits in a multidistrict litigation proceeding captioned In re Tribune Company Fraudulent Conveyance Litig., No. 11-md-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
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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 December 19, 2019, the Second Circuit issued an amended opinion that again affirmed the district court’s ruling on the basis that plaintiffs’ claims were preempted by Section 546(e) of the Bankruptcy Code. Plaintiffs filed a motion for rehearing and rehearing en banc on January 2, 2020. The Second Circuit denied the petition on February 6, 2020. On July 6, 2020, plaintiffs filed a new petition for a writ of certiorari in the U.S. Supreme Court.
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 intended 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. 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. Plaintiff filed an appellate brief on January 7, 2020. The shareholder defendants’ brief was filed on April 27, 2020. Plaintiff filed a reply brief on May 18, 2020. On June 22, 2020, the Court scheduled oral argument to occur on August 24, 2020.
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 12 – COVID-19 and Recent Developments
The global ongoing crisis caused by the outbreak of COVID-19 is causing materially reduced consumer demand and economic output, disrupting supply chains, resulting in market closures, travel restrictions and quarantines, and adversely impacting local and global economies. Investors should be aware that in light of the current uncertainty, volatility and distress in economies, financial markets, and labor and health conditions all over the world, the Funds’ investments and a shareholder’s investment in a Fund are subject to sudden and substantial losses, increased volatility and other adverse events. Firms through which investors invest with the Funds, the Funds, their service providers, the markets in which they invest and market intermediaries are also impacted by quarantines and similar measures intended to contain the ongoing pandemic, which can obstruct their functioning and subject them to heightened operational risks.
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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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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.
Report of the Rydex Variable Trust Contracts Review Committee
Rydex Variable Trust (the “Trust”) was organized as a Delaware statutory trust on June 11, 1998, and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust includes the following series (each, a “Fund” and collectively, the “Funds”):
● Banking Fund*
● Biotechnology Fund*
● Consumer Products Fund*
● Electronics Fund*
● Energy Services Fund*
● Financial Services Fund*
● Government Long Bond 1.2x Strategy Fund
● High Yield Strategy Fund
● Inverse Dow 2x Strategy Fund
● Inverse High Yield Strategy Fund***
● Inverse NASDAQ-100 2x Strategy Fund*** | ● Basic Materials Fund*
● Commodities Strategy Fund
● Dow 2x Strategy Fund
● Energy Fund*
● Europe 1.25x Strategy Fund
● Global Managed Futures Strategy Fund**
● Health Care Fund*
● Internet Fund*
● Inverse Government Long Bond Strategy Fund
● Inverse Mid-Cap Strategy Fund
● Inverse NASDAQ-100 Strategy Fund |
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● Inverse Russell 2000 2x Strategy Fund***
● Inverse S&P 500 2x Strategy Fund***
● Japan 2x Strategy Fund
● Long Short Equity Fund**
● Multi-Hedge Strategies Fund**
● NASDAQ-100 Fund
● Precious Metals Fund*
● Retailing Fund*
● Russell 2000 2x Strategy Fund
● S&P 500 Fund***
● S&P 500 Pure Value Fund
● S&P MidCap 400 Pure Value Fund
● S&P SmallCap 600 Pure Value Fund
● Technology Fund*
● Transportation Fund*
● U.S. Government Money Market Fund | ● Inverse Russell 2000 Strategy Fund
● Inverse S&P 500 Strategy Fund
● Leisure Fund*
● Mid-Cap 1.5x Strategy Fund
● NASDAQ-100 2x Strategy Fund
● Nova Fund
● Real Estate Fund
● Russell 2000 1.5x Strategy Fund
● Russell 2000 Fund***
● S&P 500 Pure Growth Fund
● S&P MidCap 400 Pure Growth Fund
● S&P SmallCap 600 Pure Growth Fund
● Strengthening Dollar 2x Strategy Fund
● Telecommunications Fund*
● Utilities Fund*
● Weakening Dollar 2x Strategy Fund |
Security Investors, LLC (“Security Investors”), an indirect subsidiary of Guggenheim Partners, LLC, a privately-held, global investment and advisory firm (“Guggenheim Partners”), serves as investment adviser to each of the Funds pursuant to an investment advisory agreement between the Trust, with respect to the Funds, and Security Investors (the “Advisory Agreement”). (Guggenheim Partners, Security Investors and their affiliates may be referred to herein collectively as “Guggenheim.” “Guggenheim Investments” refers to the global asset management and investment advisory division of Guggenheim Partners and includes Security Investors and other affiliated investment management businesses of Guggenheim Partners.)
Under the supervision of the Board of Trustees of the Trust (the “Board,” with the members of the Board referred to individually as the “Trustees”), the Adviser regularly provides investment research, advice and supervision, along with a continuous investment program for the Funds, and directs the purchase and sale of securities and other investments for each Fund’s portfolio.
The Advisory Agreement continues in effect from year to year provided that such continuance is specifically approved at least annually by (i) the Board or a majority of the outstanding voting securities (as defined in the 1940 Act) of each Fund, and, in either event, (ii) the vote of a majority of the Trustees who are not “interested person[s],” as defined by the 1940 Act, of the Trust (the “Independent Trustees”) casting votes in person at
* | Each, a “Sector Fund” and collectively, the “Sector Funds.” |
** | Each, an “Alternative Fund” and collectively, the “Alternative Funds.” |
*** | The Fund has been organized as a series of the Trust but has not commenced operations, and shares of the Fund are not currently offered to investors. Consequently, all references to “the Funds” or similar references hereafter should be understood as excluding such Fund. |
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a meeting called for such purpose.1 At meetings held by videoconference and/or telephonically on April 20–21, 2020 (the “April Meeting”) and on May 15 and 18, 2020 (the “May Meeting”), the members of the Contracts Review Committee of the Board (the “Committee”), consisting solely of the Independent Trustees, met separately from Guggenheim to consider the proposed renewal of the Advisory Agreement in connection with the Committee’s annual contract review schedule.
As part of its review process, the Committee was represented by independent legal counsel to the Independent Trustees (“Independent Legal Counsel”), from whom the Independent Trustees received separate legal advice and with whom they met separately. Independent Legal Counsel reviewed and discussed with the Committee various key aspects of the Trustees’ legal responsibilities relating to the proposed renewal of the Advisory Agreement and other principal contracts. The Committee took into account various materials received from Guggenheim and Independent Legal Counsel. The Committee also considered the variety of written materials, reports and oral presentations the Board receives throughout the year regarding performance and operating results of the Funds, and other information relevant to its evaluation of the Advisory Agreement.
In connection with the contract review process, FUSE Research Network LLC (“FUSE”), an independent, third-party research provider, was engaged to prepare advisory contract renewal reports designed specifically to help the Board fulfill its advisory contract renewal responsibilities. The objective of the reports is to present the subject funds’ relative position regarding fees, expenses and total return performance, with peer group and universe comparisons. The Committee assessed the data provided in the FUSE reports as well as commentary presented by Guggenheim, including, among other things, a list of Funds for which no peer funds were identified, a summary of notable distinctions between certain Funds and the applicable peer group identified in the FUSE reports and explanations for custom peer groups created for certain Funds that do not fit well into any particular category.
As part of its evaluation of the Adviser and the proposed renewal of the Advisory Agreement, the Committee took into account that each Fund (other than the Alternative Funds) (each, a “Tradable Fund” and collectively, the “Tradable Funds”)2 is designed to provide tactical advisors with specific exposures (with the exception of the U.S. Government Money Market Fund which is designed to support tactical advisors seeking to avoid market exposure or preserve capital) while also providing for unlimited trading privileges, and that the Tradable Funds offer a unique set of product features. The Committee noted that each Tradable Fund (other than the U.S. Government Money Market Fund) seeks to track, or correlate to, the performance (before fees and expenses) of a specific benchmark index over certain time periods or a specific market, noting that, because appropriate published indices are not available for many of the Sector Funds and the Real Estate Fund, the Adviser has developed its own methodology to construct objective performance benchmarks for the Sector Funds and the Real Estate Fund. In this regard, the Committee received information regarding the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, including the personnel with primary responsibility for the maintenance and execution of the methodology. The Committee also noted that, with respect to the Tradable Funds (other than U.S. Government Money Market Fund), in addition to the performance information included in the FUSE reports, the Adviser provided tracking error data for other similar funds in the Guggenheim fund complex.
In addition, Guggenheim provided materials and data in response to formal requests for information sent by Independent Legal Counsel on behalf of the Independent Trustees. Guggenheim also made a presentation at the April Meeting. Throughout the process, the Committee asked questions of management and requested certain additional information, which Guggenheim provided (collectively with the foregoing reports and materials, the “Contract Review Materials”). The Committee considered the Contract Review Materials in the context of its accumulated experience governing the Trust and other Guggenheim funds and weighed the factors and standards discussed with Independent Legal Counsel.
Following an analysis and discussion of relevant factors, including those identified below, and in the exercise of its business judgment, the Committee concluded that it was in the best interest of each Fund to recommend that the Board approve the renewal of the Advisory Agreement for an additional annual term.
Nature, Extent and Quality of Services Provided by the Adviser: With respect to the nature, extent and quality of services currently provided by the Adviser, the Committee considered the qualifications, experience and skills of key personnel performing services for the Funds, including those personnel providing compliance and risk oversight, as well as the supervisors and reporting lines for such personnel. The
1 | On March 13, 2020, the Securities and Exchange Commission issued an exemptive order providing relief to registered management investment companies from certain provisions of the 1940 Act in light of the outbreak of coronavirus disease 2019 (COVID-19), including the in-person voting requirements under Section 15(c) of the 1940 Act with respect to approving or renewing an investment advisory agreement, subject to certain conditions. The relief was originally limited to the period from March 13, 2020 to June 15, 2020 and was subsequently extended through August 15, 2020. The Board, including the Independent Trustees, relied on this relief in voting to renew the Advisory Agreement at a meeting of the Board held by videoconference on May 18, 2020. |
2 | Note that the Tradable Funds include the Sector Funds and the Real Estate Fund. |
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Committee also considered other information, including Guggenheim’s resources and related efforts to retain, attract and motivate capable personnel to serve the Funds. In evaluating Guggenheim’s resources and capabilities, the Committee considered Guggenheim’s commitment to focusing on, and investing resources in support of, the funds in the Guggenheim fund complex, including the Funds.
The Committee’s review of the services provided by Guggenheim to the Funds included consideration of Guggenheim’s investment processes and index methodologies and resulting performance, portfolio oversight and risk management, and the related regular quarterly reports and presentations received by the Board. The Committee took into account the risks borne by Guggenheim in sponsoring and providing services to the Funds, including entrepreneurial, legal and regulatory risks. The Committee considered the resources dedicated by Guggenheim to compliance functions and the reporting made to the Board by Guggenheim compliance personnel regarding Guggenheim’s adherence to regulatory requirements. The Committee also considered the regular reports the Board receives from the Trust’s Chief Compliance Officer regarding compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act.
With respect to the Tradable Funds, the Committee considered their unique product features, including their tradability, the real time cash process employed for such Funds, and the leveraged and inverse strategies offered. The Committee noted that the Tradable Funds allow frequent trading and unlimited exchange privileges and noted the magnitude of changes in each Fund’s assets during 2019. In this regard, the Committee noted that the real time cash process is utilized by the Adviser to aggregate shareholder flow data to estimate daily net subscriptions or redemptions in order to mitigate the costs associated with the tradability feature, improve tracking and keep the Funds fully invested. The Committee also took into account the unique considerations required in the portfolio construction process to determine the optimal way to obtain the applicable exposures, including leveraged and inverse exposures, while allowing for high turnover. With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s proprietary methodology for constructing objective performance benchmarks for such Funds, noting the Adviser’s statement that it uses a quantitative portfolio investment process that also requires investment discretion in implementing adjustments for factors that affect tradability and liquidity, changing dynamics within a sector or market, and corporate actions such as spin-offs, among other adjustments.
In connection with the Committee’s evaluation of the overall package of services provided by Guggenheim, the Committee considered Guggenheim’s administrative services, including its role in supervising, monitoring, coordinating and evaluating the various services provided by the fund administrator, transfer agent, distributor, custodian and other service providers to the Funds. The Committee evaluated the Office of Chief Financial Officer (the “OCFO”), established to oversee the fund administration, accounting and transfer agency services provided to the Funds and other Guggenheim funds, including the OCFO’s resources, personnel and services provided.
With respect to Guggenheim’s resources and the ability of the Adviser to carry out its responsibilities under the Advisory Agreement, the Chief Financial Officer of Guggenheim Investments reviewed with the Committee financial information concerning the holding company for Guggenheim Investments, Guggenheim Partners Investment Management Holdings, LLC (“GPIMH”), and the various entities comprising Guggenheim Investments, and provided the audited consolidated financial statements of GPIMH.
The Committee also considered the acceptability of the terms of the Advisory Agreement, including the scope of services required to be performed by the Adviser.
Based on the foregoing, and based on other information received (both oral and written) at the April Meeting and the May Meeting, as well as other considerations, including the Committee’s knowledge of how the Adviser performs its duties obtained through Board meetings, discussions and reports throughout the year, the Committee concluded that the Adviser and its personnel were qualified to serve the Funds in such capacity and may reasonably be expected to continue to provide a high quality of services under the Advisory Agreement with respect to the Funds.
Investment Performance: Except as otherwise noted, the Committee received, for each Fund, investment returns for the since-inception, ten-year, five-year, three-year, one-year and three-month periods ended December 31, 2019, as applicable. For certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, only investment returns for the five-year, three-year and one-year periods ended December 31, 2019, as applicable, were received. In addition, the Committee received a comparison of each Fund’s performance to the performance of a benchmark and a peer group of similar funds based on asset levels as identified by FUSE, and for certain Funds, a broader universe of funds, in each case for the same periods, as applicable. The Committee also received from FUSE a description of the methodology for identifying each Fund’s peer group and universe for performance and expense comparisons. With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee received tracking error data for other similar funds in the Guggenheim fund complex. The Committee also received certain updated performance information as of March 31, 2020.
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With respect to the Tradable Funds (other than U.S. Government Money Market Fund), the Committee considered the Adviser’s statement that such Funds are designed as a suite of products seeking to provide a number of broad and specific exposures for tactical advisors and also considered that the Funds have a unique set of product features designed to meet the needs of those tactical advisors, which has an impact on performance. The Committee considered the Adviser’s statement that, in circumstances in which there are significant deviations from expected returns, management seeks to understand the cause of such deviations and determine if any remedial actions should be considered, noting that no such remedial actions were currently deemed necessary by the Adviser to address performance. The Committee also considered the Adviser’s discussion of factors that contribute to such deviations, including shareholder activity, financing costs associated with leverage and investment instruments used to achieve certain exposures, noting the Adviser’s statement that expenses and transaction costs based on shareholder activity are the primary driver of performance differences.
With respect to certain Tradable Funds with only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds in the two direct competitor product suites and noted the Adviser’s statement that certain Tradable Funds do not have any peer funds that provide the same index, leverage or inverse exposure. The Committee also considered management’s commentary explaining such Funds’ underperformance, as applicable, over the five-year, three-year and/or one-year periods ended December 31, 2019, relative to their respective peer funds, attributing such relative underperformance to, among other factors, differences in portfolio construction methodologies and exposures. The Committee noted that the two direct competitor product suites do not offer a fund comparable to the Commodities Strategy Fund and considered a comparison to a peer group identified in the FUSE report consisting of both actively-managed and index-based commodities funds, noting the limitations in the comparability of such peer group.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report has product features that make it comparable in this regard. The Committee considered that the Fund outperformed the comparable peer fund over the five-year and three-year periods ended December 31, 2019, although its performance ranked in the fourth quartile of the broader peer group over the same time periods.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar strategies that do not offer the same product features, including unlimited trading privileges, noting the Adviser’s statement that certain peer funds also cover a narrower or wider market segment than the applicable Fund. The Committee considered management’s commentary explaining such Funds’ underperformance, as applicable, over the five-year, three-year and one-year periods ended December 31, 2019, relative to their respective peer groups, attributing such underperformance to, among other factors, high turnover associated with daily shareholder flows, differences in exposures and the Funds’ modified cap weighting approach to portfolio construction.
With respect to the Alternative Funds (i.e., the non-Tradable Funds), in seeking to evaluate Fund performance over a full market cycle, the Committee focused its attention on five-year and three-year performance rankings as compared to the relevant universe of funds. The Committee considered more recent performance periods in circumstances in which enhancements were being made to the portfolio management processes or techniques employed for a Fund. The Committee observed that the Global Managed Futures Strategy Fund’s returns ranked in the first quartile of its performance universe for each of the relevant periods considered.
In addition, the Committee made the following observations:
Long Short Equity Fund: The Fund’s returns ranked in the 100th percentile of its performance universe for the five-year and three-year periods ended December 31, 2019. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily a result of the Fund’s fundamental factor tilts and the underperformance of the Fund’s prior investment strategy. The Committee noted management’s statement that the Fund’s high positive allocation to value and short on growth, as well as negative sector exposures to well-performing sectors, have detracted from investment performance. The Committee also noted management’s statement that the Fund employed a momentum-based investment strategy prior to May 31, 2017 that demonstrated bouts of volatility and inconsistencies, which affected long-term performance. The Committee took into account management’s statement that, since 2018, the Fund’s investment team has implemented enhancements to a number of components of the investment model used for the Fund, including revising expected risk models and security selection models, expanding the number of industry models used and adding a macro overlay to better incorporate Guggenheim’s market views. The Committee also took note of improving performance, noting that one-year performance as of March 31, 2020 ranked in the 63rd percentile.
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Multi-Hedge Strategies Fund: The Fund’s returns ranked in the 80th and 83rd percentiles of its performance universe for the five-year and three-year periods ended December 31, 2019, respectively. The Committee noted management’s explanation that the Fund’s relative underperformance over these time periods was primarily due to the underperformance of its long short equity sleeve and its overall lower volatility and equity market beta relative to its peers. With respect to the Fund’s long short equity sleeve, the Committee noted management’s statement that the sleeve’s high positive allocation to value and short on growth have detracted from investment performance. The Committee took into account management’s statement that the Fund changed its underlying investment strategies to improve diversification amongst the strategies, target a higher and more stable risk profile and enhance risk-adjusted returns while providing continuity for shareholders. The Committee noted that, as of March 31, 2020, the five-year and three-year performance rankings improved to the 14th and 9th percentiles, respectively, and that one-year performance ranked in the 4th percentile.
After reviewing the foregoing and other related factors, the Committee concluded that: (i) each Fund’s performance was acceptable; or (ii) it was satisfied with Guggenheim’s responses and efforts to improve investment performance.
Comparative Fees, Costs of Services Provided and the Benefits Realized by the Adviser from Its Relationship with the Funds: The Committee compared each Fund’s contractual advisory fee, net effective management fee and total net expense ratio to the applicable peer group, if any. The Committee also reviewed the median advisory fees and expense ratios, including expense ratio components (e.g., transfer agency fees, administration fees, other operating expenses, distribution fees and fee waivers/reimbursements), of the peer group of funds. In addition, the Committee considered information regarding Guggenheim’s process for evaluating the competitiveness of each Fund’s fees and expenses, noting Guggenheim’s statement that, while Fund flows and profitability are evaluated, primary consideration is given to market competitiveness, support requirements and shareholder return and expense expectations.
As part of its evaluation of each Fund’s advisory fee, the Committee considered how such fees compared to the advisory fee charged by the Adviser to one or more other clients that it manages pursuant to similar investment strategies, to the extent applicable. The Committee noted that Guggenheim generally does not provide advisory services to other clients that have investment strategies similar to those of the Funds, other than retail fund counterparts to certain Funds, each of which is charged the same advisory fee as the corresponding Fund.
With respect to the Tradable Funds that are designed to track a widely available index, which have only one or two identified peer funds, if any, from the two direct competitor product suites, the Committee considered the Adviser’s summary of notable distinctions between the Tradable Funds and the peer funds, noting the Adviser’s statement that only one of the two direct competitor product suites is directly comparable for purposes of assessing such Funds’ advisory fees. For those Tradable Funds with a peer fund from the directly comparable product suite, the Committee noted that each Fund’s contractual advisory fee was equal to or lower than the contractual advisory fee charged to the peer fund. The Committee also considered each such Fund’s net effective management fee3 and total net expense ratio as compared to the peer fund.
With respect to the U.S. Government Money Market Fund, the Committee noted the Adviser’s statement that the Fund is designed to support tactical advisors seeking to avoid market exposure or preserve capital and that only one other fund in its peer group identified in the FUSE report is directly comparable in terms of product features offered. The Committee considered that, although the Fund’s total net expense ratio is higher than that of the comparable peer fund, the Fund’s contractual advisory fee and net effective management fee are lower than those of the peer fund and the Fund’s total net expense ratio is similar to that of the peer fund. The Committee noted the Adviser’s statement that, given the current low interest rate environment, it is currently waiving its fees to the extent necessary to maintain the Fund’s stable net asset value.
With respect to the Sector Funds and the Real Estate Fund, the Committee considered the Adviser’s summary of notable distinctions between each Sector Fund and the applicable peer group identified in the FUSE reports. The Committee considered that the peer groups are comprised of actively-managed funds with similar investment strategies, but that do not offer the same product features, such as unlimited trading privileges. As a result, the fee and expense comparisons are more difficult given the uniqueness of both the Funds’ structure and the portfolio management needed to meet client requirements.
3 | The “net effective management fee” for each Fund represents the combined effective advisory fee and administration fee as a percentage of average net assets for the latest fiscal year, after any waivers and/or reimbursements. |
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With respect to the Alternative Funds (i.e., the non-Tradable Funds), the Committee made the following observations:
Global Managed Futures Strategy Fund: The Fund’s contractual advisory fee ranks in the second quartile (50th percentile) of its peer group. The Fund’s net effective management fee ranks in the first quartile (1st percentile) of its peer group. The Fund’s total net expense ratio ranks in the fourth quartile (100th percentile) of its peer group. The Committee considered that the peer group is limited in size and is comprised of only three funds. The Committee noted the Adviser’s statement that the Fund’s total net expense ratio ranks more competitively when compared to the broader universe of funds.
Long Short Equity Fund: The Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank in the fourth quartile (80th, 80th and 100th percentiles, respectively) of its peer group. The Committee considered that the peer group is limited in size and is comprised of only six funds. The Committee noted that the Fund’s contractual advisory fee, net effective management fee and total net expense ratio each rank more competitively when compared to the broader universe of funds.
Multi-Hedge Strategies Fund: The Fund’s contractual advisory fee ranks in the fourth quartile (86th percentile) of its peer group. The Fund’s net effective management fee ranks in the third quartile (71st percentile) of its peer group. The Committee considered that the Fund’s total net expense ratio ranks in the third quartile (57th percentile) of its peer group. The Committee considered that the peer group is limited in size and is comprised of only eight funds. The Committee noted that the Fund’s contractual advisory fee ranks more competitively when compared to the broader universe of funds.
With respect to the costs of services provided and benefits realized by Guggenheim Investments from its relationship with the Funds, the Committee reviewed a profitability analysis and data from management for each Fund setting forth the average assets under management for the twelve months ended December 31, 2019, gross revenues received by Guggenheim Investments, expenses allocated to the Fund, expense waivers (as applicable), earnings and the operating margin/profitability rate, including variance information relative to the foregoing amounts as of December 31, 2018. In addition, the Chief Financial Officer of Guggenheim Investments reviewed with, and addressed questions from, the Committee concerning the expense allocation methodology employed in producing the profitability analysis.
In the course of its review of Guggenheim Investments’ profitability, the Committee took into account the methods used by Guggenheim Investments to determine expenses and profit. The Committee considered all of the foregoing, among other things, in evaluating the costs of services provided, the profitability to Guggenheim Investments and the profitability rates presented, and concluded that the profits were not unreasonable.
The Committee also considered other benefits available to the Adviser because of its relationship with the Funds and noted Guggenheim’s statement that it does not believe the Adviser derives any such “fall-out” benefits. In this regard, the Committee noted Guggenheim’s statement that, although it does not consider such benefits to be fall-out benefits, the Adviser may benefit from certain economies of scale and synergies, such as enhanced visibility of the Adviser, enhanced leverage in fee negotiations and other synergies arising from offering a broad spectrum of products, including the Funds.
Economies of Scale: The Committee received and considered information regarding whether there have been economies of scale with respect to the management of the Funds as Fund assets grow, whether the Funds have appropriately benefited from any economies of scale, and whether there is potential for realization of any further economies of scale. The Committee considered whether economies of scale in the provision of services to the Funds were being passed along to and shared with the shareholders. The Committee noted the Adviser’s statements, including that Guggenheim believes it is appropriately sharing potential economies of scale and that costs continue to increase in many key areas, including compensation of portfolio managers, key analysts and support staff, as well as for infrastructure needs, with respect to risk management oversight, valuation processes and disaster recovery systems, among other things, and that, in this regard, management’s costs for providing services have increased in recent years without regard to asset levels.
With respect to the Tradable Funds, the Committee noted that the applicable breakpoint level for the Funds is applied at the product-suite level, rather than on a Fund level, as the Funds are designed for tactical advisors and provide unlimited trading privileges, with individual Fund assets fluctuating significantly throughout the year.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 93 |
OTHER INFORMATION (Unaudited)(concluded) |
The Committee also noted the process employed by the Adviser to evaluate whether it would be appropriate to institute a new breakpoint for an Alternative Fund (i.e., a non-Tradable Fund), with consideration given to, among other things: (i) the Fund’s size and trends in asset levels over recent years; (ii) the competitiveness of the expense levels; (iii) whether expense waivers are in place; (iv) changes and trends in revenue and expenses; (v) whether there are any anticipated expenditures that may benefit the Fund in the future; (vi) Fund profit level margins; (vii) relative Fund performance; (viii) the nature, extent and quality of services management provides to the Fund; and (ix) the complexity of the Fund’s investment strategy and the resources required to support the Fund.
As part of its assessment of economies of scale, the Committee also considered Guggenheim’s view that it seeks to share economies of scale through a number of means, including breakpoints, advisory fees set at competitive rates pre-assuming future asset growth, expense waivers and limitations, and investments in personnel, operations and infrastructure to support the Fund business. The Committee also received information regarding amounts that had been shared with shareholders through such expense waivers and limitations. Thus, the Committee considered the size of the Funds and the competitiveness of and/or other determinations made regarding the current advisory fee for each Fund, as well as whether a Fund is subject to an expense limitation.
Based on the foregoing, among other things considered, the Committee determined that the advisory fee for each Fund was reasonable.
Overall Conclusions
The Committee determined that the investment advisory fees are fair and reasonable in light of the extent and quality of the services provided and other benefits received and that the continuation of the Advisory Agreement is in the best interest of each Fund. In reaching this conclusion, no single factor was determinative or conclusive and each Committee member, in the exercise of his or her well-informed business judgment, may afford different weights to different factors. At the May Meeting, the Committee, constituting all of the Independent Trustees, recommended the renewal of the Advisory Agreement for an additional annual term.
94 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INDEPENDENT TRUSTEES | |||||
Randall C. Barnes (1951) | Trustee and Chair of the Valuation Oversight Committee | Since 2019 (Trustee)
Since July 2020 (Chair of the Valuation Oversight Committee) | Current: Private Investor (2001-present). | 157 | Current: Purpose Investments Funds (2013-present). |
Angela Brock-Kyle (1959) | Trustee | Since 2016 | Current: Founder and Chief Executive Officer, B.O.A.R.D.S. (2013-present). | 156 | Current: Hunt Companies, Inc. (2019-present). |
Donald A. Chubb, Jr. (1946) | Trustee | Since 2019 | Current: Retired | 156 | Former: Midland Care, Inc. (2011-2016). |
Jerry B. Farley (1946) | Trustee | Since 2019 | Current: President, Washburn University (1997-present). | 156 | Current: CoreFirst Bank & Trust (2000-present). |
Roman Friedrich III (1946) | Trustee | Since 2019 | Current: Founder and Managing Partner, Roman Friedrich & Company (1998-present). | 156 | Former: Zincore Metals, Inc. (2009-2019). |
Thomas F. Lydon, Jr. (1960) | Trustee and Chair of the Contracts Review Committee | Since 2005 (Trustee)
Since July 2020 (Chair of the Contracts Review Committee) | Current: President, Global Trends Investments (1996-present); Co-Chief Executive Officer, ETF Flows, LLC (2019-present); Chief Executive Officer, Lydon Media (2016-present). | 156 | Current: US Global Investors (GROW) (1995-present). |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 95 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INDEPENDENT TRUSTEES - concluded | |||||
Ronald A. Nyberg (1953) | Trustee and Chair of the Nominating and Governance Committee | Since 2019 | Current: Partner, Momkus LLC (2016-present). | 157 | Current: PPM Funds (9) (2018 - present); Edward-Elmhurst Healthcare System (2012-present). |
Sandra G. Sponem (1958) | Trustee and Chair of the Audit Committee | Since 2016 (Trustee)
Since 2019 (Chair of the Audit Committee) | Current: Retired. | 156 | Current: 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). |
Ronald E. Toupin, Jr. (1958) | Trustee, Chair of the Board and Chair of the Executive Committee | Since 2019 | Current: Portfolio Consultant (2010-present); Member, Governing Council, Independent Directors Council (2013-present); Governor, Board of Governors, Investment Company Institute (2018-present). | 156 | Former: Western Asset Inflation-Linked Opportunities & Income Fund (2004-April 2020); Western Asset Inflation-Linked Income Fund (2003-April 2020); Managed Duration Investment Grade Municipal Fund (2003-2016). |
96 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) | Number of | Other Directorships |
INTERESTED TRUSTEE |
|
|
|
| |
Amy J. Lee**** (1961) | Trustee, Vice President and Chief Legal Officer | Since 2019 | Current: Interested Trustee, certain other funds in the Fund Complex (2018-present); Chief Legal Officer, certain other funds in the Fund Complex (2014-present); Vice President, certain other funds in the Fund Complex (2007-present); Senior Managing Director, Guggenheim Investments (2012-present). | 156 | None. |
* | The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each Trustee serves an indefinite term, until his or her successor is elected and qualified. |
*** | Each Trustee also serves on the Boards of Trustees of Guggenheim Funds Trust, Guggenheim Variable Funds Trust, Guggenheim Strategy Funds Trust, Fiduciary/Claymore Energy Infrastructure Fund, Guggenheim Taxable Municipal Managed Duration Trust, Guggenheim Strategic Opportunities Fund, Guggenheim Enhanced Equity Income Fund, Guggenheim Energy & Income Fund, Guggenheim Credit Allocation Fund, Rydex Series Funds, Rydex Dynamic Funds, Rydex Variable Trust and Transparent Value Trust. Messrs. Barnes and Nyberg also serve on the Boards of Trustees of Advent Convertible & Income Fund. |
**** | This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of her position with the Funds’ Investment Manager and/or the parent of the Investment Manager. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 97 |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(continued) |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) |
OFFICERS | |||
Brian E. Binder (1972) | President and Chief Executive Officer | Since 2019 | Current: President and Chief Executive Officer, certain other funds in the Fund Complex (2018-present); President, Chief Executive Officer and Chairman of the Board of Managers, Guggenheim Funds Investment Advisors, LLC (2018-present); President and Chief Executive Officer, Security Investors, LLC (2018-present); Board Member of Guggenheim Partners Fund Management (Europe) Limited (2018-present); Senior Managing Director and Chief Administrative Officer, Guggenheim Investments (2018-present). |
James M. Howley (1972) | Assistant Treasurer | Since 2016 | Current: Managing Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present). |
Mark E. Mathiasen (1978) | Secretary | Since 2017 | Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director, Guggenheim Investments (2007-present). |
Glenn McWhinnie (1969) | Assistant Treasurer | Since 2016 | Current: Vice President, Guggenheim Investments (2009-present); Assistant Treasurer, certain other funds in the Fund Complex (2016-present). |
Michael P. Megaris (1984) | Assistant Secretary | Since 2018 | Current: Assistant Secretary, certain other funds in the Fund Complex (2014-present); Director, Guggenheim Investments (2012-present). |
Elisabeth Miller (1968) | Chief Compliance Officer | Since 2012 | 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 and 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). |
Margaux Misantone (1978) | AML Officer | Since 2017 | 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). |
William Rehder (1967) | Assistant Vice President | Since 2018 | Current: Managing Director, Guggenheim Investments (2002-present). |
98 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
INFORMATION ON BOARD OF TRUSTEES AND OFFICERS (Unaudited)(concluded) |
Name, Address* | Position(s) Held | Term of Office | Principal Occupation(s) |
OFFICERS - concluded | |||
Kimberly J. Scott (1974) | Assistant Treasurer | Since 2016 | Current: Director, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present). |
Bryan Stone (1979) | Vice President | Since 2019 | Current: Vice President, certain other funds in the Fund Complex (2014-present); Managing Director, Guggenheim Investments (2013-present). |
John L. Sullivan (1955) | Chief Financial Officer, Chief Accounting Officer and Treasurer | Since 2016 | 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). |
Jon Szafran (1989) | Assistant Treasurer | Since 2017 | Current: Vice President, Guggenheim Investments (2017-present); Assistant Treasurer, certain other funds in the Fund Complex (2017-present). |
* | The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, Illinois 60606. |
** | Each officer serves an indefinite term, until his or her successor is duly elected and qualified. |
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 99 |
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. |
100 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
GUGGENHEIM INVESTMENTS PRIVACY NOTICE (Unaudited)(continued) |
● | We use information as otherwise permitted by law, as we may notify you. |
● | Aggregate/Anonymous Data. We may aggregate and/or anonymize any information collected through the website so that such information can no longer be linked to you or your device (“Aggregate/Anonymous Information”). We may use Aggregate/Anonymous Information for any purpose, including without limitation for research and marketing purposes, and may also share such data with any third parties, including advertisers, promotional partners, and sponsors. |
We do not sell information about current or former clients or their accounts to third parties. Nor do we share this information, except when necessary to complete transactions at your request, to make you aware of investment products and services that we or our affiliates offer, or as permitted or required by law.
We provide information about you to companies and individuals not affiliated with Guggenheim Investments to complete certain transactions or account changes, or to perform services for us related to your account. For example, if you ask to transfer assets from another financial institution to Guggenheim Investments, we must provide certain information about you to that company to complete the transaction. We provide the third party with only the information necessary to carry out its responsibilities and only for that purpose. And we require these third parties to treat your private information with the same high degree of confidentiality that we do. To alert you to other Guggenheim Investments products and services, we share your information within our family of affiliated companies. You may limit our sharing with affiliated companies as set out below. We may also share information with any successor to all or part of our business, or in connection with steps leading up to a merger or acquisition. For example, if part of our business was sold we may give customer information as part of that transaction. We may also share information about you with your consent.
We will release information about you if you direct us to do so, if we are compelled by law to do so, or in other circumstances as permitted by law (for example, to protect your account from fraud).
If you close your account(s) or become an inactive client or investor, we will continue to adhere to the privacy policies and practices described in this notice.
Opt-Out Provisions and Your Data Choices
The law allows you to “opt out” of certain kinds of information sharing with third parties. We do not share personal information about you with any third parties that triggers this opt-out right. This means YOU ARE ALREADY OPTED OUT.
When you are no longer our client or investor, we continue to share your information as described in this notice, and you may contact us at any time to limit our sharing by sending an email to CorporateDataPrivacy@GuggenheimPartners.com.
European Union Data Subjects and certain others: In addition to the choices set forth above, residents of the European Union and certain other jurisdictions have certain rights to (1) request access to or rectification or deletion of information we collect about them, (2) request a restriction on the processing of their information, (3) object to the processing of their information, or (4) request the portability of certain information. To exercise these or other rights, please contact us using the contact information below. We will consider all requests and provide our response within the time period stated by applicable law. Please note, however, that certain information may be exempt from such requests in some circumstances, which may include if we need to keep processing your information for our legitimate interests or to comply with a legal obligation. We may request you provide us with information necessary to confirm your identity before responding to your request.
Residents of France and certain other jurisdictions may also provide us with instructions regarding the manner in which we may continue to store, erase and share your information after your death, and where applicable, the person you have designated to exercise these rights after your death.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 101 |
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.
102 | THE RYDEX FUNDS SEMI-ANNUAL REPORT |
In compliance with SEC Rule 22e-4 under the U.S. Investment Company Act of 1940 (the “Liquidity Rule”), the Rydex Variable Trust (the “Trust”) has adopted and implemented a written liquidity risk management program (the “Program”) for each series of the Trust (each, a “Fund” and, collectively, the “Funds”). The Trust’s Board of Trustees (the “Board”) previously approved the designation of a Program administrator (the “Administrator”).
The Liquidity Rule requires that the Program be reasonably designed to assess and manage each Fund’s liquidity risk. A Fund’s “liquidity risk” is the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of the remaining investors’ interests in the Fund. The Program includes a number of elements that support the assessment, management and review of liquidity risk. In accordance with the Program, each Fund’s liquidity risk is assessed no less frequently than annually taking into consideration a variety of factors, including, as applicable, the Fund’s investment strategy and liquidity of portfolio investments, cash flow projections, and holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Certain factors are considered under both normal and reasonably foreseeable stressed conditions. There is no guarantee that the Program will achieve its objective under all circumstances.
Under the Program, each Fund portfolio investment is classified into one of four liquidity categories based on a determination of the number of days it is reasonably expected to take to convert the investment to cash, or sell or dispose of the investment, in current market conditions without significantly changing the investment’s market value. The Program is reasonably designed to meet Liquidity Rule requirements relating to “highly liquid investment minimums” (i.e., the minimum amount of Fund net assets to be invested in highly liquid investments that are assets) and to monitor compliance with the Liquidity Rule’s limitations on a Fund’s investments in illiquid investments. Under the Liquidity Rule, a Fund is prohibited from acquiring any illiquid investment if, immediately after the acquisition, the Fund would have invested more than 15% of its net assets in illiquid investments that are assets.
During the period covered by this shareholder report, the Board received a written report (the “Report”) prepared by the Administrator addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from December 1, 2018, through March 31, 2020. The Report concluded that the Program operated effectively, the Program had been and continued to be reasonably designed to assess and manage each Fund’s liquidity risk and the Program has been adequately and effectively implemented to monitor and respond to the Funds’ liquidity developments, as applicable.
Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which an investment in the Fund may be subject.
THE RYDEX FUNDS SEMI-ANNUAL REPORT | 103 |
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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.
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/ Brian E. Binder | |
Brian E. Binder, President and Chief Executive Officer | ||
Date | September 8, 2020 |
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/ Brian E. Binder | |
Brian E. Binder, President and Chief Executive Officer | ||
Date | September 8, 2020 | |
By (Signature and Title)* | /s/ John L. Sullivan | |
John L. Sullivan, Chief Financial Officer and Treasurer | ||
Date | September 8, 2020 |
* | Print the name and title of each signing officer under his or her signature. |